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Merge pull request #484 from ankion/fix_backtest_orderbook

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Yo-An Lin 2022-03-17 00:50:07 +08:00 committed by GitHub
commit bc0429c0fd
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1 changed files with 18 additions and 42 deletions
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60
pkg/backtest/matching.go
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@ -286,13 +286,6 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
o.Status = types.OrderStatusFilled o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o) closedOrders = append(closedOrders, o)
trade := m.newTradeFromOrder(o, false)
m.executeTrade(trade)
trades = append(trades, trade)
m.EmitOrderUpdate(o)
case types.OrderTypeStopLimit: case types.OrderTypeStopLimit:
// should we trigger the order? // should we trigger the order?
if price.Compare(o.StopPrice) <= 0 { if price.Compare(o.StopPrice) <= 0 {
@ -307,13 +300,6 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
o.ExecutedQuantity = o.Quantity o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o) closedOrders = append(closedOrders, o)
trade := m.newTradeFromOrder(o, false)
m.executeTrade(trade)
trades = append(trades, trade)
m.EmitOrderUpdate(o)
} else { } else {
// maker order // maker order
askOrders = append(askOrders, o) askOrders = append(askOrders, o)
@ -324,13 +310,6 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
o.ExecutedQuantity = o.Quantity o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o) closedOrders = append(closedOrders, o)
trade := m.newTradeFromOrder(o, true)
m.executeTrade(trade)
trades = append(trades, trade)
m.EmitOrderUpdate(o)
} else { } else {
askOrders = append(askOrders, o) askOrders = append(askOrders, o)
} }
@ -344,6 +323,15 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
m.askOrders = askOrders m.askOrders = askOrders
m.LastPrice = price m.LastPrice = price
for _, o := range closedOrders {
trade := m.newTradeFromOrder(o, true)
m.executeTrade(trade)
trades = append(trades, trade)
m.EmitOrderUpdate(o)
}
return closedOrders, trades return closedOrders, trades
} }
@ -360,13 +348,6 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
o.Price = sellPrice o.Price = sellPrice
o.Status = types.OrderStatusFilled o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o) closedOrders = append(closedOrders, o)
trade := m.newTradeFromOrder(o, false)
m.executeTrade(trade)
trades = append(trades, trade)
m.EmitOrderUpdate(o)
} else { } else {
bidOrders = append(bidOrders, o) bidOrders = append(bidOrders, o)
} }
@ -380,13 +361,6 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
o.ExecutedQuantity = o.Quantity o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o) closedOrders = append(closedOrders, o)
trade := m.newTradeFromOrder(o, false)
m.executeTrade(trade)
trades = append(trades, trade)
m.EmitOrderUpdate(o)
} else { } else {
bidOrders = append(bidOrders, o) bidOrders = append(bidOrders, o)
} }
@ -399,13 +373,6 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
o.ExecutedQuantity = o.Quantity o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o) closedOrders = append(closedOrders, o)
trade := m.newTradeFromOrder(o, true)
m.executeTrade(trade)
trades = append(trades, trade)
m.EmitOrderUpdate(o)
} else { } else {
bidOrders = append(bidOrders, o) bidOrders = append(bidOrders, o)
} }
@ -418,6 +385,15 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
m.bidOrders = bidOrders m.bidOrders = bidOrders
m.LastPrice = price m.LastPrice = price
for _, o := range closedOrders {
trade := m.newTradeFromOrder(o, true)
m.executeTrade(trade)
trades = append(trades, trade)
m.EmitOrderUpdate(o)
}
return closedOrders, trades return closedOrders, trades
} }