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didier amyot committed 2018-05-31 14:35:08 -04:00
1 parent 3ed03675dd
commit 70d4e9f47f
2 files changed
+57 -68
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src/book/core.clj
+44 -55
View File
@@ -25,24 +25,11 @@
(let [cmp #(compare (:price %2) (:price %1))] (let [cmp #(compare (:price %2) (:price %1))]
(apply sorted-list-by cmp args))) (apply sorted-list-by cmp args)))
(def book {:sell (create-sell-book) :buy (create-sell-book)}) (def book {:sell (create-sell-book) :buy (create-sell-book)})
(defn buy? [order] (defn buy? [order]
(= :buy (:type order))) (= :buy (:type order)))
(defn create-trade [order-to-fulfill book-order]
#:book.order{:type (:type book-order)
:quantity (:quantity order-to-fulfill)
:price (min (:price order-to-fulfill) (:price book-order))
:order-id (:book.order/id order-to-fulfill)
:book-id (:book.order/id book-order)})
(defn sell? [order] (defn sell? [order]
(= (:type order) :sell)) (= (:type order) :sell))
@@ -52,24 +39,38 @@
(defn buy-order-fullfillable? [book-order order] (defn buy-order-fullfillable? [book-order order]
(<= (:price book-order) (:price order))) (<= (:price book-order) (:price order)))
(defn create-trade-factory [order-to-fulfill] (defn create-sell-trade-factory [order-to-fulfill]
(let [trade-type (if (sell? order-to-fulfill) :buy :sell)
trade-price (if (sell? order-to-fulfill) max min)
fulfillable? (if (sell? order-to-fulfill) sell-order-fullfillable? buy-order-fullfillable?)]
(fn [trade book-order] (fn [trade book-order]
(let [already-fulfilled (:book.order/already-fulfilled trade 0) (let [already-fulfilled (:book.order/already-fulfilled trade 0)
qtn-to-fulfill (min (:quantity book-order) (- (:quantity order-to-fulfill) already-fulfilled)) qtn-to-fulfill (min (:quantity book-order) (- (:quantity order-to-fulfill) already-fulfilled))
can-fulfill? (fulfillable? book-order order-to-fulfill)] can-fulfill? (sell-order-fullfillable? book-order order-to-fulfill)]
(when (and can-fulfill? (< 0 qtn-to-fulfill)) (when (and can-fulfill? (< 0 qtn-to-fulfill))
#:book.order{:type trade-type #:book.order{:type :buy
:quantity qtn-to-fulfill :quantity qtn-to-fulfill
:already-fulfilled (+ already-fulfilled qtn-to-fulfill) :already-fulfilled (+ already-fulfilled qtn-to-fulfill)
:price (trade-price (:price book-order) (:price order-to-fulfill)) :price (max (:price book-order) (:price order-to-fulfill))
:order-id (:book.order/id order-to-fulfill) :order-id (:book.order/id order-to-fulfill)
:book-id (:book.order/id book-order)}))))) :book-id (:book.order/id book-order)}))))
(defn create-buy-trade-factory [order-to-fulfill]
(fn [trade book-order]
(let [already-fulfilled (:book.order/already-fulfilled trade 0)
qtn-to-fulfill (min (:quantity book-order) (- (:quantity order-to-fulfill) already-fulfilled))
can-fulfill? (buy-order-fullfillable? book-order order-to-fulfill)]
(when (and can-fulfill? (< 0 qtn-to-fulfill))
#:book.order{:type :sell
:quantity qtn-to-fulfill
:already-fulfilled (+ already-fulfilled qtn-to-fulfill)
:price (min (:price book-order) (:price order-to-fulfill))
:order-id (:book.order/id order-to-fulfill)
:book-id (:book.order/id book-order)}))))
(defn create-sell-trades [order-to-fulfill sell-book] (defn create-trade-factory [order-to-fulfill]
(if (sell? order-to-fulfill)
(create-sell-trade-factory order-to-fulfill)
(create-buy-trade-factory order-to-fulfill)))
(defn create-trades [order-to-fulfill sell-book]
(let [create-trade (create-trade-factory order-to-fulfill) (let [create-trade (create-trade-factory order-to-fulfill)
trades (reductions create-trade {} sell-book) trades (reductions create-trade {} sell-book)
ret (rest (take-while some? trades))] ret (rest (take-while some? trades))]
@@ -78,54 +79,42 @@
(defn partial-trade? [trade order] (defn partial-trade? [trade order]
