Port limit order filling for OrderMatchingEngine in Rust #2212
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filipmacek
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| self.core.bid = self.target_bid; | ||
| self.core.ask = self.target_ask; | ||
| self.core.last = self.target_last; | ||
| if let Some(target_bid) = self.target_bid { |
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Cython version has self._has_targets variable, and Rust doesn't. But best to use native Option and check if the value is defined to achieve the same effect
| } else if order.time_in_force() == TimeInForce::Fok | ||
| || order.time_in_force() == TimeInForce::Ioc | ||
| { | ||
| self.cancel_order(order, None); |
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The problem here is that after self.accept_order is called, the corresponding AcceptOrder event is not applied anywhere, and it should be in generate_order_accepted function. Basically we are doing a lot of processing on order object and we expect the status was changed, we we never call order.apply anywhere in OrderMatchingEngine code
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self.accept_order(order) will call the ExecutionEngine immediately which will apply the event along with other logic.
| @@ -1242,6 +1458,8 @@ impl OrderMatchingEngine { | |||
| )); | |||
| let msgbus = self.msgbus.as_ref().borrow(); | |||
| msgbus.send(&msgbus.switchboard.exec_engine_process, &event as &dyn Any); | |||
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| order.apply(event).expect("Failed to apply order event"); | |||
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Should this be added there? The reasoning is here https://github.com/nautechsystems/nautilus_trader/pull/2212/files#r1916905546
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The event will be applied to the order in the ExecutionEngine following the completion of msgbus.send(&msgbus.switchboard.exec_engine_process, &event as &dyn Any).
| } else if order.time_in_force() == TimeInForce::Fok | ||
| || order.time_in_force() == TimeInForce::Ioc | ||
| { | ||
| self.cancel_order(order, None); |
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self.accept_order(order) will call the ExecutionEngine immediately which will apply the event along with other logic.
| @@ -1242,6 +1458,8 @@ impl OrderMatchingEngine { | |||
| )); | |||
| let msgbus = self.msgbus.as_ref().borrow(); | |||
| msgbus.send(&msgbus.switchboard.exec_engine_process, &event as &dyn Any); | |||
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| order.apply(event).expect("Failed to apply order event"); | |||
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The event will be applied to the order in the ExecutionEngine following the completion of msgbus.send(&msgbus.switchboard.exec_engine_process, &event as &dyn Any).
Pull Request
OrderMatchingEngine