orderbook-rs 0.8.0

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 
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//! Tests for market impact simulation and liquidity analysis

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

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

        // Add ask orders
        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);

        // Buy 20 units (will consume 2 levels)
        let impact = book.market_impact(20, Side::Buy);

        assert_eq!(impact.total_quantity_available, 20);
        assert_eq!(impact.levels_consumed, 2);
        assert_eq!(impact.worst_price, 105);
        assert_eq!(impact.slippage, 5);
        // avg_price = (100*10 + 105*10) / 20 = 102.5
        assert_eq!(impact.avg_price, 102.5);
    }

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

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

        // Request more than available
        let impact = book.market_impact(50, Side::Buy);

        assert_eq!(impact.total_quantity_available, 10);
        assert_eq!(impact.levels_consumed, 1);
        assert!(!impact.can_fill(50));
        assert_eq!(impact.fill_ratio(50), 0.2);
    }

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

        let impact = book.market_impact(100, Side::Buy);

        assert_eq!(impact.avg_price, 0.0);
        assert_eq!(impact.worst_price, 0);
        assert_eq!(impact.levels_consumed, 0);
        assert_eq!(impact.total_quantity_available, 0);
    }

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

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

        let impact = book.market_impact(0, Side::Buy);

        assert_eq!(impact.total_quantity_available, 0);
        assert_eq!(impact.levels_consumed, 0);
    }

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

        // Add bid orders
        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);

        // Sell 20 units (will consume 2 levels)
        let impact = book.market_impact(20, Side::Sell);

        assert_eq!(impact.total_quantity_available, 20);
        assert_eq!(impact.levels_consumed, 2);
        assert_eq!(impact.worst_price, 95);
        assert_eq!(impact.slippage, 5); // 100 - 95
        // avg_price = (100*10 + 95*10) / 20 = 97.5
        assert_eq!(impact.avg_price, 97.5);
    }

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

        // Add ask orders at 10000 and 10100
        let _ = book.add_limit_order(Id::new(), 10000, 10, Side::Sell, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 10100, 10, Side::Sell, TimeInForce::Gtc, None);

        // Buy 15 units (will go into second level)
        let impact = book.market_impact(15, Side::Buy);

        // Slippage = 100, best_price = 10000, bps = (100/10000) * 10000 = 100 bps
        assert_eq!(impact.slippage, 100);
        assert_eq!(impact.slippage_bps, 100.0);
    }

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

        // Add ask orders
        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);

        // Buy 20 units
        let simulation = book.simulate_market_order(20, Side::Buy);

        assert_eq!(simulation.fills.len(), 2);
        assert_eq!(simulation.fills[0], (100, 10));
        assert_eq!(simulation.fills[1], (105, 10));
        assert_eq!(simulation.total_filled, 20);
        assert_eq!(simulation.remaining_quantity, 0);
        assert!(simulation.is_fully_filled());
        // avg_price = (100*10 + 105*10) / 20 = 102.5
        assert_eq!(simulation.avg_price, 102.5);
    }

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

        // Add limited ask orders
        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);

        // Request more than available
        let simulation = book.simulate_market_order(50, Side::Buy);

        assert_eq!(simulation.total_filled, 25);
        assert_eq!(simulation.remaining_quantity, 25);
        assert!(!simulation.is_fully_filled());
        assert_eq!(simulation.levels_count(), 2);
    }

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

        let simulation = book.simulate_market_order(100, Side::Buy);

        assert_eq!(simulation.fills.len(), 0);
        assert_eq!(simulation.total_filled, 0);
        assert_eq!(simulation.remaining_quantity, 100);
    }

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

        let _ = book.add_limit_order(Id::new(), 100, 10, Side::Sell, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 105, 10, Side::Sell, TimeInForce::Gtc, None);

        let simulation = book.simulate_market_order(20, Side::Buy);

        // Total cost = (100*10) + (105*10) = 2050
        assert_eq!(simulation.total_cost(), 2050);
    }

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

        // Add buy orders at different prices
        let _ = book.add_limit_order(Id::new(), 100, 10, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 105, 15, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 110, 20, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 115, 25, Side::Buy, TimeInForce::Gtc, None);

        // Get liquidity between 105 and 110 (inclusive)
        let liquidity = book.liquidity_in_range(105, 110, Side::Buy);

        assert_eq!(liquidity, 35); // 15 + 20
    }

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

        let _ = book.add_limit_order(Id::new(), 100, 10, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 105, 15, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 110, 20, Side::Buy, TimeInForce::Gtc, None);

        // Get all liquidity
        let liquidity = book.liquidity_in_range(0, u128::MAX, Side::Buy);

        assert_eq!(liquidity, 45); // 10 + 15 + 20
    }

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

        let _ = book.add_limit_order(Id::new(), 100, 10, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 105, 15, Side::Buy, TimeInForce::Gtc, None);

        // Range outside of available prices
        let liquidity = book.liquidity_in_range(200, 300, Side::Buy);

        assert_eq!(liquidity, 0);
    }

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

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

        // min_price > max_price
        let liquidity = book.liquidity_in_range(200, 100, Side::Buy);

        assert_eq!(liquidity, 0);
    }

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

        let liquidity = book.liquidity_in_range(100, 200, Side::Buy);

        assert_eq!(liquidity, 0);
    }

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

        // Add sell orders
        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);

        let liquidity = book.liquidity_in_range(100, 105, Side::Sell);

        assert_eq!(liquidity, 25); // 10 + 15
    }

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

        // Setup order book
        let _ = book.add_limit_order(Id::new(), 99, 20, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 100, 30, Side::Buy, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 101, 25, Side::Sell, TimeInForce::Gtc, None);
        let _ = book.add_limit_order(Id::new(), 102, 35, Side::Sell, TimeInForce::Gtc, None);

        // Test market impact
        let impact = book.market_impact(50, Side::Buy);
        assert_eq!(impact.total_quantity_available, 50);
        assert!(impact.can_fill(50));

        // Test simulation
        let simulation = book.simulate_market_order(50, Side::Buy);
        assert!(simulation.is_fully_filled());
        assert_eq!(simulation.levels_count(), 2);

        // Test liquidity
        let liquidity = book.liquidity_in_range(101, 102, Side::Sell);
        assert_eq!(liquidity, 60); // 25 + 35
    }
}