Merge pull request #341 from fasenderos/limit-order-reject-if-match

fix!: modify order price that cross the market price

Author: fasenderos

README.md

@@ -188,10 +188,10 @@ quantityLeft - 4
  * Modify an existing order with given ID
  *
  * @param orderID - The ID of the order to be modified
- * @param orderUpdate - An object with the modified size and/or price of an order. To be note that the `side` can't be modified. The shape of the object is `{side, size, price}`.
+ * @param orderUpdate - An object with the modified size and/or price of an order. The shape of the object is `{size?: number, price?: number}`.
  * @returns The modified order if exists or `undefined`
  */
-modify(orderID: string, { side: 'buy' | 'sell', size: number, price: number });
+modify(orderID: string, { size: number, price: number });
 ```
 
 For example:
@@ -206,7 +206,7 @@ bids: 90  -> 5      90  -> 5
       80  -> 1      80  -> 1
 
 // Modify the size from 55 to 65
-modify("uniqueID", { side: "sell", size: 65, price: 100 })
+modify("uniqueID", { size: 65 })
 
 asks: 110 -> 5      110 -> 5
       100 -> 56     100 -> 66
@@ -216,7 +216,7 @@ bids: 90  -> 5      90  -> 5
 
 
 // Modify the price from 100 to 110
-modify("uniqueID", { side: "sell", size: 65, price: 110 })
+modify("uniqueID", { price: 110 })
 
 asks: 110 -> 5      110 -> 70
       100 -> 66     100 -> 1

src/order.ts

@@ -10,11 +10,8 @@ interface IOrder {
   isMaker: boolean
 }
 
-export interface OrderUpdate {
-  side: Side
-  size?: number
-  price?: number
-}
+export interface OrderUpdatePrice { price: number, size?: number }
+export interface OrderUpdateSize { price?: number, size: number }
 
 export enum OrderType {
   LIMIT = 'limit',
@@ -31,7 +28,7 @@ export class Order {
   private readonly _id: string
   private readonly _side: Side
   private _size: BigNumber
-  private readonly _price: number
+  private _price: number
   private _time: number
   private readonly _isMaker: boolean
   constructor (
@@ -65,6 +62,11 @@ export class Order {
     return this._price
   }
 
+  // Getter for order price
+  set price (price: number) {
+    this._price = price
+  }
+
   // Getter for order size
   get size (): BigNumber {
     return this._size

src/orderbook.ts

@@ -1,6 +1,6 @@
 import BigNumber from 'bignumber.js'
 import { ERROR, CustomError } from './errors'
-import { Order, OrderType, OrderUpdate, TimeInForce } from './order'
+import { Order, OrderType, OrderUpdatePrice, OrderUpdateSize, TimeInForce } from './order'
 import { OrderQueue } from './orderqueue'
 import { OrderSide } from './orderside'
 import { Side } from './side'
@@ -9,7 +9,7 @@ import { Side } from './side'
  * This interface represents the result of a processed order or an error
  *
  * @param done - An array of orders fully filled by the processed order
- * @param partial - A partially executed order. It can be null when the processed order
+ * @param partial - A partially executed order. Is null when the processed order is completelly filled
  * @param partialQuantityProcessed - if `partial` is not null, this field represents the processed quantity of the partial order
  * @param quantityLeft - more than zero if there are not enought orders to process all quantity
  * @param err - Not null if size or price are less or equal zero, or the provided orderId already exists, or something else went wrong.
@@ -252,7 +252,13 @@ export class OrderBook {
       }
 
       response.done.push(
-        new Order(orderID, side, new BigNumber(size), totalPrice / totalQuantity, Date.now())
+        new Order(
+          orderID,
+          side,
+          new BigNumber(size),
+          totalPrice / totalQuantity,
+          Date.now()
+        )
       )
     }
 
@@ -268,23 +274,90 @@ export class OrderBook {
    * Modify an existing order with given ID
    *
    * @param orderID - The ID of the order to be modified
-   * @param orderUpdate - An object with the modified size and/or price of an order. To be note that the `side` can't be modified. The shape of the object is `{side, size, price}`.
