change price check in matching engine to match if longOrder price >= … #13
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atvanguard
approved these changes
Jan 19, 2023
lumos42
approved these changes
Jan 19, 2023
atvanguard
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Sep 30, 2023
#13) * change price check in matching engine to match if longOrder price >= shortOrder price * more aggresive assertions * Add tests for getUnFilledBaseAssetQuantity * refactor TestGetUnfilledBaseAssetQuantity * refactor RunMatchingEngine in limit_order and add tests Co-authored-by: atvanguard <3612498+atvanguard@users.noreply.github.com>
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Why this should be merged
In Matching engine the condition for matching long and short order was that they should have same price. We want to allow orders to match if longOrder.Price >= shortOrder.Price.
As longOrders are sorted by price from high to low and shortOrders are sorted by price from low to high
If price check conditions fails anytime it does not makes sense to run further iterations, so i also added logic to exit loop in that case.
How this works
Changed the price check from longOrder.Price == shortOrder.Price to longOrder.Price >= shortOrder.Price
also exit loop if condition(longOrder.Price >= shortOrder.Price ) fails.
How this was tested
I have updated unit tests which test this.