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Order matching logic sequencing issue [on hold]

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0

$begingroup$

I have developed a trading exchange where orders are matched in real-time with least possible latency. The order matching service logic is functioning correctly. However, there's a minute error in the operation.

The sequence is wrong. To explain it below is the example of the order book.

Buy side:

Price =3 Qty =1

Price =2 Qty =1

Price =1 Qty =1

Now a user comes with a sell order of Qty=3 at price =1. In this case, all buy orders will execute, but in a sequence of:

First it will execute pending order with buy price of 3, then 2, and then 1.

My matching service executes the logic, but in reverse sequence. Below is the snippet of the code, can someone help ?

if (matchOrderRequest.getOrderType() == OrderType.BUY) 

{

optionalMatchOrder=orderRepository.findFirstByMarketAndOrderTypeAndPriceLessThanEqualOrderByPriceAscTimestampAsc(request.getMarket(), OrderType.SELL, request.getPrice());



}



else

{

optionalMatchOrder=orderRepository.findFirstByMarketAndOrderTypeAndPriceGreaterThanEqualOrderByPriceDescTimestampAsc(request.getMarket(), OrderType.BUY, request.getPrice());

}

There's a lot of logic after this, but it wouldn't make sense to post everything, but if anyone needs to know a little more, I can post it.

java mongodb spring

share

edited 1 min ago

Kaushal Thakker

asked 8 mins ago

Kaushal ThakkerKaushal Thakker

11

New contributor

Kaushal Thakker is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.

$endgroup$

put on hold as off-topic by Jamal♦ 1 min ago

This question appears to be off-topic. The users who voted to close gave this specific reason:

• "Code not implemented or not working as intended: Code Review is a community where programmers peer-review your working code to address issues such as security, maintainability, performance, and scalability. We require that the code be working correctly, to the best of the author's knowledge, before proceeding with a review." – Jamal

If this question can be reworded to fit the rules in the help center, please edit the question.

add a comment | 

0

$begingroup$

I have developed a trading exchange where orders are matched in real-time with least possible latency. The order matching service logic is functioning correctly. However, there's a minute error in the operation.

The sequence is wrong. To explain it below is the example of the order book.

Buy side:

Price =3 Qty =1

Price =2 Qty =1

Price =1 Qty =1

Now a user comes with a sell order of Qty=3 at price =1. In this case, all buy orders will execute, but in a sequence of:

First it will execute pending order with buy price of 3, then 2, and then 1.

My matching service executes the logic, but in reverse sequence. Below is the snippet of the code, can someone help ?

if (matchOrderRequest.getOrderType() == OrderType.BUY) 

{

optionalMatchOrder=orderRepository.findFirstByMarketAndOrderTypeAndPriceLessThanEqualOrderByPriceAscTimestampAsc(request.getMarket(), OrderType.SELL, request.getPrice());



}



else

{

optionalMatchOrder=orderRepository.findFirstByMarketAndOrderTypeAndPriceGreaterThanEqualOrderByPriceDescTimestampAsc(request.getMarket(), OrderType.BUY, request.getPrice());

}

There's a lot of logic after this, but it wouldn't make sense to post everything, but if anyone needs to know a little more, I can post it.

java mongodb spring

share

edited 1 min ago

Kaushal Thakker

asked 8 mins ago

Kaushal ThakkerKaushal Thakker

11

New contributor

Kaushal Thakker is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.

$endgroup$

put on hold as off-topic by Jamal♦ 1 min ago

This question appears to be off-topic. The users who voted to close gave this specific reason:

• "Code not implemented or not working as intended: Code Review is a community where programmers peer-review your working code to address issues such as security, maintainability, performance, and scalability. We require that the code be working correctly, to the best of the author's knowledge, before proceeding with a review." – Jamal

If this question can be reworded to fit the rules in the help center, please edit the question.

add a comment | 

$begingroup$

I have developed a trading exchange where orders are matched in real-time with least possible latency. The order matching service logic is functioning correctly. However, there's a minute error in the operation.

The sequence is wrong. To explain it below is the example of the order book.

Buy side:

Price =3 Qty =1

Price =2 Qty =1

Price =1 Qty =1

Now a user comes with a sell order of Qty=3 at price =1. In this case, all buy orders will execute, but in a sequence of:

First it will execute pending order with buy price of 3, then 2, and then 1.

My matching service executes the logic, but in reverse sequence. Below is the snippet of the code, can someone help ?

if (matchOrderRequest.getOrderType() == OrderType.BUY) 

{

optionalMatchOrder=orderRepository.findFirstByMarketAndOrderTypeAndPriceLessThanEqualOrderByPriceAscTimestampAsc(request.getMarket(), OrderType.SELL, request.getPrice());



}



else

{

optionalMatchOrder=orderRepository.findFirstByMarketAndOrderTypeAndPriceGreaterThanEqualOrderByPriceDescTimestampAsc(request.getMarket(), OrderType.BUY, request.getPrice());

}

There's a lot of logic after this, but it wouldn't make sense to post everything, but if anyone needs to know a little more, I can post it.

java mongodb spring

share

edited 1 min ago

Kaushal Thakker

asked 8 mins ago

Kaushal ThakkerKaushal Thakker

11

New contributor

Kaushal Thakker is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.

$endgroup$

Price =3 Qty =1

Price =2 Qty =1

Price =1 Qty =1

if (matchOrderRequest.getOrderType() == OrderType.BUY) 

{

optionalMatchOrder=orderRepository.findFirstByMarketAndOrderTypeAndPriceLessThanEqualOrderByPriceAscTimestampAsc(request.getMarket(), OrderType.SELL, request.getPrice());



}



else

{

optionalMatchOrder=orderRepository.findFirstByMarketAndOrderTypeAndPriceGreaterThanEqualOrderByPriceDescTimestampAsc(request.getMarket(), OrderType.BUY, request.getPrice());

}

share

edited 1 min ago

Kaushal Thakker

asked 8 mins ago

Kaushal ThakkerKaushal Thakker

11

New contributor

Kaushal Thakker is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.

share

edited 1 min ago

Kaushal Thakker

asked 8 mins ago

Kaushal ThakkerKaushal Thakker

11

New contributor

Kaushal Thakker is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.

asked 8 mins ago

Kaushal ThakkerKaushal Thakker

11

New contributor

Kaushal Thakker is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.

asked 8 mins ago

Kaushal ThakkerKaushal Thakker

11