nautilus_execution/matching_engine/

mod.rs

// -------------------------------------------------------------------------------------------------
//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
//  https://nautechsystems.io
//
//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
//  You may not use this file except in compliance with the License.
//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
//  Unless required by applicable law or agreed to in writing, software
//  distributed under the License is distributed on an "AS IS" BASIS,
//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
//  See the License for the specific language governing permissions and
//  limitations under the License.
// -------------------------------------------------------------------------------------------------

//! Order matching engine components for simulating trading venue behavior.

pub mod config;
pub mod ids_generator;

mod settlement;

use std::{
    cell::RefCell,
    cmp::min,
    fmt::Debug,
    mem,
    ops::{Add, Sub},
    rc::Rc,
};

use indexmap::{IndexMap, IndexSet};
use jiff::SignedDuration;
use nautilus_common::{
    cache::Cache,
    clock::Clock,
    messages::execution::{
        BatchCancelOrders, BatchModifyOrders, CancelAllOrders, CancelOrder, ModifyOrder,
    },
    msgbus::{self, MessagingSwitchboard},
};
use nautilus_core::{UUID4, UnixNanos, correctness::CorrectnessResult};
use nautilus_model::{
    data::{
        Bar, BarType, InstrumentClose, OrderBookDelta, OrderBookDeltas, OrderBookDepth10,
        QuoteTick, TradeTick,
        order::{BookOrder, OrderId},
    },
    enums::{
        AccountType, AggregationSource, AggressorSide, BookAction, BookType, ContingencyType,
        InstrumentCloseType, LiquiditySide, MarketStatus, MarketStatusAction, OmsType, OrderSide,
        OrderSideSpecified, OrderStatus, OrderType, PositionSide, PriceType, RecordFlag,
        TimeInForce, TriggerType,
    },
    events::{
        OrderAccepted, OrderCancelRejected, OrderCanceled, OrderEventAny, OrderExpired,
        OrderFilled, OrderModifyRejected, OrderRejected, OrderSubmitted, OrderTriggered,
        OrderUpdated,
    },
    identifiers::{
        AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TraderId, Venue,
        VenueOrderId,
    },
    instruments::{Instrument, InstrumentAny},
    orderbook::OrderBook,
    orders::{MarketOrder, Order, OrderAny, OrderCore},
    position::Position,
    types::{
        Currency, Money, Price, Quantity, fixed::FIXED_PRECISION, price::PriceRaw,
        quantity::QuantityRaw,
    },
};
use ustr::Ustr;

use self::{config::OrderMatchingEngineConfig, ids_generator::IdsGenerator};
use crate::{
    matching_core::{MatchAction, OrderMatchingCore, RestingOrder},
    models::{
        fee::{FeeModel, FeeModelHandle},
        fill::{FillModel, FillModelHandle},
    },
    protection::protection_price_calculate,
    trailing::trailing_stop_calculate,
};

