├── .gitignore ├── src ├── main │ └── java │ │ └── com │ │ └── itranswarp │ │ ├── order │ │ ├── Direction.java │ │ ├── OrderStatus.java │ │ ├── Order.java │ │ └── OrderService.java │ │ ├── assets │ │ ├── Users.java │ │ ├── Transfer.java │ │ ├── Asset.java │ │ └── AssetService.java │ │ ├── match │ │ ├── OrderKey.java │ │ ├── MatchRecord.java │ │ ├── MatchResult.java │ │ ├── OrderBook.java │ │ └── MatchEngine.java │ │ ├── clearing │ │ └── ClearingService.java │ │ └── TradingEngine.java └── test │ └── java │ └── com │ └── itranswarp │ └── TradingEngineTest.java ├── README.md ├── pom.xml └── LICENSE /.gitignore: -------------------------------------------------------------------------------- 1 | /target/ 2 | -------------------------------------------------------------------------------- /src/main/java/com/itranswarp/order/Direction.java: -------------------------------------------------------------------------------- 1 | package com.itranswarp.order; 2 | 3 | public enum Direction { 4 | 5 | BUY, SELL; 6 | 7 | } 8 | -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 1 | # simple-trading-engine 2 | 3 | A simple, fast trading engine. 4 | 5 | 文章：[证券交易系统交易引擎的设计](https://www.liaoxuefeng.com/article/1454303399116834) 6 | -------------------------------------------------------------------------------- /src/main/java/com/itranswarp/assets/Users.java: -------------------------------------------------------------------------------- 1 | package com.itranswarp.assets; 2 | 3 | public class Users { 4 | 5 | public static final Long DEBT = 1L; 6 | 7 | public static final long TRADER = 100L; 8 | } 9 | -------------------------------------------------------------------------------- /src/main/java/com/itranswarp/assets/Transfer.java: -------------------------------------------------------------------------------- 1 | package com.itranswarp.assets; 2 | 3 | public enum Transfer { 4 | 5 | AVAILABLE_TO_AVAILABLE, 6 | 7 | AVAILABLE_TO_FROZEN, 8 | 9 | FROZEN_TO_AVAILABLE; 10 | } 11 | -------------------------------------------------------------------------------- /src/main/java/com/itranswarp/order/OrderStatus.java: -------------------------------------------------------------------------------- 1 | package com.itranswarp.order; 2 | 3 | public enum OrderStatus { 4 | 5 | PENDING, 6 | 7 | PARCIAL_FILLED, 8 | 9 | FULLY_FILLED, 10 | 11 | CANCELLED; 12 | } 13 | -------------------------------------------------------------------------------- /src/main/java/com/itranswarp/match/OrderKey.java: -------------------------------------------------------------------------------- 1 | package com.itranswarp.match; 2 | 3 | import java.math.BigDecimal; 4 | 5 | public class OrderKey { 6 | 7 | public final long sequenceId; 8 | public final BigDecimal price; 9 | 10 | public OrderKey(long sequenceId, BigDecimal price) { 11 | this.sequenceId = sequenceId; 12 | this.price = price; 13 | } 14 | } 15 | -------------------------------------------------------------------------------- /src/main/java/com/itranswarp/match/MatchRecord.java: -------------------------------------------------------------------------------- 1 | package com.itranswarp.match; 2 | 3 | import java.math.BigDecimal; 4 | 5 | import com.itranswarp.order.Order; 6 | 7 | public class MatchRecord { 8 | 9 | public final BigDecimal price; 10 | public final BigDecimal amount; 11 | public final Order takerOrder; 12 | public final Order makerOrder; 13 | 14 | public MatchRecord(BigDecimal price, BigDecimal amount, Order takerOrder, Order makerOrder) { 15 | this.price = price; 16 | this.amount = amount; 17 | this.takerOrder = takerOrder; 18 | this.makerOrder = makerOrder; 19 | } 20 | 21 | @Override 22 | public String toString() { 23 | return String.format("[%.2f, %.2f]", this.price, this.amount); 24 | } 25 | } 26 | -------------------------------------------------------------------------------- /src/main/java/com/itranswarp/assets/Asset.java: -------------------------------------------------------------------------------- 1 | package com.itranswarp.assets; 2 | 3 | import java.math.BigDecimal; 4 | 5 | public class Asset { 6 | 7 | BigDecimal available; 8 | 9 | BigDecimal frozen; 10 | 11 | public Asset() { 12 | this(BigDecimal.ZERO, BigDecimal.ZERO); 13 | } 14 | 15 | public Asset(BigDecimal available, BigDecimal frozen) { 16 | this.available = available; 17 | this.frozen = frozen; 18 | } 19 | 20 | public BigDecimal getAvailable() { 21 | return available; 22 | } 23 | 24 | public BigDecimal getFrozen() { 25 | return frozen; 26 | } 27 | 28 | public BigDecimal getTotal() { 29 | return available.add(frozen); 30 | } 31 | 32 | @Override 33 | public String toString() { 34 | return String.format("[available=%04.2f, frozen=%02.2f]", available, frozen); 35 | } 36 | } 37 | -------------------------------------------------------------------------------- /src/main/java/com/itranswarp/match/MatchResult.java: -------------------------------------------------------------------------------- 1 | package com.itranswarp.match; 2 | 3 | import java.math.BigDecimal; 4 | import java.util.ArrayList; 5 | import java.util.List; 6 | 7 | import com.itranswarp.order.Order; 8 | 9 | public class MatchResult { 10 | 11 | public final Order takerOrder; 12 | public final List matchRecords = new ArrayList<>(); 13 | 14 | public MatchResult(Order takerOrder) { 15 | this.takerOrder = takerOrder; 16 | } 17 | 18 | public void add(BigDecimal price, BigDecimal matchedAmount, Order makerOrder) { 19 | matchRecords.add(new MatchRecord(price, matchedAmount, this.takerOrder, makerOrder)); 20 | } 21 | 22 | @Override 23 | public String toString() { 24 | if (matchRecords.isEmpty()) { 25 | return "no matched."; 26 | } 27 | return matchRecords.size() + " matched: " + String.join(", ", this.matchRecords.stream().map(MatchRecord::toString).toArray(String[]::new)); 28 | } 29 | } 30 | -------------------------------------------------------------------------------- /src/main/java/com/itranswarp/order/Order.java: -------------------------------------------------------------------------------- 1 | package com.itranswarp.order; 2 | 3 | import java.math.BigDecimal; 4 | 5 | public class Order { 6 | 7 | public final Long sequenceId; 8 | public final Long userId; 9 | public final Direction direction; 10 | public final BigDecimal price; 11 | public final BigDecimal amount; 12 | 13 | public OrderStatus status; 14 | public BigDecimal unfilledAmount; 15 | 16 | public Order(Long sequenceId, Long userId, Direction direction, BigDecimal price, BigDecimal amount) { 17 | this.sequenceId = sequenceId; 18 | this.userId = userId; 19 | this.direction = direction; 20 | this.price = price; 21 | this.amount = amount; 22 | 23 | this.status = OrderStatus.PENDING; 24 | this.unfilledAmount = amount; 25 | } 26 | 27 | @Override 28 | public String toString() { 29 | return String.format("%04.2f %02.2f [sequenceId=%s, userId=%s, direction=%s, amount=%s, status=%s]", price, unfilledAmount, sequenceId, userId, 30 | direction, amount, status); 31 | } 32 | 33 | } 34 | -------------------------------------------------------------------------------- /pom.xml: -------------------------------------------------------------------------------- 1 | 2 | 4.0.0 3 | com.itranswarp 4 | simple-trading-engine 5 | 0.0.1-SNAPSHOT 6 | Trading Engine 7 | 8 | 9 | UTF-8 10 | UTF-8 11 | 17 12 | 17 13 | 17 14 | 15 | 16 | 17 | 18 | org.junit.jupiter 19 | junit-jupiter-api 20 | 5.8.2 21 | test 22 | 23 | 24 | org.junit.jupiter 25 | junit-jupiter-engine 26 | 5.8.2 27 | test 28 | 29 | 30 | -------------------------------------------------------------------------------- /src/test/java/com/itranswarp/TradingEngineTest.java: -------------------------------------------------------------------------------- 1 | package com.itranswarp; 2 | 3 | import java.math.BigDecimal; 4 | 5 | import org.junit.jupiter.api.Test; 6 | 7 | import com.itranswarp.assets.Users; 8 | import com.itranswarp.order.Direction; 9 | 10 | public class TradingEngineTest { 11 | 12 | static final Long USER_A = Users.TRADER; 13 | static final Long USER_B = Users.TRADER + 1; 14 | static final Long USER_C = Users.TRADER + 2; 15 | static final Long USER_D = Users.TRADER + 3; 16 | 17 | @Test 18 | public void testTradingEngine() { 19 | TradingEngine engine = new TradingEngine(); 20 | engine.deposit(USER_A, "FIAT", bd("58000")); 21 | engine.deposit(USER_B, "FIAT", bd("126700")); 22 | engine.deposit(USER_C, "STOCK", bd("5.5")); 23 | engine.deposit(USER_D, "STOCK", bd("8.6")); 24 | 25 | engine.debug(); 26 | engine.validate(); 27 | 28 | engine.createOrder(USER_A, Direction.BUY, bd("2207.33"), bd("1.2")); 29 | engine.createOrder(USER_C, Direction.SELL, bd("2215.6"), bd("0.8")); 30 | engine.createOrder(USER_C, Direction.SELL, bd("2221.1"), bd("0.3")); 31 | 32 | engine.debug(); 33 | engine.validate(); 34 | 35 | engine.createOrder(USER_D, Direction.SELL, bd("2206"), bd("0.3")); 36 | 37 | engine.debug(); 38 | engine.validate(); 39 | 40 | engine.createOrder(USER_B, Direction.BUY, bd("2219.6"), bd("2.4")); 41 | 42 | engine.debug(); 43 | engine.validate(); 44 | 45 | engine.cancelOrder(USER_A, 1L); 46 | 47 | engine.debug(); 48 | engine.validate(); 49 | } 50 | 51 | static BigDecimal bd(String s) { 52 | return new BigDecimal(s); 53 | } 54 | } 55 | -------------------------------------------------------------------------------- /src/main/java/com/itranswarp/order/OrderService.java: -------------------------------------------------------------------------------- 1 | package com.itranswarp.order; 2 | 3 | import java.math.BigDecimal; 4 | import java.util.concurrent.ConcurrentHashMap; 5 | import java.util.concurrent.ConcurrentMap; 6 | 7 | import com.itranswarp.assets.AssetService; 8 | 9 | public class OrderService { 10 | 11 | final AssetService assetService; 12 | 13 | // 全局唯一递增序列号： 14 | private long sequenceId = 0; 15 | 16 | // 跟踪所有活动订单: 17 | public ConcurrentMap activeOrders = new ConcurrentHashMap<>(); 18 | 19 | public OrderService(AssetService assetService) { 20 | this.assetService = assetService; 21 | } 22 | 23 | /** 24 | * 创建订单 25 | */ 26 | public Order createOrder(Long userId, Direction direction, BigDecimal price, BigDecimal amount) { 27 | switch (direction) { 28 | case BUY -> { 29 | // 买入，需冻结法币： 30 | if (!assetService.tryFreeze(userId, "FIAT", price.multiply(amount))) { 31 | throw new RuntimeException("No enough FIAT currency."); 32 | } 33 | } 34 | case SELL -> { 35 | // 卖出，需冻结证券： 36 | if (!assetService.tryFreeze(userId, "STOCK", amount)) { 37 | throw new RuntimeException("No enough stock."); 38 | } 39 | } 40 | default -> throw