chore: adds add order fn

crates/common/src/types/order.rs

@@ -57,7 +57,7 @@ pub struct OrderResponse {
     pub transact_time: u64,
     pub price: f64,
     pub orig_qty: f64,
-    pub executed_ty: f64,
+    pub executed_qty: f64,
     pub status: OrderStatus,
     pub time_in_force: TimeInForce,
     #[serde(rename = "type")]
@@ -81,10 +81,11 @@ pub struct Order {
     pub symbol: String,
     pub order_id: u64,
     pub client_order_id: String,
+    pub client_id: String,
     pub transact_time: u64,
     pub price: f64,
     pub orig_qty: f64,
-    pub executed_ty: f64,
+    pub executed_qty: f64,
     pub status: OrderStatus,
     pub time_in_force: TimeInForce,
     #[serde(rename = "type")]

crates/engine/snapshot.json

@@ -0,0 +1,177 @@
+{
+  "orderbook": [
+    {
+      "base_asset": "BTC",
+      "quote_asset": "USDC",
+      "bids": [
+        {
+          "price": 30000.5,
+          "quantity": 0.1,
+          "order_id": 1,
+          "client_order_id": "a1b2c3d4-e5f6-7g8h-9i0j-k1l2m3n4o5p6",
+          "transact_time": 1696446000000,
+          "orig_qty": 0.1,
+          "executed_qty": 0.0,
+          "status": "NEW",
+          "time_in_force": "GTC",
+          "type": "LIMIT",
+          "side": "BUY",
+          "fills": []
+        },
+        {
+          "price": 29950.2,
+          "quantity": 0.2,
+          "order_id": 2,
+          "client_order_id": "b2c3d4e5-f6g7-8h9i-0j1k-2l3m4n5o6p7",
+          "transact_time": 1696446001000,
+          "orig_qty": 0.2,
+          "executed_qty": 0.0,
+          "status": "NEW",
+          "time_in_force": "GTC",
+          "type": "LIMIT",
+          "side": "BUY",
+          "fills": []
+        },
+        {
+          "price": 29975.3,
+          "quantity": 0.15,
+          "order_id": 3,
+          "client_order_id": "c3d4e5f6-g7h8-9i0j-k1l2-m3n4o5p6q7r",
+          "transact_time": 1696446002000,
+          "orig_qty": 0.15,
+          "executed_qty": 0.0,
+          "status": "NEW",
+          "time_in_force": "GTC",
+          "type": "LIMIT",
+          "side": "BUY",
+          "fills": []
+        },
+        {
+          "price": 29990.1,
+          "quantity": 0.25,
+          "order_id": 4,
+          "client_order_id": "d4e5f6g7-h8i9-j0k1-l2m3-n4o5p6q7r8s",
+          "transact_time": 1696446003000,
+          "orig_qty": 0.25,
+          "executed_qty": 0.0,
+          "status": "NEW",
+          "time_in_force": "GTC",
+          "type": "LIMIT",
+          "side": "BUY",
+          "fills": []
+        },
+        {
+          "price": 29960.8,
+          "quantity": 0.3,
+          "order_id": 5,
+          "client_order_id": "e5f6g7h8-i9j0-k1l2-m3n4-o5p6q7r8s9t",
+          "transact_time": 1696446004000,
+          "orig_qty": 0.3,
+          "executed_qty": 0.0,
+          "status": "NEW",
+          "time_in_force": "GTC",
+          "type": "LIMIT",
