Merge pull request #60 from ArjunVachhani/better-types

refactored types
ArjunVachhani · Jun 30, 2023 · 53b4685 · 53b4685
2 parents fdbdf11 + ce8dbe6
commit 53b4685
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Showing 8 changed files with 59 additions and 11 deletions.
diff --git a/OrderMatcher/OrderMatcher.Performance/MatchingEngineBenchmark.cs b/OrderMatcher/OrderMatcher.Performance/MatchingEngineBenchmark.cs
@@ -5,10 +5,12 @@
 [MinColumn, MaxColumn, MeanColumn, MedianColumn, AllStatisticsColumn]
 public class MatchingEngineBenchmark
 {
+    private readonly static Quantity stepSize = new Quantity(0.00000001m);
+
     [Benchmark]
     public void CreateMatchingEngine()
     {
-        MatchingEngine engine = new MatchingEngine(null, null, 0.00000001m, 8);
+        MatchingEngine engine = new MatchingEngine(null, null, stepSize, 8);
     }
 
     [Benchmark]
@@ -36,7 +38,7 @@ public void CreateOrder()
     [Benchmark]
     public void AddOrder()
     {
-        MatchingEngine engine = new MatchingEngine(null, null, 0.00000001m, 8);
+        MatchingEngine engine = new MatchingEngine(null, null, stepSize, 8);
         Order order = new Order()
         {
             CancelOn = 0,
@@ -63,7 +65,7 @@ public void AddOrder()
     [Benchmark]
     public void AddAndCancelOrder()
     {
-        MatchingEngine engine = new MatchingEngine(null, null, 0.00000001m, 8);
+        MatchingEngine engine = new MatchingEngine(null, null, stepSize, 8);
         Order order = new Order()
         {
             CancelOn = 0,
@@ -95,7 +97,7 @@ public void AddAndCancelOrder()
     [Benchmark]
     public void TenAddOrder()
     {
-        MatchingEngine engine = new MatchingEngine(new FakeTradeListener(), new FakeFeeProvider(), 0.00000001m, 8);
+        MatchingEngine engine = new MatchingEngine(new FakeTradeListener(), new FakeFeeProvider(), stepSize, 8);
         for (var i = 0; i < 10; i++)
         {
             Order order = new Order()
@@ -124,7 +126,7 @@ public void TenAddOrder()
     [Benchmark]
     public void TenAddAndCancel()
     {
-        MatchingEngine engine = new MatchingEngine(new FakeTradeListener(), new FakeFeeProvider(), 0.00000001m, 8);
+        MatchingEngine engine = new MatchingEngine(new FakeTradeListener(), new FakeFeeProvider(), stepSize, 8);
         for (var i = 1; i <= 10; i++)
         {
             Order order = new Order()

diff --git a/OrderMatcher/OrderMatcher.Types/Amount.cs b/OrderMatcher/OrderMatcher.Types/Amount.cs
@@ -47,6 +47,36 @@ public override int GetHashCode()
         return 92834 + _amount.GetHashCode();
     }
 
+    public static Amount operator -(Amount left, Amount right)
+    {
+        return new Amount(left._amount - right._amount);
+    }
+
+    public static Amount operator +(Amount left, Amount right)
+    {
+        return new Amount(left._amount + right._amount);
+    }
+
+    public static Quantity operator /(Amount amount, Price price)
+    {
+        return new Quantity(amount._amount / price.GetPrice());
+    }
+
+    public static Amount operator /(Amount amount, int d)
+    {
+        return new Amount(amount._amount / d);
+    }
+
+    public static Amount operator *(Amount amount, decimal d)
+    {
+        return new Amount(amount._amount * d);
+    }
+
+    public Amount Round(int decimalPlaces)
+    {
+        return Math.Round(_amount, decimalPlaces);
+    }
+
     public static bool operator <(Amount left, Amount right)
     {
         return left._amount < right._amount;

diff --git a/OrderMatcher/OrderMatcher.Types/Price.cs b/OrderMatcher/OrderMatcher.Types/Price.cs
@@ -25,6 +25,12 @@ public Price(decimal price)
         return c._price;
     }
 
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    internal decimal GetPrice()
+    {
+        return _price;
+    }
+
     [MethodImpl(MethodImplOptions.AggressiveInlining)]
     public static bool operator >(Price a, Price b)
     {

diff --git a/OrderMatcher/OrderMatcher.Types/Quantity.cs b/OrderMatcher/OrderMatcher.Types/Quantity.cs
@@ -11,6 +11,11 @@ public Quantity(decimal quantity)
         _quantity = quantity;
     }
 