new IllegalArgumentException("Invalid direction."); 41 | } 42 | sequenceId++; 43 | Order order = new Order(sequenceId, userId, direction, price, amount); 44 | this.activeOrders.put(order.sequenceId, order); 45 | return order; 46 | } 47 | 48 | public Order getOrder(Long sequenceId) { 49 | return this.activeOrders.get(sequenceId); 50 | } 51 | 52 | // 删除活动订单: 53 | public void removeOrder(Long sequenceId) { 54 | Order removed = this.activeOrders.remove(sequenceId); 55 | if (removed == null) { 56 | throw new IllegalArgumentException("Order not found by sequenceId: " + sequenceId); 57 | } 58 | } 59 | } 60 | -------------------------------------------------------------------------------- /src/main/java/com/itranswarp/match/OrderBook.java: -------------------------------------------------------------------------------- 1 | package com.itranswarp.match; 2 | 3 | import java.util.ArrayList; 4 | import java.util.Collections; 5 | import java.util.Comparator; 6 | import java.util.List; 7 | import java.util.Map.Entry; 8 | 9 | import java.util.TreeMap; 10 | 11 | import com.itranswarp.order.Direction; 12 | import com.itranswarp.order.Order; 13 | 14 | public class OrderBook { 15 | 16 | private static final Comparator SORT_SELL = new Comparator<>() { 17 | @Override 18 | public int compare(OrderKey o1, OrderKey o2) { 19 | // 价格低在前: 20 | int cmp = o1.price.compareTo(o2.price); 21 | // 时间早在前: 22 | return cmp == 0 ? Long.compare(o1.sequenceId, o2.sequenceId) : cmp; 23 | } 24 | }; 25 | 26 | private static final Comparator SORT_BUY = new Comparator<>() { 27 | @Override 28 | public int compare(OrderKey o1, OrderKey o2) { 29 | // 价格高在前: 30 | int cmp = o2.price.compareTo(o1.price); 31 | // 时间早在前: 32 | return cmp == 0 ? Long.compare(o1.sequenceId, o2.sequenceId) : cmp; 33 | } 34 | }; 35 | 36 | public final Direction direction; 37 | public final TreeMap book; 38 | 39 | public OrderBook(Direction direction) { 40 | this.direction = direction; 41 | this.book = new TreeMap<>(direction == Direction.BUY ? SORT_BUY : SORT_SELL); 42 | } 43 | 44 | public Order getFirst() { 45 | return this.book.isEmpty() ? null : this.book.firstEntry().getValue(); 46 | } 47 | 48 | public boolean remove(Order order) { 49 | return this.book.remove(new OrderKey(order.sequenceId, order.price)) != null; 50 | } 51 | 52 | public boolean add(Order order) { 53 | return this.book.put(new OrderKey(order.sequenceId, order.price), order) == null; 54 | } 55 | 56 | public boolean exist(Order order) { 57 | return this.book.containsKey(new OrderKey(order.sequenceId, order.price)); 58 | } 59 | 60 | public int size() { 61 | return this.book.size(); 62 | } 63 | 64 | @Override 65 | public String toString() { 66 | if (this.book.isEmpty()) { 67 | return "(empty)"; 68 | } 69 | List orders = new ArrayList<>(10); 70 | for (Entry entry : this.book.entrySet()) { 71 | orders.add(entry.getValue().toString()); 72 | } 73 | if (direction == Direction.SELL) { 74 | Collections.reverse(orders); 75 | } 76 | return String.join("\n", orders); 77 | } 78 | 79 | } 80 | -------------------------------------------------------------------------------- /src/main/java/com/itranswarp/clearing/ClearingService.java: -------------------------------------------------------------------------------- 1 | package com.itranswarp.clearing; 2 | 3 | import java.math.BigDecimal; 4 | 5 | import com.itranswarp.assets.AssetService; 6 | import com.itranswarp.assets.Transfer; 7 | import com.itranswarp.match.MatchRecord; 8 | import com.itranswarp.match.MatchResult; 9 | import com.itranswarp.order.Order; 10 | import com.itranswarp.order.OrderService; 11 | 12 | public class ClearingService { 13 | 14 | final AssetService assetService; 15 | final OrderService orderService; 16 | 17 | public ClearingService(AssetService assetService, OrderService orderService) { 18 | this.assetService = assetService; 19 | this.orderService = orderService; 20 | } 21 | 22 | public void clearMatchResult(MatchResult result) { 23 | Order taker = result.takerOrder; 24 | switch (taker.direction) { 25 | case BUY -> { 26 | // 买入时，按Maker的价格成交： 27 | for (MatchRecord record : result.matchRecords) { 28 | Order maker = record.makerOrder; 29 | BigDecimal matched = record.amount; 30 | if (taker.price.compareTo(maker.price) > 0) { 31 | // 实际买入价比报价低，部分金额退回账户: 32 | BigDecimal unfreezeQuote = taker.price.subtract(maker.price).multiply(matched); 33 | assetService.unfreeze(taker.userId, "FIAT", unfreezeQuote); 34 | } 35 | // 买方FIAT转入卖方账户: 36 | assetService.transfer(Transfer.FROZEN_TO_AVAILABLE, taker.userId, maker.userId, "FIAT", maker.price.multiply(matched)); 37 | // 卖方STOCK转入买方账户: 38 | assetService.transfer(Transfer.FROZEN_TO_AVAILABLE, maker.userId, taker.userId, "STOCK", matched); 39 | // 删除完全成交的Maker: 40 | if (maker.unfilledAmount.signum() == 0) { 41 | orderService.removeOrder(maker.sequenceId); 42 | } 43 | } 44 | // 删除完全成交的Taker: 45 | if (taker.unfilledAmount.signum() == 0) { 46 | orderService.removeOrder(taker.sequenceId); 47 | } 48 | } 49 | case SELL -> { 50 | for (MatchRecord record : result.matchRecords) { 51 | Order maker = record.makerOrder; 52 | BigDecimal matched = record.amount; 53 | // 卖方STOCK转入买方账户: 54 | assetService.transfer(Transfer.FROZEN_TO_AVAILABLE, taker.userId, maker.userId, "STOCK", matched); 55 | // 买方FIAT转入卖方账户: 