+          "side": "BUY",
+          "fills": []
+        }
+      ],
+      "asks": [
+        {
+          "price": 31000.5,
+          "quantity": 0.1,
+          "order_id": 1,
+          "client_order_id": "f6g7h8i9-j0k1-l2m3-n4o5-p6q7r8s9t0u",
+          "transact_time": 1696446005000,
+          "orig_qty": 0.1,
+          "executed_qty": 0.0,
+          "status": "NEW",
+          "time_in_force": "GTC",
+          "type": "LIMIT",
+          "side": "SELL",
+          "fills": []
+        },
+        {
+          "price": 31200.3,
+          "quantity": 0.2,
+          "order_id": 2,
+          "client_order_id": "g7h8i9j0-k1l2-m3n4-o5p6-q7r8s9t0u1v",
+          "transact_time": 1696446006000,
+          "orig_qty": 0.2,
+          "executed_qty": 0.0,
+          "status": "NEW",
+          "time_in_force": "GTC",
+          "type": "LIMIT",
+          "side": "SELL",
+          "fills": []
+        },
+        {
+          "price": 31150.7,
+          "quantity": 0.15,
+          "order_id": 3,
+          "client_order_id": "h8i9j0k1-l2m3-n4o5-p6q7-r8s9t0u1v2w",
+          "transact_time": 1696446007000,
+          "orig_qty": 0.15,
+          "executed_qty": 0.0,
+          "status": "NEW",
+          "time_in_force": "GTC",
+          "type": "LIMIT",
+          "side": "SELL",
+          "fills": []
+        },
+        {
+          "price": 31300.1,
+          "quantity": 0.25,
+          "order_id": 4,
+          "client_order_id": "i9j0k1l2-m3n4-o5p6-q7r8-s9t0u1v2w3x",
+          "transact_time": 1696446008000,
+          "orig_qty": 0.25,
+          "executed_qty": 0.0,
+          "status": "NEW",
+          "time_in_force": "GTC",
+          "type": "LIMIT",
+          "side": "SELL",
+          "fills": []
+        },
+        {
+          "price": 31400.0,
+          "quantity": 0.3,
+          "order_id": 5,
+          "client_order_id": "j0k1l2m3-n4o5-p6q7-r8s9-t0u1v2w3x4y",
+          "transact_time": 1696446009000,
+          "orig_qty": 0.3,
+          "executed_qty": 0.0,
+          "status": "NEW",
+          "time_in_force": "GTC",
+          "type": "LIMIT",
+          "side": "SELL",
+          "fills": []
+        }
+      ],
+      "lastTradeId": 128,
+      "currentPrice": 0
+    }
+  ],
+  "balances": [
+    [
+      "e0c2b9a7-2f4d-4c9b-b72b-d0c5de93b248",
+      {
+        "USDC": { "available": 99996278.15, "locked": 268377.9999999999 },
+        "BTC": { "available": 1000000.67, "locked": 0 }
+      }
+    ],
+    [
+      "f5b6e2c4-4a9e-4d8e-8c4a-6d87b7b1a0d1",
+      {
+        "USDC": { "available": 1000000.0, "locked": 0 },
+        "BTC": { "available": 1000000.0, "locked": 0 }
+      }
+    ],
+    [
+      "a1c9d3b4-1f2e-4b5c-8d9e-6a7b1c2d3e4f",
+      {
+        "USDC": { "available": 102218.3, "locked": 101588.7 },
+        "BTC": { "available": 85884.0, "locked": 14049.0 }
+      }
+    ]
+  ]
+}

