otterbook_core 0.1.3

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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#[cfg(test)]
mod test_order_modifications {
    use crate::{OrderBook, OrderBookError};
    use pricelevel::{OrderId, OrderType, OrderUpdate, Side, TimeInForce};
    use uuid::Uuid;

    // Helper function to create a unique order ID
    fn create_order_id() -> OrderId {
        OrderId(Uuid::new_v4())
    }

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

        // Add a limit order
        let id = create_order_id();
        let price = 1000;
        let quantity = 10;
        let side = Side::Buy;

        let result = book.add_limit_order(id, price, quantity, side, TimeInForce::Gtc);
        assert!(result.is_ok());

        // Try to update to the same price
        let update = OrderUpdate::UpdatePrice {
            order_id: id,
            new_price: price,
        };

        let result = book.update_order(update);
        assert!(result.is_err());
        match result {
            Err(OrderBookError::InvalidOperation { message }) => {
                assert!(message.contains("Cannot update price to the same value"));
            }
            _ => panic!("Expected InvalidOperation error"),
        }
    }

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

        // Add a limit order
        let id = create_order_id();
        let price = 1000;
        let quantity = 10;
        let side = Side::Buy;

        let result = book.add_limit_order(id, price, quantity, side, TimeInForce::Gtc);
        assert!(result.is_ok());

        // Update price and quantity
        let new_price = 1100;
        let new_quantity = 15;
        let update = OrderUpdate::UpdatePriceAndQuantity {
            order_id: id,
            new_price,
            new_quantity,
        };

        let result = book.update_order(update);
        assert!(result.is_ok());

        // Verify the order was updated
        let updated_order = book.get_order(id);
        assert!(updated_order.is_some());
        let updated_order = updated_order.unwrap();
        assert_eq!(updated_order.price(), new_price);
        assert_eq!(updated_order.visible_quantity(), new_quantity);
    }

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

        // Try to cancel a non-existent order
        let id = create_order_id();
        let result = book.cancel_order(id);

        // Should return Ok(None)
        assert!(result.is_ok());
        assert!(result.unwrap().is_none());
    }

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

        // Add a limit order
        let id = create_order_id();
        let price = 1000;
        let quantity = 10;
        let side = Side::Buy;

        let result = book.add_limit_order(id, price, quantity, side, TimeInForce::Gtc);
        assert!(result.is_ok());

        // Cancel using the OrderUpdate enum
        let update = OrderUpdate::Cancel { order_id: id };

        let result = book.update_order(update);
        assert!(result.is_ok());

        // Order should be removed
        let order = book.get_order(id);
        assert!(order.is_none());
    }

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

        // Add a limit order
        let id = create_order_id();
        let price = 1000;
        let quantity = 10;
        let side = Side::Buy;

        let result = book.add_limit_order(id, price, quantity, side, TimeInForce::Gtc);
        assert!(result.is_ok());

        // Replace the order
        let new_price = 1100;
        let new_quantity = 15;
        let update = OrderUpdate::Replace {
            order_id: id,
            price: new_price,
            quantity: new_quantity,
            side: Side::Buy,
        };

        let result = book.update_order(update);
        assert!(result.is_ok());

        // Verify the order was replaced
        let replaced_order = book.get_order(id);
        assert!(replaced_order.is_some());
        let replaced_order = replaced_order.unwrap();
        assert_eq!(replaced_order.price(), new_price);
        assert_eq!(replaced_order.visible_quantity(), new_quantity);
    }

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

        // Add a limit order
        let id = create_order_id();
        let price = 1000;
        let quantity = 10;
        let side = Side::Buy;

        let result = book.add_limit_order(id, price, quantity, side, TimeInForce::Gtc);
        assert!(result.is_ok());

        // Replace with different side
        let update = OrderUpdate::Replace {
            order_id: id,
            price: 1100,
            quantity: 15,
            side: Side::Sell, // Different side
        };

        let result = book.update_order(update);
        assert!(result.is_ok());

        // Verify the order side was changed
        let replaced_order = book.get_order(id);
        assert!(replaced_order.is_some());
        assert_eq!(replaced_order.unwrap().side(), Side::Sell);
    }

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

        // Add an iceberg order
        let id = create_order_id();
        let price = 1000;
        let visible = 10;
        let hidden = 90;
        let side = Side::Buy;

        let result = book.add_iceberg_order(id, price, visible, hidden, side, TimeInForce::Gtc);
        assert!(result.is_ok());

        // Update visible quantity
        let new_quantity = 15;
        let update = OrderUpdate::UpdateQuantity {
            order_id: id,
            new_quantity,
        };

        let result = book.update_order(update);
        assert!(result.is_ok());

        // Verify the order's visible quantity was updated
        let updated_order = book.get_order(id);
        assert!(updated_order.is_some());
        let updated_order = updated_order.unwrap();
        assert_eq!(updated_order.visible_quantity(), new_quantity);

