pricelevel 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
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#[cfg(test)]
mod tests {
    use crate::orders::{Hash32, Id, OrderType, Side, TimeInForce};
    use crate::price_level::order_queue::OrderQueue;
    use crate::utils::{Price, Quantity, TimestampMs};
    use std::str::FromStr;
    use std::sync::Arc;
    use tracing::info;

    fn create_test_order(id: u64, price: u128, quantity: u64) -> OrderType<()> {
        OrderType::<()>::Standard {
            id: Id::from_u64(id),
            price: Price::new(price),
            quantity: Quantity::new(quantity),
            side: Side::Buy,
            user_id: Hash32::zero(),
            timestamp: TimestampMs::new(1616823000000),
            time_in_force: TimeInForce::Gtc,
            extra_fields: (),
        }
    }

    #[test]
    fn test_display() {
        let queue = OrderQueue::new();
        queue.push(Arc::new(create_test_order(1, 1000u128, 10)));
        queue.push(Arc::new(create_test_order(2, 1100u128, 20)));

        let display_string = queue.to_string();
        info!("Display: {}", display_string);

        assert!(display_string.starts_with("OrderQueue:orders=["));
        assert!(display_string.contains("id=00000000-0000-0001-0000-000000000000"));
        assert!(display_string.contains("id=00000000-0000-0002-0000-000000000000"));
        assert!(display_string.contains("price=1000"));
        assert!(display_string.contains("price=1100"));
    }

    #[test]
    fn test_from_str() {
        // Create a queue directly for consistency check
        let queue = OrderQueue::new();
        queue.push(Arc::new(create_test_order(1, 1000u128, 10)));
        queue.push(Arc::new(create_test_order(2, 1100u128, 20)));

        // Get the display string
        let display_string = queue.to_string();

        // Verify display string format
        assert!(display_string.starts_with("OrderQueue:orders=["));
        assert!(display_string.contains("id=00000000-0000-0001-0000-000000000000"));
        assert!(display_string.contains("id=00000000-0000-0002-0000-000000000000"));
        assert!(display_string.contains("price=1000"));
        assert!(display_string.contains("price=1100"));

        // Example input string format (manually constructed to match expected format)
        let input = "OrderQueue:orders=[Standard:id=00000000-0000-0001-0000-000000000000;price=1000;quantity=10;side=BUY;timestamp=1616823000000;time_in_force=GTC,Standard:id=00000000-0000-0002-0000-000000000000;price=1100;quantity=20;side=BUY;timestamp=1616823000000;time_in_force=GTC]";

        // Try parsing
        let parsed_queue = match OrderQueue::from_str(input) {
            Ok(q) => q,
            Err(e) => {
                info!("Parse error: {:?}", e);
                info!("Input string: {}", input);
                panic!("Failed to parse OrderQueue from string");
            }
        };

        // Verify the parsed queue
        assert!(!parsed_queue.is_empty());
        let orders = parsed_queue.to_vec();

        // Should have both orders
        assert_eq!(orders.len(), 2, "Expected 2 orders in parsed queue");

        // Verify individual orders (order might not be preserved)
        let has_order1 = orders.iter().any(|o| {
            o.id() == Id::from_u64(1) && o.price() == Price::new(1000) && o.visible_quantity() == 10
        });
        let has_order2 = orders.iter().any(|o| {
            o.id() == Id::from_u64(2) && o.price() == Price::new(1100) && o.visible_quantity() == 20
        });

        assert!(has_order1, "First order not found or incorrect");
        assert!(has_order2, "Second order not found or incorrect");

        // Test round-trip parsing
        let round_trip_queue = OrderQueue::from_str(&display_string).unwrap();
        let round_trip_orders = round_trip_queue.to_vec();

        assert_eq!(
            round_trip_orders.len(),
            2,
            "Round-trip parsing should preserve order count"
        );

        let round_trip_has_order1 = round_trip_orders.iter().any(|o| {
            o.id() == Id::from_u64(1) && o.price() == Price::new(1000) && o.visible_quantity() == 10
        });
        let round_trip_has_order2 = round_trip_orders.iter().any(|o| {
            o.id() == Id::from_u64(2) && o.price() == Price::new(1100) && o.visible_quantity() == 20
        });

        assert!(
            round_trip_has_order1,
            "First order not preserved in round-trip"
        );
        assert!(
            round_trip_has_order2,
            "Second order not preserved in round-trip"
        );
    }

