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fix: correct match handler to update order sizes properly (closes #278) #490

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fix: correct match handler to update order sizes properly (closes #278) #490

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26 changes: 26 additions & 0 deletions cbpro/order_book.py
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Original file line number Diff line number Diff line change
Expand Up @@ -120,6 +120,32 @@ def remove(self, order):
def match(self, order):
size = Decimal(order['size'])
price = Decimal(order['price'])
if order['side'] == 'buy':
bids = self.get_bids(price)
if bids is not None:
for bid in bids:
if bid['id'] == order['maker_order_id']:
bid['size'] -= size
if bid['size'] <= 0:
bids.remove(bid)
break
if len(bids) > 0:
self.set_bids(price, bids)
else:
self.remove_bids(price)
else:
asks = self.get_asks(price)
if asks is not None:
for ask in asks:
if ask['id'] == order['maker_order_id']:
ask['size'] -= size
if ask['size'] <= 0:
asks.remove(ask)
break
if len(asks) > 0:
self.set_asks(price, asks)
else:
self.remove_asks(price) Decimal(order['price'])

if order['side'] == 'buy':
bids = self.get_bids(price)
Expand Down