pricelevel 0.9.1

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.
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/******************************************************************************
   Author: Joaquín Béjar García
   Email: jb@taunais.com
   Date: 28/3/25
******************************************************************************/

//! Core price level module: order queue, matching, snapshots, and statistics,
//! lock-free on the match path.
//!
//! This module provides the central [`PriceLevel`] type that represents a single price
//! point in a limit order book. It manages a queue of orders, performs matching (the
//! `Gtc` / `Ioc` / `Day` match path is lock-free), tracks statistics, and supports
//! snapshot persistence with checksum protection. Admissions and updates (cancel / resize)
//! take the shared side of a per-level guard — normally uncontended, but they can block
//! behind an `O(depth)` fill-or-kill match that holds the exclusive side across its
//! feasibility check and sweep so it stays all-or-nothing against concurrent mutation
//! (issue #112).
//!
//! # Key Types
//!
//! - [`PriceLevel`] — the main price level implementation supporting concurrent add, match,
//!   update, and cancel operations via atomic counters and crossbeam queues; the
//!   `Gtc` / `Ioc` / `Day` match is lock-free, while admissions / updates take a
//!   normally-uncontended shared lock that can block behind an `O(depth)` fill-or-kill.
//! - [`PriceLevelData`] — a serializable representation for data transfer and storage.
//! - [`PriceLevelSnapshot`] — a point-in-time snapshot of all orders at a price level.
//! - [`PriceLevelSnapshotPackage`] — a checksum-protected wrapper around a snapshot for
//!   safe persistence and recovery via JSON.
//! - [`PriceLevelStatistics`] — real-time execution statistics (orders added/removed/executed,
//!   quantity/value executed, average price, waiting times).
//! - [`OrderQueue`] — the underlying lock-free order queue based on crossbeam.
//!
//! # Snapshot Persistence
//!
//! Snapshots can be serialized to JSON with SHA-256 checksum protection:
//!
//! ```rust
//! use pricelevel::PriceLevel;
//!
//! let level = PriceLevel::new(10_000);
//! let json = level.snapshot_to_json().unwrap();
//! let restored = PriceLevel::from_snapshot_json(&json).unwrap();
//! ```

mod level;

mod snapshot;

mod entry;

mod order_queue;

mod statistics;
mod tests;

pub use level::{PriceLevel, PriceLevelData};
pub use order_queue::OrderQueue;
pub use snapshot::{PriceLevelSnapshot, PriceLevelSnapshotPackage};
pub use statistics::PriceLevelStatistics;