Order Book Matching Engine

order_book.js

function order_book(orders) {
    return orders.reduce((executedQuantity, currentOrder, currentOrderIndex) => {
        if (currentOrderIndex === 0) return executedQuantity;
        const matchingOrders = find_matching_orders(orders.slice(0, currentOrderIndex), currentOrder);
        if (!matchingOrders.length) return executedQuantity;
        for (let matchingOrderIndex = 0; matchingOrderIndex < matchingOrders.length; matchingOrderIndex++) {
            const currentOrderQuantity = parseInt(currentOrder[1], 0);
            if (currentOrderQuantity === 0) break;
            const matchingOrder = orders[matchingOrders[matchingOrderIndex].i];
            const matchingOrderQuantity = parseInt(matchingOrder[1], 0);
            if (matchingOrderQuantity === currentOrderQuantity) {
                executedQuantity += matchingOrderQuantity;
                matchingOrder[1] = 0;
                currentOrder[1] = 0;
            } else if (matchingOrderQuantity < currentOrderQuantity) {
                executedQuantity += matchingOrderQuantity;
                matchingOrder[1] = 0;
                currentOrder[1] -= matchingOrderQuantity;
            } else if (matchingOrderQuantity > currentOrderQuantity) {
                executedQuantity += currentOrderQuantity;
                matchingOrder[1] -= currentOrderQuantity;
                currentOrder[1] = 0;
            }
        }
        return executedQuantity;
    }, 0);
}

function find_matching_orders(orders, order) {
    const orderType = order[2];
    const orderPrice = parseInt(order[0], 0);
    return orders.reduce((matchingOrders, currentOrder, currentOrderIndex) => {
        const counterPartyOrderQuantity = parseInt(currentOrder[1], 0);
        if (counterPartyOrderQuantity === 0) return matchingOrders;
        const counterPartyOrderType = currentOrder[2];
        if (orderType === counterPartyOrderType) return matchingOrders;
        const counterPartyOrderPrice = parseInt(currentOrder[0], 0);
        if (
            orderType === 'buy' && orderPrice >= counterPartyOrderPrice ||
            orderType === 'sell' && orderPrice <= counterPartyOrderPrice
        ) {
            matchingOrders.push({
                i: currentOrderIndex,
                order: currentOrder,
            });
        }
        return matchingOrders;
    }, []).sort((matchingOrderA, matchingOrderB) => {
        const matchingOrderAPrice = parseInt(matchingOrderA.order[0], 0);
        const matchingOrderBPrice = parseInt(matchingOrderB.order[0], 0);
        return orderType === 'buy' ? matchingOrderAPrice - matchingOrderBPrice : matchingOrderBPrice - matchingOrderAPrice;
    });
}