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backtest: fix order cancel fail when run order cancel on the filled event.

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This commit is contained in:
ankion 2022-03-16 15:01:19 +08:00
parent ed94b8a8d8
commit ccb7fe39fa
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
closedOrders = append(closedOrders, o)
trade := m.newTradeFromOrder(o, false)
m.executeTrade(trade)
trades = append(trades, trade)
m.EmitOrderUpdate(o)
case types.OrderTypeStopLimit:
// should we trigger the order?
if price.Compare(o.StopPrice) <= 0 {
@ -307,13 +300,6 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
trade := m.newTradeFromOrder(o, false)
m.executeTrade(trade)
trades = append(trades, trade)
m.EmitOrderUpdate(o)
} else {
// maker order
askOrders = append(askOrders, o)
@ -324,13 +310,6 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
trade := m.newTradeFromOrder(o, true)
m.executeTrade(trade)
trades = append(trades, trade)
m.EmitOrderUpdate(o)
} else {
askOrders = append(askOrders, o)
}
@ -344,6 +323,15 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
m.askOrders = askOrders
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
}
@ -360,13 +348,6 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
o.Price = sellPrice
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
trade := m.newTradeFromOrder(o, false)
m.executeTrade(trade)
trades = append(trades, trade)
m.EmitOrderUpdate(o)
} else {
bidOrders = append(bidOrders, o)
}
@ -380,13 +361,6 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
trade := m.newTradeFromOrder(o, false)
m.executeTrade(trade)
trades = append(trades, trade)
m.EmitOrderUpdate(o)
} else {
bidOrders = append(bidOrders, o)
}
@ -399,13 +373,6 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
o.ExecutedQuantity = o.Quantity
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
trade := m.newTradeFromOrder(o, true)
m.executeTrade(trade)
trades = append(trades, trade)
m.EmitOrderUpdate(o)
} else {
bidOrders = append(bidOrders, o)
}
@ -418,6 +385,15 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
m.bidOrders = bidOrders
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
}