com.paritytrading.parity.book.Market Maven / Gradle / Ivy

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package com.paritytrading.parity.book;

import it.unimi.dsi.fastutil.longs.Long2ObjectOpenHashMap;

/**
 * A market.
 */
public class Market {

    private Long2ObjectOpenHashMap books;

    private Long2ObjectOpenHashMap orders;

    private MarketListener listener;

    /**
     * Create a market.
     *
     * @param listener a listener for outbound events from the market
     */
    public Market(MarketListener listener) {
        this.books  = new Long2ObjectOpenHashMap<>();
        this.orders = new Long2ObjectOpenHashMap<>();

        this.listener = listener;
    }

    /**
     * Open an order book.
     *
     * If the order book for the instrument is already open, do nothing.
     *
     * @param instrument an instrument
     * @return the order book
     */
    public OrderBook open(long instrument) {
        OrderBook book = books.get(instrument);
        if (book != null)
            return book;

        book = new OrderBook(instrument);

        books.put(instrument, book);

        return book;
    }

    /**
     * Find an order.
     *
     * @param orderId the order identifier
     * @return the order or null if the order identifier is unknown
     */
    public Order find(long orderId) {
        return orders.get(orderId);
    }

    /**
     * Add an order to an order book.
     *
     * An update event is triggered.
     *
     * If the order book for the instrument is closed or the order
     * identifier is known, do nothing.
     *
     * @param instrument the instrument
     * @param orderId the order identifier
     * @param side the side
     * @param price the price
     * @param size the size
     */
    public void add(long instrument, long orderId, Side side, long price, long size) {
        if (orders.containsKey(orderId))
            return;

        OrderBook book = books.get(instrument);
        if (book == null)
            return;

        Order order = new Order(book, side, price, size);

        boolean bbo = book.add(side, price, size);

        orders.put(orderId, order);

        listener.update(book, bbo);
    }

    /**
     * Modify an order in an order book. The order will retain its time
     * priority. If the new size is zero, the order is deleted from the
     * order book.
     *
     * An update event is triggered.
     *
     * If the order identifier is unknown, do nothing.
     *
     * @param orderId the order identifier
     * @param size the new size
     */
    public void modify(long orderId, long size) {
        Order order = orders.get(orderId);
        if (order == null)
            return;

        OrderBook book = order.getOrderBook();

        long newSize = Math.max(0, size);

        boolean bbo = book.update(order.getSide(), order.getPrice(),
                newSize - order.getRemainingQuantity());

        if (newSize == 0)
            orders.remove(orderId);
        else
            order.setRemainingQuantity(newSize);

        listener.update(book, bbo);
    }

    /**
     * Execute a quantity of an order in an order book. If the remaining
     * quantity reaches zero, the order is deleted from the order book.
     *
     * A Trade event and an update event are triggered.
     *
     * If the order identifier is unknown, do nothing.
     *
     * @param orderId the order identifier
     * @param quantity the executed quantity
     * @return the remaining quantity
     */
    public long execute(long orderId, long quantity) {
        Order order = orders.get(orderId);
        if (order == null)
            return 0;

        return execute(orderId, order, quantity, order.getPrice());
    }

    /**
     * Execute a quantity of an order in an order book. If the remaining
     * quantity reaches zero, the order is deleted from the order book.
     *
     * A Trade event and an update event are triggered.
     *
     * If the order identifier is unknown, do nothing.
     *
     * @param orderId the order identifier
     * @param quantity the executed quantity
     * @param price the execution price
     * @return the remaining quantity
     */
    public long execute(long orderId, long quantity, long price) {
        Order order = orders.get(orderId);
        if (order == null)
            return 0;

        return execute(orderId, order, quantity, price);
    }

    private long execute(long orderId, Order order, long quantity, long price) {
        OrderBook book = order.getOrderBook();

        Side side = order.getSide();

        long remainingQuantity = order.getRemainingQuantity();

        long executedQuantity = Math.min(quantity, remainingQuantity);

        listener.trade(book, side, price, executedQuantity);

        book.update(side, order.getPrice(), -executedQuantity);

        if (executedQuantity == remainingQuantity)
            orders.remove(orderId);
        else
            order.reduce(executedQuantity);

        listener.update(book, true);

        return remainingQuantity - executedQuantity;
    }

    /**
     * Cancel a quantity of an order in an order book. If the remaining
     * quantity reaches zero, the order is deleted from the order book.
     *
     * An update event is triggered if the top of the book changes.
     *
     * If the order identifier is unknown, do nothing.
     *
     * @param orderId the order identifier
     * @param quantity the canceled quantity
     * @return the remaining quantity
     */
    public long cancel(long orderId, long quantity) {
        Order order = orders.get(orderId);
        if (order == null)
            return 0;

        OrderBook book = order.getOrderBook();

        long remainingQuantity = order.getRemainingQuantity();

        long canceledQuantity = Math.min(quantity, remainingQuantity);

        boolean bbo = book.update(order.getSide(), order.getPrice(), -canceledQuantity);

        if (canceledQuantity == remainingQuantity)
            orders.remove(orderId);
        else
            order.reduce(canceledQuantity);

        listener.update(book, bbo);

        return remainingQuantity - canceledQuantity;
    }

    /**
     * Delete an order from an order book.
     *
     * An update event is triggered if the top of the book changes.
     *
     * If the order identifier is unknown, do nothing.
     *
     * @param orderId the order identifier
     */
    public void delete(long orderId) {
        Order order = orders.get(orderId);
        if (order == null)
            return;

        OrderBook book = order.getOrderBook();

        boolean bbo = book.update(order.getSide(), order.getPrice(), -order.getRemainingQuantity());

        orders.remove(orderId);

        listener.update(book, bbo);
    }

}