/// An order matching engine for a single market.
pub struct OrderMatchingEngine {
    /// The venue for the matching engine.
    pub venue: Venue,
    /// The instrument for the matching engine.
    pub instrument: InstrumentAny,
    /// The instruments raw integer ID for the venue.
    pub raw_id: u32,
    /// The order book type for the matching engine.
    pub book_type: BookType,
    /// The order management system (OMS) type for the matching engine.
    pub oms_type: OmsType,
    /// The account type for the matching engine.
    pub account_type: AccountType,
    /// The market status for the matching engine.
    pub market_status: MarketStatus,
    /// The config for the matching engine.
    pub config: OrderMatchingEngineConfig,
    core: OrderMatchingCore,
    clock: Rc<RefCell<dyn Clock>>,
    cache: Rc<RefCell<Cache>>,
    book: OrderBook,
    fill_model: FillModelHandle,
    fee_model: FeeModelHandle,
    event_handler: Option<Rc<dyn Fn(OrderEventAny)>>,
    target_bid: Option<Price>,
    target_ask: Option<Price>,
    target_last: Option<Price>,
    last_bar_bid: Option<Bar>,
    last_bar_ask: Option<Bar>,
    fill_at_market: bool,
    execution_bar_types: IndexMap<InstrumentId, BarType>,
    execution_bar_deltas: IndexMap<BarType, SignedDuration>,
    account_ids: IndexMap<TraderId, AccountId>,
    cached_filled_qty: IndexMap<ClientOrderId, Quantity>,
    post_match_order_ids: IndexSet<ClientOrderId>,
    ids_generator: IdsGenerator,
    last_trade_size: Option<Quantity>,
    trade_consumption: QuantityRaw,
    bid_consumption: IndexMap<PriceRaw, (QuantityRaw, QuantityRaw)>,
    ask_consumption: IndexMap<PriceRaw, (QuantityRaw, QuantityRaw)>,
    queue_pending: IndexMap<ClientOrderId, PriceRaw>,
    queue_ahead_orders: IndexMap<ClientOrderId, IndexMap<OrderId, QuantityRaw>>,
    queue_ahead_total: IndexMap<ClientOrderId, (PriceRaw, QuantityRaw)>,
    queue_excess: IndexMap<ClientOrderId, QuantityRaw>,
    queue_id_scratch: Vec<ClientOrderId>,
    queue_stale_scratch: Vec<ClientOrderId>,
    queue_entry_scratch: Vec<(ClientOrderId, QuantityRaw, QuantityRaw)>,
    prev_bid_price_raw: PriceRaw,
    prev_bid_size_raw: QuantityRaw,
    prev_ask_price_raw: PriceRaw,
    prev_ask_size_raw: QuantityRaw,
    tob_initialized: bool,
    last_quote_bid: Option<Price>,
    last_quote_ask: Option<Price>,
    precision_mismatch_streak: u32,
    instrument_close: Option<InstrumentClose>,
    pending_resolution: bool,
    settlement_price: Option<Price>,
    expiration_processed: bool,
    option_settlement_failed: bool,
    option_settlement_warning: Option<&'static str>,
    option_expiration_orders_canceled: bool,
}

impl Debug for OrderMatchingEngine {
    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
        f.debug_struct(stringify!(OrderMatchingEngine))
            .field("venue", &self.venue)
            .field("instrument", &self.instrument.id())
            .finish()
    }
}

impl OrderMatchingEngine {
    /// Creates a new [`OrderMatchingEngine`] instance.
    #[expect(clippy::too_many_arguments)]
    pub fn new(
        instrument: InstrumentAny,
        raw_id: u32,
        fill_model: FillModelHandle,
        fee_model: FeeModelHandle,
        book_type: BookType,
        oms_type: OmsType,
        account_type: AccountType,
        clock: Rc<RefCell<dyn Clock>>,
        cache: Rc<RefCell<Cache>>,
        config: OrderMatchingEngineConfig,
    ) -> Self {
        let book = OrderBook::new(instrument.id(), book_type);
        let mut core = OrderMatchingCore::new(instrument.id(), instrument.price_increment());
        core.set_fill_limit_inside_spread(Self::fill_limit_inside_spread_or_false(&fill_model));
        let ids_generator = IdsGenerator::new(
            instrument.id().venue,
            oms_type,
            raw_id,
            config.use_random_ids,
            config.use_position_ids,
            cache.clone(),
        );