    #[test]
    fn test_serialize_deserialize() {
        let queue = OrderQueue::new();
        queue.push(Arc::new(create_test_order(1, 1000u128, 10)));
        queue.push(Arc::new(create_test_order(2, 1100u128, 20)));

        // Serialize to JSON
        let serialized = serde_json::to_string(&queue).unwrap();
        info!("Serialized: {}", serialized);

        // Deserialize back
        let deserialized: OrderQueue = serde_json::from_str(&serialized).unwrap();

        // Verify
        let original_orders = queue.to_vec();
        let deserialized_orders = deserialized.to_vec();

        assert_eq!(original_orders.len(), deserialized_orders.len());

        // Since the order of orders might not be preserved, compare individual orders
        for order in original_orders {
            let found = deserialized_orders.iter().any(|o| o.id() == order.id());
            assert!(
                found,
                "Order with ID {} not found after deserialization",
                order.id()
            );
        }
    }

    #[test]
    fn test_round_trip() {
        let queue = OrderQueue::new();
        queue.push(Arc::new(create_test_order(1, 1000, 10)));

        // Convert to string
        let string_rep = queue.to_string();

        // Parse back from string
        let parsed_queue = match OrderQueue::from_str(&string_rep) {
            Ok(q) => q,
            Err(e) => {
                info!("Parse error: {:?}", e);
                panic!("Failed to parse: {string_rep}");
            }
        };

        // Verify
        let original_orders = queue.to_vec();
        let parsed_orders = parsed_queue.to_vec();

        assert_eq!(original_orders.len(), parsed_orders.len());
        assert_eq!(original_orders[0].id(), parsed_orders[0].id());
        assert_eq!(original_orders[0].price(), parsed_orders[0].price());
    }

    // In price_level/order_queue.rs test module or in a separate test file

    #[test]
    fn test_order_queue_to_vec_empty() {
        let queue = OrderQueue::new();

        // test_to_vec on empty queue
        let vec = queue.to_vec();
        assert!(vec.is_empty());

        // Verify queue is still empty after to_vec
        assert!(queue.is_empty());
    }

    #[test]
    fn test_order_queue_from_str_complex() {
        // Test with a complex order string format
        let complex_order = "Standard:id=00000000-0000-0001-0000-000000000000;price=10000;quantity=100;side=BUY;timestamp=1616823000000;time_in_force=GTD-1617000000000";

        let input = format!("OrderQueue:orders=[{complex_order}]");
        let queue = OrderQueue::from_str(&input).unwrap();

        assert_eq!(queue.len(), 1);

        // Verify the order's details
        let order = &queue.to_vec()[0];

        if let OrderType::<()>::Standard {
            id,
            price,
            quantity,
            time_in_force,
            ..
        } = **order
        {
            assert_eq!(id, Id::from_u64(1));
            assert_eq!(price, Price::new(10000));
            assert_eq!(quantity, Quantity::new(100));
            assert!(matches!(time_in_force, TimeInForce::Gtd(1617000000000)));
        } else {
            panic!("Expected Standard order");
        }
    }

    #[test]
    fn test_order_queue_from_str_invalid_order() {
        // Test with an invalid order format
        let input = "OrderQueue:orders=[InvalidOrder:id=1]";
        let result = OrderQueue::from_str(input);

        assert!(result.is_err());
    }

    #[test]
    fn test_order_queue_serialization() {
        fn create_standard_order(id: u64, price: u128, quantity: u64) -> OrderType<()> {
            OrderType::Standard {
                id: Id::from_u64(id),
                price: Price::new(price),
                quantity: Quantity::new(quantity),
                side: Side::Buy,
                user_id: Hash32::zero(),
                timestamp: TimestampMs::new(1616823000000),
                time_in_force: TimeInForce::Gtc,
                extra_fields: (),
            }
        }
        let queue = OrderQueue::new();

