Initial commit

.gitignore

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+.stack-work/
+*~

ChangeLog.md

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+# Changelog for exchange-simulator
+
+## Unreleased changes

LICENSE

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+Copyright Author name here (c) 2021
+
+All rights reserved.
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are met:
+
+    * Redistributions of source code must retain the above copyright
+      notice, this list of conditions and the following disclaimer.
+
+    * Redistributions in binary form must reproduce the above
+      copyright notice, this list of conditions and the following
+      disclaimer in the documentation and/or other materials provided
+      with the distribution.
+
+    * Neither the name of Author name here nor the names of other
+      contributors may be used to endorse or promote products derived
+      from this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+"AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+OWNER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+(INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.

README.md

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+# exchange-simulator

Setup.hs

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+import Distribution.Simple
+main = defaultMain

app/Main.hs

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+module Main where
+
+main :: IO ()
+main = error "Not implemented"

exchange-simulator.cabal

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+cabal-version: 1.12
+
+-- This file has been generated from package.yaml by hpack version 0.34.4.
+--
+-- see: https://github.com/sol/hpack
+
+name:           exchange-simulator
+version:        0.1.0.0
+description:    Please see the README on GitHub at <https://github.com/githubuser/exchange-simulator#readme>
+homepage:       https://github.com/asakul/exchange-simulator#readme
+bug-reports:    https://github.com/asakul/exchange-simulator/issues
+author:         Denis Tereshkin
+maintainer:     denis@kasan.ws
+copyright:      2021 Denis Tereshkin
+license:        BSD3
+license-file:   LICENSE
+build-type:     Simple
+extra-source-files:
+    README.md
+    ChangeLog.md
+
+source-repository head
+  type: git
+  location: https://github.com/asakul/exchange-simulator
+
+library
+  exposed-modules:
+      ATrade.ESim.Core
+  other-modules:
+      Paths_exchange_simulator
+  hs-source-dirs:
+      src
+  default-extensions:
+      OverloadedStrings
+      ImportQualifiedPost
+      FlexibleContexts
+      FlexibleInstances
+      MultiParamTypeClasses
+      RankNTypes
+      LambdaCase
+  build-depends:
+      base >=4.7 && <5
+    , containers
+    , libatrade
+  default-language: Haskell2010
+
+executable exchange-simulator-exe
+  main-is: Main.hs
+  other-modules:
+      Paths_exchange_simulator
+  hs-source-dirs:
+      app
+  default-extensions:
+      OverloadedStrings
+      ImportQualifiedPost
+      FlexibleContexts
+      FlexibleInstances
+      MultiParamTypeClasses
+      RankNTypes
+      LambdaCase
+  ghc-options: -threaded -rtsopts -with-rtsopts=-N
+  build-depends:
+      base >=4.7 && <5
+    , containers
+    , exchange-simulator
+    , libatrade
+  default-language: Haskell2010
+
+test-suite exchange-simulator-test
+  type: exitcode-stdio-1.0
+  main-is: Spec.hs
+  other-modules:
+      TestLOB
+      Paths_exchange_simulator
+  hs-source-dirs:
+      test
+  default-extensions:
+      OverloadedStrings
+      ImportQualifiedPost
+      FlexibleContexts
+      FlexibleInstances
+      MultiParamTypeClasses
+      RankNTypes
+      LambdaCase
+  ghc-options: -threaded -rtsopts -with-rtsopts=-N
+  build-depends:
+      base >=4.7 && <5
+    , containers
+    , exchange-simulator
+    , hedgehog
+    , libatrade
+    , tasty
+    , tasty-hedgehog
+    , tasty-hunit
+    , tasty-quickcheck
+  default-language: Haskell2010

