orderbook-rs 0.6.2

A high-performance, lock-free price level implementation for limit order books in Rust. This library provides the building blocks for creating efficient trading systems with support for multiple order types and concurrent access patterns.
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//! Tests for depth analysis methods

#[cfg(test)]
mod tests {
    use crate::OrderBook;
    use pricelevel::{Id, Side, TimeInForce};

    #[test]
    fn test_price_at_depth_buy_side() {
        let book: OrderBook<()> = OrderBook::new("TEST");

        // Add bid orders at different price levels
        let _ = book.add_limit_order(Id::new(), 100, 10, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 99, 20, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 98, 30, Side::Buy, TimeInForce::Gtc, None);

        // Target depth of 10 should be at price 100
        assert_eq!(book.price_at_depth(10, Side::Buy), Some(100));

        // Target depth of 25 should be at price 99 (10 + 20 >= 25)
        assert_eq!(book.price_at_depth(25, Side::Buy), Some(99));

        // Target depth of 60 should be at price 98 (10 + 20 + 30 = 60)
        assert_eq!(book.price_at_depth(60, Side::Buy), Some(98));

        // Target depth of 100 exceeds available liquidity
        assert_eq!(book.price_at_depth(100, Side::Buy), None);
    }

    #[test]
    fn test_price_at_depth_sell_side() {
        let book: OrderBook<()> = OrderBook::new("TEST");

        // Add ask orders at different price levels
        let _ = book.add_limit_order(Id::new(), 101, 15, Side::Sell, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 102, 25, Side::Sell, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 103, 35, Side::Sell, TimeInForce::Gtc, None);

        // Target depth of 15 should be at price 101
        assert_eq!(book.price_at_depth(15, Side::Sell), Some(101));

        // Target depth of 30 should be at price 102 (15 + 25 >= 30)
        assert_eq!(book.price_at_depth(30, Side::Sell), Some(102));

        // Target depth of 75 should be at price 103 (15 + 25 + 35 = 75)
        assert_eq!(book.price_at_depth(75, Side::Sell), Some(103));

        // Target depth of 100 exceeds available liquidity
        assert_eq!(book.price_at_depth(100, Side::Sell), None);
    }

    #[test]
    fn test_price_at_depth_empty_book() {
        let book: OrderBook<()> = OrderBook::new("TEST");

        // Empty book should return None
        assert_eq!(book.price_at_depth(10, Side::Buy), None);
        assert_eq!(book.price_at_depth(10, Side::Sell), None);
    }

    #[test]
    fn test_cumulative_depth_to_target_buy_side() {
        let book: OrderBook<()> = OrderBook::new("TEST");

        // Add bid orders at different price levels
        let _ = book.add_limit_order(Id::new(), 100, 10, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 99, 20, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 98, 30, Side::Buy, TimeInForce::Gtc, None);

        // Target depth of 10 should return (100, 10)
        assert_eq!(
            book.cumulative_depth_to_target(10, Side::Buy),
            Some((100, 10))
        );

        // Target depth of 25 should return (99, 30) - cumulative is 10 + 20 = 30
        assert_eq!(
            book.cumulative_depth_to_target(25, Side::Buy),
            Some((99, 30))
        );

        // Target depth of 60 should return (98, 60) - cumulative is 10 + 20 + 30 = 60
        assert_eq!(
            book.cumulative_depth_to_target(60, Side::Buy),
            Some((98, 60))
        );

        // Target depth of 100 exceeds available liquidity
        assert_eq!(book.cumulative_depth_to_target(100, Side::Buy), None);
    }

    #[test]
    fn test_cumulative_depth_to_target_sell_side() {
        let book: OrderBook<()> = OrderBook::new("TEST");

        // Add ask orders at different price levels
        let _ = book.add_limit_order(Id::new(), 101, 15, Side::Sell, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 102, 25, Side::Sell, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 103, 35, Side::Sell, TimeInForce::Gtc, None);

        // Target depth of 15 should return (101, 15)
        assert_eq!(
            book.cumulative_depth_to_target(15, Side::Sell),
            Some((101, 15))
        );

        // Target depth of 30 should return (102, 40) - cumulative is 15 + 25 = 40
        assert_eq!(
            book.cumulative_depth_to_target(30, Side::Sell),
            Some((102, 40))
        );

        // Target depth of 75 should return (103, 75) - cumulative is 15 + 25 + 35 = 75
        assert_eq!(
            book.cumulative_depth_to_target(75, Side::Sell),
            Some((103, 75))
        );

        // Target depth of 100 exceeds available liquidity
        assert_eq!(book.cumulative_depth_to_target(100, Side::Sell), None);
    }

    #[test]
    fn test_cumulative_depth_to_target_empty_book() {
        let book: OrderBook<()> = OrderBook::new("TEST");

        // Empty book should return None
        assert_eq!(book.cumulative_depth_to_target(10, Side::Buy), None);
        assert_eq!(book.cumulative_depth_to_target(10, Side::Sell), None);
    }

    #[test]
    fn test_total_depth_at_levels_buy_side() {
        let book: OrderBook<()> = OrderBook::new("TEST");