        // Add an order
        let order = create_standard_order(1, 10000u128, 100);
        queue.push(Arc::new(order));

        // Serialize
        let serialized = serde_json::to_string(&queue).unwrap();

        // Check that it contains the expected order data
        assert!(serialized.contains("\"Standard\""));
        assert!(serialized.contains("\"id\":\"00000000-0000-0001-0000-000000000000\""));
        assert!(serialized.contains("\"price\":10000"));
        assert!(serialized.contains("\"quantity\":100"));

        // Deserialize and verify
        let deserialized: OrderQueue = serde_json::from_str(&serialized).unwrap();
        assert_eq!(deserialized.len(), 1);

        let deserialized_order = &deserialized.to_vec()[0];

        if let OrderType::Standard {
            id,
            price,
            quantity,
            ..
        } = **deserialized_order
        {
            assert_eq!(id, Id::from_u64(1));
            assert_eq!(price, Price::new(10000));
            assert_eq!(quantity, Quantity::new(100));
        } else {
            panic!("Expected Standard order");
        }
    }

    #[test]
    fn test_order_queue_empty_check() {
        // Test lines 123-124
        let queue = OrderQueue::new();

        // Queue should be empty initially
        assert!(queue.is_empty());

        // Add an order and check again
        let order = OrderType::Standard {
            id: Id::from_u64(1),
            price: Price::new(1000),
            quantity: Quantity::new(10),
            side: Side::Buy,
            user_id: Hash32::zero(),
            timestamp: TimestampMs::new(1616823000000),
            time_in_force: TimeInForce::Gtc,
            extra_fields: (),
        };
        queue.push(Arc::new(order));

        // Queue should not be empty after adding an order
        assert!(!queue.is_empty());

        // Remove the order and check again
        let _ = queue.pop();
        assert!(queue.is_empty());

        // Push the order back and then try a different approach to check emptiness
        queue.push(Arc::new(order));
        assert!(!queue.is_empty());
    }

    #[test]
    fn test_order_queue_from_vec() {
        // Test lines 170, 178
        // Create a vector of orders
        let order1 = Arc::new(OrderType::Standard {
            id: Id::from_u64(1),
            price: Price::new(1000),
            quantity: Quantity::new(10),
            side: Side::Buy,
            user_id: Hash32::zero(),
            timestamp: TimestampMs::new(1616823000000),
            time_in_force: TimeInForce::Gtc,
            extra_fields: (),
        });

        let order2 = Arc::new(OrderType::Standard {
            id: Id::from_u64(2),
            price: Price::new(1000),
            quantity: Quantity::new(20),
            side: Side::Buy,
            user_id: Hash32::zero(),
            timestamp: TimestampMs::new(1616823000001),
            time_in_force: TimeInForce::Gtc,
            extra_fields: (),
        });

        let orders = vec![order1.clone(), order2.clone()];

        // Create a queue from the vector
        let queue = OrderQueue::from_vec(orders.clone());

        // Verify the queue contains the orders
        assert_eq!(queue.to_vec().len(), 2);
        assert!(queue.to_vec().contains(&order1));
        assert!(queue.to_vec().contains(&order2));

        // Test the From implementation
        let queue_from_trait: OrderQueue = orders.clone().into();
        assert_eq!(queue_from_trait.to_vec().len(), 2);

        // Test the Into implementation
        let orders_from_queue: Vec<Arc<OrderType<()>>> = queue.into();
        assert_eq!(orders_from_queue.len(), 2);
        assert!(orders_from_queue.contains(&order1));
        assert!(orders_from_queue.contains(&order2));
    }

    #[test]
    fn test_order_queue_from_str_parsing_with_complex_content() {
        // Test lines 196-198, 200-202, 241, 266-267