        Self {
            venue: instrument.id().venue,
            instrument,
            raw_id,
            fill_model,
            fee_model,
            event_handler: None,
            book_type,
            oms_type,
            account_type,
            clock,
            cache,
            book,
            market_status: MarketStatus::Open,
            config,
            core,
            target_bid: None,
            target_ask: None,
            target_last: None,
            last_bar_bid: None,
            last_bar_ask: None,
            fill_at_market: true,
            execution_bar_types: IndexMap::new(),
            execution_bar_deltas: IndexMap::new(),
            account_ids: IndexMap::new(),
            cached_filled_qty: IndexMap::new(),
            post_match_order_ids: IndexSet::new(),
            ids_generator,
            last_trade_size: None,
            trade_consumption: 0,
            bid_consumption: IndexMap::new(),
            ask_consumption: IndexMap::new(),
            queue_pending: IndexMap::new(),
            queue_ahead_orders: IndexMap::new(),
            queue_ahead_total: IndexMap::new(),
            queue_excess: IndexMap::new(),
            queue_id_scratch: Vec::new(),
            queue_stale_scratch: Vec::new(),
            queue_entry_scratch: Vec::new(),
            prev_bid_price_raw: 0,
            prev_bid_size_raw: 0,
            prev_ask_price_raw: 0,
            prev_ask_size_raw: 0,
            tob_initialized: false,
            last_quote_bid: None,
            last_quote_ask: None,
            precision_mismatch_streak: 0,
            instrument_close: None,
            pending_resolution: false,
            settlement_price: None,
            expiration_processed: false,
            option_settlement_failed: false,
            option_settlement_warning: None,
            option_expiration_orders_canceled: false,
        }
    }

    /// Sets the event handler for dispatching order events.
    ///
    /// When set, events are routed through the handler instead of directly
    /// through the message bus. This allows sandbox execution clients to
    /// dispatch events through the async runner channel, avoiding `RefCell`
    /// re-entrancy panics.
    pub fn set_event_handler(&mut self, handler: Rc<dyn Fn(OrderEventAny)>) {
        self.event_handler = Some(handler);
    }

    fn dispatch_order_event(&self, event: OrderEventAny) {
        if let Some(handler) = &self.event_handler {
            handler(event);
        } else {
            let endpoint = MessagingSwitchboard::exec_engine_process();
            msgbus::send_order_event(endpoint, event);
        }
    }

    /// Resets the matching engine to its initial state.
    ///
    /// Clears the order book, execution state, cached data, and resets all
    /// internal components. This is typically used for backtesting scenarios
    /// where the engine needs to be reset between test runs.
    pub fn reset(&mut self) {
        self.book.reset();
        self.execution_bar_types.clear();
        self.execution_bar_deltas.clear();
        self.account_ids.clear();
        self.cached_filled_qty.clear();
        self.post_match_order_ids.clear();
        self.core.reset();
        self.target_bid = None;
        self.target_ask = None;
        self.target_last = None;
        self.last_trade_size = None;
        self.trade_consumption = 0;
        self.bid_consumption.clear();
        self.ask_consumption.clear();
        self.queue_pending.clear();
        self.queue_ahead_orders.clear();
        self.queue_ahead_total.clear();
        self.queue_excess.clear();
        self.queue_id_scratch.clear();
        self.queue_stale_scratch.clear();
        self.queue_entry_scratch.clear();
        self.prev_bid_price_raw = 0;
        self.prev_bid_size_raw = 0;
        self.prev_ask_price_raw = 0;
        self.prev_ask_size_raw = 0;
        self.tob_initialized = false;
        self.last_quote_bid = None;
        self.last_quote_ask = None;
        self.last_bar_bid = None;
        self.last_bar_ask = None;
        self.precision_mismatch_streak = 0;
        self.instrument_close = None;
        self.market_status = MarketStatus::Open;
        self.pending_resolution = false;
        self.settlement_price = None;
        self.expiration_processed = false;
        self.option_settlement_failed = false;
        self.option_settlement_warning = None;
        self.option_expiration_orders_canceled = false;
        self.fill_at_market = true;
        self.ids_generator.reset();

        log::info!("Reset {}", self.instrument.id());
    }

    fn apply_liquidity_consumption(
        &mut self,
        fills: Vec<(Price, Quantity)>,
        order_side: OrderSide,
        leaves_qty: Quantity,
        book_prices: Option<&[Price]>,
    ) -> Vec<(Price, Quantity)> {
        if !self.config.liquidity_consumption {
            return fills;
        }

        let consumption = match order_side {
            OrderSide::Buy => &mut self.ask_consumption,
            OrderSide::Sell => &mut self.bid_consumption,
            _ => return fills,
        };

        let mut adjusted_fills = Vec::with_capacity(fills.len());
        let mut remaining_qty = leaves_qty.raw;

        for (fill_idx, (price, qty)) in fills.into_iter().enumerate() {
            if remaining_qty == 0 {
                break;
            }