(not= (:quantity order) (:book.order/quantity trade))) (not= (:quantity order) (:book.order/quantity trade)))
(defn compute-partial-order [order trade] (defn compute-partial-order [order trade]
(assoc order :quantity (- (:quantity order) (:book.order/quantity trade 0)))) (assoc order :quantity (- (:quantity order) (:book.order/quantity trade 0))))
(defn compute-new-book-after-trades [sell-book trades]
(defn compute-new-sell-book-after-trades [sell-book trades]
(let [new-book (drop (-> trades count dec) sell-book) (let [new-book (drop (-> trades count dec) sell-book)
possible-partial-trade (last trades)] possible-partial-trade (last trades)]
(if (partial-trade? possible-partial-trade (first new-book)) (if (partial-trade? possible-partial-trade (first new-book))
(conj (rest new-book) (compute-partial-order (first new-book) possible-partial-trade)) (conj (rest new-book) (compute-partial-order (first new-book) possible-partial-trade))
(rest new-book)))) (rest new-book))))
(defn leftover-order [order trades] (defn leftover-order [order trades]
(let [traded-quantity (reduce + (map :book.order/quantity trades)) (let [traded-quantity (reduce + (map :book.order/quantity trades))
leftover-quantity (- (:quantity order) traded-quantity)] leftover-quantity (- (:quantity order) traded-quantity)]
(when (pos? leftover-quantity) (when (pos? leftover-quantity)
(assoc order :quantity leftover-quantity)))) (assoc order :quantity leftover-quantity))))
(defn match-order-in-book [sell-book order]
(defn match-buy-order-in-sell-book [sell-book order] (let [trades (create-trades order sell-book)
(let [trades (create-sell-trades order sell-book) new-book (compute-new-book-after-trades sell-book trades)
new-book (compute-new-sell-book-after-trades sell-book trades)
new-buy-order (leftover-order order trades)] new-buy-order (leftover-order order trades)]
[trades new-book new-buy-order])) [trades new-book new-buy-order]))
(defn match-sell-order-in-buy-book [buy-book order] ;(defn place-buy-order [book order]
(let [trades (create-sell-trades order buy-book) ; (match-buy-order-in-sell-book (:sell book) order)
new-book (compute-new-sell-book-after-trades buy-book trades) ; (println :bingo)) ;; should return multiple "trade" and a new book
new-buy-order (leftover-order order trades)] ;
[trades new-book new-buy-order])) ;(defn place-order [book order]
; (if (buy? order)
; (place-buy-order book order)))
(defn place-buy-order [book order] ;
(match-buy-order-in-sell-book (:sell book) order) ;
(println :bingo)) ;; should return multiple "trade" and a new book ;(defn -main
; [& args]
; (let [order (-> args first edn/read-string)]
(defn place-order [book order] ; (if (not (s/valid? :book.order/order order))
(if (buy? order) ; (println "invalid order :( ")
(place-buy-order book order))) ; (println (place-order book order)))))
;
;
(defn -main
[& args]
(let [order (-> args first edn/read-string)]
(if (not (s/valid? :book.order/order order))
(println "invalid order :( ")
(println (place-order book order)))))
test/book/core_test.clj
+13 -13
View File
@@ -7,28 +7,28 @@
(testing "Simplest case I." (testing "Simplest case I."
(let [sell-book (create-sell-book {:type :sell :quantity 10 :price 2 :book.order/id 101}) (let [sell-book (create-sell-book {:type :sell :quantity 10 :price 2 :book.order/id 101})
order {:type :buy :quantity 10 :price 2 :book.order/id 102} order {:type :buy :quantity 10 :price 2 :book.order/id 102}
[trades new-book] (match-buy-order-in-sell-book sell-book order)] [trades new-book] (match-order-in-book sell-book order)]
(is (empty? new-book)) (is (empty? new-book))
(is (= trades [#:book.order{:quantity 10 :price 2 :book-id 101 :order-id 102 :type :sell}])))) (is (= trades [#:book.order{:quantity 10 :price 2 :book-id 101 :order-id 102 :type :sell}]))))
(testing "Simplest case II." (testing "Simplest case II."