        // Hidden quantity should remain the same
        match &*updated_order {
            OrderType::IcebergOrder {
                hidden_quantity, ..
            } => {
                assert_eq!(*hidden_quantity, hidden);
            }
            _ => panic!("Expected IcebergOrder"),
        }
    }
}

#[cfg(test)]
mod test_modifications_remaining {
    use crate::OrderBook;
    use pricelevel::{OrderId, OrderType, OrderUpdate, PegReferenceType, Side, TimeInForce};
    use uuid::Uuid;

    fn create_order_id() -> OrderId {
        OrderId(Uuid::new_v4())
    }

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

        // Update a non-existent order
        let id = create_order_id();
        let update = OrderUpdate::UpdatePrice {
            order_id: id,
            new_price: 1000,
        };

        let result = book.update_order(update);
        assert!(result.is_ok());
        assert!(result.unwrap().is_none());
    }

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

        // Update a non-existent order
        let id = create_order_id();
        let update = OrderUpdate::UpdatePriceAndQuantity {
            order_id: id,
            new_price: 1000,
            new_quantity: 10,
        };

        let result = book.update_order(update);
        assert!(result.is_ok());
        assert!(result.unwrap().is_none());
    }

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

        // Add different order types

        // 1. Add a trailing stop order
        let id1 = create_order_id();
        let timestamp = crate::utils::current_time_millis();
        let trail_order = OrderType::TrailingStop {
            id: id1,
            price: 1000,
            quantity: 10,
            side: Side::Buy,
            timestamp,
            time_in_force: TimeInForce::Gtc,
            trail_amount: 5,
            last_reference_price: 995,
        };

        // 2. Add a pegged order
        let id2 = create_order_id();
        let peg_order = OrderType::PeggedOrder {
            id: id2,
            price: 1000,
            quantity: 10,
            side: Side::Buy,
            timestamp,
            time_in_force: TimeInForce::Gtc,
            reference_price_offset: 5,
            reference_price_type: PegReferenceType::BestBid,
        };

        // 3. Add a market to limit order
        let id3 = create_order_id();
        let mtl_order = OrderType::MarketToLimit {
            id: id3,
            price: 1000,
            quantity: 10,
            side: Side::Buy,
            timestamp,
            time_in_force: TimeInForce::Gtc,
        };

        // 4. Add a reserve order
        let id4 = create_order_id();
        let reserve_order = OrderType::ReserveOrder {
            id: id4,
            price: 1000,
            visible_quantity: 5,
            hidden_quantity: 5,
            side: Side::Buy,
            timestamp,
            time_in_force: TimeInForce::Gtc,
            replenish_threshold: 2,
            replenish_amount: Some(3),
            auto_replenish: true,
        };

        // Add all orders to the book
        let _ = book.add_order(trail_order);
        let _ = book.add_order(peg_order);
        let _ = book.add_order(mtl_order);
        let _ = book.add_order(reserve_order);

        // Test updating all order types

        // 1. Update trailing stop
        let update1 = OrderUpdate::UpdatePriceAndQuantity {
            order_id: id1,
            new_price: 1010,
            new_quantity: 15,
        };

        // 2. Update pegged order
        let update2 = OrderUpdate::UpdatePriceAndQuantity {
            order_id: id2,
            new_price: 1010,
            new_quantity: 15,
        };

        // 3. Update market to limit
        let update3 = OrderUpdate::UpdatePriceAndQuantity {
            order_id: id3,
            new_price: 1010,
            new_quantity: 15,
        };

        // 4. Update reserve order
        let update4 = OrderUpdate::UpdatePriceAndQuantity {
            order_id: id4,
            new_price: 1010,
            new_quantity: 15,
        };

        // Execute all updates
        let result1 = book.update_order(update1);
        let result2 = book.update_order(update2);
        let result3 = book.update_order(update3);
        let result4 = book.update_order(update4);

        assert!(result1.is_ok());
        assert!(result2.is_ok());
        assert!(result3.is_ok());
        assert!(result4.is_ok());

        // Verify the orders were updated
        let order1 = book.get_order(id1);
        let order2 = book.get_order(id2);
        let order3 = book.get_order(id3);
        let order4 = book.get_order(id4);

        assert!(order1.is_some());
        assert!(order2.is_some());
        assert!(order3.is_some());
        assert!(order4.is_some());

        assert_eq!(order1.unwrap().price(), 1010);
        assert_eq!(order2.unwrap().price(), 1010);
        assert_eq!(order3.unwrap().price(), 1010);
        assert_eq!(order4.unwrap().price(), 1010);
    }

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

        // Add a reserve order
        let id = create_order_id();
        let timestamp = crate::utils::current_time_millis();
        let reserve_order = OrderType::ReserveOrder {
            id,
            price: 1000,
            visible_quantity: 5,
            hidden_quantity: 5,
            side: Side::Buy,
            timestamp,
            time_in_force: TimeInForce::Gtc,
            replenish_threshold: 2,
            replenish_amount: Some(3),
            auto_replenish: true,
        };

        let _ = book.add_order(reserve_order);