56 | assetService.transfer(Transfer.FROZEN_TO_AVAILABLE, maker.userId, taker.userId, "FIAT", maker.price.multiply(matched)); 57 | // 删除完全成交的Maker: 58 | if (maker.unfilledAmount.signum() == 0) { 59 | orderService.removeOrder(maker.sequenceId); 60 | } 61 | } 62 | // 删除完全成交的Taker: 63 | if (taker.unfilledAmount.signum() == 0) { 64 | orderService.removeOrder(taker.sequenceId); 65 | } 66 | } 67 | default -> throw new IllegalArgumentException("Invalid direction."); 68 | } 69 | } 70 | 71 | public void clearCancelOrder(Order order) { 72 | switch (order.direction) { 73 | case BUY -> { 74 | // 解冻FIAT: 75 | assetService.unfreeze(order.userId, "FIAT", order.price.multiply(order.unfilledAmount)); 76 | } 77 | case SELL -> { 78 | // 解冻STOCK: 79 | assetService.unfreeze(order.userId, "STOCK", order.unfilledAmount); 80 | } 81 | default -> throw new IllegalArgumentException("Invalid direction."); 82 | } 83 | // 从OrderService中删除订单: 84 | orderService.removeOrder(order.sequenceId); 85 | } 86 | } 87 | -------------------------------------------------------------------------------- /src/main/java/com/itranswarp/match/MatchEngine.java: -------------------------------------------------------------------------------- 1 | package com.itranswarp.match; 2 | 3 | import java.math.BigDecimal; 4 | 5 | import com.itranswarp.order.Direction; 6 | import com.itranswarp.order.Order; 7 | import com.itranswarp.order.OrderStatus; 8 | 9 | public class MatchEngine { 10 | 11 | public final OrderBook buyBook = new OrderBook(Direction.BUY); 12 | public final OrderBook sellBook = new OrderBook(Direction.SELL); 13 | public BigDecimal marketPrice = BigDecimal.ZERO; // 最新市场价 14 | 15 | public MatchResult processOrder(Order order) { 16 | return switch (order.direction) { 17 | case BUY -> processOrder(order, this.sellBook, this.buyBook); 18 | case SELL -> processOrder(order, this.buyBook, this.sellBook); 19 | default -> throw new IllegalArgumentException("Invalid direction."); 20 | }; 21 | } 22 | 23 | /** 24 | * @param takerOrder 输入订单 25 | * @param makerBook 尝试匹配成交的OrderBook 26 | * @param anotherBook 未能完全成交后挂单的OrderBook 27 | * @return 成交结果 28 | */ 29 | MatchResult processOrder(Order takerOrder, OrderBook makerBook, OrderBook anotherBook) { 30 | MatchResult matchResult = new MatchResult(takerOrder); 31 | for (;;) { 32 | Order makerOrder = makerBook.getFirst(); 33 | if (makerOrder == null) { 34 | // 对手盘不存在: 35 | break; 36 | } 37 | if (takerOrder.direction == Direction.BUY && takerOrder.price.compareTo(makerOrder.price) < 0) { 38 | // 买入订单价格比卖盘第一档价格低: 39 | break; 40 | } else if (takerOrder.direction == Direction.SELL && takerOrder.price.compareTo(makerOrder.price) > 0) { 41 | // 卖出订单价格比卖盘第一档价格高: 42 | break; 43 | } 44 | // 以Maker价格成交: 45 | this.marketPrice = makerOrder.price; 46 | // 待成交数量为两者较小值: 47 | BigDecimal matchedAmount = takerOrder.unfilledAmount.min(makerOrder.unfilledAmount); 48 | // 成交记录: 49 | matchResult.add(makerOrder.price, matchedAmount, makerOrder); 50 | // 更新成交后的订单数量: 51 | takerOrder.unfilledAmount = takerOrder.unfilledAmount.subtract(matchedAmount); 52 | makerOrder.unfilledAmount = makerOrder.unfilledAmount.subtract(matchedAmount); 53 | // 对手盘完全成交后，从订单簿中删除: 54 | if (makerOrder.unfilledAmount.signum() == 0) { 55 | makerOrder.status = OrderStatus.FULLY_FILLED; 56 | makerBook.remove(makerOrder); 57 | } else { 58 | // 对手盘部分成交: 59 | makerOrder.status = OrderStatus.PARCIAL_FILLED; 60 | } 61 | // Taker订单完全成交后，退出循环: 62 | if (takerOrder.unfilledAmount.signum() == 0) { 63 | takerOrder.status = OrderStatus.FULLY_FILLED; 64 | break; 65 | } 66 | } 67 | // Taker订单未完全成交时，放入订单簿: 68 | if (takerOrder.unfilledAmount.signum() > 0) { 69 | anotherBook.add(takerOrder); 70 | if (takerOrder.unfilledAmount.compareTo(takerOrder.amount) < 0) { 71 | // 有部分成交: 72 | takerOrder.status = OrderStatus.PARCIAL_FILLED; 73 | } 74 | } 75 | return matchResult; 76 | } 77 | 78 | public void cancel(Order order) { 79 | OrderBook book = order.direction == Direction.BUY ? this.buyBook : this.sellBook; 80 | if (!book.remove(order)) { 81 | throw new IllegalArgumentException("Order not found in order book."); 82 | } 83 | order.status = OrderStatus.CANCELLED; 84 | } 85 | 86 | public void debug() { 87 | System.out.println("---------- match engine ----------"); 88 | System.out.println(this.sellBook); 89 | System.out.println("----------"); 90 | System.out.println(this.marketPrice); 91 | System.out.println("----------"); 92 | System.out.println(this.buyBook); 93 | System.out.println("---------- // match engine ----------"); 94 | } 95 | } 96 | -------------------------------------------------------------------------------- /src/main/java/com/itranswarp/assets/AssetService.java: -------------------------------------------------------------------------------- 1 | package com.itranswarp.assets; 2 | 3 | import java.math.BigDecimal; 4 | import java.util.ArrayList; 5 | import java.util.Collections; 6 | import java.util.List; 7 | import java.util.Map; 8 | import java.util.concurrent.ConcurrentHashMap; 9 | import java.util.concurrent.ConcurrentMap; 10 | 11 | public class AssetService { 12 | 13 | // userId -> (assetId -> Asset) 14 | public ConcurrentMap> userAssets = new ConcurrentHashMap<>(); 15 | 16 | public Asset getAsset(Long userId, String assetId) { 17 | Map assets = userAssets.get(userId); 18 | if (assets == null) { 19 | return null; 20 | } 21 | return assets.get(assetId); 22 | } 23 | 24 | public boolean tryFreeze(Long userId, String assetId, BigDecimal amount) { 25 | return tryTransfer(Transfer.AVAILABLE_TO_FROZEN, userId, userId, assetId, amount, true); 26 | } 27 | 28 | public void unfreeze(Long userId, String assetId, BigDecimal amount) { 29 | if (!tryTransfer(Transfer.FROZEN_TO_AVAILABLE, userId, userId, assetId, amount, true)) { 30 | throw new RuntimeException("Unfreeze failed for user " + userId + ", asset = " + assetId + ", amount = " + amount); 31 | } 32 | } 33 | 34 | public void transfer(Transfer type, Long fromUser, Long toUser, String assetId, BigDecimal amount) { 35 | if (!tryTransfer(type, fromUser, toUser, assetId, amount, true)) { 36 | throw new RuntimeException( 37 | "Transfer failed for " + type + ", from user " + fromUser + " to user " + toUser + ", asset = " + assetId + ", amount = " + amount); 38 | } 39 | } 40 | 41 | public boolean tryTransfer(Transfer type, Long fromUser, Long toUser, String assetId, BigDecimal amount, boolean checkBalance) { 42 | if (amount.signum() == 0) { 43 | return true; 44 | } 45 | if (amount.signum() < 0) { 46 | throw new IllegalArgumentException("Negative amount"); 47 | } 48 | Asset fromAsset = getAsset(fromUser, assetId); 49 | if (fromAsset == null) { 50 | fromAsset = initAssets(fromUser, assetId); 51 | } 52 | Asset toAsset = getAsset(toUser, assetId); 53 | if (toAsset == null) { 54 | toAsset = initAssets(toUser, assetId); 55 | } 56 | return switch (type) { 57 | case AVAILABLE_TO_AVAILABLE -> { 58 | // 需要检查余额且余额不足: 59 | if (checkBalance && fromAsset.available.compareTo(amount) < 0) { 60 | yield false; 61 | } 62 | fromAsset.available = fromAsset.available.subtract(amount); 63 | toAsset.available = toAsset.available.add(amount); 64 | yield true; 65 | } 66 | case AVAILABLE_TO_FROZEN -> { 67 | // 需要检查余额且余额不足: 68 | if (checkBalance && fromAsset.available.compareTo(amount) < 0) { 69 | yield false; 70 | } 71 | fromAsset.available = fromAsset.available.subtract(amount); 72 | toAsset.frozen = toAsset.frozen.add(amount); 73 | yield true; 74 | } 75 | case FROZEN_TO_AVAILABLE -> { 76 | // 需要检查余额且余额不足: 77 | if (checkBalance && fromAsset.frozen.compareTo(amount) < 0) { 78 | yield false; 79 | } 80 | fromAsset.frozen = fromAsset.frozen.subtract(amount); 81 | toAsset.available = toAsset.available.add(amount); 82 | yield true; 83 | } 84 | default -> { 85 | throw new IllegalArgumentException("invalid type: " + type); 86 | } 87 | }; 88 | } 89 | 90 | Asset initAssets(Long userId, String assetId) { 91 | ConcurrentMap map = userAssets.get(userId); 92 | if (map == null) { 93 | map = new ConcurrentHashMap<>(); 94 | userAssets.put(userId, map); 95 | } 96 | Asset zeroAsset = new Asset(); 97 | map.put(assetId, zeroAsset); 98 | return zeroAsset; 99 | } 100 | 101 | public void debug() { 102 | System.out.println("---------- assets ----------"); 103 | List userIds = new ArrayList<>(userAssets.keySet()); 104 | Collections.sort(userIds); 105 | for (Long userId : userIds) { 106 | System.out.println(" user " + userId + " ----------"); 107 | Map assets = userAssets.get(userId); 108 | List assetIds = new ArrayList<>(assets.keySet()); 109 | Collections.sort(assetIds); 110 | for (String assetId : assetIds) { 111 | System.out.println(" " + assetId + ": " + assets.get(assetId)); 112 | } 113 | } 114 | System.out.println("---------- // assets ----------"); 115 | } 116 | } 117 | -------------------------------------------------------------------------------- /src/main/java/com/itranswarp/TradingEngine.java: -------------------------------------------------------------------------------- 1 | package com.itranswarp; 2 | 3 | import java.math.BigDecimal; 4 | import java.util.HashMap; 5 | import java.util.Map; 6 | import java.util.Map.Entry; 7 | import java.util.concurrent.ConcurrentMap; 8 | 9 | import com.itranswarp.assets.Asset; 10 | import com.itranswarp.assets.AssetService; 11 | import com.itranswarp.assets.Transfer; 12 | import com.itranswarp.assets.Users; 13 | import com.itranswarp.clearing.ClearingService; 14 | import com.itranswarp.match.MatchEngine; 15 | import com.itranswarp.match.MatchResult; 16 | import com.itranswarp.order.Direction; 17 | import com.itranswarp.order.Order; 18 | import com.itranswarp.order.OrderService; 19 | 20 | public class TradingEngine { 21 | 22 | final AssetService assetService; 23 | final OrderService orderService; 24 | final MatchEngine matchEngine; 25 | final ClearingService clearingService; 26 | 27 | public TradingEngine() { 28 | this.assetService = new AssetService(); 29 | this.orderService = new OrderService(this.assetService); 30 | this.matchEngine = new MatchEngine(); 31 | this.clearingService = new ClearingService(this.assetService, this.orderService); 32 | } 33 | 34 | public void deposit(Long userId, String assetId, BigDecimal amount) { 35 | if (userId == null || userId.longValue() < Users.TRADER) { 36 | throw new IllegalArgumentException("Invalid user id."); 37 | } 38 | if (!"FIAT".equals(assetId) && !"STOCK".equals(assetId)) { 39 | throw new IllegalArgumentException("Invalid asset id."); 40 | } 41 | if (amount == null || amount.signum() <= 0 || amount.scale() > 2) { 42 | throw new IllegalArgumentException("Invalid