(let [sell-book (create-sell-book {:type :sell :quantity 10 :price 2 :book.order/id 103}) (let [sell-book (create-sell-book {:type :sell :quantity 10 :price 2 :book.order/id 103})
order {:type :buy :quantity 10 :price 3 :book.order/id 104} order {:type :buy :quantity 10 :price 3 :book.order/id 104}
[trades new-book] (match-buy-order-in-sell-book sell-book order)] [trades new-book] (match-order-in-book sell-book order)]
(is (empty? new-book)) (is (empty? new-book))
(is (= trades [#:book.order{:quantity 10 :price 2 :book-id 103 :order-id 104 :type :sell}])))) (is (= trades [#:book.order{:quantity 10 :price 2 :book-id 103 :order-id 104 :type :sell}]))))
(testing "Simplest case III." (testing "Simplest case III."
(let [sell-book (create-sell-book {:type :sell :quantity 10 :price 2 :book.order/id 105}) (let [sell-book (create-sell-book {:type :sell :quantity 10 :price 2 :book.order/id 105})
order {:type :buy :quantity 8 :price 2 :book.order/id 106} order {:type :buy :quantity 8 :price 2 :book.order/id 106}
[trades new-book] (match-buy-order-in-sell-book sell-book order)] [trades new-book] (match-order-in-book sell-book order)]
(is (= new-book [{:type :sell :quantity 2 :price 2 :book.order/id 105}])) (is (= new-book [{:type :sell :quantity 2 :price 2 :book.order/id 105}]))
(is (= trades [#:book.order{:quantity 8 :price 2 :book-id 105 :order-id 106 :type :sell}])))) (is (= trades [#:book.order{:quantity 8 :price 2 :book-id 105 :order-id 106 :type :sell}]))))
(testing "Simplest case IV." (testing "Simplest case IV."
(let [sell-book (create-sell-book {:type :sell :quantity 2 :price 12 :book.order/id 107} {:type :sell :quantity 8 :price 13 :book.order/id 108}) (let [sell-book (create-sell-book {:type :sell :quantity 2 :price 12 :book.order/id 107} {:type :sell :quantity 8 :price 13 :book.order/id 108})
order {:type :buy :quantity 10 :price 13 :book.order/id 109} order {:type :buy :quantity 10 :price 13 :book.order/id 109}
[trades new-book] (match-buy-order-in-sell-book sell-book order)] [trades new-book] (match-order-in-book sell-book order)]
(is (empty? new-book)) (is (empty? new-book))
(is (= trades [#:book.order{:quantity 2 :price 12 :book-id 107 :order-id 109 :type :sell} (is (= trades [#:book.order{:quantity 2 :price 12 :book-id 107 :order-id 109 :type :sell}
#:book.order{:quantity 8 :price 13 :book-id 108 :order-id 109 :type :sell}])))) #:book.order{:quantity 8 :price 13 :book-id 108 :order-id 109 :type :sell}]))))
@@ -36,7 +36,7 @@
(testing "Simplest case V." (testing "Simplest case V."
(let [sell-book (create-sell-book {:type :sell :quantity 2 :price 12 :book.order/id 113} {:type :sell :quantity 8 :price 13 :book.order/id 114}) (let [sell-book (create-sell-book {:type :sell :quantity 2 :price 12 :book.order/id 113} {:type :sell :quantity 8 :price 13 :book.order/id 114})
order {:type :buy :quantity 9 :price 13 :book.order/id 115} order {:type :buy :quantity 9 :price 13 :book.order/id 115}
[trades new-book] (match-buy-order-in-sell-book sell-book order)] [trades new-book] (match-order-in-book sell-book order)]
(is (= new-book (create-sell-book {:type :sell :quantity 1 :price 13 :book.order/id 114}))) (is (= new-book (create-sell-book {:type :sell :quantity 1 :price 13 :book.order/id 114})))
(is (= trades [#:book.order{:quantity 2 :price 12 :book-id 113 :order-id 115 :type :sell} (is (= trades [#:book.order{:quantity 2 :price 12 :book-id 113 :order-id 115 :type :sell}
#:book.order{:quantity 7 :price 13 :book-id 114 :order-id 115 :type :sell}])))) #:book.order{:quantity 7 :price 13 :book-id 114 :order-id 115 :type :sell}]))))
@@ -44,7 +44,7 @@
(testing "Simplest case VI." (testing "Simplest case VI."
