Implement matching engine
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7278b77702
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@ -6,6 +6,8 @@ require_relative "server/messages"
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require_relative "server/request_schemas"
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require_relative "server/message_parser"
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require_relative "server/matching_engine"
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require_relative "server/message_broker"
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module Rex
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module Server
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195
lib/rex/server/matching_engine.rb
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195
lib/rex/server/matching_engine.rb
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@ -0,0 +1,195 @@
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module Rex
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module Server
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class MatchingEngine
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def initialize(inbox, outbox,
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order_book: Rex::Book::LimitOrderBook.new,
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limit_volume_tracker: Rex::Book::LimitVolumeTracker.new,
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trade_tracker: Rex::Book::TradeTracker.new)
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@inbox = inbox
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@outbox = outbox
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@order_book = order_book
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@limit_volume_tracker = limit_volume_tracker
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@trade_tracker = trade_tracker
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end
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def start
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@subscription_id = @inbox.subscribe do |message|
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process_message(message)
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end
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end
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def stop
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return unless @subscription_id
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@inbox.unsubscribe(@subscription_id)
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@subscription_id = nil
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end
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private
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def process_message(message)
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case message
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when Rex::Server::Messages::CreateOrderRequest
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create_order(
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Rex::Book::Order.new(
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user_id: message.user_id,
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price: message.price,
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quantity: message.quantity,
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is_buy: message.side == :buy
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)
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)
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when Rex::Server::Messages::CancelOrderRequest
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cancel_order(message.order_id)
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when Rex::Server::Messages::FetchOrderBookRequest
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fetch_orderbook(message.user_id)
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when Rex::Server::Messages::FetchTradesRequest
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fetch_trades(message.user_id)
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when Rex::Server::Messages::FetchOrdersRequest
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fetch_orders(message.user_id)
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end
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end
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def fetch_trades(user_id)
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@trade_tracker.fetch_trades(50).each do |trade|
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@outbox.push(
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Messages::TradeFetchEvent.new(
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trade.id,
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user_id,
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trade.price,
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trade.quantity
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)
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)
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end
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end
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def fetch_orders(user_id)
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@order_book.orders_for_user(user_id).each do |order|
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@outbox.push(
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Messages::OrderFetchEvent.new(
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order.id,
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order.user_id,
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order_side(order),
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order.quantity,
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order.remaining_quantity,
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order.price
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)
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)
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end
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end
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def fetch_orderbook(user_id)
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@limit_volume_tracker.each do |limit_volume_change|
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@outbox.push(
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Messages::OrderBookFetchEvent.new(
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user_id,
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limit_volume_change.side,
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limit_volume_change.price,
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limit_volume_change.quantity
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)
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)
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end
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end
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def create_order(order)
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@order_book.add_order(order)
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@outbox.push(
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Messages::OrderCreatedEvent.new(
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order.id,
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order.user_id,
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order_side(order),
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order.quantity,
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order.remaining_quantity,
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order.price
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)
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)
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changes = @limit_volume_tracker.add_order(order)
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changes.each do |limit_volume_change|
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@outbox.push(
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Messages::OrderBookUpdateEvent.new(
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limit_volume_change.side,
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limit_volume_change.price,
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limit_volume_change.quantity
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)
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)
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end
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trades = @order_book.match
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trades.each do |trade|
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@trade_tracker.add(trade)
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@outbox.push(
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Messages::TradeEvent.new(
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trade.id,
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trade.price,
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trade.quantity
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)
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)
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@outbox.push(
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Messages::OrderFillEvent.new(
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trade.buy_order.id,
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trade.buy_order.user_id,
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trade.buy_order.price,
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order_side(trade.buy_order),
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trade.buy_order.remaining_quantity
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)
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)
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@outbox.push(
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Messages::OrderFillEvent.new(
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trade.sell_order.id,
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trade.sell_order.user_id,
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trade.sell_order.price,
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order_side(trade.sell_order),
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trade.sell_order.remaining_quantity
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)
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)
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@limit_volume_tracker.process_trade(trade).each do |limit_volume_change|
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@outbox.push(
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Messages::OrderBookUpdateEvent.new(
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limit_volume_change.side,
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limit_volume_change.price,
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limit_volume_change.quantity
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)
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)
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end
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end
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end
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def cancel_order(order_id)
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order = @order_book.remove_order(order_id)
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return unless order
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@outbox.push(
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Messages::OrderCancelledEvent.new(
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order.id,
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order.user_id,
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order_side(order),
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order.remaining_quantity,
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order.price
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)
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)
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changes = @limit_volume_tracker.remove_order(order)
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changes.each do |limit_volume_change|
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@outbox.push(
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Messages::OrderBookUpdateEvent.new(
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limit_volume_change.side,
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limit_volume_change.price,
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limit_volume_change.quantity
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)
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)
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end
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end
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def order_side(order)
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order.is_buy ? :buy : :sell
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end
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end
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end
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end
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223
spec/server/matching_engine_spec.rb
Normal file
223
spec/server/matching_engine_spec.rb
Normal file
@ -0,0 +1,223 @@
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# require "eventmachine"
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RSpec.describe Rex::Server::MatchingEngine do
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let(:inbox) { MockQueue.new }
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let(:outbox) { MockQueue.new }
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subject(:instance) { described_class.new(inbox, outbox) }
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around do |example|
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instance.start
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example.run
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instance.stop
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end
