Implement processing of market-to-limit orders in matching engine #2354
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Pull Request
process_market_to_limit_orderinOrderMatchingEngineand testedPartiallyFilledvariant inOrderEventAnySequence of emmited events
OrderUpdated- order was updated to new limit price where market order stopped fillingOrderFilled- market order which was filled emits filled eventOrderAccepted- remaining quantity of market order is accepted as limit order in the bookTo account for this scenarios, two new order state transitions were aded:
(Self::Submitted, OrderEventAny::Updated(_)) => Self::Submittedorder is submitted and we are first updating new limit price, order state after this event staysSubmitted(we didnt fill it or accept it in the orderbook)(Self::PartiallyFilled, OrderEventAny::Accepted(_)) => Self::Accepted- partially filling the order, after market fill, we are leaving it in the book and accepting it