LWDEV-10476 Pre-trade control: configurable max value and calculated max volume #266
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# Conflicts: # src/main/kotlin/com/lykke/matching/engine/matching/MatchingEngine.kt # src/main/kotlin/com/lykke/matching/engine/services/AssetOrderBook.kt # src/test/kotlin/com/lykke/matching/engine/services/validator/business/LimitOrderBusinessValidatorTest.kt
olpapchenko
reviewed
Apr 24, 2019
| @@ -11,7 +11,6 @@ | |||
| private int accuracy; | |||
| private Double minVolume; | |||
| private Double minInvertedVolume; | |||
| private Double maxVolume; | |||
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is there option to configure max volume on back office ? if yes - we should create a ticket to remove it. Also, maybe we should perform dictionary table cleanup - remove unused max volume column?
| @@ -27,5 +29,20 @@ class OrderValidationUtils { | |||
| throw OrderValidationException(OrderStatus.Cancelled, "expired") | |||
| } | |||
| } | |||
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| fun validateMaxVolume(order: Order, | |||
| assetPair: AssetPair, | |||
| } | ||
| } | ||
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| fun calculateMaxVolume(assetPair: AssetPair, orderBook: AssetOrderBook): MaxOrderVolumeInfo? { |
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why we have to pass order book and asset pair? mid price and max value enough
| } | ||
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| private fun performInputValidation(orderContext: LimitOrderExecutionContext): OrderValidationResult { | ||
| private fun performInputValidation(orderContext: LimitOrderExecutionContext, | ||
| assetPair: AssetPair?): OrderValidationResult { |
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why asset pair is moved to the parameter ?
| @@ -47,6 +48,13 @@ open class AssetOrderBook(assetId: String) : AbstractAssetOrderBook(assetId) { | |||
| fun getAskPrice() = askOrderBook.peek()?.price ?: BigDecimal.ZERO | |||
| fun getBidPrice() = bidOrderBook.peek()?.price ?: BigDecimal.ZERO | |||
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| fun getMidPrice(): BigDecimal? { | |||
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add test for this method
| assetPair: AssetPair, | ||
| orderBook: AssetOrderBook) { | ||
| val maxVolumeInfo = calculateMaxVolume(assetPair, orderBook) ?: return | ||
| if (order.getAbsVolume() > maxVolumeInfo.maxVolume) { |
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Not sure on limit orders - what if
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# Conflicts: # src/main/kotlin/com/lykke/matching/engine/order/process/StopLimitOrderProcessor.kt # src/main/kotlin/com/lykke/matching/engine/services/validators/business/StopOrderBusinessValidator.kt # src/main/kotlin/com/lykke/matching/engine/services/validators/business/impl/LimitOrderBusinessValidatorImpl.kt # src/main/kotlin/com/lykke/matching/engine/services/validators/business/impl/StopOrderBusinessValidatorImpl.kt # src/main/kotlin/com/lykke/matching/engine/services/validators/common/OrderValidationUtils.kt
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