Bookbuilder modify keeps orders (coinbase#174)

* BookBuilderTest.ts: add asserts on adding and modifying orders with zero size.

* BookBuilder#modify: remove redundant check for order existence.

Because BookBuilder#remove() first checks if the order exists and
returns null if it doesn't, there is no need for modify() to also
check for its existence.

* BookBuilder#modify: keep an order even if its size goes to zero.

This is to work around a bug where Trader#handleTradeExecutedMessage()
would modify the order size to zero which would cause it to be deleted
from the orderbook. Later when Trader#handleTradeFinalized() was
called it wouldn't find the order and wouldn't emit
Trader.trade-finalized. Now with d3103dd committed it will always emit
Trader.trade-finalized.

However, this still appears to be the correct action. BookBuilder
supports adding orders with 0 size, which is inconsistent with
modifying an error. Also, only deleting orders when the trade is
finalized seems like a good consistency thing.

* Trader#handleTradeFinalized: micro-optimize.

src/core/Trader.ts

@@ -274,7 +274,7 @@ export class Trader extends Writable {
     private handleTradeFinalized(msg: TradeFinalizedMessage) {
         const id: string = msg.orderId;
         const order: Level3Order = this.myBook.remove(id);
-        if (!order && this.unfilledMarketOrders.has(id)) {
+        if (!order) {
             this.unfilledMarketOrders.delete(id);
         }
         this.emit('Trader.trade-finalized', msg);

src/lib/BookBuilder.ts

@@ -258,26 +258,21 @@ export class BookBuilder extends EventEmitter implements Orderbook {
 
     /**
      * Changes the size of an existing order to newSize. If the order doesn't exist, returns false.
-     * If the newSize is zero, the order is removed.
      * If newSize is negative, an error is thrown.
+     * Even if newSize is zero, the order is kept.
      * It is possible for an order to switch sides, in which case the newSide parameter determines the new side.
      */
     modify(id: string, newSize: BigJS, newSide?: Side): boolean {
         if (newSize.lt(ZERO)) {
             throw new Error('Cannot set an order size to a negative number');
         }
-        const order = this.getOrder(id);
+        const order = this.remove(id);
         if (!order) {
             return false;
         }
-        if (!this.remove(id)) {
-            return false;
-        }
-        if (newSize.gt(ZERO)) {
-            order.size = newSize;
-            order.side = newSide || order.side;
-            this.add(order);
-        }
+        order.size = newSize;
+        order.side = newSide || order.side;
+        this.add(order);
         return true;
     }
 

test/lib/BookBuilderTest.ts

@@ -112,6 +112,30 @@ describe('BookBuilder:', () => {
                 assert.ok(book.asksValueTotal.eq(randomBook.totalAsksValue.minus(deconstedOrder.size.times(deconstedOrder.price))));
             }
         });
+
+        it('adds an order when the order size is zero', () => {
+            const order: Level3Order = {id: 'abcdefg',
+                                        price: Big(123.4567),
+                                        size: ZERO,
+                                        side: 'buy'};
+            assert.ok(!book.hasOrder(order.id), 'Book does not have order');
+            assert.ok(book.add(order), 'Book adds the order with zero size');
+            assert.ok(book.hasOrder(order.id), 'Book has order');
+        });
+
+        it('keeps an order when the order size is modified to zero', () => {
+            assert.ok(book.hasOrder('00006'),
+                      'Order was not removed');
+            const order = book.getOrder('00006');
+            assert.ok(order,
+                      'Order still was not removed');
+            assert.ok(book.modify('00006', ZERO),
+                      'Order can be modified to zero size');
+            assert.ok(book.hasOrder('00006'),
+                      'Book has order after modified to zero size');
+            assert.ok(book.getOrder('00006').size.eq(ZERO),
+                      'The order has zero size');
+        });
     });
 });