/
matching-engine.service.ts
147 lines (114 loc) · 4.69 KB
/
matching-engine.service.ts
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import {
ActionResultEvent,
AskPriceStrategy,
DirectBuy,
MatchingEngine,
OrderCreationTimePickStrategy,
Trade,
TradeExecutedEvent
} from '@energyweb/exchange-core';
import { Injectable, Logger, OnModuleInit } from '@nestjs/common';
import { ConfigService } from '@nestjs/config';
import { ModuleRef } from '@nestjs/core';
import { EventBus } from '@nestjs/cqrs';
import { Interval } from '@nestjs/schedule';
import { List } from 'immutable';
import { IOrderMapperService } from '../../interfaces/IOrderMapperService';
import { OrderType } from '../order/order-type.enum';
import { Order } from '../order/order.entity';
import { OrderService } from '../order/order.service';
import { BulkTradeExecutedEvent } from './bulk-trade-executed.event';
@Injectable()
export class MatchingEngineService<TProduct, TProductFilter> implements OnModuleInit {
private initialized = false;
private readonly logger = new Logger(MatchingEngineService.name);
private matchingEngine: MatchingEngine<TProduct, TProductFilter>;
private orderMapperService: IOrderMapperService<TProduct, TProductFilter>;
constructor(
private readonly orderService: OrderService<TProduct>,
private readonly eventBus: EventBus,
private readonly config: ConfigService,
private readonly moduleRef: ModuleRef
) {}
public async onModuleInit(): Promise<void> {
this.orderMapperService = this.moduleRef.get<IOrderMapperService<TProduct, TProductFilter>>(
IOrderMapperService,
{
strict: false
}
);
const priceStrategyIndex = this.config.get<number>('EXCHANGE_PRICE_STRATEGY');
const priceStrategy =
priceStrategyIndex === 0 ? new AskPriceStrategy() : new OrderCreationTimePickStrategy();
if (priceStrategy === undefined) {
throw new Error('EXCHANGE_PRICE_STRATEGY is not set');
}
this.logger.log(
`Initializing matching engine with ${priceStrategy.constructor.name} strategy`
);
this.matchingEngine = new MatchingEngine(priceStrategy);
await this.initTrades();
this.matchingEngine.trades.subscribe(async (trades) => this.onTradeExecutedEvent(trades));
this.matchingEngine.actionResults.subscribe(async (actionResultEvents) =>
this.onActionResultEvent(actionResultEvents)
);
this.initialized = true;
}
public async submit(order: Order) {
this.logger.log(`Submitting order ${order.id}`);
if (order.type === OrderType.Limit) {
const mappedOrder = await this.orderMapperService.map(order);
this.matchingEngine.submitOrder(mappedOrder);
} else if (order.type === OrderType.Direct) {
this.matchingEngine.submitDirectBuy(this.toDirectBuy(order));
}
}
public query(productFilter: TProductFilter) {
return this.matchingEngine.orderBookByProduct(productFilter);
}
public cancel(orderId: string) {
this.matchingEngine.cancelOrder(orderId);
}
public async clear(): Promise<void> {
this.initialized = false;
this.matchingEngine.clear();
await this.initTrades();
this.initialized = true;
}
@Interval(Number(process.env.EXCHANGE_MATCHING_INTERVAL) || 1000)
private executeMatching() {
if (!this.initialized) {
return;
}
this.matchingEngine.tick();
}
private async initTrades(): Promise<void> {
const orders = await this.orderService.getAllActiveOrders();
this.logger.log(`Submitting ${orders.length} existing orders`);
for (const order of orders) {
this.logger.log(`Submitting order ${order.id}`);
const mappedOrder = await this.orderMapperService.map(order);
this.matchingEngine.submitOrder(mappedOrder);
}
}
private async onTradeExecutedEvent(tradeEvents: List<TradeExecutedEvent>) {
this.logger.log('Received TradeExecutedEvent event');
const trades = tradeEvents.map<Trade>((t) => t.trade);
this.eventBus.publish(new BulkTradeExecutedEvent(trades));
}
private async onActionResultEvent(statusChanges: List<ActionResultEvent>) {
this.logger.log('Received StatusChangedEvent event');
this.logger.log(`Received StatusChangedEvent event ${JSON.stringify(statusChanges)}`);
await this.orderService.persistOrderStatusChange(statusChanges);
}
private toDirectBuy(order: Order) {
return new DirectBuy(
order.id,
order.userId,
order.price,
order.startVolume,
order.directBuyId,
order.createdAt
);
}
}