package.yaml

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+name:                exchange-simulator
+version:             0.1.0.0
+github:              "asakul/exchange-simulator"
+license:             BSD3
+author:              "Denis Tereshkin"
+maintainer:          "denis@kasan.ws"
+copyright:           "2021 Denis Tereshkin"
+
+extra-source-files:
+- README.md
+- ChangeLog.md
+
+# Metadata used when publishing your package
+# synopsis:            Short description of your package
+# category:            Web
+
+# To avoid duplicated efforts in documentation and dealing with the
+# complications of embedding Haddock markup inside cabal files, it is
+# common to point users to the README.md file.
+description:         Please see the README on GitHub at <https://github.com/githubuser/exchange-simulator#readme>
+
+dependencies:
+- base >= 4.7 && < 5
+- libatrade
+- containers
+
+library:
+  source-dirs: src
+
+default-extensions:
+- OverloadedStrings
+- ImportQualifiedPost
+- FlexibleContexts
+- FlexibleInstances
+- MultiParamTypeClasses
+- RankNTypes
+- LambdaCase
+
+executables:
+  exchange-simulator-exe:
+    main:                Main.hs
+    source-dirs:         app
+    ghc-options:
+    - -threaded
+    - -rtsopts
+    - -with-rtsopts=-N
+    dependencies:
+    - exchange-simulator
+
+tests:
+  exchange-simulator-test:
+    main:                Spec.hs
+    source-dirs:         test
+    ghc-options:
+    - -threaded
+    - -rtsopts
+    - -with-rtsopts=-N
+    dependencies:
+    - exchange-simulator
+    - tasty
+    - tasty-quickcheck
+    - tasty-hunit
+    - tasty-hedgehog
+    - hedgehog

src/ATrade/ESim/Core.hs

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+module ATrade.ESim.Core (
+  addToLob,
+  LimitOrderBook,
+  PriceTick(..),
+  Volume(..),
+  MatchingAction(..),
+  emptyLob,
+  executeMatchingActions
+  ) where
+
+import ATrade.Types
+    (Operation (Buy, Sell), Order (orderId, orderOperation, orderPrice, orderQuantity), OrderId, Price, TickerId)
+import Data.Map.Strict qualified as M
+import Data.Maybe      (fromMaybe)
+import Data.Sequence   (Seq, empty, (|>))
+
+-- | Represents price in tick size units
+newtype PriceTick
+  = PriceTick { unPriceTick :: Int }
+  deriving (Eq, Ord, Show)
+
+newtype Volume
+  = Volume { unVolume :: Int }
+  deriving (Eq, Ord, Show)
+
+data LimitOrderBook
+  = LimitOrderBook
+      { lobTickSize :: Price
+      , lobBids     :: M.Map PriceTick (Seq (OrderId, Volume)) -- TODO I'll mix them up eventually, need some tags at type-level
+      , lobOffers   :: M.Map PriceTick (Seq (OrderId, Volume))
+      , lobTicker   :: TickerId
+      , lobOrders   :: M.Map OrderId Order
+      }
+
+data MatchingAction
+  = Enqueue OrderId PriceTick Volume Operation
+  | Match OrderId OrderId Operation PriceTick Volume
+  | Reject Order
+  deriving (Eq, Show)
+
+newtype Exchange
+  = Exchange { eLobs :: M.Map TickerId LimitOrderBook }
+
+addToLob :: Order -> LimitOrderBook -> [MatchingAction]
+addToLob order lob = []
+
+emptyLob :: TickerId -> Price -> LimitOrderBook
+emptyLob tid tickSize = LimitOrderBook tickSize M.empty M.empty tid M.empty
+
+executeMatchingActions :: LimitOrderBook -> [MatchingAction] -> LimitOrderBook
+executeMatchingActions = foldl applyAction
+  where
+    applyAction lob (Enqueue oid pricetick vol op) =
+      if op == Buy
+        then lob { lobBids = addOrder oid pricetick vol (lobBids lob) }
+        else lob { lobOffers = addOrder oid pricetick vol (lobOffers lob) }
+
+    applyAction lob (Match subject object objectOperation pricetick vol) = error "Not implemented"
+    applyAction lob (Reject order) = error "Not implemented"
+
+    addOrder oid pricetick vol = M.alter (\x -> Just (fromMaybe empty x |> (oid, vol)) ) pricetick

