Bring the PT orderbook in line with reality

Author: ArashPartow

src/examples/trading/server/price_time_order_book.cpp

@@ -39,39 +39,45 @@ void price_time_order_book::process_new_order(order_management::new_order o)
 
 bool price_time_order_book::find_match(order_management::new_order& o)
 {
-  auto& other_side = (o.side == order_side::buy) ? sell_orders_ : buy_orders_;
-
-  // Is there anything at all to match on the other side?
-  if (other_side.empty())
-    return false;
-
-  // Do we cross the order on the other side of the book?
-  order passive_order = other_side.top();
-  if ((o.side == order_side::buy && o.price < passive_order.price)
-      || (o.side == order_side::sell && o.price > passive_order.price))
-    return false;
-
-  // Work out how much is going to trade and deduct from both orders.
-  unsigned int trade_quantity = std::min(o.quantity, passive_order.quantity);
-  o.quantity -= trade_quantity;
-  passive_order.quantity -= trade_quantity;
-
-  // If the passive order has no remaining quantity, permanently remove it from
-  // the book. Otherwise, reenter it into the book with its updated quantity.
-  other_side.pop();
-  if (passive_order.quantity > 0)
-    other_side.push(passive_order);
-
-  // Dispatch the trade to the market data bus.
-  market_data::trade md_trade;
-  md_trade.sequence_number = 0;
-  md_trade.symbol = symbol();
-  md_trade.aggressor_side = o.side;
-  md_trade.price = passive_order.price;
-  md_trade.quantity = trade_quantity;
-  market_data_bus_.dispatch_event(md_trade);
-
-  return true;
+  const auto impl = [&]<typename Side>(Side other_side) -> bool
+  {
+    // Is there anything at all to match on the other side?
+    if (other_side.empty())
+      return false;
+
+    // Do we cross the order on the other side of the book?
+    order passive_order = other_side.top();
+    if ((o.side == order_side::buy && o.price < passive_order.price)
+        || (o.side == order_side::sell && o.price > passive_order.price))
+      return false;
+
+    // Work out how much is going to trade and deduct from both orders.
+    unsigned int trade_quantity = std::min(o.quantity, passive_order.quantity);
+    o.quantity -= trade_quantity;
+    passive_order.quantity -= trade_quantity;
+
+    // If the passive order has no remaining quantity, permanently remove it from
+    // the book. Otherwise, reenter it into the book with its updated quantity.
+    other_side.pop();
+    if (passive_order.quantity > 0)
+      other_side.push(passive_order);
+
+    // Dispatch the trade to the market data bus.
+    market_data::trade md_trade;
+    md_trade.sequence_number = 0;
+    md_trade.symbol = symbol();
+    md_trade.aggressor_side = o.side;
+    md_trade.price = passive_order.price;
+    md_trade.quantity = trade_quantity;
+    market_data_bus_.dispatch_event(md_trade);
+
+    return true;
+  };
+
+  if (o.side == order_side::buy)
+    return impl(sell_orders_);
+  else
+    return impl(buy_orders_);
 }
 
 void price_time_order_book::add_order(const order_management::new_order& o)
@@ -81,8 +87,11 @@ void price_time_order_book::add_order(const order_management::new_order& o)
   passive_order.price = o.price;
   passive_order.time = next_time_++;
   passive_order.quantity = o.quantity;
-  auto& this_side = (o.side == order_side::buy) ? buy_orders_ : sell_orders_;
-  this_side.push(passive_order);
+
+  if (o.side == order_side::buy)
+    buy_orders_.push(passive_order);
+  else
+    sell_orders_.push(passive_order);
 
   // Dispatch the new order to the market data bus.
   market_data::new_order md_new_order;

src/examples/trading/server/price_time_order_book.hpp

@@ -49,11 +49,29 @@ class price_time_order_book : public order_book
     bool operator<(const order& other) const;
   };
 
+  struct buy_comparator
+  {
+    bool operator() (const order& o1, const order& o2)
+    {
+      if (o1.price > o2.price) return true;
+      if (o1.price < o2.price) return false;
+      return (o1.time < o2.time);
+    }
+  };
+
+  struct sell_comparator
+  {
+    bool operator() (const order& o1, const order& o2)
+    {
+      return std::tie(o1.price,o1.time) < std::tie(o2.price,o2.time);
+    }
+  };
+
   std::experimental::strand<std::experimental::system_executor> strand_;
   market_data_bus& market_data_bus_;
   std::uint64_t next_time_;
-  std::priority_queue<order> buy_orders_;
-  std::priority_queue<order> sell_orders_;
+  std::priority_queue<order, std::vector<order>, buy_comparator> buy_orders_;
+  std::priority_queue<order, std::vector<order>, sell_comparator> sell_orders_;
 };
 
 #endif