Matching incoming market order against outstanding limit orders

MarketOrdersMatching.feature

Feature: Core matching logic for market orders

  Scenario: Matching a large Buy market order against multiple limit orders
  The order is large enough to fill the entire opposite book
  The remainder of the market order is expected to rest in its book
    When the following orders are submitted in this order:
      | Broker | Side | Qty | Price |
      | A      | Buy  | 100 | 10.7  |
      | B      | Buy  | 200 | 10.6  |
      | C      | Buy  | 300 | 10.5  |
      | D      | Sell | 650 | MO    |
    Then the following trades are generated:
      | Buying broker | Selling broker | Qty | Price |
      | A             | D              | 100 | 10.7  |
      | B             | D              | 200 | 10.6  |
      | C             | D              | 300 | 10.5  |
    And market order book looks like:
      | Broker | Qty | Price | Price | Qty | Broker |
      |        |     |       | MO    | 50  | D      |

  Scenario: Matching a small Buy market order against limit orders
  The order is small enough so it fills entirely
    When the following orders are submitted in this order:
      | Broker | Side | Qty | Price |
      | A      | Buy  | 100 | 10.7  |
      | B      | Buy  | 200 | 10.6  |
      | C      | Buy  | 300 | 10.5  |
      | D      | Sell | 150 | MO    |
    Then the following trades are generated:
      | Buying broker | Selling broker | Qty | Price |
      | A             | D              | 100 | 10.7  |
      | B             | D              | 50  | 10.6  |
    And market order book looks like:
      | Broker | Qty | Price | Price | Qty | Broker |
      | B      | 150 | 10.6  |       |     |        |
      | C      | 300 | 10.5  |       |     |        |

  Scenario: Matching a large Sell market order against multiple limit orders
  The order is large enough to fill the entire opposite book
  The remainder of the market order is expected to rest in its book
    When the following orders are submitted in this order:
      | Broker | Side | Qty | Price |
      | A      | Sell | 100 | 10.5  |
      | B      | Sell | 200 | 10.6  |
      | C      | Sell | 300 | 10.7  |
      | D      | Buy  | 650 | MO    |
    Then the following trades are generated:
      | Buying broker | Selling broker | Qty | Price |
      | D             | A              | 100 | 10.5  |
      | D             | B              | 200 | 10.6  |
      | D             | C              | 300 | 10.7  |
    And market order book looks like:
      | Broker | Qty | Price | Price | Qty | Broker |
      | D      | 50  | MO    |       |     |        |

  Scenario: Matching a small Sell market order against limit orders
  The order is small enough so it fills entirely
    When the following orders are submitted in this order:
      | Broker | Side | Qty | Price |
      | A      | Sell | 100 | 10.5  |
      | B      | Sell | 200 | 10.6  |
      | C      | Sell | 300 | 10.7  |
      | D      | Buy  | 150 | MO    |
    Then the following trades are generated:
      | Buying broker | Selling broker | Qty | Price |
      | D             | A              | 100 | 10.5  |
      | D             | B              | 50  | 10.6  |
    And market order book looks like:
      | Broker | Qty | Price | Price | Qty | Broker |
      |        |     |       | 10.6  | 150 | B      |
      |        |     |       | 10.7  | 300 | C      |