+   * @param orderUpdate - An object with the modified size and/or price of an order. The shape of the object is `{size, price}`.
    * @returns The modified order if exists or `undefined`
    */
   public modify = (
     orderID: string,
-    orderUpdate: OrderUpdate
+    orderUpdate: OrderUpdatePrice | OrderUpdateSize
   ): Order | undefined => {
     const order = this.orders[orderID]
     if (order === undefined) return
-    const side = orderUpdate.side
-    if (side === Side.BUY) {
-      return this.bids.update(order, orderUpdate)
-    } else if (side === Side.SELL) {
-      return this.asks.update(order, orderUpdate)
+
+    let updatedOrder: Order | undefined
+    if (order.side === Side.BUY) {
+      // Check if price is changed
+      if (
+        orderUpdate.price !== undefined &&
+        orderUpdate.price !== order.price
+      ) {
+        const newPrice = orderUpdate.price
+        // Check if the limit new price is equal or greater than the current ask price.
+        // If so we have to remove the previous order and create a new limit order
+        const lowerAsk = this.asks.minPriceQueue()
+        if (lowerAsk !== undefined && newPrice >= lowerAsk.price()) {
+          this.cancel(order.id)
+          const result = this.limit(
+            order.side,
+            order.id,
+            orderUpdate.size ?? order.size.toNumber(),
+            newPrice
+          )
+          updatedOrder = result.partial?.id === order.id ? result.partial : result.done[result.done.length - 1]
+        } else {
+          updatedOrder = this.bids.updateOrderPrice(order, {
+            size: orderUpdate.size,
+            price: newPrice
+          })
+        }
+      } else if (
+        orderUpdate.size !== undefined &&
+        orderUpdate.size !== order.size.toNumber()
+      ) {
+        // Quantity changed. Price is the same.
+        const newSize = orderUpdate.size
+        updatedOrder = this.bids.updateOrderSize(order, { ...orderUpdate, size: newSize })
+      }
     } else {
-      throw CustomError(ERROR.ErrInvalidSide)
+      // Check if price is changed
+      if (
+        orderUpdate.price !== undefined &&
+        orderUpdate.price !== order.price
+      ) {
+        const newPrice = orderUpdate.price
+        // Check if the new price is equal or lower than the current bid price.
+        // If so we have to remove the previous order and create a new limit order
+        const highestBid = this.bids.maxPriceQueue()
+        if (
+          highestBid !== undefined &&
+          newPrice <= highestBid.price()
+        ) {
+          this.cancel(order.id)
+          const result = this.limit(
+            order.side,
+            order.id,
+            orderUpdate.size ?? order.size.toNumber(),
+            newPrice
+          )
+          updatedOrder = result.partial?.id === order.id ? result.partial : result.done[result.done.length - 1]
+        } else {
+          updatedOrder = this.asks.updateOrderPrice(order, {
+            size: orderUpdate.size,
+            price: newPrice
+          })
+        }
+      } else if (
+        orderUpdate.size !== undefined &&
+        orderUpdate.size !== order.size.toNumber()
+      ) {
+        // Quantity changed. Price is the same.
+        const newSize = orderUpdate.size
+        updatedOrder = this.asks.updateOrderSize(order, { ...orderUpdate, size: newSize })
+      }
     }
+    // is undefined when size and price are the same
+    if (updatedOrder != null) this.orders[orderID] = updatedOrder
+    return updatedOrder
   }
 
   /**

src/orderside.ts

@@ -1,7 +1,7 @@
 import BigNumber from 'bignumber.js'
 import createRBTree from 'functional-red-black-tree'
 import { CustomError, ERROR } from './errors'
-import { Order, OrderUpdate } from './order'
+import { Order, OrderUpdatePrice, OrderUpdateSize } from './order'
 import { OrderQueue } from './orderqueue'
 import { Side } from './side'
 
@@ -68,7 +68,9 @@ export class OrderSide {
   remove = (order: Order): Order => {
     const price = order.price
     const strPrice = price.toString()
-    if (this._prices[strPrice] === undefined) throw CustomError(ERROR.ErrInvalidPriceLevel)
+    if (this._prices[strPrice] === undefined) {
+      throw CustomError(ERROR.ErrInvalidPriceLevel)
+    }
     this._prices[strPrice].remove(order)
     if (this._prices[strPrice].len() === 0) {
       /* eslint-disable @typescript-eslint/no-dynamic-delete */
@@ -83,38 +85,40 @@ export class OrderSide {
     return order
   }
 
-  update = (oldOrder: Order, orderUpdate: OrderUpdate): Order | undefined => {
-    if (
-      orderUpdate.price !== undefined &&
-      orderUpdate.price !== oldOrder.price
-    ) {
-      // Price changed. Remove order and update tree.
