nautilus_data/engine/
book.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use std::{
17    any::Any,
18    cell::{Ref, RefCell},
19    num::NonZeroUsize,
20    rc::Rc,
21};
22
23use nautilus_common::{
24    cache::Cache,
25    msgbus::{self, MStr, Topic, handler::MessageHandler},
26    timer::TimeEvent,
27};
28use nautilus_model::{
29    data::Data,
30    identifiers::{InstrumentId, Venue},
31    instruments::Instrument,
32};
33use ustr::Ustr;
34
35/// Contains information for creating snapshots of specific order books.
36#[derive(Clone, Debug)]
37pub struct BookSnapshotInfo {
38    pub instrument_id: InstrumentId,
39    pub venue: Venue,
40    pub is_composite: bool,
41    pub root: Ustr,
42    pub topic: MStr<Topic>,
43    pub interval_ms: NonZeroUsize,
44}
45
46#[derive(Debug)]
47pub struct BookUpdater {
48    pub id: Ustr,
49    pub instrument_id: InstrumentId,
50    pub cache: Rc<RefCell<Cache>>,
51}
52
53impl BookUpdater {
54    /// Creates a new [`BookUpdater`] instance.
55    pub fn new(instrument_id: &InstrumentId, cache: Rc<RefCell<Cache>>) -> Self {
56        Self {
57            id: Ustr::from(&format!("{}-{}", stringify!(BookUpdater), instrument_id)),
58            instrument_id: *instrument_id,
59            cache,
60        }
61    }
62}
63
64impl MessageHandler for BookUpdater {
65    fn id(&self) -> Ustr {
66        self.id
67    }
68
69    fn handle(&self, message: &dyn Any) {
70        // TODO: Temporary handler implementation (this will be removed soon)
71        if let Some(data) = message.downcast_ref::<Data>() {
72            if let Some(book) = self
73                .cache
74                .borrow_mut()
75                .order_book_mut(&data.instrument_id())
76            {
77                match data {
78                    Data::Delta(delta) => book.apply_delta(delta),
79                    Data::Deltas(deltas) => book.apply_deltas(deltas),
80                    Data::Depth10(depth) => book.apply_depth(depth),
81                    _ => log::error!("Invalid data type for book update, was {data:?}"),
82                }
83            }
84        }
85    }
86
87    fn as_any(&self) -> &dyn Any {
88        self
89    }
90}
91
92#[derive(Debug)]
93pub struct BookSnapshotter {
94    pub id: Ustr,
95    pub timer_name: Ustr,
96    pub snap_info: BookSnapshotInfo,
97    pub cache: Rc<RefCell<Cache>>,
98}
99
100impl BookSnapshotter {
101    /// Creates a new [`BookSnapshotter`] instance.
102    pub fn new(snap_info: BookSnapshotInfo, cache: Rc<RefCell<Cache>>) -> Self {
103        let id_str = format!(
104            "{}-{}",
105            stringify!(BookSnapshotter),
106            snap_info.instrument_id
107        );
108        let timer_name = format!(
109            "OrderBook|{}|{}",
110            snap_info.instrument_id, snap_info.interval_ms
111        );
112
113        Self {
114            id: Ustr::from(&id_str),
115            timer_name: Ustr::from(&timer_name),
116            snap_info,
117            cache,
118        }
119    }
120
121    pub fn snapshot(&self, _event: TimeEvent) {
122        let cache = self.cache.borrow();
123
124        if self.snap_info.is_composite {
125            let topic = self.snap_info.topic;
126            let underlying = self.snap_info.root;
127            for instrument in cache.instruments(&self.snap_info.venue, Some(&underlying)) {
128                self.publish_order_book(&instrument.id(), topic, &cache);
129            }
130        } else {
131            self.publish_order_book(&self.snap_info.instrument_id, self.snap_info.topic, &cache);
132        }
133    }
134
135    fn publish_order_book(
136        &self,
137        instrument_id: &InstrumentId,
138        topic: MStr<Topic>,
139        cache: &Ref<Cache>,
140    ) {
141        let book = cache
142            .order_book(instrument_id)
143            .unwrap_or_else(|| panic!("OrderBook for {instrument_id} was not in cache"));
144
145        if book.update_count == 0 {
146            log::debug!("OrderBook for {instrument_id} not yet updated for snapshot");
147            return;
148        }
149
150        msgbus::publish(topic, book as &dyn Any);
151    }
152}
nautilus_data/engine/book.rs

nautilus_data/engine/
book.rs
