func DoTrade(order *ems.Order, quantity float64, price float64) {
log.Println(fmt.Sprintf("fill %v: %v @ %v", order.OrderId, quantity, price))
er.NewTradeExecution(order, quantity, price, "")
if orac.IsCompleted(order) {
UnRegisterOrder(order)
OrderUpdateChan <- order
}
}
func (m *OrderBook) ProcessOrderBookUpdate(triggerQuote *marketdata.Quote) {
bidQuotes, askQuotes := m.ConstrucOrderBookLinkedList()
for _, order := range m.OrdersList {
if orac.IsCompleted(order) {
continue
}
var quotebands *QuoteBand
if order.Side == ems.Side_BUY {
quotebands = askQuotes
} else {
quotebands = bidQuotes
}
if quotebands == nil {
continue
}
if order.OrderType == ems.OrderType_MARKET {
for quotebands != nil && order.Quantity > order.FilledQuantity {
fillQty := math.Min(quotebands.quantity, (order.Quantity - order.FilledQuantity))
DoTrade(order, fillQty, quotebands.price)
quotebands.quantity -= fillQty
if quotebands.quantity == 0 {
quotebands = quotebands.next
}
}
}
if triggerQuote.LastPrice == nil {
continue
}
if order.OrderType == ems.OrderType_LIMIT {
for quotebands != nil && order.Quantity > order.FilledQuantity {
if order.Side == ems.Side_BUY {
if order.LimitPrice < quotebands.price {
break
}
} else {
if order.LimitPrice > quotebands.price {
break
}
}
fillQty := math.Min(quotebands.quantity, (order.Quantity - order.FilledQuantity))
DoTrade(order, fillQty, quotebands.price)
quotebands.quantity -= fillQty
if quotebands.quantity == 0 {
quotebands = quotebands.next
}
}
}
}
}