            // Use book_price for consumption tracking (original price before MAKER adjustment),
            // but use price (potentially adjusted) for the output fill.
            let book_price = book_prices
                .and_then(|bp| bp.get(fill_idx).copied())
                .unwrap_or(price);

            let book_price_raw = book_price.raw;
            let level_size = self
                .book
                .get_quantity_at_level(book_price, order_side, qty.precision);

            let (original_size, consumed) = consumption
                .entry(book_price_raw)
                .or_insert((level_size.raw, 0));

            // Reset consumption when book size changes (fresh data)
            if *original_size != level_size.raw {
                *original_size = level_size.raw;
                *consumed = 0;
            }

            let available = original_size.saturating_sub(*consumed);
            if available == 0 {
                continue;
            }

            let adjusted_qty_raw = min(min(qty.raw, available), remaining_qty);
            if adjusted_qty_raw == 0 {
                continue;
            }

            *consumed += adjusted_qty_raw;
            remaining_qty -= adjusted_qty_raw;

            let adjusted_qty = Quantity::from_raw(adjusted_qty_raw, qty.precision);
            adjusted_fills.push((price, adjusted_qty));
        }

        adjusted_fills
    }

    fn seed_trade_consumption(
        &mut self,
        trade_price_raw: PriceRaw,
        trade_size_raw: QuantityRaw,
        trade_ts_event: UnixNanos,
        aggressor_side: AggressorSide,
    ) {
        if trade_size_raw == 0 {
            return;
        }

        // If the book was updated after the trade's event time, depth deltas
        // already reflect this trade's consumed volume, skip to avoid double-counting
        if self.book.ts_last > trade_ts_event {
            return;
        }

        let consumption = match aggressor_side {
            AggressorSide::Buy => &mut self.ask_consumption,
            AggressorSide::Sell => &mut self.bid_consumption,
            AggressorSide::NoAggressor => return,
        };

        let levels: Vec<_> = match aggressor_side {
            AggressorSide::Buy => self
                .book
                .asks(None)
                .take_while(|l| l.price.value.raw <= trade_price_raw)
                .collect(),
            AggressorSide::Sell => self
                .book
                .bids(None)
                .take_while(|l| l.price.value.raw >= trade_price_raw)
                .collect(),
            _ => unreachable!(),
        };

        let mut remaining = trade_size_raw;
        for level in &levels {
            if remaining == 0 {
                break;
            }
            let level_size = level.size_raw();
            let entry = consumption
                .entry(level.price.value.raw)
                .or_insert((level_size, 0));

            // Reconcile stale level size to prevent reset in apply_liquidity_consumption
            if entry.0 != level_size {
                entry.0 = level_size;
                entry.1 = 0;
            }

            let available = level_size.saturating_sub(entry.1);
            let consume = min(remaining, available);
            entry.1 += consume;
            remaining -= consume;
        }
    }

    /// Sets the fill model for the matching engine.
    pub fn set_fill_model(&mut self, fill_model: FillModelHandle) {
        self.core
            .set_fill_limit_inside_spread(Self::fill_limit_inside_spread_or_false(&fill_model));
        self.fill_model = fill_model;
    }

    fn fill_limit_inside_spread_or_false(fill_model: &FillModelHandle) -> bool {
        fill_model.fill_limit_inside_spread().unwrap_or_else(|e| {
            log::error!("Failed to query fill model spread behavior: {e}");
            false
        })
    }

    pub fn set_settlement_price(&mut self, price: Price) {
        self.settlement_price = Some(price);
    }

    fn snapshot_queue_position(&mut self, order: &OrderAny, price: Price) {
        if !self.config.queue_position {
            return;
        }
        let size_prec = self.instrument.size_precision();

        // Pass opposite side because get_quantity_at_level flips internally
        // (BUY reads asks, SELL reads bids). We want the resting side depth.
        let qty_ahead = self.book.get_quantity_at_level(
            price,
            OrderCore::opposite_side(order.order_side()),
            size_prec,
        );

        let client_order_id = order.client_order_id();