+    public static Amount operator *(Quantity q, Price p)
+    {
+        return new Amount(q._quantity * p.GetPrice());
+    }
+
     public static Quantity operator -(Quantity a, Quantity b)
     {
         return a._quantity - b._quantity;
@@ -21,6 +26,11 @@ public Quantity(decimal quantity)
         return a._quantity + b._quantity;
     }
 
+    public static Quantity operator %(Quantity a, Quantity b)
+    {
+        return a._quantity % b._quantity;
+    }
+
     public static implicit operator Quantity(decimal quantity)
     {
         return new Quantity(quantity);

diff --git a/OrderMatcher/OrderMatcher.Types/Serializers/DecrementQuantitySerializer.cs b/OrderMatcher/OrderMatcher.Types/Serializers/DecrementQuantitySerializer.cs
@@ -46,7 +46,7 @@ public static void Serialize(OrderId orderId, UserId userId, Quantity quantityTo
         Write(bytes.Slice(versionOffset), version);
         Write(bytes.Slice(orderIdOffset), orderId);
         Write(bytes.Slice(userIdOffset), userId);
-        Write(bytes.Slice(quantityToDecrementOffset), quantityToDecrement);
+        quantityToDecrement.WriteBytes(bytes.Slice(quantityToDecrementOffset));
         Write(bytes.Slice(messageSequenceOffset), messageSequence);
     }
 

diff --git a/OrderMatcher/OrderMatcher/Book.cs b/OrderMatcher/OrderMatcher/Book.cs
@@ -139,7 +139,7 @@ internal bool CheckCanFillOrder(bool isBuy, Quantity requestedQuantity, Price li
         return side.CheckCanBeFilled(requestedQuantity, limitPrice);
     }
 
-    internal bool CheckCanFillMarketOrderAmount(bool isBuy, Quantity orderAmount)
+    internal bool CheckCanFillMarketOrderAmount(bool isBuy, Amount orderAmount)
     {
         var side = isBuy ? _asks : _bids;
         return side.CheckMarketOrderAmountCanBeFilled(orderAmount);

diff --git a/OrderMatcher/OrderMatcher/MatchingEngine.cs b/OrderMatcher/OrderMatcher/MatchingEngine.cs
@@ -379,13 +379,13 @@ static void CancelIncomingOrder(Order incomingOrder, ITradeListener? tradeListen
                     throw new OrderMatcherException(Constant.NOT_EXPECTED);
                 }
 
-                var cost = Math.Round(maxQuantity * matchPrice, _quoteCurrencyDecimalPlaces);
+                var cost = (maxQuantity * matchPrice).Round(_quoteCurrencyDecimalPlaces);
                 restingOrder.Cost += cost;
                 incomingOrder.Cost += cost;
                 var incomingFee = _feeProvider.GetFee(incomingOrder.FeeId);
                 var restingFee = _feeProvider.GetFee(restingOrder.FeeId);
-                restingOrder.Fee += Math.Round((cost * restingFee.MakerFee) / 100, _quoteCurrencyDecimalPlaces);
-                incomingOrder.Fee += Math.Round((cost * incomingFee.TakerFee) / 100, _quoteCurrencyDecimalPlaces);
+                restingOrder.Fee += ((cost * restingFee.MakerFee) / 100).Round(_quoteCurrencyDecimalPlaces);
+                incomingOrder.Fee += ((cost * incomingFee.TakerFee) / 100).Round(_quoteCurrencyDecimalPlaces);
                 bool orderFilled = _book.FillOrder(restingOrder, maxQuantity);
                 bool isRestingTipAdded = false;
                 if (orderFilled && restingOrder.IsTip)

diff --git a/OrderMatcher/OrderMatcher/Side.cs b/OrderMatcher/OrderMatcher/Side.cs
@@ -102,7 +102,7 @@ public bool CheckCanBeFilled(Quantity requestedQuantity, Price limitPrice)
         return false;
     }
 
-    public bool CheckMarketOrderAmountCanBeFilled(Quantity orderAmount)
+    public bool CheckMarketOrderAmountCanBeFilled(Amount orderAmount)
     {
         Amount cummulativeOrderAmount = 0;
         foreach (var priceLevel in _priceLevels)