liquibook

liquibook copied to clipboard

Hello, I was working through the code and was just wondering what the purpose of the macro LIQUIBOOK_ORDER_KNOWS_CONDITIONS was. I understand there is some notion of whether the order knows...

brucetrask

Fix clang and gcc warning

2

prazek

In order_book.h there is issue with order replace. Instead of quantity on market, original quantity is used for modification. It corrupts the book and causes issue in CloseOrder for price...

chavanrc

Hi, I didn't want to install Boost so I followed the instructions as stated (edited env.sh). But when I run `./env.sh` I still get this error "`Please export BOOST_VERSION, and...

falxen

Feature Request: Saving data for recache

2

It would be great to add serialization abilities in liquibook for ease of system restart.

Gordon-TheTurtle

In cb_order_fill callback: Cost fill_cost = cb.price * cb.quantity; Both price and quantity have been multiplied their respective precisions to convert to int64_t: i.e. price = 100.00 USD -> 10000,...

Gordon-TheTurtle

Suspicious STOP LOSS logic, comparison seems inverted

4

https://github.com/objectcomputing/liquibook/blob/110695cf0a234888555323c94d8b65edb45fe8cf/src/book/order_book.h#L578 This seems to contradict line 553 since if the stop price (`here->first`) is a better deal than the market price (`until`) then it definitely is _time to panic_.

enewhuis

Compile error

2

OS: Ubuntu 16.04.3 LTS Compiler: gcc version 5.4.0 20160609 (Ubuntu 5.4.0-6ubuntu1~16.04.5) g++ -std=c++11 -I/usr/local/boost-1.63.0/include -I/usr/local/boost-1.63.0/include/boost -fPIC -O -D_REENTRANT -I"/usr/local/boost-1.63.0/include/boost-1.63.0" -I"/usr/local/boost-1.63.0/." -I"/home/ubuntu/liquiboo/quickfast/src" -I"/home/ubuntu/liquiboo/liquibook/src" -c -o "subscriber_main.o" subscriber_main.cpp In file included from...

MStumpp

Caught exception during callback: DepthLevel::close_order level quantity too low

2

for the order filled immediately, I got an exception 'Caught exception during callback: DepthLevel::close_order level quantity too low'. I trace down and found the DepthLevel::aggregateQty will be update only in...

Victsz

In test/unit/ut_all_or_none.cpp there is a test TestOneBidTwoAonAsk. But in code test creates aon bid and two asks with no conditions. There is already TestOneAonBidTwoAsk which does the same

Shohou