tai v0.0.14 Tai.Trading.OrderStore

ETS backed store for the local state of orders

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Functions

Build an enqueued order from the submission and insert it into the ETS table

Return a list of all orders currently stored in the ETS table

Change the order status to open after an amend attempt

Change the order status to amend_error after an amend attempt

Change the order status to canceled after a cancel attempt

Change the order status to cancel_error after a cancel attempt

Returns a specification to start this module under a supervisor

Return the count of all orders currently stored in the ETS table

Change the order status to create_error when it failed on the venue

Return the order in the ETS table that matches the given client_id

Invoked when the server is started. start_link/3 or start/3 will block until it returns

Change the order status to canceled from an external passive source

Update the cumulative_qty & price for a fully filled passive order

Change the order status to pending_amend

Change the order status to pending_cancel

Change the ordertatus to skip when orders aren't sent to the venue

Link to this section Types

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client_id()
client_id() :: String.t()

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passive_cancel_required()
passive_cancel_required() ::
  :open
  | :expired
  | :filled
  | :pending_cancel
  | :pending_amend
  | :canceled
  | :amend

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passive_fills_required()
passive_fills_required() ::
  :open | :pending_amend | :pending_cancel | :amend_error | :cancel_error

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venue_order_id()
venue_order_id() :: Tai.Trading.Order.venue_order_id()

Link to this section Functions

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add(submission)
add(submission()) :: {:ok, order()} | no_return()

Build an enqueued order from the submission and insert it into the ETS table

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all()
all() :: [] | [order()]

Return a list of all orders currently stored in the ETS table

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amend(client_id, price, leaves_qty, last_received_at, last_venue_timestamp)
amend(client_id(), Decimal.t(), Decimal.t(), DateTime.t(), DateTime.t()) ::
  {:ok, {old :: order(), updated :: order()}}
  | {:error,
     :not_found
     | {:invalid_status, current :: atom(), required :: :pending_amend}}

Change the order status to open after an amend attempt

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amend_error(client_id, reason, last_received_at)
amend_error(client_id(), term(), DateTime.t()) ::
  {:ok, {old :: order(), updated :: order()}}
  | {:error,
     :not_found
     | {:invalid_status, current :: atom(), required :: :pending_amend}}

Change the order status to amend_error after an amend attempt

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cancel(client_id, last_venue_timestamp)
cancel(client_id(), DateTime.t()) ::
  {:ok, {old :: order(), updated :: order()}}
  | {:error,
     :not_found
     | {:invalid_status, current :: atom(), required :: :pending_cancel}}

Change the order status to canceled after a cancel attempt

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cancel_error(client_id, reason, last_received_at)
cancel_error(client_id(), term(), DateTime.t()) ::
  {:ok, {old :: order(), updated :: order()}}
  | {:error,
     :not_found
     | {:invalid_status, current :: atom(), required :: :pending_cancel}}

Change the order status to cancel_error after a cancel attempt

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child_spec(init_arg)

Returns a specification to start this module under a supervisor.

See Supervisor.

Return the count of all orders currently stored in the ETS table

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create_error(client_id, error_reason, last_received_at)
create_error(client_id(), term(), DateTime.t()) ::
  {:ok, {old :: order(), updated :: order()}}
  | {:error,
     :not_found | {:invalid_status, current :: atom(), required :: :enqueued}}

Change the order status to create_error when it failed on the venue

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expire(client_id, venue_order_id, avg_price, cumulative_qty, leaves_qty, last_received_at, last_venue_timestamp)
expire(
  client_id(),
  venue_order_id(),
  Decimal.t(),
  Decimal.t(),
  Decimal.t(),
  DateTime.t(),
  DateTime.t()
) ::
  {:ok, {old :: order(), updated :: order()}}
  | {:error,
     :not_found | {:invalid_status, current :: atom(), required :: :enqueued}}

Change the order status to expired

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fill(client_id, venue_order_id, avg_price, cumulative_qty, last_received_at, last_venue_timestamp)
fill(
  client_id(),
  venue_order_id(),
  Decimal.t(),
  Decimal.t(),
  DateTime.t(),
  DateTime.t()
) ::
  {:ok, {old :: order(), updated :: order()}}
  | {:error,
     :not_found | {:invalid_status, current :: atom(), required :: :enqueued}}

Update the cumulative_qty & price for a fully filled order

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find_by_client_id(client_id)
find_by_client_id(client_id()) :: {:ok, order()} | {:error, :not_found}

Return the order in the ETS table that matches the given client_id

Invoked when the server is started. start_link/3 or start/3 will block until it returns.

init_arg is the argument term (second argument) passed to start_link/3.

