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Order / Price matching with bullhorn
package main
import (
"bullhorn"
"fmt"
"math/rand"
"runtime"
"time"
)
type bs_ind int
const (
buy bs_ind = iota
sell
)
type TouchPrice struct {
Epic string
BuyQty float64
BuyPrice float64
SellPrice float64
SellQty float64
}
func (t TouchPrice) String() string {
return fmt.Sprintf("%v: %5.0f %5.4f %5.4f %5.0f", t.Epic, t.BuyQty, t.BuyPrice, t.SellPrice, t.SellQty)
}
type LimitOrder struct {
Epic string
Ind bs_ind
Price float64
Qty float64
}
func main() {
runtime.GOMAXPROCS(2)
rand.Seed(time.Now().Unix())
// start the processing loop
bullhorn.Start(1024, 1024)
orders := make(chan interface{}, 1024)
// start order listener
go func() {
for order := range orders {
switch order := order.(type) {
case LimitOrder:
fmt.Printf("Got order:%v\n", order)
// spawn a price listener to monitor the order
go func(order LimitOrder) {
prices := make(chan interface{}, 1024)
// subscribe to price feed
bullhorn.Add(bullhorn.Subscription{fmt.Sprintf("%v", order.Epic), prices})
for price := range prices {
switch price := price.(type) {
case TouchPrice:
fmt.Printf("Matching:%v against:%v", order, price)
if (order.Ind == buy && order.Price >= price.SellPrice) || (order.Ind == sell && order.Price <= price.BuyPrice) {
fmt.Printf(" - Execute Order!\n")
// unsubscribe and kill goroutine
bullhorn.Delete(bullhorn.Subscription{fmt.Sprintf("%v", order.Epic), prices})
return
}
fmt.Printf("\n")
}
}
}(order)
}
}
}()
// subscribe the order listener to the order feed
bullhorn.Add(bullhorn.Subscription{"orders", orders})
// start the random price producer
go func() {
for {
price := TouchPrice{"CBG", 10000 * rand.Float64(), 1.10 - rand.Float64(), 1.00 + rand.Float64(), 15000 * rand.Float64()}
bullhorn.Publish(bullhorn.Event{"CBG", price})
time.Sleep(5e8)
}
}()
// Add a buy order
bullhorn.Publish(bullhorn.Event{"orders", LimitOrder{Epic: "CBG", Ind: buy, Price: 1.05, Qty: 100}})
// and a sell
bullhorn.Publish(bullhorn.Event{"orders", LimitOrder{Epic: "CBG", Ind: sell, Price: 1.05, Qty: 200}})
select {}
}
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