fix: check if sell FOK order can be filled

fasenderos · May 8, 2023 · 2814b3e · 2814b3e
1 parent 1f132d0
commit 2814b3e
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Showing 2 changed files with 63 additions and 7 deletions.
diff --git a/src/orderbook.ts b/src/orderbook.ts
@@ -469,13 +469,20 @@ export class OrderBook {
     }
 
     let cumulativeSize = 0
-    orderSide.priceTree().forEach((_key, priceLevel) => {
-      if (price <= priceLevel.price() && cumulativeSize < size) {
-        cumulativeSize += priceLevel.volume()
-      } else {
-        return true // break the loop
-      }
-    })
+    let iterator = orderSide.priceTree().end
+    let continueLoop = true
+    while (continueLoop) {
+      if (iterator?.node) {
+        if (price <= iterator.node.key) {
+          cumulativeSize += iterator.node.value.volume()
+          if (cumulativeSize < size && iterator.hasPrev) {
+            iterator = orderSide.priceTree().at(iterator.index - 1)
+          } else {
+            continueLoop = false
+          }
+        } else continueLoop = false
+      } else continueLoop = false
+    }
     return cumulativeSize >= size
   }
 }
diff --git a/test/orderbook.test.ts b/test/orderbook.test.ts
@@ -153,8 +153,57 @@ describe('OrderBook', () => {
     )
     expect(process2.err?.message).toBe(ERROR.ErrLimitFOKNotFillable)
 
+    const process3 = ob.limit(
+      Side.BUY,
+      'buy-order-size-greather-than-order-side-volume',
+      30,
+      100,
+      TimeInForce.FOK
+    )
+    expect(process3.err?.message).toBe(ERROR.ErrLimitFOKNotFillable)
+
+    const process4 = ob.limit(
+      Side.SELL,
+      'sell-order-size-greather-than-order-side-volume',
+      30,
+      90,
+      TimeInForce.FOK
+    )
+    expect(process4.err?.message).toBe(ERROR.ErrLimitFOKNotFillable)
+
     ob.limit(Side.BUY, 'order-ioc-b100', 3, 100, TimeInForce.IOC)
     expect(ob.order('order-ioc-b100')).toBeUndefined()
+
+    const processIOC = ob.limit(
+      Side.SELL,
+      'order-ioc-s90',
+      3,
+      90,
+      TimeInForce.IOC
+    )
+    expect(ob.order('order-ioc-s90')).toBeUndefined()
+    expect(processIOC.partial?.id).toBe('order-ioc-s90')
+
+    const processFOKBuy = ob.limit(
+      Side.BUY,
+      'order-fok-b110',
+      2,
+      120,
+      TimeInForce.FOK
+    )
+
+    expect(processFOKBuy.err).toBeNull()
+    expect(processFOKBuy.quantityLeft).toBe(0)
+
+    const processFOKSell = ob.limit(
+      Side.SELL,
+      'order-fok-s80',
+      4,
+      70,
+      TimeInForce.FOK
+    )
+    expect(processFOKSell.err).toBeNull()
+    expect(processFOKSell.quantityLeft).toBe(0)
   })
 
   test('test market', () => {