core: matching wip

src/ATrade/ESim/Core.hs

@@ -8,8 +8,10 @@ module ATrade.ESim.Core (
   executeMatchingActions
   ) where
 
+import ATrade.Price    (decompose)
 import ATrade.Types
-    (Operation (Buy, Sell), Order (orderId, orderOperation, orderPrice, orderQuantity), OrderId, Price, TickerId)
+    (Operation (Buy, Sell), Order (orderId, orderOperation, orderPrice, orderQuantity), OrderId,
+    OrderPrice (Limit, Market), Price, TickerId)
 import Data.Map.Strict qualified as M
 import Data.Maybe      (fromMaybe)
 import Data.Sequence   (Seq, empty, (|>))
@@ -42,7 +44,35 @@ newtype Exchange
   = Exchange { eLobs :: M.Map TickerId LimitOrderBook }
 
 addToLob :: Order -> LimitOrderBook -> [MatchingAction]
-addToLob order lob = []
+addToLob order lob = fromMaybe [Reject order] (addToLob' order lob)
+  where
+    truncatePrice p = let (i, _) = decompose p in i
+    maybePriceTick price = if (price / lobTickSize lob) * lobTickSize lob == price
+      then Just (PriceTick . fromIntegral . truncatePrice $ price / lobTickSize lob)
+      else Nothing
+    addToLob' order lob = case (orderPrice order, maybeStartPrice) of
+      (Market, Just startPrice)      -> addToLobMarket (orderQuantity order) lob startPrice
+      (Market, Nothing)              -> Nothing
+      (Limit price, Just startPrice) -> maybePriceTick price >>= addToLobLimit (orderQuantity order) lob startPrice
+      (Limit price, Nothing)         -> maybePriceTick price >>= (\priceTick ->
+                                          Just [Enqueue (orderId order) priceTick (Volume . fromIntegral $ orderQuantity order) (orderOperation order)])
+      _                              -> error "Not implemented"
+
+    maybeStartPrice = fst <$> case orderOperation order of
+      Buy  -> M.lookupMin lobPart
+      Sell -> M.lookupMax lobPart
+
+    (lobPart, lookupFun) = if orderOperation order == Buy
+                then (lobOffers lob, M.lookupLE)
+                else (lobBids lob, M.lookupGE)
+
+    addToLobMarket left lob currentPrice = if left == 0
+      then Just []
+      else case lookupFun currentPrice lobPart of
+        Just sq -> undefined
+        Nothing -> undefined
+
+    addToLobLimit left lob currentPrice priceTick = undefined
 
 emptyLob :: TickerId -> Price -> LimitOrderBook
 emptyLob tid tickSize = LimitOrderBook tickSize M.empty M.empty tid M.empty