market-maker-rs 0.2.0

A Rust library implementing quantitative market making strategies, starting with the Avellaneda-Stoikov model
Documentation 
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//! Market state snapshot representation.

use crate::Decimal;

#[cfg(feature = "serde")]
use pretty_simple_display::{DebugPretty, DisplaySimple};

/// Represents the observable state of the market at a point in time.
#[derive(Clone, PartialEq)]
#[cfg_attr(not(feature = "serde"), derive(Debug))]
#[cfg_attr(
    feature = "serde",
    derive(serde::Serialize, serde::Deserialize, DebugPretty, DisplaySimple)
)]
pub struct MarketState {
    /// Mid-price of the asset.
    pub mid_price: Decimal,

    /// Volatility estimate (annualized).
    pub volatility: Decimal,

    /// Current timestamp in milliseconds since Unix epoch.
    pub timestamp: u64,
}

impl MarketState {
    /// Creates a new market state snapshot.
    ///
    /// # Arguments
    ///
    /// * `mid_price` - Current mid-price of the asset
    /// * `volatility` - Volatility estimate (annualized)
    /// * `timestamp` - Current timestamp in milliseconds
    #[must_use]
    pub fn new(mid_price: Decimal, volatility: Decimal, timestamp: u64) -> Self {
        Self {
            mid_price,
            volatility,
            timestamp,
        }
    }
}

#[cfg(test)]
mod tests {
    use super::*;
    use crate::dec;

    #[test]
    fn test_market_state_new() {
        let state = MarketState::new(dec!(100.0), dec!(0.2), 1234567890);
        assert_eq!(state.mid_price, dec!(100.0));
        assert_eq!(state.volatility, dec!(0.2));
        assert_eq!(state.timestamp, 1234567890);
    }

    #[test]
    fn test_market_state_creation() {
        let state = MarketState {
            mid_price: dec!(99.5),
            volatility: dec!(0.15),
            timestamp: 9876543210,
        };
        assert_eq!(state.mid_price, dec!(99.5));
        assert_eq!(state.volatility, dec!(0.15));
        assert_eq!(state.timestamp, 9876543210);
    }
}