Executed Price for "All Or None" Order are Using Highest Price even there is an order with lower price.

[devararendy]

Hi @chronoxor thank You for sharing this great matching engine library.

I would like to ask about AON (All Or None) Order. I'm using an example app "cpptrader-example-matching_engine". Below is a sequence of order that i enter:

1. Add AON Limit Sell Order : Price = 5; Qty = 100;
2. Add GTC Limit Buy : Price = 99999999; Qty = 50;
3. Add GTC Limit Buy : Price = 5; Qty = 25;
4. Add GTC Limit Buy : Price = 5; Qty = 25;

Now all orders executed, Order Id 2 has executed price = 99999999. But for Order Id 3 and 4 the executed price are also 99999999. For Order Id 3 and 4 it should be executed with price = 5 right ?

Below is a screen shot of the example app.

[chronoxor]

Confirm. There is an issue with

// Execute orders in the matching chain
ExecuteMatchingChain(order_book_ptr, bid_level_ptr, bid_order_ptr->Price, chain);
ExecuteMatchingChain(order_book_ptr, ask_level_ptr, ask_order_ptr->Price, chain);

Will fix soon!

[devararendy]

Thank You very much :)

Best Regards

[chronoxor]

@devararendy, please try a fix for AON issue

[devararendy]

@devararendy, please try a fix for AON issue

Great thank you so much, let me try the fix ;D

[devararendy]

Hi @chronoxor We have tested the new commit (using commit : 43b8cfbc438373d3fb9b784025f6018f453e4e72), now the executed price is correct.

thank you so much Best Regards