Returning {:ok, state} will cause start_link/3 to return {:ok, pid} and the process to enter its loop.

Returning {:ok, state, timeout} is similar to {:ok, state} except handle_info(:timeout, state) will be called after timeout milliseconds if no messages are received within the timeout.

Returning {:ok, state, :hibernate} is similar to {:ok, state} except the process is hibernated before entering the loop. See c:handle_call/3 for more information on hibernation.

Returning {:ok, state, {:continue, continue}} is similar to {:ok, state} except that immediately after entering the loop the c:handle_continue/2 callback will be invoked with the value continue as first argument.

Returning :ignore will cause start_link/3 to return :ignore and the process will exit normally without entering the loop or calling c:terminate/2. If used when part of a supervision tree the parent supervisor will not fail to start nor immediately try to restart the GenServer. The remainder of the supervision tree will be started and so the GenServer should not be required by other processes. It can be started later with Supervisor.restart_child/2 as the child specification is saved in the parent supervisor. The main use cases for this are:

  • The GenServer is disabled by configuration but might be enabled later.
  • An error occurred and it will be handled by a different mechanism than the Supervisor. Likely this approach involves calling Supervisor.restart_child/2 after a delay to attempt a restart.

Returning {:stop, reason} will cause start_link/3 to return {:error, reason} and the process to exit with reason reason without entering the loop or calling c:terminate/2.

Callback implementation for GenServer.init/1.

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open(client_id, venue_order_id, avg_price, cumulative_qty, leaves_qty, last_received_at, last_venue_timestamp)
open(
  client_id(),
  venue_order_id(),
  Decimal.t(),
  Decimal.t(),
  Decimal.t(),
  DateTime.t(),
  DateTime.t()
) ::
  {:ok, {old :: order(), updated :: order()}}
  | {:error,
     :not_found | {:invalid_status, current :: atom(), required :: :enqueued}}

Change the order status to open after it was enqueued

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passive_cancel(client_id, last_received_at, last_venue_timestamp)
passive_cancel(client_id(), DateTime.t(), DateTime.t()) ::
  {:ok, {old :: order(), updated :: order()}}
  | {:error,
     :not_found
     | {:invalid_status, current :: atom(), passive_cancel_required()}}

Change the order status to canceled from an external passive source

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passive_fill(client_id, cumulative_qty, last_received_at, last_venue_timestamp)
passive_fill(client_id(), Decimal.t(), DateTime.t(), DateTime.t()) ::
  {:ok, {old :: order(), updated :: order()}}
  | {:error,
     :not_found | {:invalid_status, current :: atom(), passive_fills_required()}}

Update the cumulative_qty & price for a fully filled passive order

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passive_partial_fill(client_id, avg_price, cumulative_qty, leaves_qty, last_received_at, last_venue_timestamp)
passive_partial_fill(
  client_id(),
  Decimal.t(),
  Decimal.t(),
  Decimal.t(),
  DateTime.t(),
  DateTime.t()
) ::
  {:ok, {old :: order(), updated :: order()}}
  | {:error,
     :not_found | {:invalid_status, current :: atom(), passive_fills_required()}}

Update the cumulative_qty & price for a partially filled passive order

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pend_amend(client_id, updated_at)
pend_amend(client_id(), DateTime.t()) ::
  {:ok, {old :: order(), updated :: order()}}
  | {:error,
     :not_found
     | {:invalid_status, current :: atom(), required :: :open | :amend_error}}

Change the order status to pending_amend

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pend_cancel(client_id, updated_at)
pend_cancel(client_id(), DateTime.t()) ::
  {:ok, {old :: order(), updated :: order()}}
  | {:error,
     :not_found | {:invalid_status, current :: atom(), required :: :open}}

Change the order status to pending_cancel

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skip(client_id)
skip(client_id()) ::
  {:ok, {old :: order(), updated :: order()}}
  | {:error,
     :not_found | {:invalid_status, current :: atom(), required :: :enqueued}}

Change the ordertatus to skip when orders aren't sent to the venue