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.
Documentation 
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//! Tests for market metrics methods

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

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

        // Empty book
        assert_eq!(book.spread_absolute(), None);

        // Add bid and ask
        let _ = book.add_limit_order(Id::new(), 100, 10, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 105, 10, Side::Sell, TimeInForce::Gtc, None);

        assert_eq!(book.spread_absolute(), Some(5));
    }

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

        // Empty book
        assert_eq!(book.spread_bps(None), None);

        // Add orders at 10000 and 10010
        let _ = book.add_limit_order(Id::new(), 10000, 10, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 10010, 10, Side::Sell, TimeInForce::Gtc, None);

        // Spread = 10, mid = 10005, bps = (10/10005) * 10000 = ~9.995 bps
        let spread_bps = book.spread_bps(None).unwrap();
        assert!((spread_bps - 9.995).abs() < 0.01);
    }

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

        // Add orders at 10000 and 10010
        let _ = book.add_limit_order(Id::new(), 10000, 10, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 10010, 10, Side::Sell, TimeInForce::Gtc, None);

        // Test with custom multiplier of 100 (for percentage)
        // Spread = 10, mid = 10005, pct = (10/10005) * 100 = ~0.0999%
        let spread_pct = book.spread_bps(Some(100.0)).unwrap();
        assert!((spread_pct - 0.0999).abs() < 0.001);

        // Test with default multiplier (10,000)
        let spread_bps_default = book.spread_bps(None).unwrap();
        let spread_bps_explicit = book.spread_bps(Some(10_000.0)).unwrap();
        assert_eq!(spread_bps_default, spread_bps_explicit);
    }

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

        // Add ask orders at different price levels
        let _ = book.add_limit_order(Id::new(), 100, 10, Side::Sell, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 105, 15, Side::Sell, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 110, 20, Side::Sell, TimeInForce::Gtc, None);

        // VWAP for buying 10 units should be 100.0
        let vwap = book.vwap(10, Side::Buy).unwrap();
        assert_eq!(vwap, 100.0);

        // VWAP for buying 20 units (10@100 + 10@105) = (1000 + 1050) / 20 = 102.5
        let vwap = book.vwap(20, Side::Buy).unwrap();
        assert_eq!(vwap, 102.5);

        // VWAP for buying 25 units (10@100 + 15@105) = (1000 + 1575) / 25 = 103.0
        let vwap = book.vwap(25, Side::Buy).unwrap();
        assert_eq!(vwap, 103.0);

        // Insufficient liquidity
        assert_eq!(book.vwap(50, Side::Buy), None);
    }

    #[test]
    fn test_vwap_sell_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(), 95, 15, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 90, 20, Side::Buy, TimeInForce::Gtc, None);

        // VWAP for selling 10 units should be 100.0
        let vwap = book.vwap(10, Side::Sell).unwrap();
        assert_eq!(vwap, 100.0);

        // VWAP for selling 20 units (10@100 + 10@95) = (1000 + 950) / 20 = 97.5
        let vwap = book.vwap(20, Side::Sell).unwrap();
        assert_eq!(vwap, 97.5);

        // VWAP for selling 25 units (10@100 + 15@95) = (1000 + 1425) / 25 = 97.0
        let vwap = book.vwap(25, Side::Sell).unwrap();
        assert_eq!(vwap, 97.0);

        // Insufficient liquidity
        assert_eq!(book.vwap(50, Side::Sell), None);
    }

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

        assert_eq!(book.vwap(10, Side::Buy), None);
        assert_eq!(book.vwap(10, Side::Sell), None);
    }

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

        let _ = book.add_limit_order(Id::new(), 100, 10, Side::Sell, TimeInForce::Gtc, None);

        assert_eq!(book.vwap(0, Side::Buy), None);
    }

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

        // Empty book
        assert_eq!(book.micro_price(), None);

        // Add orders with equal volumes
        let _ = book.add_limit_order(Id::new(), 100, 50, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 105, 50, Side::Sell, TimeInForce::Gtc, None);