        // Clear stale entries from all maps (e.g. order modified to new price)
        self.queue_pending.shift_remove(&client_order_id);
        self.queue_ahead_total.shift_remove(&client_order_id);
        self.queue_ahead_orders.shift_remove(&client_order_id);

        // For L1 books, levels behind the BBO have no visible depth. Track
        // these orders separately so fills are blocked until the BBO reaches
        // this price. Only truly behind-BBO prices are pending (BUY below
        // best bid / SELL above best ask); inside-spread and no-book keep 0.
        if self.book_type == BookType::L1_MBP && qty_ahead.raw == 0 {
            let behind_bbo = match order.order_side() {
                OrderSide::Buy => self.book.best_bid_price().is_some_and(|bid| price < bid),
                OrderSide::Sell => self.book.best_ask_price().is_some_and(|ask| price > ask),
                _ => false,
            };

            if behind_bbo {
                self.queue_pending.insert(client_order_id, price.raw);
                return;
            }
        }

        self.queue_ahead_total
            .insert(client_order_id, (price.raw, qty_ahead.raw));

        // L3 books identify orders, so track which specific orders are ahead
        if self.book_type == BookType::L3_MBO {
            let orders_ahead: IndexMap<OrderId, QuantityRaw> = self
                .book
                .get_orders_at_level(price, OrderCore::opposite_side(order.order_side()))
                .iter()
                .map(|book_order| (book_order.order_id, book_order.size.raw))
                .collect();
            self.queue_ahead_orders
                .insert(client_order_id, orders_ahead);
        }
    }

    fn decrement_queue_on_trade(
        &mut self,
        price_raw: PriceRaw,
        trade_size_raw: QuantityRaw,
        aggressor_side: AggressorSide,
    ) {
        if !self.config.queue_position {
            return;
        }

        self.queue_excess.clear();

        let mut keys = Self::take_cleared(&mut self.queue_id_scratch);
        keys.extend(self.queue_ahead_total.keys().copied());
        let mut entries = Self::take_cleared(&mut self.queue_entry_scratch);
        let mut stale = Self::take_cleared(&mut self.queue_stale_scratch);

        for client_order_id in keys.iter().copied() {
            let (order_price_raw, ahead_raw) =
                match self.queue_ahead_total.get(&client_order_id).copied() {
                    Some(v) => v,
                    None => continue,
                };

            let cache = self.cache.borrow();
            let order_info = cache.order(&client_order_id).and_then(|order| {
                if order.is_closed() {
                    None
                } else {
                    Some((order.order_side(), order.leaves_qty().raw))
                }
            });
            drop(cache);

            let Some((order_side, leaves_raw)) = order_info else {
                stale.push(client_order_id);
                continue;
            };

            if order_price_raw != price_raw || ahead_raw == 0 {
                continue;
            }

            let should_decrement = matches!(aggressor_side, AggressorSide::NoAggressor)
                || (aggressor_side == AggressorSide::Buy && order_side == OrderSide::Sell)
                || (aggressor_side == AggressorSide::Sell && order_side == OrderSide::Buy);

            if should_decrement {
                entries.push((client_order_id, ahead_raw, leaves_raw));
            }
        }

        for id in stale.drain(..) {
            self.queue_ahead_total.shift_remove(&id);
            self.queue_ahead_orders.shift_remove(&id);
        }

        // Sort by queue position (earliest first) for shared budget allocation
        entries.sort_by_key(|&(_, ahead, _)| ahead);

        let mut remaining = trade_size_raw;
        let mut prev_position: QuantityRaw = 0;

        for (client_order_id, ahead_raw, leaves_raw) in &entries {
            if remaining == 0 {
                let new_ahead = ahead_raw.saturating_sub(trade_size_raw);
                self.reduce_queue_ahead(*client_order_id, price_raw, *ahead_raw, new_ahead);
                if new_ahead == 0 {
                    // Queue cleared but no trade volume left for this order
                    self.queue_excess.insert(*client_order_id, 0);
                }
                continue;
            }

