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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 modify while deleting older order.
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 modify while deleting older order.
In order_book.h
case TypedCallback::cb_order_replace:
on_replace(cb.order,
cb.order->order_qty(),
cb.order->order_qty() + cb.delta,
cb.price);
if(order_listener_)
{
order_listener_->on_replace(cb.order,
cb.delta,
cb.price);
}
break;
Should be
case TypedCallback::cb_order_replace:
on_replace(cb.order,
cb.quantity_,
cb.quantity_ + cb.delta,
cb.price);
if(order_listener_)
{
order_listener_->on_replace(cb.order,
cb.delta,
cb.price);
}
break;
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