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Merge pull request #484 from ankion/fix_backtest_orderbook
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bc0429c0fd
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@ -286,13 +286,6 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
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o.Status = types.OrderStatusFilled
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, false)
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m.executeTrade(trade)
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trades = append(trades, trade)
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m.EmitOrderUpdate(o)
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case types.OrderTypeStopLimit:
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case types.OrderTypeStopLimit:
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// should we trigger the order?
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// should we trigger the order?
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if price.Compare(o.StopPrice) <= 0 {
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if price.Compare(o.StopPrice) <= 0 {
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@ -307,13 +300,6 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
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o.ExecutedQuantity = o.Quantity
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, false)
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m.executeTrade(trade)
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trades = append(trades, trade)
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m.EmitOrderUpdate(o)
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} else {
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} else {
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// maker order
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// maker order
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askOrders = append(askOrders, o)
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askOrders = append(askOrders, o)
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@ -324,13 +310,6 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
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o.ExecutedQuantity = o.Quantity
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, true)
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m.executeTrade(trade)
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trades = append(trades, trade)
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m.EmitOrderUpdate(o)
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} else {
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} else {
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askOrders = append(askOrders, o)
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askOrders = append(askOrders, o)
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}
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}
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@ -344,6 +323,15 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
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m.askOrders = askOrders
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m.askOrders = askOrders
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m.LastPrice = price
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m.LastPrice = price
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for _, o := range closedOrders {
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trade := m.newTradeFromOrder(o, true)
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m.executeTrade(trade)
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trades = append(trades, trade)
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m.EmitOrderUpdate(o)
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}
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return closedOrders, trades
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return closedOrders, trades
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}
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}
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@ -360,13 +348,6 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
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o.Price = sellPrice
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o.Price = sellPrice
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o.Status = types.OrderStatusFilled
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, false)
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m.executeTrade(trade)
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trades = append(trades, trade)
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m.EmitOrderUpdate(o)
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} else {
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} else {
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bidOrders = append(bidOrders, o)
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bidOrders = append(bidOrders, o)
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}
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}
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@ -380,13 +361,6 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
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o.ExecutedQuantity = o.Quantity
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, false)
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m.executeTrade(trade)
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trades = append(trades, trade)
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m.EmitOrderUpdate(o)
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} else {
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} else {
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bidOrders = append(bidOrders, o)
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bidOrders = append(bidOrders, o)
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}
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}
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@ -399,13 +373,6 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
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o.ExecutedQuantity = o.Quantity
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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closedOrders = append(closedOrders, o)
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trade := m.newTradeFromOrder(o, true)
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m.executeTrade(trade)
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trades = append(trades, trade)
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m.EmitOrderUpdate(o)
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} else {
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} else {
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bidOrders = append(bidOrders, o)
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bidOrders = append(bidOrders, o)
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}
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}
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@ -418,6 +385,15 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
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m.bidOrders = bidOrders
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m.bidOrders = bidOrders
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m.LastPrice = price
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m.LastPrice = price
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for _, o := range closedOrders {
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trade := m.newTradeFromOrder(o, true)
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m.executeTrade(trade)
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trades = append(trades, trade)
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m.EmitOrderUpdate(o)
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}
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return closedOrders, trades
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return closedOrders, trades
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}
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}
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