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refactor simple price matching

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This commit is contained in:
c9s 2020-11-09 03:17:02 +08:00
parent 5cc9506960
commit ded89e099f
2 changed files with 38 additions and 29 deletions
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57
pkg/backtest/matching.go
View File

@ -237,14 +237,43 @@ func (m *SimplePriceMatching) newTradeFromOrder(order types.Order, isMaker bool)
func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders []types.Order, trades []types.Trade) {
var priceF = price.Float64()
var askOrders []types.Order
for _, o := range m.askOrders {
switch o.Type {
case types.OrderTypeStopMarket:
// should we trigger the order
if priceF >= o.StopPrice {
if priceF <= o.StopPrice {
// not triggering it, put it back
askOrders = append(askOrders, o)
break
}
o.Type = types.OrderTypeMarket
o.ExecutedQuantity = o.Quantity
o.Price = priceF
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 priceF <= o.StopPrice {
askOrders = append(askOrders, o)
break
}
o.Type = types.OrderTypeLimit
// is it a taker order?
if priceF >= o.Price {
o.ExecutedQuantity = o.Quantity
o.Price = priceF
o.Status = types.OrderStatusFilled
closedOrders = append(closedOrders, o)
@ -255,29 +284,7 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
m.EmitOrderUpdate(o)
} else {
askOrders = append(askOrders, o)
}
case types.OrderTypeStopLimit:
// should we trigger the order
if priceF >= o.StopPrice {
o.Type = types.OrderTypeLimit
if priceF >= o.Price {
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 {
askOrders = append(askOrders, o)
}
} else {
// maker order
askOrders = append(askOrders, o)
}

10
pkg/backtest/matching_test.go
View File

@ -21,10 +21,12 @@ func newLimitOrder(symbol string, side types.SideType, price, quantity float64)
}
}
func TestSimplePriceMatching(t *testing.T) {
account := types.NewAccount()
account.MakerCommission = 15
account.TakerCommission = 15
func TestSimplePriceMatching_LimitOrder(t *testing.T) {
account := &types.Account{
MakerCommission: 15,
TakerCommission: 15,
}
account.UpdateBalances(types.BalanceMap{
"USDT": {Currency: "USDT", Available: 1000000.0},
"BTC": {Currency: "BTC", Available: 100.0},