        // Add bid orders at different price levels
        let _ = book.add_limit_order(Id::new(), 100, 10, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 99, 20, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 98, 30, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 97, 40, Side::Buy, TimeInForce::Gtc, None);

        // Top 1 level should have depth of 10
        assert_eq!(book.total_depth_at_levels(1, Side::Buy), 10);

        // Top 2 levels should have depth of 30 (10 + 20)
        assert_eq!(book.total_depth_at_levels(2, Side::Buy), 30);

        // Top 3 levels should have depth of 60 (10 + 20 + 30)
        assert_eq!(book.total_depth_at_levels(3, Side::Buy), 60);

        // Top 4 levels should have depth of 100 (10 + 20 + 30 + 40)
        assert_eq!(book.total_depth_at_levels(4, Side::Buy), 100);

        // Requesting more levels than available should return all available
        assert_eq!(book.total_depth_at_levels(10, Side::Buy), 100);
    }

    #[test]
    fn test_total_depth_at_levels_sell_side() {
        let book: OrderBook<()> = OrderBook::new("TEST");

        // Add ask orders at different price levels
        let _ = book.add_limit_order(Id::new(), 101, 15, Side::Sell, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 102, 25, Side::Sell, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 103, 35, Side::Sell, TimeInForce::Gtc, None);

        // Top 1 level should have depth of 15
        assert_eq!(book.total_depth_at_levels(1, Side::Sell), 15);

        // Top 2 levels should have depth of 40 (15 + 25)
        assert_eq!(book.total_depth_at_levels(2, Side::Sell), 40);

        // Top 3 levels should have depth of 75 (15 + 25 + 35)
        assert_eq!(book.total_depth_at_levels(3, Side::Sell), 75);

        // Requesting more levels than available should return all available
        assert_eq!(book.total_depth_at_levels(10, Side::Sell), 75);
    }

    #[test]
    fn test_total_depth_at_levels_empty_book() {
        let book: OrderBook<()> = OrderBook::new("TEST");

        // Empty book should return 0
        assert_eq!(book.total_depth_at_levels(5, Side::Buy), 0);
        assert_eq!(book.total_depth_at_levels(5, Side::Sell), 0);
    }

    #[test]
    fn test_total_depth_at_levels_zero_levels() {
        let book: OrderBook<()> = OrderBook::new("TEST");

        // Add some orders
        let _ = book.add_limit_order(Id::new(), 100, 10, Side::Buy, TimeInForce::Gtc, None);

        // Zero levels should return 0
        assert_eq!(book.total_depth_at_levels(0, Side::Buy), 0);
        assert_eq!(book.total_depth_at_levels(0, Side::Sell), 0);
    }

    #[test]
    fn test_depth_methods_with_multiple_orders_per_level() {
        let book: OrderBook<()> = OrderBook::new("TEST");

        // Add multiple orders at the same price level
        let _ = book.add_limit_order(Id::new(), 100, 10, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 100, 15, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 99, 20, Side::Buy, TimeInForce::Gtc, None);

        // Total at price 100 should be 25 (10 + 15)
        assert_eq!(book.price_at_depth(25, Side::Buy), Some(100));
        assert_eq!(book.price_at_depth(30, Side::Buy), Some(99));

        // Cumulative depth
        assert_eq!(
            book.cumulative_depth_to_target(25, Side::Buy),
            Some((100, 25))
        );
        assert_eq!(
            book.cumulative_depth_to_target(30, Side::Buy),
            Some((99, 45))
        );

        // Total depth at levels
        assert_eq!(book.total_depth_at_levels(1, Side::Buy), 25);
        assert_eq!(book.total_depth_at_levels(2, Side::Buy), 45);
    }

    #[test]
    fn test_depth_methods_priority_order_buy_side() {
        let book: OrderBook<()> = OrderBook::new("TEST");

        // Add bids in non-sequential order to ensure priority is correct
        let _ = book.add_limit_order(Id::new(), 98, 30, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 100, 10, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 99, 20, Side::Buy, TimeInForce::Gtc, None);

        // Should iterate from highest to lowest (100, 99, 98)
        assert_eq!(book.total_depth_at_levels(1, Side::Buy), 10); // 100
        assert_eq!(book.total_depth_at_levels(2, Side::Buy), 30); // 100, 99
        assert_eq!(book.total_depth_at_levels(3, Side::Buy), 60); // 100, 99, 98
    }

    #[test]
    fn test_depth_methods_priority_order_sell_side() {
        let book: OrderBook<()> = OrderBook::new("TEST");

        // Add asks in non-sequential order to ensure priority is correct
        let _ = book.add_limit_order(Id::new(), 103, 35, Side::Sell, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 101, 15, Side::Sell, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 102, 25, Side::Sell, TimeInForce::Gtc, None);

        // Should iterate from lowest to highest (101, 102, 103)
        assert_eq!(book.total_depth_at_levels(1, Side::Sell), 15); // 101
        assert_eq!(book.total_depth_at_levels(2, Side::Sell), 40); // 101, 102
        assert_eq!(book.total_depth_at_levels(3, Side::Sell), 75); // 101, 102, 103
    }
}