def match_one(self, id):
order = self.services.bus.get_orderbook()[id]
if not isinstance(order.leaves, int): order.leaves = order.size
market = self.services.bus.get_market_data()[order.symbol]
executions = []
if order.side == 1:
limit = 0
while market.has_key("ask-%d" % limit) and order.price >= market[
"ask-%d" % limit]["price"]: #buy order check over ask
# build the execution report for this limit
e = ExecutionReport()
e.price = market["ask-%d" % limit]["price"]
e.size = min(market["ask-%d" % limit]["size"], order.leaves)
e.symbol = order.symbol
e.id = order.id
executions.append(e)
# update the order
order.executed += e.size
order.leaves -= e.size
if order.leaves <= 0:
break
limit += 1
if order.side == -1 and order.price <= market["bid-0"][
"price"]: # sell order check over bid
limit = 0
while market.has_key("bid-%d" % limit) and order.price <= market[
"bid-%d" % limit]["price"]: #buy order check over bid
# build the execution report for this limit
e = ExecutionReport()
e.price = market["bid-%d" % limit]["price"]
e.size = min(market["bid-%d" % limit]["size"], order.leaves)
e.symbol = order.symbol
e.id = order.id
executions.append(e)
# update the order
order.executed += e.size
order.leaves -= e.size
if order.leaves <= 0:
break
limit += 1
if order.leaves <= 0:
del order
if executions:
# push execution in the bus
self.services.bus._last_execution[id] = executions
self.services.events['Execution'].emit(id)
def match_one(self, id):
order = self.services.bus.get_orderbook()[id]
if not isinstance(order.leaves, int): order.leaves = order.size
market = self.services.bus.get_market_data()[order.symbol]
executions = []
if order.side == 1:
limit = 0
while market.has_key("ask-%d" % limit) and order.price >= market["ask-%d" % limit]["price"]: #buy order check over ask
# build the execution report for this limit
e = ExecutionReport()
e.price = market["ask-%d" % limit]["price"]
e.size = min(market["ask-%d" % limit]["size"], order.leaves)
e.symbol = order.symbol
e.id = order.id
executions.append(e)
# update the order
order.executed += e.size
order.leaves -= e.size
if order.leaves <= 0:
break
limit += 1
if order.side == -1 and order.price <= market["bid-0"]["price"]: # sell order check over bid
limit = 0
while market.has_key("bid-%d" % limit) and order.price <= market["bid-%d" % limit]["price"]: #buy order check over bid
# build the execution report for this limit
e = ExecutionReport()
e.price = market["bid-%d" % limit]["price"]
e.size = min(market["bid-%d" % limit]["size"], order.leaves)
e.symbol = order.symbol
e.id = order.id
executions.append(e)
# update the order
order.executed += e.size
order.leaves -= e.size
if order.leaves <= 0:
break
limit += 1
if order.leaves <= 0:
del order
if executions:
# push execution in the bus
self.services.bus._last_execution[id] = executions
self.services.events['Execution'].emit(id)
def match_one(self, id):
order = self.services.bus._new_order
order.leaves = order.size
order.executed = 0
executions = []
if order.side == 1: # buy
if order.symbol not in self.services.bus._private_data_sell.keys():
return
ask = self.services.bus._private_data_sell[order.symbol]
prices = sorted(ask.keys())
i = 0
current_price = prices[i]
while order.leaves > 0 and current_price <= order.price:
for o in ask[current_price]:
e = ExecutionReport()
e.price = current_price
e.size = min(o.leaves, order.leaves)
e.symbol = order.symbol
e.id = order.id
e.parent = order.parent
executions.append(e)
e = ExecutionReport()
e.price = current_price
e.size = min(o.leaves, order.leaves)
e.symbol = order.symbol
e.id = o.id
e.parent = o.parent
o.leaves -= e.size
o.executed += e.size
id = o.id
if o.leaves <= 0:
self.services.logger.debug(
"Order %s fully filled. Removing from market" % o)
del o
self.services.bus._last_execution[id] = []
self.services.bus._last_execution[id].append(e)
self.services.events['Execution'].emit(id)
order.leaves -= e.size
order.executed += e.size
if order.leaves == 0:
self.services.bus._new_order = None
break
i = i + 1
current_price = prices[i]
elif order.side == -1: # buy
if order.symbol not in self.services.bus._private_data_buy.keys():
return
bid = self.services.bus._private_data_buy[order.symbol]
prices = sorted(bid.keys(), reverse=True)
i = 0
current_price = prices[i]
while order.leaves > 0 and current_price >= order.price:
for o in bid[current_price]:
e = ExecutionReport()
e.price = current_price
e.size = min(o.leaves, order.leaves)
e.symbol = order.symbol
e.id = order.id
e.parent = order.parent
executions.append(e)
e = ExecutionReport()
e.price = current_price
e.size = min(o.leaves, order.leaves)
e.symbol = order.symbol
e.id = o.id
e.parent = o.parent
o.leaves -= e.size
o.executed += e.size
id = o.id
if o.leaves <= 0:
self.services.logger.debug(
"Order %s fully filled. Removing from market" % o)
del o
self.services.bus._last_execution[id] = []
self.services.bus._last_execution[id].append(e)
self.services.events['Execution'].emit(id)
order.leaves -= e.size
order.executed += e.size
if order.leaves == 0:
self.services.bus._new_order = None
break
i = i + 1
current_price = prices[i]
if len(executions) > 0:
self.services.bus._last_execution[order.id] = []
self.services.bus._last_execution[order.id].extend(executions)
self.services.events['Execution'].emit(order.id)
if str(order.timeinforce).upper() == 'IOC':
self.services.bus._last_reject[order.id] = order
#self.services.bus._last_reject[order.id].append(order)
self.services.events['Reject'].emit(order.id)
return False