Query matching stock trading buyers/sellers based on conditions - sql

Question

I'm trying to create a stored procedure that matches buyers and sellers for a fake stock market program. I eventually I'd like to use this to populate a transaction table to finalize peoples orders. This would also be in a SQL Server Agent Job. Here's the table I have:
Id UserId Type QtyRemaining Price CreatedOn
1 3 BUY 50 1.00 2012-09-09 05:25:48.4470000
2 6 BUY 50 1.00 2012-09-09 19:25:34.4300000
3 5 SELL 30 1.00 2012-09-09 19:22:59.5900000
4 3 SELL 50 0.90 2012-09-09 06:39:34.9100000
5 2 SELLALL 50 1.00 2012-09-09 04:10:01.8400000
There are several conditions that need to be satisfied to make these matches:
A buyer must look for a seller that has >= amount of shares that the buyer wants if its a 'SELL' order. If its a 'SELLALL' order then the Qty must be equal for the buyer to buy the stock. E.g. The seller must be selling 50 shares and the buyer MUST be buying 50 shares at the same price or lower.
A buyer wants the minimum price for the stock.
If there are multiple sellers with the conditions above a buyer takes the oldest selling stock first after the minimum price.
So the pairs of traders would be #1 and #4, #2 and #5. Therefore #3 would still be pending.
Here's the code I was playing around with but I can't get it to match up properly with the minimum price and the oldest first:
select o.*, oa.*, r.* from [Order] o
join OrderActivity oa on o.Id = oa.OrderId
join (
select o2.Id, o2.VideoId, o2.UserId, oa2.Price, oa2.QtyRemaining, o2.[Type] from [Order] o2
join OrderActivity oa2 on o2.Id = oa2.OrderId
where o2.Type = 'buy' and oa2.Status = 'open'
) as r on (o.VideoId = r.VideoId and oa.Price <= r.Price and r.QtyRemaining = oa.QtyRemaining and o.UserId != r.UserId)
where (o.Type = 'sell' or o.Type = 'sellall') and oa.Status = 'open'

Answer 1

try this
Briefly ,
1.Rank buyer based on the createddate(named as stocks in the below query) 2.Rank seller based on the price,createddate(named as lowNoldstock)3.Get the matching rank
select stocks.*,lowNoldStock.*
from (select *,row_number() over(order by createdon) as buyerrank
from stocktable(nolock) where c='buy' ) stocks
inner join
(select *,row_number() over(order by price,createdon) as sellerrank
from stocktable(nolock) where [type]='sell' or [type]='sellall' ) lowNoldstock
on (stocks.qty<=lowNoldStock.qty and lowNoldStock.type='sell')
or (lowNoldStock.type='sellall' and stocks.qty=lowNoldStock.qty and stocks.price>=lowNoldStock.price)
where lowNoldStock.sellerrank=stocks.buyerrank
test script in sql fiddle ,for some reason it is showing partial result in sql fiddle
This works in my local database

Answer 2

You are welcome to play with this:
declare #Transactions as Table
( Id Int, UserId Int, Type VarChar(8), QtyRemaining Int, Price Money, CreatedOn DateTime )
insert into #Transactions ( Id, UserId, Type, QtyRemaining, Price, CreatedOn ) values
( 1, 3, 'BUY', 50, 1.00, '2012-09-09 05:25:48.447' ),
( 2, 6, 'BUY', 50, 1.00, '2012-09-09 19:25:34.430' ),
( 3, 5, 'SELL', 30, 1.00, '2012-09-09 19:22:59.590' ),
( 4, 3, 'SELL', 50, 0.90, '2012-09-09 06:39:34.910' ),
( 5, 2, 'SELLALL', 50, 1.00, '2012-09-09 04:10:01.840' )
-- Split the transactions into temporary working tables.
declare #Buyers as Table
( Id Int, UserId Int, Type VarChar(8), QtyRemaining Int, Price Money, CreatedOn DateTime )
declare #Sellers as Table
( Id Int, UserId Int, Type VarChar(8), QtyRemaining Int, Price Money, CreatedOn DateTime )
insert into #Buyers
select Id, UserId, Type, QtyRemaining, Price, CreatedOn
from #Transactions
where Type = 'BUY'
insert into #Sellers
select Id, UserId, Type, QtyRemaining, Price, CreatedOn
from #Transactions
where Type like 'SELL%'
-- Process the buy orders in the order in which they were created.
declare #BuyerId as Int = ( select top 1 Id from #Buyers order by CreatedOn )
declare #SellerId as Int
declare #Balance as Int
while #BuyerId is not NULL
begin
-- Pair a seller, if possible, with the current buyer.
; with Willard as (
select Row_Number() over ( order by S.Price, S.CreatedOn ) as Priority,
S.Id as S_Id, S.QtyRemaining as S_QtyRemaining,
B.QtyRemaining as B_QtyRemaining
from #Sellers as S inner join
#Buyers as B on B.Id = #BuyerId and
case
when S.Type = 'SELL' and B.QtyRemaining <= S.QtyRemaining then 1
when S.Type = 'SELLALL' and B.QtyRemaining = S.QtyRemaining then 1
else 0
end = 1
)
select #SellerId = S_Id, #Balance = S_QtyRemaining - B_QtyRemaining
from Willard
where Priority = 1
-- Display the result.
select #BuyerId as BuyerId, #SellerId as SellerId, #Balance as RemainingShares
-- Update the working tables.
if #Balance = 0
delete from #Sellers
where Id = #SellerId
else
update #Sellers
set QtyRemaining = #Balance
where Id = #SellerId
delete from #Buyers
where Id = #BuyerId
-- Find the next buy order.
set #BuyerId = ( select top 1 Id from #Buyers order by CreatedOn )
end
-- Display any unfilled orders.
select 'Unmatched Buy', *
from #Buyers
select 'Unmatched Sell', *
from #Sellers