        // Try to replace with an unsupported type via Replace operation
        let update = OrderUpdate::Replace {
            order_id: id,
            price: 1010,
            quantity: 15,
            side: Side::Buy,
        };

        let result = book.update_order(update);

        // Should succeed since we're replacing with a standard order
        assert!(result.is_ok());

        // Verify the order was updated
        let updated_order = book.get_order(id);
        assert!(updated_order.is_some());
        assert_eq!(updated_order.clone().unwrap().price(), 1010);
        assert_eq!(updated_order.unwrap().visible_quantity(), 15);
    }

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

        // Add a limit order
        let id = create_order_id();
        let _ = book.add_limit_order(id, 1000, 10, Side::Buy, TimeInForce::Gtc);

        // Cancel the order
        let update = OrderUpdate::Cancel { order_id: id };

        let result = book.update_order(update);
        assert!(result.is_ok());

        // Price level should be removed
        assert_eq!(book.best_bid(), None);

        // Order should be removed from tracking
        assert!(book.get_order(id).is_none());
    }
}

#[cfg(test)]
mod test_modifications_specific {
    use crate::{OrderBook, OrderBookError};
    use pricelevel::{OrderId, OrderType, OrderUpdate, PegReferenceType, Side, TimeInForce};
    use uuid::Uuid;

    fn create_order_id() -> OrderId {
        OrderId(Uuid::new_v4())
    }

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

        // Update a non-existent order
        let id = create_order_id();
        let update = OrderUpdate::UpdatePrice {
            order_id: id,
            new_price: 1000,
        };

        // Should return Ok(None) for non-existent order
        let result = book.update_order(update);
        assert!(result.is_ok());
        assert!(result.unwrap().is_none());
    }

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

        // Create an ID for an order that doesn't exist
        let id = create_order_id();

        // Cancel via OrderUpdate
        let update = OrderUpdate::Cancel { order_id: id };
        let result = book.update_order(update);

        // Should return Ok(None)
        assert!(result.is_ok());
        assert!(result.unwrap().is_none());
    }

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

        // Create a reserve order type
        let id = create_order_id();
        let timestamp = crate::utils::current_time_millis();
        let reserve_order = OrderType::ReserveOrder {
            id,
            price: 1000,
            visible_quantity: 5,
            hidden_quantity: 5,
            side: Side::Buy,
            timestamp,
            time_in_force: TimeInForce::Gtc,
            replenish_threshold: 2,
            replenish_amount: Some(3),
            auto_replenish: true,
        };

        // Add it to the book
        let _ = book.add_order(reserve_order);

        // First, test with an order that doesn't exist
        let nonexistent_id = create_order_id();

        // Test UpdatePrice
        let update = OrderUpdate::UpdatePrice {
            order_id: nonexistent_id,
            new_price: 1100,
        };
        let result = book.update_order(update);
        assert!(result.is_ok());
        assert!(result.unwrap().is_none());

        // Test UpdateQuantity
        let update = OrderUpdate::UpdateQuantity {
            order_id: nonexistent_id,
            new_quantity: 20,
        };
        let result = book.update_order(update);
        assert!(result.is_ok());
        assert!(result.unwrap().is_none());

        // Test PriceAndQuantity
        let update = OrderUpdate::UpdatePriceAndQuantity {
            order_id: nonexistent_id,
            new_price: 1100,
            new_quantity: 20,
        };
        let result = book.update_order(update);
        assert!(result.is_ok());
        assert!(result.unwrap().is_none());

        // Test Replace
        let update = OrderUpdate::Replace {
            order_id: nonexistent_id,
            price: 1100,
            quantity: 20,
            side: Side::Buy,
        };
        let result = book.update_order(update);
        assert!(result.is_ok());
        assert!(result.unwrap().is_none());
    }

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

        // Add an unsupported order type
        let id = create_order_id();
        let timestamp = crate::utils::current_time_millis();

        // Use a PeggedOrder as an example
        let peg_order = OrderType::PeggedOrder {
            id,
            price: 1000,
            quantity: 10,
            side: Side::Buy,
            timestamp,
            time_in_force: TimeInForce::Gtc,
            reference_price_offset: 5,
            reference_price_type: PegReferenceType::BestBid,
        };

        let _ = book.add_order(peg_order);

        // Try to replace it
        let update = OrderUpdate::Replace {
            order_id: id,
            price: 1100,
            quantity: 20,
            side: Side::Buy,
        };

        let result = book.update_order(update);

        // Check if we get the expected error
        match result {
            Err(OrderBookError::InvalidOperation { message }) => {
                assert!(message.contains("Replace operation not supported"));
            }
            Ok(_) => {
                // If it doesn't error, just check the order was updated
                let updated_order = book.get_order(id);
                assert!(updated_order.is_some());
            }
            _ => panic!("Unexpected result"),
        }
    }
}