(let [sell-book (create-sell-book {:type :sell :quantity 2 :price 12 :book.order/id 116} {:type :sell :quantity 8 :price 13 :book.order/id 117}) (let [sell-book (create-sell-book {:type :sell :quantity 2 :price 12 :book.order/id 116} {:type :sell :quantity 8 :price 13 :book.order/id 117})
order {:type :buy :quantity 21 :price 13 :book.order/id 118} order {:type :buy :quantity 21 :price 13 :book.order/id 118}
[trades new-book leftover-order] (match-buy-order-in-sell-book sell-book order)] [trades new-book leftover-order] (match-order-in-book sell-book order)]
(is (empty? new-book)) (is (empty? new-book))
(is (= trades [#:book.order{:quantity 2 :price 12 :book-id 116 :order-id 118 :type :sell} (is (= trades [#:book.order{:quantity 2 :price 12 :book-id 116 :order-id 118 :type :sell}
#:book.order{:quantity 8 :price 13 :book-id 117 :order-id 118 :type :sell}])) #:book.order{:quantity 8 :price 13 :book-id 117 :order-id 118 :type :sell}]))
@@ -53,7 +53,7 @@
(testing "Simplest case VII." (testing "Simplest case VII."
(let [sell-book (create-sell-book {:type :sell :quantity 2 :price 12 :book.order/id 116} {:type :sell :quantity 8 :price 13 :book.order/id 117}) (let [sell-book (create-sell-book {:type :sell :quantity 2 :price 12 :book.order/id 116} {:type :sell :quantity 8 :price 13 :book.order/id 117})
order {:type :buy :quantity 21 :price 10 :book.order/id 118} order {:type :buy :quantity 21 :price 10 :book.order/id 118}
[trades new-book leftover-order] (match-buy-order-in-sell-book sell-book order)] [trades new-book leftover-order] (match-order-in-book sell-book order)]
(is (= new-book sell-book)) (is (= new-book sell-book))
(is (= trades [])) (is (= trades []))
(is (= leftover-order order))))) (is (= leftover-order order)))))
@@ -63,21 +63,21 @@
(testing "Simplest case I." (testing "Simplest case I."
(let [buy-book (create-buy-book {:type :buy :quantity 10 :price 2 :book.order/id 101}) (let [buy-book (create-buy-book {:type :buy :quantity 10 :price 2 :book.order/id 101})
order {:type :sell :quantity 10 :price 2 :book.order/id 102} order {:type :sell :quantity 10 :price 2 :book.order/id 102}
[trades new-book] (match-sell-order-in-buy-book buy-book order)] [trades new-book] (match-order-in-book buy-book order)]
(is (= new-book [])) (is (= new-book []))
(is (= trades [#:book.order{:quantity 10 :price 2 :book-id 101 :order-id 102 :type :buy}])))) (is (= trades [#:book.order{:quantity 10 :price 2 :book-id 101 :order-id 102 :type :buy}]))))
(testing "Simplest case II." (testing "Simplest case II."
(let [buy-book (create-buy-book {:type :buy :quantity 10 :price 4 :book.order/id 103}) (let [buy-book (create-buy-book {:type :buy :quantity 10 :price 4 :book.order/id 103})
order {:type :sell :quantity 10 :price 3 :book.order/id 104} order {:type :sell :quantity 10 :price 3 :book.order/id 104}
[trades new-book] (match-sell-order-in-buy-book buy-book order)] [trades new-book] (match-order-in-book buy-book order)]
(is (= new-book [])) (is (= new-book []))
(is (= trades [#:book.order{:quantity 10 :price 4 :book-id 103 :order-id 104 :type :buy}])))) (is (= trades [#:book.order{:quantity 10 :price 4 :book-id 103 :order-id 104 :type :buy}]))))
(testing "Simplest case III." (testing "Simplest case III."
