feat(orderbook): don’t match with quantity on hold (#697)

* don’t match with quantity on hold

* lint

* PR fixes

* PR fix

Author: moshababo

lib/orderbook/TradingPair.ts

@@ -292,6 +292,7 @@ class TradingPair {
     let remainingOrder: OwnOrder | undefined = { ...takerOrder };
 
     const queue = takerOrder.isBuy ? this.queues!.sell : this.queues!.buy;
+    const queueRemovedOrdersWithHold: OwnOrder[] = [];
     const getMatchingQuantity = (remainingOrder: OwnOrder, oppositeOrder: Order) => takerOrder.isBuy
       ? TradingPair.getMatchingQuantity(remainingOrder, oppositeOrder)
       : TradingPair.getMatchingQuantity(oppositeOrder, remainingOrder);
@@ -300,13 +301,18 @@ class TradingPair {
     while (remainingOrder && !queue.isEmpty()) {
       // get the best available maker order from the top of the queue
       const makerOrder = queue.peek()!;
-      const matchingQuantity = getMatchingQuantity(remainingOrder, makerOrder);
+      const makerAvailableQuantityOrder = isOwnOrder(makerOrder)
+        ? { ...makerOrder, quantity: makerOrder.quantity - makerOrder.hold, hold: 0 }
+        : makerOrder;
+
+      const matchingQuantity = getMatchingQuantity(remainingOrder, makerAvailableQuantityOrder);
       if (matchingQuantity <= 0) {
         // there's no match with the best available maker order, so end the matching routine
         break;
       } else {
         /** Whether the maker order is fully matched and should be removed from the queue. */
         const makerFullyMatched = makerOrder.quantity === matchingQuantity;
+        const makerAvailableQuantityFullyMatched = makerAvailableQuantityOrder.quantity === matchingQuantity;
         const remainingFullyMatched = remainingOrder.quantity === matchingQuantity;
 
         if (makerFullyMatched && remainingFullyMatched) {
@@ -317,27 +323,38 @@ class TradingPair {
           const matchedMakerOrder = TradingPair.splitOrderByQuantity(makerOrder, matchingQuantity);
           this.logger.debug(`reduced order ${makerOrder.id} by ${matchingQuantity} quantity while matching order ${takerOrder.id}`);
           matches.push({ maker: matchedMakerOrder, taker: remainingOrder });
-        } else if (makerFullyMatched) {
+        } else if (makerAvailableQuantityFullyMatched) {
           // maker order quantity is not sufficient. taker order will split
           const matchedTakerOrder = TradingPair.splitOrderByQuantity(remainingOrder, matchingQuantity);
-          matches.push({ maker: makerOrder, taker: matchedTakerOrder });
+          matches.push({ maker: makerAvailableQuantityOrder, taker: matchedTakerOrder });
         } else {
-          assert(false, 'matchingQuantity should not be lower than both orders quantity values');
+          assert(false, 'matchingQuantity should not be lower than both orders available quantity values');
         }
 
         if (remainingFullyMatched) {
           remainingOrder = undefined;
         }
+
         if (makerFullyMatched) {
           // maker order is fully matched, so remove it from the queue and map
           assert(queue.poll() === makerOrder);
           const map = this.getOrderMap(makerOrder)!;
           map.delete(makerOrder.id);
           this.logger.debug(`removed order ${makerOrder.id} while matching order ${takerOrder.id}`);
+        } else if (makerAvailableQuantityFullyMatched) {
+          // only an own order can be fully matched for available quantity, but not fully matched in the overall
+          assert(isOwnOrder(makerOrder));
+
+          assert(queue.poll() === makerOrder);
+          queueRemovedOrdersWithHold.push(makerOrder as OwnOrder);
         }
       }
     }
 
+    // return the removed orders with hold to the queue.
+    // their hold quantity might be released later
+    queueRemovedOrdersWithHold.forEach(order => queue.add(order));
+
     return { matches, remainingOrder };
   }
 }

test/unit/TradingPair.spec.ts

@@ -190,6 +190,61 @@ describe('TradingPair.match', () => {
     expect(peekResult).to.not.be.undefined;
     expect(peekResult!.quantity).to.equal(1);
   });
+
+  it('should not match maker own order hold quantity', () => {
+    const ownOrder = createOwnOrder(5, 5, false);
+    tp.addOwnOrder(ownOrder);
+    tp.addOrderHold(ownOrder.id, 5);
+
+    const { matches, remainingOrder } = tp.match(createOwnOrder(5, 5, true));
+    expect(remainingOrder).to.not.be.undefined;
+    expect(remainingOrder!.quantity).to.equal(5);
+    expect(matches.length).to.be.equal(0);
+  });
+
+  it('should not match maker own order hold quantity, and should split the taker order', () => {
+    const ownOrder = createOwnOrder(5, 5, false);
+    tp.addOwnOrder(ownOrder);
+    tp.addOrderHold(ownOrder.id, 3);
+
+    const { matches, remainingOrder } = tp.match(createOwnOrder(5, 5, true));
+    expect(remainingOrder).to.not.be.undefined;
+    expect(remainingOrder!.quantity).to.equal(3);
+    expect(matches.length).to.be.equal(1);
+    expect(matches[0].maker.quantity).to.be.equal(2);
+    expect(matches[0].taker.quantity).to.be.equal(2);
+  });
+
+  it('should not match maker own order hold quantity, and should fully match the taker order', () => {
+    const ownOrder = createOwnOrder(5, 5, false);
+    tp.addOwnOrder(ownOrder);
+    tp.addOrderHold(ownOrder.id, 3);
+
+    const { matches, remainingOrder } = tp.match(createOwnOrder(5, 2, true));
+    expect(remainingOrder).to.be.undefined;
+    expect(matches.length).to.be.equal(1);
+    expect(matches[0].maker.quantity).to.be.equal(2);
+    expect(matches[0].taker.quantity).to.be.equal(2);
+  });
+
+  it('should not match maker own order hold quantity, but keep the order for the next match', () => {
+    const ownOrder = createOwnOrder(5, 5, false);
+    tp.addOwnOrder(ownOrder);
+    tp.addOrderHold(ownOrder.id, 5);
+
+    let mr = tp.match(createOwnOrder(5, 5, true));
+    expect(mr.remainingOrder).to.not.be.undefined;
+    expect(mr.remainingOrder!.quantity).to.equal(5);
+    expect(mr.matches.length).to.be.equal(0);
+
+    tp.removeOrderHold(ownOrder.id, 5);
+
+    mr = tp.match(createOwnOrder(5, 5, true));
+    expect(mr.remainingOrder).to.be.undefined;
+    expect(mr.matches.length).to.be.equal(1);
+    expect(mr.matches[0].maker.quantity).to.be.equal(5);
+    expect(mr.matches[0].taker.quantity).to.be.equal(5);
+  });
 });
 
 describe('TradingPair.removeOwnOrder', () => {