stack.yaml

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+# This file was automatically generated by 'stack init'
+#
+# Some commonly used options have been documented as comments in this file.
+# For advanced use and comprehensive documentation of the format, please see:
+# https://docs.haskellstack.org/en/stable/yaml_configuration/
+
+# Resolver to choose a 'specific' stackage snapshot or a compiler version.
+# A snapshot resolver dictates the compiler version and the set of packages
+# to be used for project dependencies. For example:
+#
+# resolver: lts-3.5
+# resolver: nightly-2015-09-21
+# resolver: ghc-7.10.2
+#
+# The location of a snapshot can be provided as a file or url. Stack assumes
+# a snapshot provided as a file might change, whereas a url resource does not.
+#
+# resolver: ./custom-snapshot.yaml
+# resolver: https://example.com/snapshots/2018-01-01.yaml
+resolver:
+  url: https://raw.githubusercontent.com/commercialhaskell/stackage-snapshots/master/lts/18/18.yaml
+
+# User packages to be built.
+# Various formats can be used as shown in the example below.
+#
+# packages:
+# - some-directory
+# - https://example.com/foo/bar/baz-0.0.2.tar.gz
+#   subdirs:
+#   - auto-update
+#   - wai
+packages:
+- .
+- ../zeromq4-haskell-zap
+- ../libatrade
+
+# Dependency packages to be pulled from upstream that are not in the resolver.
+# These entries can reference officially published versions as well as
+# forks / in-progress versions pinned to a git hash. For example:
+#
+# extra-deps:
+# - acme-missiles-0.3
+# - git: https://github.com/commercialhaskell/stack.git
+#   commit: e7b331f14bcffb8367cd58fbfc8b40ec7642100a
+#
+extra-deps:
+- co-log-0.4.0.1@sha256:3d4c17f37693c80d1aa2c41669bc3438fac3e89dc5f479e57d79bc3ddc4dfcc5,5087
+- datetime-0.3.1@sha256:7e275bd0ce7a2f66445bedfa0006abaf4d41af4c2204c3f8004c17eab5480e74,1534
+- ansi-terminal-0.10.3@sha256:e2fbcef5f980dc234c7ad8e2fa433b0e8109132c9e643bc40ea5608cd5697797,3226
+
+
+# Override default flag values for local packages and extra-deps
+# flags: {}
+
+# Extra package databases containing global packages
+# extra-package-dbs: []
+
+# Control whether we use the GHC we find on the path
+# system-ghc: true
+#
+# Require a specific version of stack, using version ranges
+# require-stack-version: -any # Default
+# require-stack-version: ">=2.7"
+#
+# Override the architecture used by stack, especially useful on Windows
+# arch: i386
+# arch: x86_64
+#
+# Extra directories used by stack for building
+# extra-include-dirs: [/path/to/dir]
+# extra-lib-dirs: [/path/to/dir]
+#
+# Allow a newer minor version of GHC than the snapshot specifies
+# compiler-check: newer-minor

stack.yaml.lock

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+# This file was autogenerated by Stack.
+# You should not edit this file by hand.
+# For more information, please see the documentation at:
+#   https://docs.haskellstack.org/en/stable/lock_files
+
+packages:
+- completed:
+    hackage: co-log-0.4.0.1@sha256:3d4c17f37693c80d1aa2c41669bc3438fac3e89dc5f479e57d79bc3ddc4dfcc5,5087
+    pantry-tree:
+      size: 1126
+      sha256: e73165ff8f744709428e2e87984c9d60ca1cec43d8455c413181c7c466e7497c
+  original:
+    hackage: co-log-0.4.0.1@sha256:3d4c17f37693c80d1aa2c41669bc3438fac3e89dc5f479e57d79bc3ddc4dfcc5,5087
+- completed:
+    hackage: datetime-0.3.1@sha256:7e275bd0ce7a2f66445bedfa0006abaf4d41af4c2204c3f8004c17eab5480e74,1534
+    pantry-tree:
+      size: 334
+      sha256: d41d182c143676464cb1774f0b7777e870ddeaf8b6cd5fee6ff0114997a1f504
+  original:
+    hackage: datetime-0.3.1@sha256:7e275bd0ce7a2f66445bedfa0006abaf4d41af4c2204c3f8004c17eab5480e74,1534
+- completed:
+    hackage: ansi-terminal-0.10.3@sha256:e2fbcef5f980dc234c7ad8e2fa433b0e8109132c9e643bc40ea5608cd5697797,3226
+    pantry-tree:
+      size: 1461
+      sha256: 02f05d52be3ffcf36c78876629cbab80b63420672685371aea4fd10e1c4aabb6
+  original:
+    hackage: ansi-terminal-0.10.3@sha256:e2fbcef5f980dc234c7ad8e2fa433b0e8109132c9e643bc40ea5608cd5697797,3226
+snapshots:
+- completed:
+    size: 586296
+    url: https://raw.githubusercontent.com/commercialhaskell/stackage-snapshots/master/lts/18/18.yaml
+    sha256: 63539429076b7ebbab6daa7656cfb079393bf644971156dc349d7c0453694ac2
+  original:
+    url: https://raw.githubusercontent.com/commercialhaskell/stackage-snapshots/master/lts/18/18.yaml