crates/engine/src/main.rs

@@ -5,6 +5,7 @@ use tokio::signal;
 
 mod process;
 mod trade;
+mod types;
 
 use common::redis::initialize_redis_pool;
 use process::handle_process;

crates/engine/src/trade/orderbook.rs

@@ -1,4 +1,6 @@
-use common::types::order::Order;
+use std::collections::HashMap;
+
+use common::types::order::{Fill, Order, OrderSide};
 
 pub struct Orderbook {
     pub bids: Vec<Order>,
@@ -42,4 +44,134 @@ impl Orderbook {
             last_trade_id: self.last_trade_id.clone(),
         }
     }
+
+    pub fn add_order(&mut self, order: &mut Order) {
+        match order.side {
+            OrderSide::BUY => {
+                self.match_bid(order);
+
+                if order.executed_qty == order.orig_qty {
+                    return;
+                }
+                self.bids.push(order.clone());
+                return;
+            }
+            OrderSide::SELL => {
+                self.match_asks(order);
+
+                if order.executed_qty == order.orig_qty {
+                    return;
+                }
+                self.asks.push(order.clone());
+                return;
+            }
+        }
+    }
+
+    fn match_bid(&mut self, order: &mut Order) {
+        order.executed_qty = 0.0;
+        let mut filled_ask_order_id: Vec<u64> = vec![];
+        for ask in self.asks.iter_mut() {
+            if ask.price <= order.price && order.executed_qty < order.orig_qty {
+                let fill_qty = ask.orig_qty.min(order.orig_qty - order.executed_qty);
+                let fill = Fill {
+                    price: ask.price,
+                    qty: fill_qty,
+                    commission: 0.0,
+                    client_order_id: order.client_order_id.clone(),
+                    side: order.side.clone(),
+                    filled: fill_qty,
+                };
+                ask.executed_qty += fill_qty;
+                order.fills.push(fill);
+                order.executed_qty += fill_qty;
+
+                if ask.executed_qty == ask.orig_qty {
+                    filled_ask_order_id.push(ask.order_id.clone());
+                }
+            }
+        }
+        self.asks
+            .retain(|ask| !filled_ask_order_id.contains(&ask.order_id.clone()));
+    }
+
+    fn match_asks(&mut self, order: &mut Order) {
+        order.executed_qty = 0.0;
+        let mut filled_bid_order_id: Vec<u64> = vec![];
+        for bids in self.bids.iter_mut() {
+            if bids.price >= order.price && order.executed_qty < order.orig_qty {
+                let fill_qty = bids.orig_qty.min(order.orig_qty - order.executed_qty);
+                let fill = Fill {
+                    price: bids.price,
+                    qty: fill_qty,
+                    commission: 0.0,
+                    client_order_id: order.client_order_id.clone(),
+                    side: order.side.clone(),
+                    filled: fill_qty,
+                };
+                bids.executed_qty += fill_qty;
+                order.fills.push(fill);
+                order.executed_qty += fill_qty;
+                if bids.executed_qty == bids.orig_qty {
+                    filled_bid_order_id.push(bids.order_id.clone());
+                }
+            }
+        }
+
+        self.bids
+            .retain(|bid| !filled_bid_order_id.contains(&bid.order_id.clone()));
+    }
+
+    pub fn get_depth(&self) -> (Vec<(String, String)>, Vec<(String, String)>) {
+        let mut bids_obj: HashMap<String, f64> = HashMap::new();
+        let mut asks_obj: HashMap<String, f64> = HashMap::new();
+        for order in &self.bids {
+            let price_str = order.price.to_string();
+            let entry = bids_obj.entry(price_str.clone()).or_insert(0.0);
+            *entry += order.orig_qty;
+        }
+
+        for order in &self.asks {
+            let price_str = order.price.to_string();
+            let entry = asks_obj.entry(price_str.clone()).or_insert(0.0);
+            *entry += order.orig_qty;
+        }
+
+        let bids: Vec<(String, String)> = bids_obj
+            .into_iter()
+            .map(|(price, quantity)| (price, quantity.to_string()))
+            .collect();
+
+        let asks: Vec<(String, String)> = asks_obj
+            .into_iter()
+            .map(|(price, quantity)| (price, quantity.to_string()))
+            .collect();
+
+        (bids, asks)
+    }
+
+    pub fn get_open_orders(&self, client_id: String) -> Vec<Order> {
+        let mut open_orders: Vec<Order> = vec![];
+        for order in self.bids.iter() {
+            if order.client_id == client_id {
+                open_orders.push(order.clone());
+            }
+        }
+
+        for order in self.asks.iter() {
+            if order.client_id == client_id {
+                open_orders.push(order.clone());
+            }
+        }
+
+        open_orders
+    }
+
+    pub fn cancel_bid(&mut self, order_id: u64) {
+        self.bids.retain(|order| order.order_id != order_id);
+    }
+
+    pub fn cancel_ask(&mut self, order_id: u64) {
+        self.asks.retain(|order| order.order_id != order_id);
+    }
 }

crates/engine/src/types/mod.rs

@@ -1 +1,6 @@
+use common::types::order::Fill;
 
+pub struct AddOrderResponse {
+    pub executed_qty: f64,
+    pub fills: Vec<Fill>,
+}