Struct FillSimulator 

pub struct FillSimulator { /* private fields */ }

Simulates order fills based on quote price crossing.

Shared logic used by both MockExchange and PaperExchange.

Optimization

Orders are stored in sorted VecDeques by price (per instrument+side).

• BUY orders: sorted descending by price (highest first)
• SELL orders: sorted ascending by price (lowest first)

Using VecDeque allows O(1) pop_front for filling orders, avoiding O(n) shifts.

Implementations

impl FillSimulator

pub fn new(initial_balances: HashMap<AssetId, Decimal>) -> Self

Create a simulator with initial balances and no fees.

pub fn new_with_fee( initial_balances: HashMap<AssetId, Decimal>, fee_rate: Decimal, ) -> Self

Create a new fill simulator with a specific fee rate

pub fn set_fee_rate(&mut self, fee_rate: Decimal)

Set the fee rate (0.0004 = 0.04%)

pub fn register_instrument_meta(&mut self, meta: &InstrumentMeta)

Register market metadata so paper/backtest accounting can use the right base/quote assets. Outcome markets quote in USDH, not USDC.

pub fn instrument_is_perp(&self, instrument: &InstrumentId) -> bool

Return true when the instrument is configured or inferred as a perp.

pub fn next_exchange_order_id(&mut self, prefix: &str) -> ExchangeOrderId

Generate next exchange order ID

pub fn add_pending_order(&mut self, order: PendingOrder)

Add a pending order (maintains sorted order for O(log n) lookups)

pub fn remove_order( &mut self, client_id: &ClientOrderId, ) -> Option<PendingOrder>

Remove pending order by client ID

pub fn remove_orders_for_instrument( &mut self, instrument: &InstrumentId, ) -> Vec<PendingOrder>

Remove all pending orders for an instrument

pub fn balance(&self, asset: &AssetId) -> Decimal

Get current balance

pub fn set_balance(&mut self, asset: AssetId, amount: Decimal)

Set balance directly

pub fn check_fills( &mut self, quotes: &HashMap<InstrumentId, Quote>, time_ms: i64, ) -> Vec<SimulatedFill>

Check pending orders against quotes and generate fills.

Optimization

Orders are grouped by (instrument, side) and sorted by price. For each quote, we use binary search to find orders that could fill:

• BUY orders fill when ask <= order.price (scan from highest price down)
• SELL orders fill when bid >= order.price (scan from lowest price up)

This reduces complexity from O(orders) to O(fillable_orders).

pub fn check_balance( &self, instrument: &InstrumentId, side: OrderSide, price: Decimal, qty: Decimal, ) -> Result<(), String>

Check if balance is sufficient for an order

pub fn apply_fill(&mut self, fill: &Fill)

Apply a known fill to simulated spot-like balances.

IOC fills are constructed by PaperExchange directly, while resting fills come through check_fills.

pub fn pending_orders_count(&self) -> usize

Get pending orders count (sum across all groups)

pub fn pending_orders(&self) -> Vec<&PendingOrder>

Get all pending orders (for inspection) - flattened from all groups

Trait Implementations

impl Default for FillSimulator

fn default() -> Self

Returns the “default value” for a type.