test/Spec.hs

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+
+import Test.Tasty
+
+import TestLOB qualified
+
+main = defaultMain tests
+
+tests = testGroup "ESim tests"
+  [
+    TestLOB.tests
+  ]

test/TestLOB.hs

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+
+module TestLOB
+  (
+    tests
+  ) where
+
+import ATrade.ESim.Core
+    (MatchingAction (..), PriceTick (PriceTick), Volume (..), addToLob, emptyLob, executeMatchingActions)
+import ATrade.Types        (Operation (..), Order (..), OrderPrice (..), OrderState (..), Price, SignalId (..))
+import Hedgehog
+import Hedgehog.Gen        qualified as Gen
+import Hedgehog.Range      qualified as Range
+import Test.Tasty
+import Test.Tasty.Hedgehog
+
+tests :: TestTree
+tests  = testGroup "LimitOrderBook"
+  [
+    testProperty "add to empty LOB => enqueues order" prop_add_to_empty_lob,
+    testProperty "full match" prop_full_match
+  ]
+
+prop_add_to_empty_lob :: Property
+prop_add_to_empty_lob = property $ do
+  priceTick <- forAll $ Gen.integral (Range.linear 1 100000)
+  order <- forAll $
+    Order <$> Gen.integral (Range.linear 1 100000)
+          <*> Gen.text (Range.linear 1 50) Gen.unicode
+          <*> Gen.text (Range.linear 1 50) Gen.unicode
+          <*> pure (Limit $ fromInteger priceTick * tickSize)
+          <*> Gen.integral (Range.linear 1 10000)
+          <*> pure 0
+          <*> pure Buy
+          <*> pure Unsubmitted
+          <*> pure (SignalId "test" "foo" "")
+  addToLob order lob === [Enqueue (orderId order) (PriceTick . fromInteger $ priceTick) (Volume . fromIntegral $ orderQuantity order) (orderOperation order)]
+  where
+    lob = emptyLob "Test" tickSize
+    tickSize :: Price
+    tickSize = 0.1
+
+prop_full_match :: Property
+prop_full_match = property $ do
+  priceTick <- forAll $ Gen.integral (Range.linear 1 100000)
+  order <- forAll $
+    Order <$> Gen.integral (Range.linear 1 100000)
+            <*> Gen.text (Range.linear 1 50) Gen.unicode
+            <*> Gen.text (Range.linear 1 50) Gen.unicode
+            <*> pure Market
+            <*> Gen.integral (Range.linear 1 10000)
+            <*> pure 0
+            <*> pure Buy
+            <*> pure Unsubmitted
+            <*> pure (SignalId "test" "foo" "")
+  addToLob order (lob order priceTick) === [Match 1 (orderId order) Sell (PriceTick priceTick) (Volume . fromIntegral $ orderQuantity order)]
+  where
+    lob order priceTick = executeMatchingActions lob0 [Enqueue 1 (PriceTick priceTick) (Volume . fromIntegral $ orderQuantity order) Sell]
+    lob0 = emptyLob "Test" tickSize
+    tickSize = 0.1