            // Consume the gap between previous position and this order's depth
            let gap = ahead_raw.saturating_sub(prev_position);
            let queue_consumed = remaining.min(gap);
            remaining -= queue_consumed;

            if remaining == 0 && queue_consumed < gap {
                let new_ahead = ahead_raw.saturating_sub(trade_size_raw);
                self.reduce_queue_ahead(*client_order_id, price_raw, *ahead_raw, new_ahead);
                continue;
            }

            self.reduce_queue_ahead(*client_order_id, price_raw, *ahead_raw, 0);
            let excess = remaining.min(*leaves_raw);
            self.queue_excess.insert(*client_order_id, excess);
            remaining -= excess;
            prev_position = ahead_raw + excess;
        }

        self.queue_id_scratch = keys;
        self.queue_entry_scratch = entries;
        self.queue_stale_scratch = stale;
    }

    /// Reduces an order's quantity ahead, front-consuming its tracked orders by
    /// the same amount so the pair stays in sync and later granular deltas for
    /// consumed orders cannot advance the queue again.
    fn reduce_queue_ahead(
        &mut self,
        client_order_id: ClientOrderId,
        price_raw: PriceRaw,
        ahead_raw: QuantityRaw,
        new_ahead_raw: QuantityRaw,
    ) {
        self.queue_ahead_total
            .insert(client_order_id, (price_raw, new_ahead_raw));
        self.consume_queue_ahead_orders(client_order_id, ahead_raw.saturating_sub(new_ahead_raw));
    }

    /// Front-consumes (FIFO) the tracked orders in step with `queue_ahead_total`.
    fn consume_queue_ahead_orders(
        &mut self,
        client_order_id: ClientOrderId,
        mut amount_raw: QuantityRaw,
    ) {
        let Some(orders_ahead) = self.queue_ahead_orders.get_mut(&client_order_id) else {
            return;
        };

        while amount_raw > 0 {
            let Some((&book_order_id, &size_raw)) = orders_ahead.get_index(0) else {
                break;
            };

            if size_raw <= amount_raw {
                orders_ahead.shift_remove(&book_order_id);
                amount_raw -= size_raw;
            } else {
                orders_ahead.insert(book_order_id, size_raw - amount_raw);
                amount_raw = 0;
            }
        }
    }

    fn determine_trade_fill_qty(&self, order: &OrderAny) -> Option<QuantityRaw> {
        if !self.config.queue_position {
            return Some(order.leaves_qty().raw);
        }

        let client_order_id = order.client_order_id();

        // Block fills for L1 orders pending a deferred snapshot
        if self.queue_pending.contains_key(&client_order_id) {
            return None;
        }

        if let Some(&(tracked_price_raw, ahead_raw)) = self.queue_ahead_total.get(&client_order_id)
            && let Some(order_price) = order.price()
            && order_price.raw == tracked_price_raw
            && ahead_raw > 0
        {
            return None;
        }

        let leaves_raw = order.leaves_qty().raw;
        if leaves_raw == 0 {
            return None;
        }

        let mut available_raw = leaves_raw;

        // Cap by remaining trade volume and queue excess (only during trade processing)
        if let Some(trade_size) = self.last_trade_size {
            let remaining = trade_size.raw.saturating_sub(self.trade_consumption);
            available_raw = available_raw.min(remaining);

            if let Some(&excess_raw) = self.queue_excess.get(&client_order_id) {
                if excess_raw == 0 {
                    return None;
                }
                available_raw = available_raw.min(excess_raw);
            }
        }

        if available_raw == 0 {
            return None;
        }

        Some(available_raw)
    }

    fn clear_all_queue_positions(&mut self) {
        for (_, (_, ahead_raw)) in &mut self.queue_ahead_total {
            *ahead_raw = 0;
        }

        for orders_ahead in self.queue_ahead_orders.values_mut() {
            orders_ahead.clear();
        }
    }