amount."); 43 | } 44 | boolean ok = this.assetService.tryTransfer(Transfer.AVAILABLE_TO_AVAILABLE, Users.DEBT, userId, assetId, amount, false); 45 | if (!ok) { 46 | throw new RuntimeException("deposit transfer failed."); 47 | } 48 | } 49 | 50 | /** 51 | * 创建订单 52 | */ 53 | public Order createOrder(Long userId, Direction direction, BigDecimal price, BigDecimal amount) { 54 | if (userId == null || userId.longValue() < Users.TRADER) { 55 | throw new IllegalArgumentException("Invalid user id."); 56 | } 57 | if (direction == null) { 58 | throw new IllegalArgumentException("Invalid direction."); 59 | } 60 | if (price == null || price.signum() <= 0 || price.scale() > 2) { 61 | throw new IllegalArgumentException("Invalid price."); 62 | } 63 | if (amount == null || amount.signum() <= 0 || amount.scale() > 2) { 64 | throw new IllegalArgumentException("Invalid amount."); 65 | } 66 | Order order = this.orderService.createOrder(userId, direction, price, amount); 67 | MatchResult result = this.matchEngine.processOrder(order); 68 | this.clearingService.clearMatchResult(result); 69 | return order; 70 | } 71 | 72 | /** 73 | * 撤销订单 74 | */ 75 | public Order cancelOrder(Long userId, Long sequenceId) { 76 | Order order = this.orderService.getOrder(sequenceId); 77 | // 未找到活动订单或订单不属于该用户: 78 | if (order == null || order.userId.longValue() != userId.longValue()) { 79 | throw new IllegalArgumentException("Order not found by sequenceId: " + sequenceId); 80 | } 81 | this.matchEngine.cancel(order); 82 | this.clearingService.clearCancelOrder(order); 83 | return order; 84 | } 85 | 86 | public void debug() { 87 | System.out.println("========== trading engine =========="); 88 | this.assetService.debug(); 89 | this.matchEngine.debug(); 90 | System.out.println("========== // trading engine =========="); 91 | } 92 | 93 | public void validate() { 94 | validateAssets(); 95 | validateOrders(); 96 | validateMatchEngine(); 97 | } 98 | 99 | void validateAssets() { 100 | // 验证系统资产完整性: 101 | BigDecimal totalFiat = BigDecimal.ZERO; 102 | BigDecimal totalStock = BigDecimal.ZERO; 103 | for (Entry> userEntry : this.assetService.userAssets.entrySet()) { 104 | Long userId = userEntry.getKey(); 105 | ConcurrentMap assets = userEntry.getValue(); 106 | for (Entry entry : assets.entrySet()) { 107 | String assetId = entry.getKey(); 108 | Asset asset = entry.getValue(); 109 | if (userId.longValue() >= Users.TRADER) { 110 | // 交易用户的available/frozen不允许为负数: 111 | require(asset.getAvailable().signum() >= 0, "Trader has negative available: " + asset); 112 | require(asset.getFrozen().signum() >= 0, "Trader has negative frozen: " + asset); 113 | } 114 | if (userId.longValue() == Users.DEBT) { 115 | // 系统负债账户available不允许为正: 116 | require(asset.getAvailable().signum() <= 0, "Debt has positive available: " + asset); 117 | // 系统负债账户frozen必须为0: 118 | require(asset.getFrozen().signum() == 0, "Debt has non-zero frozen: " + asset); 119 | } 120 | switch (assetId) { 121 | case "FIAT" -> { 122 | totalFiat = totalFiat.add(asset.getTotal()); 123 | } 124 | case "STOCK" -> { 125 | totalStock = totalStock.add(asset.getTotal()); 126 | } 127 | default -> throw new RuntimeException("Unexpected asset id: " + assetId); 128 | } 129 | } 130 | } 131 | // 各类别资产总额为0: 132 | require(totalFiat.signum() == 0, "Non zero fiat balance: " + totalFiat); 133 | require(totalStock.signum() == 0, "Non zero stock balance: " + totalStock); 134 | } 135 | 136 | void validateOrders() { 137 | // 验证订单: 138 | Map> userOrderFrozen = new HashMap<>(); 139 | for (Entry entry : this.orderService.activeOrders.entrySet()) { 140 | Order order = entry.getValue(); 141 | require(order.unfilledAmount.signum() > 0, "Active order must have positive unfilled amount: " + order); 142 | switch (order.direction) { 143 | case BUY -> { 144 | // 订单必须在MatchEngine中: 145 | require(this.matchEngine.buyBook.exist(order), "order not found in buy book: " + order); 146 | // 累计冻结的FIAT: 147 | userOrderFrozen.putIfAbsent(order.userId, new HashMap<>()); 148 | Map frozenAssets = userOrderFrozen.get(order.userId); 149 | frozenAssets.putIfAbsent("FIAT", BigDecimal.ZERO); 150 | BigDecimal frozen = frozenAssets.get("FIAT"); 151 | frozenAssets.put("FIAT", frozen.add(order.price.multiply(order.unfilledAmount))); 152 | } 153 | case SELL -> { 154 | // 订单必须在MatchEngine中: 155 | require(this.matchEngine.sellBook.exist(order), "order not found in sell book: " + order); 156 | // 累计冻结的STOCK: 157 | userOrderFrozen.putIfAbsent(order.userId, new HashMap<>()); 158 | Map frozenAssets = userOrderFrozen.get(order.userId); 159 | frozenAssets.putIfAbsent("STOCK", BigDecimal.ZERO); 160 | BigDecimal frozen = frozenAssets.get("STOCK"); 161 | frozenAssets.put("STOCK", frozen.add(order.unfilledAmount)); 162 | } 163 | default -> throw new RuntimeException("Unexpected direction."); 164 | } 165 | } 166 | // 订单冻结的累计金额必须和Asset冻结一致: 167 | for (Entry> userEntry : this.assetService.userAssets.entrySet()) { 168 | Long userId = userEntry.getKey(); 169 | ConcurrentMap assets = userEntry.getValue(); 170 | for (Entry entry : assets.entrySet()) { 171 | String assetId = entry.getKey(); 172 | Asset asset = entry.getValue(); 173 | if (asset.getFrozen().signum() > 0) { 174 | Map orderFrozen = userOrderFrozen.get(userId); 175 | require(orderFrozen != null, "No order frozen found for user: " + userId + ", asset: " + asset); 176 | BigDecimal frozen = orderFrozen.get(assetId); 177 | require(frozen != null, "No order frozen found for asset: " + asset); 178 | require(frozen.compareTo(asset.getFrozen()) == 0, "Order frozen " + frozen + " is not equals to asset frozen: " + asset); 179 | // 从userOrderFrozen中删除已验证的Asset数据: 180 | orderFrozen.remove(assetId); 181 | } 182 | } 183 | } 184 | // userOrderFrozen不存在未验证的Asset数据: 185 | for (Entry> userEntry : userOrderFrozen.entrySet()) { 186 | Long userId = userEntry.getKey(); 187 | Map frozenAssets = userEntry.getValue(); 188 | require(frozenAssets.isEmpty(), "User " + userId + " has unexpected frozen for order: " + frozenAssets); 189 | } 190 | } 191 | 192 | void validateMatchEngine() { 193 | // OrderBook的Order必须在ActiveOrders中: 194 | Map copyOfActiveOrders = new HashMap<>(this.orderService.activeOrders); 195 | for (Order order : this.matchEngine.buyBook.book.values()) { 196 | require(copyOfActiveOrders.remove(order.sequenceId) == order, "Order in buy book is not in active orders: " + order); 197 | } 198 | for (Order order : this.matchEngine.sellBook.book.values()) { 199 | require(copyOfActiveOrders.remove(order.sequenceId) == order, "Order in sell book is not in active orders: " + order); 200 | } 201 | // activeOrders的所有Order必须在Order Book中: 202 | require(copyOfActiveOrders.isEmpty(), "Not all active orders are in order book."); 203 | } 204 | 205 | void require(boolean condition, String errorMessage) { 206 | if (!condition) { 207 | throw new RuntimeException(errorMessage); 208 | } 209 | } 210 | } 211 | -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- 1 | GNU GENERAL PUBLIC LICENSE 2 | Version 3, 29 June 2007 3 | 4 | Copyright (C) 2007 Free Software Foundation, Inc. 5 | Everyone is permitted to copy and distribute verbatim copies 6 | of this license document, but changing it is not allowed. 7 | 8 | Preamble 9 | 10 | The GNU General Public License is a free, copyleft license for 11 | software and other kinds of works. 12 | 13 | The licenses for most software and other practical works are designed 14 | to take away your freedom to share and change the works. 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You may not convey a covered 525 | work if you are a party to an arrangement with a third party that is 526 | in the business of distributing software, under which you make payment 527 | to the third party based on the extent of your activity of conveying 528 | the work, and under which the third party grants, to any of the 529 | parties who would receive the covered work from you, a discriminatory 530 | patent license (a) in connection with copies of the covered work 531 | conveyed by you (or copies made from those copies), or (b) primarily 532 | for and in connection with specific products or compilations that 533 | contain the covered work, unless you entered into that arrangement, 534 | or that patent license was granted, prior to 28 March 2007. 535 | 536 | Nothing in this License shall be construed as excluding or limiting 537 | any implied license or other defenses to infringement that may 538 | otherwise be available to you under applicable patent law. 539 | 540 | 12. No Surrender of Others' Freedom. 541 | 542 | If conditions are imposed on you (whether by court order, agreement or 543 | otherwise) that contradict the conditions of this License, they do not 544 | excuse you from the conditions of this License. If you cannot convey a 545 | covered work so as to satisfy simultaneously your obligations under this 546 | License and any other pertinent obligations, then as a consequence you may 547 | not convey it at all. For example, if you agree to terms that obligate you 548 | to collect a royalty for further conveying from those to whom you convey 549 | the Program, the only way you could satisfy both those terms and this 550 | License would be to refrain entirely from conveying the Program. 551 | 552 | 13. Use with the GNU Affero General Public License. 553 | 554 | Notwithstanding any other provision of this License, you have 555 | permission to link or combine any covered work with a work licensed 556 | under version 3 of the GNU Affero General Public License into a single 557 | combined work, and to convey the resulting work. The terms of this 558 | License will continue to apply to the part which is the covered work, 559 | but the special requirements of the GNU Affero General Public License, 560 | section 13, concerning interaction through a network will apply to the 561 | combination as such. 562 | 563 | 14. Revised Versions of this License. 564 | 565 | The Free Software Foundation may publish revised and/or new versions of 566 | the GNU General Public License from time to time. Such new versions will 567 | be similar in spirit to the present version, but may differ in detail to 568 | address new problems or concerns. 569 | 570 | Each version is given a distinguishing version number. If the 571 | Program specifies that a certain numbered version of the GNU General 572 | Public License "or any later version" applies to it, you have the 573 | option of following the terms and conditions either of that numbered 574 | version or of any later version published by the Free Software 575 | Foundation. If the Program does not specify a version number of the 576 | GNU General Public License, you may choose any version ever published 577 | by the Free Software Foundation. 