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order.go
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order.go
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package orderbook
import (
"encoding/json"
"fmt"
"time"
"github.com/shopspring/decimal"
)
// Order strores information about request
type Order struct {
side Side
id string
timestamp time.Time
quantity decimal.Decimal
price decimal.Decimal
}
// MarketView represents order book in a glance
type MarketView struct {
Asks map[string]decimal.Decimal `json:"asks"`
Bids map[string]decimal.Decimal `json:"bids"`
}
// NewOrder creates new constant object Order
func NewOrder(orderID string, side Side, quantity, price decimal.Decimal, timestamp time.Time) *Order {
return &Order{
id: orderID,
side: side,
quantity: quantity,
price: price,
timestamp: timestamp,
}
}
// ID returns orderID field copy
func (o *Order) ID() string {
return o.id
}
// Side returns side of the order
func (o *Order) Side() Side {
return o.side
}
// Quantity returns quantity field copy
func (o *Order) Quantity() decimal.Decimal {
return o.quantity
}
// Price returns price field copy
func (o *Order) Price() decimal.Decimal {
return o.price
}
// Time returns timestamp field copy
func (o *Order) Time() time.Time {
return o.timestamp
}
// String implements Stringer interface
func (o *Order) String() string {
return fmt.Sprintf("\n\"%s\":\n\tside: %s\n\tquantity: %s\n\tprice: %s\n\ttime: %s\n", o.ID(), o.Side(), o.Quantity(), o.Price(), o.Time())
}
// MarshalJSON implements json.Marshaler interface
func (o *Order) MarshalJSON() ([]byte, error) {
return json.Marshal(
&struct {
S Side `json:"side"`
ID string `json:"id"`
Timestamp time.Time `json:"timestamp"`
Quantity decimal.Decimal `json:"quantity"`
Price decimal.Decimal `json:"price"`
}{
S: o.Side(),
ID: o.ID(),
Timestamp: o.Time(),
Quantity: o.Quantity(),
Price: o.Price(),
},
)
}
// UnmarshalJSON implements json.Unmarshaler interface
func (o *Order) UnmarshalJSON(data []byte) error {
obj := struct {
S Side `json:"side"`
ID string `json:"id"`
Timestamp time.Time `json:"timestamp"`
Quantity decimal.Decimal `json:"quantity"`
Price decimal.Decimal `json:"price"`
}{}
if err := json.Unmarshal(data, &obj); err != nil {
return err
}
o.side = obj.S
o.id = obj.ID
o.timestamp = obj.Timestamp
o.quantity = obj.Quantity
o.price = obj.Price
return nil
}
// GetOrderSide gets the orderside along with its orders in one side of the market
func (ob *OrderBook) GetOrderSide(side Side) *OrderSide {
switch side {
case Buy:
return ob.bids
default:
return ob.asks
}
}
// MarketOverview gives an overview of the market including the quantities and prices of each side in the market
// asks: qty price bids: qty price
// 0.2 14 0.9 13
// 0.1 14.5 5 14
// 0.8 16 2 16
func (ob *OrderBook) MarketOverview() *MarketView {
return &MarketView{
Asks: compileOrders(ob.asks),
Bids: compileOrders(ob.bids),
}
}
// compileOrders compiles orders in the following format
func compileOrders(orders *OrderSide) map[string]decimal.Decimal {
// show queue
queue := make(map[string]decimal.Decimal)
if orders != nil {
level := orders.MaxPriceQueue()
for level != nil {
if q, exists := queue[level.Price().String()]; exists {
queue[level.Price().String()] = q.Add(level.Volume())
} else {
queue[level.Price().String()] = level.Volume()
}
level = orders.LessThan(level.Price())
}
}
return queue
}