orderbook-rs 0.7.0

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 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118

#[cfg(test)]
mod tests {
    use pricelevel::TimeInForce;
    use std::str::FromStr;

    #[test]
    fn test_time_in_force_immediate_property() {
        assert!(
            !TimeInForce::Gtc.is_immediate(),
            "GTC should not be immediate"
        );
        assert!(TimeInForce::Ioc.is_immediate(), "IOC should be immediate");
        assert!(TimeInForce::Fok.is_immediate(), "FOK should be immediate");
        assert!(
            !TimeInForce::Gtd(1000).is_immediate(),
            "GTD should not be immediate"
        );
        assert!(
            !TimeInForce::Day.is_immediate(),
            "DAY should not be immediate"
        );
    }

    #[test]
    fn test_time_in_force_has_expiry_property() {
        assert!(!TimeInForce::Gtc.has_expiry(), "GTC should not have expiry");
        assert!(!TimeInForce::Ioc.has_expiry(), "IOC should not have expiry");
        assert!(!TimeInForce::Fok.has_expiry(), "FOK should not have expiry");
        assert!(
            TimeInForce::Gtd(1000).has_expiry(),
            "GTD should have expiry"
        );
        assert!(TimeInForce::Day.has_expiry(), "DAY should have expiry");
    }

    #[test]
    fn test_time_in_force_is_expired() {
        let current_time = 1000;
        let market_close = Some(1500);

        // GTD expiry tests
        let gtd_past = TimeInForce::Gtd(900);
        let gtd_future = TimeInForce::Gtd(1100);

        assert!(
            gtd_past.is_expired(current_time, market_close),
            "GTD with past timestamp should be expired"
        );
        assert!(
            !gtd_future.is_expired(current_time, market_close),
            "GTD with future timestamp should not be expired"
        );

        // DAY expiry tests
        let day = TimeInForce::Day;

        assert!(
            !day.is_expired(current_time, market_close),
            "DAY before market close should not be expired"
        );
        assert!(
            day.is_expired(1600, market_close),
            "DAY after market close should be expired"
        );
        assert!(
            !day.is_expired(current_time, None),
            "DAY without market close should not be expired"
        );

        // Non-expirable types
        assert!(
            !TimeInForce::Gtc.is_expired(current_time, market_close),
            "GTC should never expire"
        );
        assert!(
            !TimeInForce::Ioc.is_expired(current_time, market_close),
            "IOC should not expire (it's immediate)"
        );
        assert!(
            !TimeInForce::Fok.is_expired(current_time, market_close),
            "FOK should not expire (it's immediate)"
        );
    }

    #[test]
    fn test_time_in_force_display() {
        assert_eq!(format!("{}", TimeInForce::Gtc), "GTC");
        assert_eq!(format!("{}", TimeInForce::Ioc), "IOC");
        assert_eq!(format!("{}", TimeInForce::Fok), "FOK");
        assert_eq!(format!("{}", TimeInForce::Gtd(12345)), "GTD-12345");
        assert_eq!(format!("{}", TimeInForce::Day), "DAY");
    }

    #[test]
    fn test_time_in_force_from_str() {
        assert_eq!(TimeInForce::from_str("GTC").unwrap(), TimeInForce::Gtc);
        assert_eq!(TimeInForce::from_str("IOC").unwrap(), TimeInForce::Ioc);
        assert_eq!(TimeInForce::from_str("FOK").unwrap(), TimeInForce::Fok);
        assert_eq!(TimeInForce::from_str("DAY").unwrap(), TimeInForce::Day);

        // Case insensitivity
        assert_eq!(TimeInForce::from_str("gtc").unwrap(), TimeInForce::Gtc);
        assert_eq!(TimeInForce::from_str("ioc").unwrap(), TimeInForce::Ioc);
        assert_eq!(TimeInForce::from_str("fok").unwrap(), TimeInForce::Fok);
        assert_eq!(TimeInForce::from_str("day").unwrap(), TimeInForce::Day);

        // GTD with timestamp
        assert_eq!(
            TimeInForce::from_str("GTD-12345").unwrap(),
            TimeInForce::Gtd(12345)
        );

        // Invalid formats
        assert!(TimeInForce::from_str("INVALID").is_err());
        assert!(TimeInForce::from_str("GTD").is_err());
        assert!(TimeInForce::from_str("GTD-ABC").is_err());
    }
}