tai v0.0.22 Tai.Trading.OrderStore

ETS backed store for the local state of orders

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Functions

The cancel request has been accepted by the venue. The result of the canceled order is received in the stream.

The create request has been accepted by the venue. The result of the created order is received in the stream.

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

The order was successfully amended on the venue

There was an error amending the order on the venue

The order was successfully canceled on the venue

There was an error canceling the order on the venue

Returns a specification to start this module under a supervisor.

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

There was an error creating the order on the venue

Enqueue an order from the submission and insert it into the ETS table

The order was not filled or partially filled and removed from the order book

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.

The order has been created on the venue and is passively sitting in the order book waiting to be filled

An open order has been successfully canceled

The order is going to be sent to the venue to be amended

The order is going to be sent to the venue to be canceled

The order was not accepted by the venue. It most likely didn't pass validation on the venue.

Bypass sending the order to the venue

Link to this section Types

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

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

The cancel request has been accepted by the venue. The result of the canceled order is received in the stream.

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

The create request has been accepted by the venue. The result of the created order is received in the stream.

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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}}

The order was successfully amended on the venue

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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}}

There was an error amending the order on the venue

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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}}

The order was successfully canceled on the venue

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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}}

There was an error canceling the order on the venue

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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}}

There was an error creating the order on the venue

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

Enqueue an order from the submission and insert it into the ETS table

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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}}

The order was not filled or partially filled and removed from the order book

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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}}

The order was fully filled and removed from the order book

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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}}

The order has been created on the venue and is passively sitting in the order book waiting to be filled

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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()}}

An open order has been successfully canceled

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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()}}

An open order has been fully filled

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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()}}

An open order has been partially filled

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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}}

The order is going to be sent to the venue to be amended

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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}}

The order is going to be sent to the venue to be canceled

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

The order was not accepted by the venue. It most likely didn't pass validation on the venue.

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

Bypass sending the order to the venue