void TradingEngine::enterBid(Bid bid) {
auto &m_bidQueue = m_bidQueues[bid.instrument()];
auto &m_askQueue = m_askQueues[bid.instrument()];
if (m_bidQueue.contains(bid)) {
qDebug() << "skipping duplicate bid with id : " << bid.id();
return;
}
// find a seller for less than we're offering
for (auto it = m_askQueue.begin(); it != m_askQueue.end(); ) {
Ask ask = *it;
if (ask.price() <= bid.price()) {
// if we have to make a partial trade
if (ask.volume() != bid.volume()) {
// seller has more than we want
// leaves sell in queue with smaller volume
if (ask.volume() > bid.volume()) {
Ask a = ask.createPartial(bid.volume());
createTrade(a, bid);
++it;
// we want more from another seller
// removes sell, as it's completed
} else {
Bid b = bid.createPartial(ask.volume());
it = m_askQueue.erase(it);
createTrade(ask, b);
}
} else {
it = m_askQueue.erase(it);
createTrade(ask, bid);
}
} else {
++it;
}
// if we've completely gone through the bid, there's
// no point in adding it to the orderbook
if (bid.volume() == 0) {
return;
}
}
// if we're still here, we weren't able to fully
// process the bid
auto pos = std::lower_bound(m_bidQueue.begin(), m_bidQueue.end(), bid);
m_bidQueue.insert(pos, bid);
}
void TradingEngine::enterAsk(Ask ask) {
auto &m_bidQueue = m_bidQueues[ask.instrument()];
auto &m_askQueue = m_askQueues[ask.instrument()];
if (m_askQueue.contains(ask)) {
qDebug() << "skipping duplicate ask with id : " << ask.id();
return;
}
auto it = m_bidQueue.begin();
while (it != m_bidQueue.end()) {
Bid bid = *it;
if (bid.price() >= ask.price()) {
if (bid.volume() != ask.volume()) {
if (bid.volume() > ask.volume()) {
Bid b = bid.createPartial(ask.volume());
++it;
createTrade(ask, b);
} else {
Ask a = ask.createPartial(bid.volume());
it = m_bidQueue.erase(it);
createTrade(a, bid);
}
} else {
it = m_bidQueue.erase(it);
createTrade(ask, bid);
}
if (ask.volume() == 0) {
// already been fully processed
return;
}
} else {
++it;
}
}
m_askQueue.insert(std::lower_bound(
m_askQueue.begin(),
m_askQueue.end(),
ask),
ask);
}