578 | 579 | If the Program specifies that a proxy can decide which future 580 | versions of the GNU General Public License can be used, that proxy's 581 | public statement of acceptance of a version permanently authorizes you 582 | to choose that version for the Program. 583 | 584 | Later license versions may give you additional or different 585 | permissions. However, no additional obligations are imposed on any 586 | author or copyright holder as a result of your choosing to follow a 587 | later version. 588 | 589 | 15. Disclaimer of Warranty. 590 | 591 | THERE IS NO WARRANTY FOR THE PROGRAM, TO THE EXTENT PERMITTED BY 592 | APPLICABLE LAW. EXCEPT WHEN OTHERWISE STATED IN WRITING THE COPYRIGHT 593 | HOLDERS AND/OR OTHER PARTIES PROVIDE THE PROGRAM "AS IS" WITHOUT WARRANTY 594 | OF ANY KIND, EITHER EXPRESSED OR IMPLIED, INCLUDING, BUT NOT LIMITED TO, 595 | THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR 596 | PURPOSE. THE ENTIRE RISK AS TO THE QUALITY AND PERFORMANCE OF THE PROGRAM 597 | IS WITH YOU. SHOULD THE PROGRAM PROVE DEFECTIVE, YOU ASSUME THE COST OF 598 | ALL NECESSARY SERVICING, REPAIR OR CORRECTION. 599 | 600 | 16. Limitation of Liability. 601 | 602 | IN NO EVENT UNLESS REQUIRED BY APPLICABLE LAW OR AGREED TO IN WRITING 603 | WILL ANY COPYRIGHT HOLDER, OR ANY OTHER PARTY WHO MODIFIES AND/OR CONVEYS 604 | THE PROGRAM AS PERMITTED ABOVE, BE LIABLE TO YOU FOR DAMAGES, INCLUDING ANY 605 | GENERAL, SPECIAL, INCIDENTAL OR CONSEQUENTIAL DAMAGES ARISING OUT OF THE 606 | USE OR INABILITY TO USE THE PROGRAM (INCLUDING BUT NOT LIMITED TO LOSS OF 607 | DATA OR DATA BEING RENDERED INACCURATE OR LOSSES SUSTAINED BY YOU OR THIRD 608 | PARTIES OR A FAILURE OF THE PROGRAM TO OPERATE WITH ANY OTHER PROGRAMS), 609 | EVEN IF SUCH HOLDER OR OTHER PARTY HAS BEEN ADVISED OF THE POSSIBILITY OF 610 | SUCH DAMAGES. 611 | 612 | 17. Interpretation of Sections 15 and 16. 613 | 614 | If the disclaimer of warranty and limitation of liability provided 615 | above cannot be given local legal effect according to their terms, 616 | reviewing courts shall apply local law that most closely approximates 617 | an absolute waiver of all civil liability in connection with the 618 | Program, unless a warranty or assumption of liability accompanies a 619 | copy of the Program in return for a fee. 620 | 621 | END OF TERMS AND CONDITIONS 622 | 623 | How to Apply These Terms to Your New Programs 624 | 625 | If you develop a new program, and you want it to be of the greatest 626 | possible use to the public, the best way to achieve this is to make it 627 | free software which everyone can redistribute and change under these terms. 628 | 629 | To do so, attach the following notices to the program. It is safest 630 | to attach them to the start of each source file to most effectively 631 | state the exclusion of warranty; and each file should have at least 632 | the "copyright" line and a pointer to where the full notice is found. 633 | 634 | 635 | Copyright (C) 636 | 637 | This program is free software: you can redistribute it and/or modify 638 | it under the terms of the GNU General Public License as published by 639 | the Free Software Foundation, either version 3 of the License, or 640 | (at your option) any later version. 641 | 642 | This program is distributed in the hope that it will be useful, 643 | but WITHOUT ANY WARRANTY; without even the implied warranty of 644 | MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 645 | GNU General Public License for more details. 646 | 647 | You should have received a copy of the GNU General Public License 648 | along with this program. If not, see . 649 | 650 | Also add information on how to contact you by electronic and paper mail. 651 | 652 | If the program does terminal interaction, make it output a short 653 | notice like this when it starts in an interactive mode: 654 | 655 | Copyright (C) 656 | This program comes with ABSOLUTELY NO WARRANTY; for details type `show w'. 657 | This is free software, and you are welcome to redistribute it 658 | under certain conditions; type `show c' for details. 659 | 660 | The hypothetical commands `show w' and `show c' should show the appropriate 661 | parts of the General Public License. Of course, your program's commands 662 | might be different; for a GUI interface, you would use an "about box". 663 | 664 | You should also get your employer (if you work as a programmer) or school, 665 | if any, to sign a "copyright disclaimer" for the program, if necessary. 666 | For more information on this, and how to apply and follow the GNU GPL, see 667 | . 668 | 669 | The GNU General Public License does not permit incorporating your program 670 | into proprietary programs. If your program is a subroutine library, you 671 | may consider it more useful to permit linking proprietary applications with 672 | the library. If this is what you want to do, use the GNU Lesser General 673 | Public License instead of this License. But first, please read 674 | . 675 | --------------------------------------------------------------------------------