        // Create a complex string with nested delimiters
        let complex_input = "OrderQueue:orders=[Standard:id=00000000-0000-0001-0000-000000000000;price=1000;quantity=10;side=BUY;timestamp=1616823000000;time_in_force=GTC,IcebergOrder:id=00000000-0000-0002-0000-000000000000;price=1000;visible_quantity=5;hidden_quantity=15;side=SELL;timestamp=1616823000001;time_in_force=GTC]";

        // Parse the complex input
        let result = OrderQueue::from_str(complex_input);
        assert!(result.is_ok());

        let queue = result.unwrap();
        assert_eq!(queue.to_vec().len(), 2);

        // Verify the parsed orders have the expected IDs
        let order_ids: Vec<Id> = queue.to_vec().iter().map(|order| order.id()).collect();
        assert!(order_ids.contains(&Id::from_u64(1)));
        assert!(order_ids.contains(&Id::from_u64(2)));

        // Test parsing with empty orders
        let empty_orders = "OrderQueue:orders=[]";
        let result = OrderQueue::from_str(empty_orders);
        assert!(result.is_ok());
        let queue = result.unwrap();
        assert!(queue.is_empty());

        // Test parsing with invalid format (no "OrderQueue:" prefix)
        let invalid_input = "orders=[Standard:id=1;price=1000;quantity=10;side=BUY;timestamp=1616823000000;time_in_force=GTC]";
        let result = OrderQueue::from_str(invalid_input);
        assert!(result.is_err());

        // Test parsing with malformed content (missing closing bracket)
        let malformed_input = "OrderQueue:orders=[Standard:id=00000000-0000-0001-0000-000000000000;price=1000;quantity=10;side=BUY;timestamp=1616823000000;time_in_force=GTC";
        let result = OrderQueue::from_str(malformed_input);
        assert!(result.is_err());

        // Test parsing with invalid order type
        let invalid_order = "OrderQueue:orders=[InvalidOrder:id=00000000-0000-0001-0000-000000000000;price=1000;quantity=10;side=BUY;timestamp=1616823000000;time_in_force=GTC]";
        let result = OrderQueue::from_str(invalid_order);
        assert!(result.is_err());
    }

    #[test]
    fn test_order_queue_serialization_deserialization() {
        // Create a queue with orders
        let queue = OrderQueue::new();

        let order1 = OrderType::Standard {
            id: Id::from_u64(1),
            price: Price::new(1000),
            quantity: Quantity::new(10),
            side: Side::Buy,
            user_id: Hash32::zero(),
            timestamp: TimestampMs::new(1616823000000),
            time_in_force: TimeInForce::Gtc,
            extra_fields: (),
        };

        let order2 = OrderType::IcebergOrder {
            id: Id::from_u64(2),
            price: Price::new(1000),
            visible_quantity: Quantity::new(5),
            hidden_quantity: Quantity::new(15),
            side: Side::Sell,
            user_id: Hash32::zero(),
            timestamp: TimestampMs::new(1616823000001),
            time_in_force: TimeInForce::Gtc,
            extra_fields: (),
        };

        queue.push(Arc::new(order1));
        queue.push(Arc::new(order2));

        // Serialize the queue
        let serialized = serde_json::to_string(&queue).unwrap();

        // Verify the serialized format contains the orders
        assert!(serialized.contains("\"id\":\"00000000-0000-0001-0000-000000000000\""));
        assert!(serialized.contains("\"id\":\"00000000-0000-0002-0000-000000000000\""));

        // Deserialize back to OrderQueue
        let deserialized: OrderQueue = serde_json::from_str(&serialized).unwrap();

        // Verify the deserialized queue has the same orders
        assert_eq!(deserialized.to_vec().len(), 2);

        // Verify the order IDs
        let order_ids: Vec<Id> = deserialized
            .to_vec()
            .iter()
            .map(|order| order.id())
            .collect();
        assert!(order_ids.contains(&Id::from_u64(1)));
        assert!(order_ids.contains(&Id::from_u64(2)));
    }
}