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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//! `TradePrint` outbound message.
//!
//! See `doc/wire-protocol.md` for the canonical layout.

use crate::wire::error::WireError;

/// Fixed payload size in bytes for a `TradePrintWire`.
pub const TRADE_PRINT_SIZE: usize = 48;

/// Outbound `TradePrint` message body.
///
/// Total payload size: **48 bytes**.
///
/// | Offset | Size | Field         | Type | Notes                        |
/// |-------:|-----:|---------------|------|------------------------------|
/// |      0 |    8 | `engine_seq`  | u64  | global engine sequence       |
/// |      8 |    8 | `maker_id`    | u64  | maker order id               |
/// |     16 |    8 | `taker_id`    | u64  | taker order id               |
/// |     24 |    8 | `price`       | i64  | tick-scaled fill price       |
/// |     32 |    8 | `qty`         | u64  | matched quantity             |
/// |     40 |    8 | `ts`          | u64  | engine timestamp (ms)        |
#[derive(Debug, Clone, Copy, PartialEq, Eq)]
pub struct TradePrintWire {
    /// Global engine sequence (monotonic across outbound streams).
    pub engine_seq: u64,
    /// Maker order id (the resting side of the match).
    pub maker_id: u64,
    /// Taker order id (the incoming side of the match).
    pub taker_id: u64,
    /// Tick-scaled fill price.
    pub price: i64,
    /// Matched quantity.
    pub qty: u64,
    /// Engine timestamp in milliseconds.
    pub ts: u64,
}

/// Encodes a `TradePrint` payload (48 bytes) into `out`.
#[inline]
pub fn encode_trade_print(trade: &TradePrintWire, out: &mut Vec<u8>) {
    out.reserve(TRADE_PRINT_SIZE);
    out.extend_from_slice(&trade.engine_seq.to_le_bytes());
    out.extend_from_slice(&trade.maker_id.to_le_bytes());
    out.extend_from_slice(&trade.taker_id.to_le_bytes());
    out.extend_from_slice(&trade.price.to_le_bytes());
    out.extend_from_slice(&trade.qty.to_le_bytes());
    out.extend_from_slice(&trade.ts.to_le_bytes());
}

/// Decodes a `TradePrint` payload.
///
/// # Errors
///
/// Returns [`WireError::InvalidPayload`] when the buffer length differs from
/// [`TRADE_PRINT_SIZE`].
#[inline]
pub fn decode_trade_print(payload: &[u8]) -> Result<TradePrintWire, WireError> {
    if payload.len() != TRADE_PRINT_SIZE {
        return Err(WireError::InvalidPayload(
            "TradePrint: payload size mismatch",
        ));
    }
    let read_u64 = |offset: usize| -> Result<u64, WireError> {
        let slot = payload
            .get(offset..offset + 8)
            .ok_or(WireError::Truncated)?;
        let mut arr = [0u8; 8];
        arr.copy_from_slice(slot);
        Ok(u64::from_le_bytes(arr))
    };
    let read_i64 = |offset: usize| -> Result<i64, WireError> {
        let slot = payload
            .get(offset..offset + 8)
            .ok_or(WireError::Truncated)?;
        let mut arr = [0u8; 8];
        arr.copy_from_slice(slot);
        Ok(i64::from_le_bytes(arr))
    };

    Ok(TradePrintWire {
        engine_seq: read_u64(0)?,
        maker_id: read_u64(8)?,
        taker_id: read_u64(16)?,
        price: read_i64(24)?,
        qty: read_u64(32)?,
        ts: read_u64(40)?,
    })
}

#[cfg(test)]
mod tests {
    use super::*;
    use crate::wire::framing::{decode_frame, encode_frame};
    use proptest::prelude::*;

    #[test]
    fn payload_size_constant() {
        let trade = TradePrintWire {
            engine_seq: 0,
            maker_id: 0,
            taker_id: 0,
            price: 0,
            qty: 0,
            ts: 0,
        };
        let mut buf = Vec::new();
        encode_trade_print(&trade, &mut buf);
        assert_eq!(buf.len(), TRADE_PRINT_SIZE);
    }

    proptest! {
        #[test]
        fn roundtrip_through_frame(
            engine_seq in any::<u64>(),
            maker_id in any::<u64>(),
            taker_id in any::<u64>(),
            price in any::<i64>(),
            qty in any::<u64>(),
            ts in any::<u64>(),
        ) {
            let original = TradePrintWire {
                engine_seq,
                maker_id,
                taker_id,
                price,
                qty,
                ts,
            };
            let mut payload = Vec::new();
            encode_trade_print(&original, &mut payload);
            let mut framed = Vec::new();
            encode_frame(0x82, &payload, &mut framed).expect("encode_frame");

            let (kind, decoded_payload, _) = decode_frame(&framed).expect("decode_frame");
            prop_assert_eq!(kind, 0x82u8);
            let decoded = decode_trade_print(decoded_payload).expect("decode_trade_print");
            prop_assert_eq!(decoded, original);
        }
    }

    #[test]
    fn rejects_wrong_size() {
        let buf = [0u8; TRADE_PRINT_SIZE - 1];
        assert!(matches!(
            decode_trade_print(&buf),
            Err(WireError::InvalidPayload(_))
        ));
    }
}