orderbook

Documentation

Overview

A simulated order book bid offer matching by bloomberg pricefeed quotes

this is to give our sell side FIX engine simulate a false feel of reality,
so as to support MARKET or LIMIT orders

Index

• Variables
• func Close()
• func DoTrade(order *ems.Order, quantity float64, price float64)
• func RegisterOrder(order *ems.Order)
• func UnRegisterOrder(order *ems.Order)
• type OrderBook
  • func (m *OrderBook) ConstrucOrderBookLinkedList() (*QuoteBand, *QuoteBand)
  • func (m *OrderBook) ProcessOrderBookUpdate(triggerQuote *marketdata.Quote)
• type QuoteBand

Variables

var (
	//Public Variables
	PXMessageBus    *nats.Conn
	OrderUpdateChan chan *ems.Order
)

Functions

func Close

func Close()

func DoTrade

func DoTrade(order *ems.Order, quantity float64, price float64)

func RegisterOrder

func RegisterOrder(order *ems.Order)

func UnRegisterOrder

func UnRegisterOrder(order *ems.Order)

Types

type OrderBook

type OrderBook struct {
	OrdersList map[int32]*ems.Order
	Symbol     string
	Quote      *marketdata.Quote
	Subscriber *nats.Subscription
}

func (*OrderBook) ConstrucOrderBookLinkedList

func (m *OrderBook) ConstrucOrderBookLinkedList() (*QuoteBand, *QuoteBand)

func (*OrderBook) ProcessOrderBookUpdate

func (m *OrderBook) ProcessOrderBookUpdate(triggerQuote *marketdata.Quote)

type QuoteBand

type QuoteBand struct {
	// contains filtered or unexported fields
}