(let [buy-book (create-buy-book {:type :buy :quantity 10 :price 2 :book.order/id 105}) (let [buy-book (create-buy-book {:type :buy :quantity 10 :price 2 :book.order/id 105})
order {:type :sell :quantity 8 :price 2 :book.order/id 106} order {:type :sell :quantity 8 :price 2 :book.order/id 106}
[trades new-book] (match-sell-order-in-buy-book buy-book order)] [trades new-book] (match-order-in-book buy-book order)]
(is (= new-book [{:type :buy :quantity 2 :price 2 :book.order/id 105}])) (is (= new-book [{:type :buy :quantity 2 :price 2 :book.order/id 105}]))
(is (= trades [#:book.order{:quantity 8 :price 2 :book-id 105 :order-id 106 :type :buy}])))) (is (= trades [#:book.order{:quantity 8 :price 2 :book-id 105 :order-id 106 :type :buy}]))))
@@ -85,7 +85,7 @@
(let [buy-book (create-buy-book {:type :buy :quantity 2 :price 14 :book.order/id 107} (let [buy-book (create-buy-book {:type :buy :quantity 2 :price 14 :book.order/id 107}
{:type :buy :quantity 8 :price 13 :book.order/id 108}) {:type :buy :quantity 8 :price 13 :book.order/id 108})
order {:type :sell :quantity 10 :price 13 :book.order/id 109} order {:type :sell :quantity 10 :price 13 :book.order/id 109}
[trades new-book] (match-sell-order-in-buy-book buy-book order)] [trades new-book] (match-order-in-book buy-book order)]
(is (= new-book [])) (is (= new-book []))
(is (= trades [#:book.order{:quantity 2 :price 14 :book-id 107 :order-id 109 :type :buy} (is (= trades [#:book.order{:quantity 2 :price 14 :book-id 107 :order-id 109 :type :buy}
#:book.order{:quantity 8 :price 13 :book-id 108 :order-id 109 :type :buy}])))) #:book.order{:quantity 8 :price 13 :book-id 108 :order-id 109 :type :buy}]))))
@@ -94,7 +94,7 @@
(let [buy-book (create-buy-book {:type :buy :quantity 2 :price 14 :book.order/id 113} (let [buy-book (create-buy-book {:type :buy :quantity 2 :price 14 :book.order/id 113}
{:type :buy :quantity 8 :price 13 :book.order/id 114}) {:type :buy :quantity 8 :price 13 :book.order/id 114})
order {:type :sell :quantity 9 :price 13 :book.order/id 115} order {:type :sell :quantity 9 :price 13 :book.order/id 115}
[trades new-book] (match-sell-order-in-buy-book buy-book order)] [trades new-book] (match-order-in-book buy-book order)]
(= new-book (create-buy-book {:type :buy :quantity 1 :price 13 :book.order/id 114})) (= new-book (create-buy-book {:type :buy :quantity 1 :price 13 :book.order/id 114}))
(is (= trades [#:book.order{:quantity 2 :price 14 :book-id 113 :order-id 115 :type :buy} (is (= trades [#:book.order{:quantity 2 :price 14 :book-id 113 :order-id 115 :type :buy}
#:book.order{:quantity 7 :price 13 :book-id 114 :order-id 115 :type :buy}])))) #:book.order{:quantity 7 :price 13 :book-id 114 :order-id 115 :type :buy}]))))
@@ -103,7 +103,7 @@
(let [sell-book (create-buy-book {:type :buy :quantity 2 :price 14 :book.order/id 116} (let [sell-book (create-buy-book {:type :buy :quantity 2 :price 14 :book.order/id 116}
{:type :buy :quantity 8 :price 13 :book.order/id 117}) {:type :buy :quantity 8 :price 13 :book.order/id 117})
order {:type :sell :quantity 21 :price 13 :book.order/id 118} order {:type :sell :quantity 21 :price 13 :book.order/id 118}
[trades new-book leftover-order] (match-sell-order-in-buy-book sell-book order)] [trades new-book leftover-order] (match-order-in-book sell-book order)]
(is (empty? new-book)) (is (empty? new-book))
(is (= trades [#:book.order{:quantity 2 :price 14 :book-id 116 :order-id 118 :type :buy} (is (= trades [#:book.order{:quantity 2 :price 14 :book-id 116 :order-id 118 :type :buy}
#:book.order{:quantity 8 :price 13 :book-id 117 :order-id 118 :type :buy}])) #:book.order{:quantity 8 :price 13 :book-id 117 :order-id 118 :type :buy}]))