-      this.remove(oldOrder)
-      const newOrder = new Order(
-        oldOrder.id,
-        oldOrder.side,
-        orderUpdate.size !== undefined ? new BigNumber(orderUpdate.size) : oldOrder.size,
-        orderUpdate.price,
-        Date.now(),
-        oldOrder.isMaker
-      )
-      this.append(newOrder)
-      return newOrder
-    } else if (
-      orderUpdate.size !== undefined &&
-      orderUpdate.size !== oldOrder.size.toNumber()
-    ) {
-      // Quantity changed. Price is the same.
-      const oldOrderSize: number = oldOrder.size.toNumber()
-      const strPrice = oldOrder.price.toString()
-      const newOrderPrize: number = orderUpdate.price ?? oldOrder.price
-      this._volume = this._volume.plus(orderUpdate.size - oldOrderSize)
-      this._total = this._total.plus(
-        orderUpdate.size * newOrderPrize - oldOrderSize * oldOrder.price
-      )
-      this._prices[strPrice].updateOrderSize(oldOrder, orderUpdate.size)
-      return oldOrder
-    }
+  // Update the price of an order and return the order with the updated price
+  updateOrderPrice = (
+    oldOrder: Order,
+    orderUpdate: OrderUpdatePrice
+  ): Order => {
+    this.remove(oldOrder)
+    const newOrder = new Order(
+      oldOrder.id,
+      oldOrder.side,
+      orderUpdate.size !== undefined
+        ? new BigNumber(orderUpdate.size)
+        : oldOrder.size,
+      orderUpdate.price,
+      Date.now(),
+      oldOrder.isMaker
+    )
+    this.append(newOrder)
+    return newOrder
+  }
+
+  // Update the price of an order and return the order with the updated price
+  updateOrderSize = (
+    oldOrder: Order,
+    orderUpdate: OrderUpdateSize
+  ): Order => {
+    const oldOrderSize: number = oldOrder.size.toNumber()
+    const strPrice = oldOrder.price.toString()
+    const newOrderPrize: number = orderUpdate.price ?? oldOrder.price
+    this._volume = this._volume.plus(orderUpdate.size - oldOrderSize)
+    this._total = this._total.plus(
+      orderUpdate.size * newOrderPrize - oldOrderSize * oldOrder.price
+    )
+    this._prices[strPrice].updateOrderSize(oldOrder, orderUpdate.size)
+    return oldOrder
   }
 
   // returns max level of price

test/order.test.ts

@@ -50,7 +50,6 @@ void test('it should create order without passing a date', ({
 }) => {
   const fakeTimestamp = 1487076708000
   const { now } = Date
-  // @ts-expect-error
   teardown(() => (Date.now = now))
   Date.now = (...m) => fakeTimestamp
 
@@ -97,3 +96,29 @@ void test('it should create order without passing a date', ({
   )
   end()
 })
+
+void test('test orders setters', (t) => {
+  const id = 'fakeId'
+  const side = Side.BUY
+  const size = 5
+  const price = 100
+  const time = Date.now()
+  const order = new Order(id, side, new BigNumber(size), price, time)
+
+  // Price setter
+  const newPrice = 300
+  order.price = newPrice
+  t.equal(order.price, newPrice)
+
+  // Size setter
+  const newSize = new BigNumber(40)
+  order.size = newSize
+  t.equal(order.size.toNumber(), newSize.toNumber())
+
+  // Time setter
+  const newTime = Date.now()
+  order.time = newTime
+  t.equal(order.time, newTime)
+
+  t.end()
+})