Log instead of throw for duplicate prices in MarketOrderBook and merg…

…e lines
sjanel · Mar 23, 2024 · 92b3b77 · 92b3b77
1 parent 7c09065
commit 92b3b77
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Showing 2 changed files with 46 additions and 4 deletions.
diff --git a/src/objects/src/marketorderbook.cpp b/src/objects/src/marketorderbook.cpp
@@ -66,10 +66,21 @@ MarketOrderBook::MarketOrderBook(TimePoint timeStamp, Market market, const Marke
   }
 
   std::ranges::sort(_orders, [](auto lhs, auto rhs) { return lhs.price < rhs.price; });
-  const auto adjacentFindIt =
-      std::ranges::adjacent_find(_orders, [](auto lhs, auto rhs) { return lhs.price == rhs.price; });
-  if (adjacentFindIt != _orders.end()) {
-    throw exception("Forbidden duplicate price {} in the order book for market {}", adjacentFindIt->price, market);
+
+  for (auto it = _orders.begin(); it != _orders.end();) {
+    it = std::adjacent_find(it, _orders.end(), [](auto lhs, auto rhs) { return lhs.price == rhs.price; });
+    if (it != _orders.end()) {
+      auto nextIt = std::next(it);
+      log::warn("Forbidden duplicate price {} at amounts {} & {} in the order book for market {}, summing them",
+                it->price, it->amount, nextIt->amount, market);
+      nextIt->amount += it->amount;
+      // Remove the first duplicated price line (we summed the amounts on the next line)
+      it = _orders.erase(it);
+      if (it->amount == 0) {
+        // If the sum has 0 amount, remove the next one as well
+        it = _orders.erase(it);
+      }
+    }
   }
 
   const auto highestBidPriceIt =

diff --git a/src/objects/test/marketorderbook_test.cpp b/src/objects/test/marketorderbook_test.cpp
@@ -153,6 +153,37 @@ TEST_F(MarketOrderBookTestCase1, Convert) {
   EXPECT_EQ(marketOrderBook.convert(MonetaryAmount("800", "EUR")), MonetaryAmount("0.61443932411674347", "ETH"));
 }
 
+class MarketOrderBookTestDuplicatedLines : public ::testing::Test {
+ protected:
+  MarketOrderBook marketOrderBook{
+      TimePoint{}, Market("ETH", "EUR"),
+      CreateMarketOrderBookLines(
+          {OrderBookLine(MonetaryAmount("0.65", "ETH"), MonetaryAmount("1300.50", "EUR"), OrderBookLine::Type::kBid),
+           OrderBookLine(MonetaryAmount("0.24", "ETH"), MonetaryAmount("1301", "EUR"), OrderBookLine::Type::kBid),
+           OrderBookLine(MonetaryAmount("0.11", "ETH"), MonetaryAmount("1301.50", "EUR"), OrderBookLine::Type::kBid),
+           OrderBookLine(MonetaryAmount("0.11", "ETH"), MonetaryAmount("1301.50", "EUR"), OrderBookLine::Type::kAsk),
+           OrderBookLine(MonetaryAmount("1.4009", "ETH"), MonetaryAmount("1302", "EUR"), OrderBookLine::Type::kAsk),
+           OrderBookLine(MonetaryAmount("3.78", "ETH"), MonetaryAmount("1302.50", "EUR"), OrderBookLine::Type::kAsk),
+           OrderBookLine(MonetaryAmount("0.24", "ETH"), MonetaryAmount("1302.50", "EUR"), OrderBookLine::Type::kAsk),
+           OrderBookLine(MonetaryAmount("56.10001267", "ETH"), MonetaryAmount("1303", "EUR"),
+                         OrderBookLine::Type::kAsk)})};
+};
+
+TEST_F(MarketOrderBookTestDuplicatedLines, NumberOfElements) {
+  EXPECT_EQ(marketOrderBook.size(), 5);
+  EXPECT_EQ(marketOrderBook.nbAskPrices(), 3);
+  EXPECT_EQ(marketOrderBook.nbBidPrices(), 2);
+}
+
+TEST_F(MarketOrderBookTestDuplicatedLines, MiddleElements) {
+  EXPECT_EQ(marketOrderBook.lowestAskPrice(), MonetaryAmount("1302", "EUR"));
+  EXPECT_EQ(marketOrderBook.highestBidPrice(), MonetaryAmount("1301", "EUR"));
+}
+
+TEST_F(MarketOrderBookTestDuplicatedLines, SummedAmountAsk) {
+  EXPECT_EQ(marketOrderBook[2].amount, MonetaryAmount("4.02", "ETH"));
+}
+
 class MarketOrderBookTestCase2 : public ::testing::Test {
  protected:
   TimePoint time;