78 lines
2.1 KiB
Go
78 lines
2.1 KiB
Go
package backtest
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import (
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"sort"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/fixedpoint"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
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)
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type PriceOrder struct {
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Price fixedpoint.Value
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Order types.Order
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}
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type PriceOrderSlice []PriceOrder
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func (slice PriceOrderSlice) Len() int { return len(slice) }
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func (slice PriceOrderSlice) Less(i, j int) bool { return slice[i].Price.Compare(slice[j].Price) < 0 }
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func (slice PriceOrderSlice) Swap(i, j int) { slice[i], slice[j] = slice[j], slice[i] }
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func (slice PriceOrderSlice) InsertAt(idx int, po PriceOrder) PriceOrderSlice {
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rear := append([]PriceOrder{}, slice[idx:]...)
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newSlice := append(slice[:idx], po)
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return append(newSlice, rear...)
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}
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func (slice PriceOrderSlice) Remove(price fixedpoint.Value, descending bool) PriceOrderSlice {
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matched, idx := slice.Find(price, descending)
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if matched.Price != price {
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return slice
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}
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return append(slice[:idx], slice[idx+1:]...)
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}
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func (slice PriceOrderSlice) First() (PriceOrder, bool) {
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if len(slice) > 0 {
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return slice[0], true
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}
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return PriceOrder{}, false
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}
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// FindPriceVolumePair finds the pair by the given price, this function is a read-only
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// operation, so we use the value receiver to avoid copy value from the pointer
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// If the price is not found, it will return the index where the price can be inserted at.
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// true for descending (bid orders), false for ascending (ask orders)
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func (slice PriceOrderSlice) Find(price fixedpoint.Value, descending bool) (pv PriceOrder, idx int) {
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idx = sort.Search(len(slice), func(i int) bool {
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if descending {
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return slice[i].Price.Compare(price) <= 0
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}
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return slice[i].Price.Compare(price) >= 0
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})
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if idx >= len(slice) || slice[idx].Price != price {
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return pv, idx
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}
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pv = slice[idx]
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return pv, idx
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}
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func (slice PriceOrderSlice) Upsert(po PriceOrder, descending bool) PriceOrderSlice {
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if len(slice) == 0 {
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return append(slice, po)
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}
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price := po.Price
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_, idx := slice.Find(price, descending)
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if idx >= len(slice) || slice[idx].Price != price {
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return slice.InsertAt(idx, po)
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}
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slice[idx].Order = po.Order
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return slice
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}
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