    fn adjust_queue_for_delta(&mut self, delta: &OrderBookDelta) {
        if delta.action == BookAction::Delete {
            if self.is_order_granular_delta(delta.flags) {
                self.advance_l3_queue_on_delete(delta.order.order_id);
            } else {
                self.clear_queue_on_delete(delta.order.price.raw, delta.order.side);
            }
        } else if delta.action == BookAction::Update {
            if self.is_order_granular_delta(delta.flags) {
                self.adjust_l3_queue_on_update(&delta.order);
            } else {
                self.cap_queue_ahead(
                    delta.order.price.raw,
                    delta.order.size.raw,
                    delta.order.side,
                );
            }
        }
    }

    fn clear_queue_on_delete(&mut self, deleted_price_raw: PriceRaw, deleted_side: OrderSide) {
        let mut keys = Self::take_cleared(&mut self.queue_id_scratch);
        keys.extend(self.queue_ahead_total.keys().copied());
        for client_order_id in keys.iter().copied() {
            if let Some(&(order_price_raw, ahead_raw)) =
                self.queue_ahead_total.get(&client_order_id)
                && order_price_raw == deleted_price_raw
            {
                let matches_side = self
                    .cache
                    .borrow()
                    .order(&client_order_id)
                    .is_some_and(|o| o.order_side() == deleted_side);

                if matches_side {
                    self.reduce_queue_ahead(client_order_id, order_price_raw, ahead_raw, 0);
                }
            }
        }
        self.queue_id_scratch = keys;
    }

    /// Returns `true` when the delta identifies a single book order (pure MBO);
    /// TOB/MBP-flagged deltas use level-wide handling instead.
    fn is_order_granular_delta(&self, flags: u8) -> bool {
        self.book_type == BookType::L3_MBO
            && !RecordFlag::F_TOB.matches(flags)
            && !RecordFlag::F_MBP.matches(flags)
    }

    fn advance_l3_queue_on_delete(&mut self, book_order_id: OrderId) {
        for (client_order_id, orders_ahead) in &mut self.queue_ahead_orders {
            let Some(size_raw) = orders_ahead.shift_remove(&book_order_id) else {
                continue;
            };

            if let Some((_, ahead_raw)) = self.queue_ahead_total.get_mut(client_order_id) {
                *ahead_raw = ahead_raw.saturating_sub(size_raw);
            }
        }
    }

    /// Adjusts tracked queues for a per-order update. A size decrease retains
    /// time priority and advances the queue by the difference. A size increase
    /// keeps its book FIFO slot, so it stays ahead with the larger size
    /// (pessimistic versus venues that demote, but consistent with the book
    /// that later snapshots read). A price move leaves the level.
    fn adjust_l3_queue_on_update(&mut self, book_order: &BookOrder) {
        for (client_order_id, orders_ahead) in &mut self.queue_ahead_orders {
            let Some(&tracked_size_raw) = orders_ahead.get(&book_order.order_id) else {
                continue;
            };
            let Some((tracked_price_raw, ahead_raw)) =
                self.queue_ahead_total.get_mut(client_order_id)
            else {
                continue;
            };

            if book_order.price.raw != *tracked_price_raw {
                *ahead_raw = ahead_raw.saturating_sub(tracked_size_raw);
                orders_ahead.shift_remove(&book_order.order_id);
            } else if book_order.size.raw < tracked_size_raw {
                // Size decrease retains time priority
                *ahead_raw = ahead_raw.saturating_sub(tracked_size_raw - book_order.size.raw);
                orders_ahead.insert(book_order.order_id, book_order.size.raw);
            } else if book_order.size.raw > tracked_size_raw {
                *ahead_raw = ahead_raw.saturating_add(book_order.size.raw - tracked_size_raw);
                orders_ahead.insert(book_order.order_id, book_order.size.raw);
            }
        }
    }

    fn cap_queue_ahead(
        &mut self,
        price_raw: PriceRaw,
        size_raw: QuantityRaw,
        order_side: OrderSide,
    ) {
        let mut keys = Self::take_cleared(&mut self.queue_id_scratch);
        keys.extend(self.queue_ahead_total.keys().copied());
        let mut stale = Self::take_cleared(&mut self.queue_stale_scratch);