        // With equal volumes, micro price equals mid price
        // micro = (105 * 50 + 100 * 50) / 100 = 10250 / 100 = 102.5
        let micro = book.micro_price().unwrap();
        assert_eq!(micro, 102.5);

        // Mid price should also be 102.5
        let mid = book.mid_price().unwrap();
        assert_eq!(mid, 102.5);
    }

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

        // Add orders with imbalanced volumes (more bid volume)
        let _ = book.add_limit_order(Id::new(), 100, 70, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 105, 30, Side::Sell, TimeInForce::Gtc, None);

        // micro = (105 * 70 + 100 * 30) / 100 = (7350 + 3000) / 100 = 103.5
        let micro = book.micro_price().unwrap();
        assert_eq!(micro, 103.5);

        // Mid price is 102.5, but micro price is higher due to more bid volume
        let mid = book.mid_price().unwrap();
        assert_eq!(mid, 102.5);
        assert!(micro > mid);
    }

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

        // This scenario shouldn't happen in practice, but test for robustness
        // If there are price levels but no volumes, micro_price should return None
        // Since we can't create this state easily, we just test empty book
        assert_eq!(book.micro_price(), None);
    }

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

        // Add balanced orders
        let _ = book.add_limit_order(Id::new(), 100, 50, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 105, 50, Side::Sell, TimeInForce::Gtc, None);

        // Imbalance should be 0 for balanced book
        let imbalance = book.order_book_imbalance(5);
        assert_eq!(imbalance, 0.0);
    }

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

        // More bid volume (buy pressure)
        let _ = book.add_limit_order(Id::new(), 100, 60, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 105, 40, Side::Sell, TimeInForce::Gtc, None);

        // Imbalance = (60 - 40) / (60 + 40) = 20 / 100 = 0.2
        let imbalance = book.order_book_imbalance(5);
        assert_eq!(imbalance, 0.2);
    }

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

        // More ask volume (sell pressure)
        let _ = book.add_limit_order(Id::new(), 100, 30, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 105, 70, Side::Sell, TimeInForce::Gtc, None);

        // Imbalance = (30 - 70) / (30 + 70) = -40 / 100 = -0.4
        let imbalance = book.order_book_imbalance(5);
        assert_eq!(imbalance, -0.4);
    }

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

        // Add multiple 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(), 101, 15, Side::Sell, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 102, 25, Side::Sell, TimeInForce::Gtc, None);

        // Top 2 levels: bid=10+20=30, ask=15+25=40
        // Imbalance = (30 - 40) / (30 + 40) = -10 / 70 = -0.142857...
        let imbalance = book.order_book_imbalance(2);
        assert!((imbalance - (-10.0 / 70.0)).abs() < 0.0001);

        // Top 3 levels: bid=10+20+30=60, ask=15+25=40
        // Imbalance = (60 - 40) / (60 + 40) = 20 / 100 = 0.2
        let imbalance = book.order_book_imbalance(3);
        assert_eq!(imbalance, 0.2);
    }

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

        assert_eq!(book.order_book_imbalance(5), 0.0);
    }

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

        let _ = book.add_limit_order(Id::new(), 100, 50, Side::Buy, TimeInForce::Gtc, None);

        assert_eq!(book.order_book_imbalance(0), 0.0);
    }

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

        // Setup a realistic order book
        let _ = book.add_limit_order(Id::new(), 99, 20, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 100, 50, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 101, 30, Side::Sell, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 102, 40, Side::Sell, TimeInForce::Gtc, None);

        // Verify all metrics work together
        assert_eq!(book.mid_price(), Some(100.5));
        assert_eq!(book.spread_absolute(), Some(1));
        assert!(book.spread_bps(None).is_some());
        assert!(book.vwap(50, Side::Buy).is_some());
        assert!(book.micro_price().is_some());

        // Top 1 level: bid=50, ask=30, imbalance = (50-30)/(50+30) = 20/80 = 0.25
        let imbalance = book.order_book_imbalance(1);
        assert_eq!(imbalance, 0.25);
    }
}