orderbook

Mar 13, 2019

Changes in this version

type OrderBook

+ func (ob *OrderBook) Depth() (asks, bids []*PriceLevel)

+ func (ob *OrderBook) Order(orderID string) *Order

+ type PriceLevel struct

+ Price decimal.Decimal

+ Quantity decimal.Decimal

Mar 1, 2019

Changes in this version

+ var ErrInsufficientQuantity = errors.New("orderbook: insufficient quantity to calculate price")

type Order

+ func (o *Order) MarshalJSON() ([]byte, error)

+ func (o *Order) UnmarshalJSON(data []byte) error

type OrderBook

+ func (ob *OrderBook) CalculateMarketPrice(side Side, quantity decimal.Decimal) (price decimal.Decimal, err error)

+ func (ob *OrderBook) MarshalJSON() ([]byte, error)

+ func (ob *OrderBook) UnmarshalJSON(data []byte) error

type OrderQueue

+ func (oq *OrderQueue) MarshalJSON() ([]byte, error)

+ func (oq *OrderQueue) UnmarshalJSON(data []byte) error

type OrderSide

+ func (os *OrderSide) GreaterThan(price decimal.Decimal) *OrderQueue

+ func (os *OrderSide) LessThan(price decimal.Decimal) *OrderQueue

+ func (os *OrderSide) MarshalJSON() ([]byte, error)

+ func (os *OrderSide) Orders() (orders []*list.Element)

+ func (os *OrderSide) UnmarshalJSON(data []byte) error

+ func (os *OrderSide) Volume() decimal.Decimal

type Side

+ func (s *Side) UnmarshalJSON(data []byte) error

+ func (s Side) MarshalJSON() ([]byte, error)

Feb 17, 2019

Changes in this version

+ var ErrInvalidPrice = errors.New("orderbook: invalid order price")

+ var ErrInvalidQuantity = errors.New("orderbook: invalid order quantity")

+ var ErrOrderExists = errors.New("orderbook: order already exists")

+ var ErrOrderNotExists = errors.New("orderbook: order does not exist")

+ type Order struct

+ func NewOrder(orderID string, side Side, quantity, price decimal.Decimal, ...) *Order

+ func (o *Order) ID() string

+ func (o *Order) Price() decimal.Decimal

+ func (o *Order) Quantity() decimal.Decimal

+ func (o *Order) Side() Side

+ func (o *Order) String() string

+ func (o *Order) Time() time.Time

+ type OrderBook struct

+ func NewOrderBook() *OrderBook

+ func (ob *OrderBook) CancelOrder(orderID string) *Order

+ func (ob *OrderBook) ProcessLimitOrder(side Side, orderID string, quantity, price decimal.Decimal) (done []*Order, partial *Order, err error)

+ func (ob *OrderBook) ProcessMarketOrder(side Side, quantity decimal.Decimal) (done []*Order, partial *Order, quantityLeft decimal.Decimal, err error)

+ func (ob *OrderBook) String() string

+ type OrderQueue struct

+ func NewOrderQueue(price decimal.Decimal) *OrderQueue

+ func (oq *OrderQueue) Append(o *Order) *list.Element

+ func (oq *OrderQueue) Head() *list.Element

+ func (oq *OrderQueue) Len() int

+ func (oq *OrderQueue) Price() decimal.Decimal

+ func (oq *OrderQueue) Remove(e *list.Element) *Order

+ func (oq *OrderQueue) String() string

+ func (oq *OrderQueue) Tail() *list.Element

+ func (oq *OrderQueue) Update(e *list.Element, o *Order) *list.Element

+ func (oq *OrderQueue) Volume() decimal.Decimal

+ type OrderSide struct

+ func NewOrderSide() *OrderSide

+ func (ot *OrderSide) Append(o *Order) *list.Element

+ func (ot *OrderSide) Depth() int

+ func (ot *OrderSide) Len() int

+ func (ot *OrderSide) MaxPriceQueue() *OrderQueue

+ func (ot *OrderSide) MinPriceQueue() *OrderQueue

+ func (ot *OrderSide) Remove(e *list.Element) *Order

+ func (ot *OrderSide) String() string

+ type Side int

+ const Buy

+ const Sell

+ func (s Side) String() string