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//! Benchmark regarding `OrderMargin`
#![allow(
unused_crate_dependencies,
missing_docs,
reason = "Benchmarks don't use all dev-dependencies"
)]
use std::{
hint::black_box,
num::NonZeroU16,
};
use criterion::{
BenchmarkId,
Criterion,
criterion_group,
criterion_main,
};
use lfest::{
prelude::*,
test_fee_maker,
};
fn criterion_benchmark(c: &mut Criterion) {
let mut group = c.benchmark_group("OrderMargin");
let order = LimitOrder::new(
Side::Buy,
QuoteCurrency::<i64, 5>::new(99, 0),
BaseCurrency::new(1, 1),
)
.unwrap();
let max_active_orders = NonZeroU16::new(100).unwrap();
for n in 1..20 {
group.bench_with_input(BenchmarkId::new("insert", n), &n, |b, _n| {
let orders = Vec::from_iter((0..n).map(|i| {
let meta = ExchangeOrderMeta::new(i.into(), (i as i64).into());
order.clone().into_pending(meta)
}));
b.iter_with_setup(
|| {
Account::new(
Balances::new(QuoteCurrency::new(1_000_000, 0)),
max_active_orders,
const_decimal::Decimal::ONE,
*test_fee_maker().as_ref(),
)
},
|mut account| {
for order in orders.iter() {
account
.try_insert_order(black_box(order.clone()))
.expect("Can insert")
}
},
)
});
/*
group.bench_with_input(BenchmarkId::new("fill_order", n), &n, |b, _n| {
let orders = Vec::from_iter((0..n).map(|i| {
let meta = ExchangeOrderMeta::new(i.into(), (i as i64).into());
order.clone().into_pending(meta)
}));
b.iter_with_setup(
|| {
let mut account = Account::new(
Balances::new(QuoteCurrency::new(1_000_000, 0)),
max_active_orders,
const_decimal::Decimal::ONE,
*test_fee_maker().as_ref(),
);
for order in orders.iter() {
account.try_insert_order(order.clone()).expect("Can insert");
}
account
},
|mut account| {
for order in orders.iter() {
let _ = account.fill_best(
black_box(order.side()),
black_box(order.filled_quantity()),
black_box(order.limit_price()),
black_box(QuoteCurrency::new(1, 4)),
black_box(0.into()),
);
}
},
)
});
*/
group.bench_with_input(BenchmarkId::new("remove", n), &n, |b, _n| {
let orders = Vec::from_iter((0..n).map(|i| {
let meta = ExchangeOrderMeta::new(i.into(), (i as i64).into());
order.clone().into_pending(meta)
}));
b.iter_with_setup(
|| {
let mut account = Account::new(
Balances::new(QuoteCurrency::new(1_000_000, 0)),
max_active_orders,
const_decimal::Decimal::ONE,
*test_fee_maker().as_ref(),
);
for order in orders.iter() {
account.try_insert_order(black_box(order.clone())).unwrap()
}
account
},
|mut account| {
for order in orders.iter() {
account
.cancel_limit_order(black_box(CancelBy::OrderId(order.id())))
.expect("Can insert");
}
},
)
});
group.bench_with_input(BenchmarkId::new("order_margin_neutral", n), &n, |b, _n| {
let orders = Vec::from_iter((0..n).map(|i| {
let meta = ExchangeOrderMeta::new(i.into(), (i as i64).into());
order.clone().into_pending(meta)
}));
b.iter_with_setup(
|| {
let mut account = Account::new(
Balances::new(QuoteCurrency::new(1_000_000, 0)),
max_active_orders,
const_decimal::Decimal::ONE,
*test_fee_maker().as_ref(),
);
for order in orders.iter() {
account.try_insert_order(black_box(order.clone())).unwrap()
}
account
},
|account| {
let _ = black_box(account.order_margin());
},
)
});
group.bench_with_input(BenchmarkId::new("order_margin_long", n), &n, |b, _n| {
let orders = Vec::from_iter((0..n).map(|i| {
let meta = ExchangeOrderMeta::new(i.into(), (i as i64).into());
order.clone().into_pending(meta)
}));
b.iter_with_setup(
|| {
let mut account = Account::new(
Balances::new(QuoteCurrency::new(1_000_000, 0)),
max_active_orders,
const_decimal::Decimal::ONE,
*test_fee_maker().as_ref(),
);
for order in orders.iter() {
account.try_insert_order(black_box(order.clone())).unwrap()
}
account
},
|account| {
let _ = black_box(account.order_margin());
},
)
});
group.bench_with_input(BenchmarkId::new("order_margin_short", n), &n, |b, _n| {
let orders = Vec::from_iter((0..n).map(|i| {
let meta = ExchangeOrderMeta::new(i.into(), (i as i64).into());
order.clone().into_pending(meta)
}));
b.iter_with_setup(
|| {
let mut account = Account::new(
Balances::new(QuoteCurrency::new(1_000_000, 0)),
max_active_orders,
const_decimal::Decimal::ONE,
*test_fee_maker().as_ref(),
);
for order in orders.iter() {
account.try_insert_order(black_box(order.clone())).unwrap()
}
account
},
|account| {
let _ = black_box(account.order_margin());
},
)
});
}
}
criterion_group!(benches, criterion_benchmark);
criterion_main!(benches);