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before do
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messages.each do |message|
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inbox.push(message)
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end
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end
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describe "order creation message" do
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let(:messages) do
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[
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Rex::Server::Messages::CreateOrderRequest.new(
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user_id: 1,
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price: 10,
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quantity: 20,
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side: :buy
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)
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]
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end
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it "sends order created event followed by order book update event" do
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expect(outbox.messages).to eq([
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Rex::Server::Messages::OrderCreatedEvent.new(1, 1, :buy, 20, 20, 10),
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Rex::Server::Messages::OrderBookUpdateEvent.new(:buy, 10, 20)
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])
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end
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context "when my order matches an order" do
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let(:messages) do
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[
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Rex::Server::Messages::CreateOrderRequest.new(
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user_id: 1,
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price: 10,
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quantity: 20,
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side: :buy
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),
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Rex::Server::Messages::CreateOrderRequest.new(
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user_id: 2,
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price: 9,
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quantity: 22,
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side: :sell
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)
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]
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end
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it "returns order book updates, order fill updates and trades" do
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expect(outbox.messages).to eq([
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Rex::Server::Messages::OrderCreatedEvent.new(id: 1, user_id: 1, side: :buy, quantity: 20, remaining_quantity: 20, price: 10),
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Rex::Server::Messages::OrderBookUpdateEvent.new(side: :buy, price: 10, quantity: 20),
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Rex::Server::Messages::OrderCreatedEvent.new(id: 2, user_id: 2, side: :sell, quantity: 22, remaining_quantity: 22, price: 9),
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Rex::Server::Messages::OrderBookUpdateEvent.new(side: :sell, price: 9, quantity: 22),
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Rex::Server::Messages::TradeEvent.new(id: 1, price: 9, quantity: 20),
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Rex::Server::Messages::OrderFillEvent.new(id: 1, user_id: 1, price: 10, side: :buy, remaining_quantity: 0),
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Rex::Server::Messages::OrderFillEvent.new(id: 2, user_id: 2, price: 9, side: :sell, remaining_quantity: 2),
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Rex::Server::Messages::OrderBookUpdateEvent.new(side: :buy, price: 10, quantity: 0),
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Rex::Server::Messages::OrderBookUpdateEvent.new(side: :sell, price: 9, quantity: 2)
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])
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end
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end
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end
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describe "cancel order request" do
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context "when order is not existent" do
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let(:messages) do
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[
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Rex::Server::Messages::CancelOrderRequest.new(1, 1)
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]
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end
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it "returns nothing" do
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expect(outbox.messages).to be_empty
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end
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end
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context "when order exists" do
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let(:messages) do
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[
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Rex::Server::Messages::CreateOrderRequest.new(
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user_id: 1,
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price: 10,
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quantity: 20,
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side: :buy
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),
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Rex::Server::Messages::CancelOrderRequest.new(1, 1)
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]
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end
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it "returns a cancelled order event and updates the order book" do
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expect(outbox.messages.last(2)).to eq([
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Rex::Server::Messages::OrderCancelledEvent.new(id: 1, user_id: 1, side: :buy, remaining_quantity: 20, price: 10),
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Rex::Server::Messages::OrderBookUpdateEvent.new(side: :buy, price: 10, quantity: 0)
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])
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end
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end
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end
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describe "fetch order book request" do
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let(:messages) do
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[
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Rex::Server::Messages::CreateOrderRequest.new(
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user_id: 1,
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price: 10,
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quantity: 20,
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side: :buy
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),
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Rex::Server::Messages::CreateOrderRequest.new(
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user_id: 2,
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price: 11,
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quantity: 22,
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side: :sell
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),
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Rex::Server::Messages::FetchOrderBookRequest.new(3)
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]
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end
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it "returns a list limit order book updates" do
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expect(outbox.messages.last(2)).to eq([
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Rex::Server::Messages::OrderBookFetchEvent.new(
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3,
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:buy,
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10,
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20
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),
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Rex::Server::Messages::OrderBookFetchEvent.new(
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3,
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:sell,
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11,
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22
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)
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])
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end
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end
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describe "fetch trades request" do
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context "when no trades exist" do
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let(:messages) do
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[
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Rex::Server::Messages::FetchTradesRequest.new(1)
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]
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end
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it "returns nothing" do
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expect(outbox.messages).to be_empty
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end
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end
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context "when trades exist" do
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let(:messages) do
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[
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Rex::Server::Messages::CreateOrderRequest.new(
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user_id: 1,
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price: 10,
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quantity: 15,
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side: :buy
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),
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Rex::Server::Messages::CreateOrderRequest.new(
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user_id: 2,
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price: 10,
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quantity: 15,
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side: :sell
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),
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Rex::Server::Messages::FetchTradesRequest.new(1)
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]
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end
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it "returns trade fetch events" do
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expect(outbox.messages.last(1)).to eq([
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Rex::Server::Messages::TradeFetchEvent.new(
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id: 1,
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user_id: 1,
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price: 10,
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quantity: 15
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)
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])
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end
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end
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end
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describe "fetch orders request" do
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context "when user does not have any orders" do
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let(:messages) do
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[
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Rex::Server::Messages::FetchOrdersRequest.new(1)
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]
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end
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it "returns nothing" do
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expect(outbox.messages).to be_empty
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end
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end
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context "when user has orders" do
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let(:messages) do
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[
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Rex::Server::Messages::CreateOrderRequest.new(
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user_id: 1,
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price: 10,
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quantity: 15,
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side: :sell
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),
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Rex::Server::Messages::FetchOrdersRequest.new(1)
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]
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end
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it "returns the orders" do
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expect(outbox.messages.last).to eq(
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Rex::Server::Messages::OrderFetchEvent.new(id: 1, user_id: 1, side: :sell, quantity: 15, remaining_quantity: 15, price: 10)
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)
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end
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end
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end
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end
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