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feat: Rewrite order matching strategy #2539

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wants to merge 6 commits into from
Closed

feat: Rewrite order matching strategy #2539

wants to merge 6 commits into from

Commits on Jun 7, 2024

  1. chore: Add order id to trades 

    This will allow us to implement partial order matching, by summing the quantity of trades related to an order.
    @holzeis
    holzeis committed Jun 7, 2024
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  2. chore: Remove delete expired orders 

    This is already done by the maker, also expired orders are not considered for matching.
    @holzeis
    holzeis committed Jun 7, 2024
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  3. refactor: Rename orderbook message to trader message

    @holzeis
    holzeis committed Jun 7, 2024
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  4. feat: Rewrite order matching strategy 

    Refactors the current trading component into a clearly separated orderbook component and a trade execution component. The linking part is the `ExecutableMatch` which can be derived from the matches stored into the database.

At the moment we assume optimistically that the trade execution will succeed. However, we should consider that a pending match may never get filled or it fails at execution in such a scenario we would need to rollback the matched orders.
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    holzeis committed Jun 7, 2024
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  5. chore: Remove unused db functions

    @holzeis
    holzeis committed Jun 7, 2024
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  6. fix: Drop foreign key constraint on order id 

    The order and the matches are persisted by async actors. It can happen that the market order has not yet been persisted when the match is processed.

Thus it could happen that the matches table is persisted before the order has been persisted, which resulted in a foreign key violation. By dropping the foreign key we don't care if the order is already persisted and can continue with eventual consistency.

I think this is the better option than to synchronize the two inserts as we are anyways aiming for decoupling the orderbook from the coordinator.
    @holzeis
    holzeis committed Jun 7, 2024
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