        for client_order_id in keys.iter().copied() {
            let (order_price_raw, ahead_raw) =
                match self.queue_ahead_total.get(&client_order_id).copied() {
                    Some(v) => v,
                    None => continue,
                };

            if order_price_raw != price_raw || ahead_raw <= size_raw {
                continue;
            }

            let cache = self.cache.borrow();
            let order_info = cache.order(&client_order_id).and_then(|order| {
                if order.is_closed() {
                    None
                } else {
                    Some(order.order_side())
                }
            });
            drop(cache);

            let Some(side) = order_info else {
                stale.push(client_order_id);
                continue;
            };

            if side != order_side {
                continue;
            }

            self.reduce_queue_ahead(client_order_id, order_price_raw, ahead_raw, size_raw);
        }

        for id in stale.drain(..) {
            self.queue_ahead_total.shift_remove(&id);
            self.queue_ahead_orders.shift_remove(&id);
        }

        self.queue_id_scratch = keys;
        self.queue_stale_scratch = stale;
    }

    fn seed_tob_baseline(&mut self) {
        let bid = self.book.best_bid_price();
        let ask = self.book.best_ask_price();
        self.prev_bid_price_raw = bid.map_or(0, |p| p.raw);
        self.prev_bid_size_raw = self.book.best_bid_size().map_or(0, |q| q.raw);
        self.prev_ask_price_raw = ask.map_or(0, |p| p.raw);
        self.prev_ask_size_raw = self.book.best_ask_size().map_or(0, |q| q.raw);
        self.tob_initialized = bid.is_some() || ask.is_some();
    }

    fn decrement_l1_queue_on_quote(
        &mut self,
        bid_price_raw: PriceRaw,
        bid_size_raw: QuantityRaw,
        ask_price_raw: PriceRaw,
        ask_size_raw: QuantityRaw,
    ) {
        if !self.config.queue_position {
            return;
        }

        // Price-move detection requires a valid prior TOB snapshot
        if self.tob_initialized {
            // BID side (BUY limit orders): handle price drops (crossed/snapshot)
            if bid_price_raw < self.prev_bid_price_raw {
                self.adjust_l1_queue_on_price_move(bid_price_raw, bid_size_raw, OrderSide::Buy);
            }

            // ASK side (SELL limit orders): handle price rises (crossed/snapshot)
            if ask_price_raw > self.prev_ask_price_raw {
                self.adjust_l1_queue_on_price_move(ask_price_raw, ask_size_raw, OrderSide::Sell);
            }
        }

        // Resolve pending snapshots when BBO reaches a tracked order's price
        self.resolve_pending_l1_snapshots(bid_price_raw, bid_size_raw, ask_price_raw, ask_size_raw);
    }

    fn adjust_l1_queue_on_price_move(
        &mut self,
        new_price_raw: PriceRaw,
        new_size_raw: QuantityRaw,
        order_side: OrderSide,
    ) {
        let mut keys = Self::take_cleared(&mut self.queue_id_scratch);
        keys.extend(self.queue_ahead_total.keys().copied());
        let mut stale = Self::take_cleared(&mut self.queue_stale_scratch);

        for client_order_id in keys.iter().copied() {
            let Some(&(order_price_raw, ahead_raw)) = self.queue_ahead_total.get(&client_order_id)
            else {
                continue;
            };

            let cache = self.cache.borrow();
            let order_info = cache.order(&client_order_id).and_then(|order| {
                if order.is_closed() {
                    None
                } else {
                    Some(order.order_side())
                }
            });
            drop(cache);

            let Some(side) = order_info else {
                stale.push(client_order_id);
                continue;
            };

            if side != order_side {
                continue;
            }

            // BUY orders crossed when bid drops below order price
            // SELL orders crossed when ask rises above order price
            let crossed = match order_side {
                OrderSide::Buy => order_price_raw > new_price_raw,
                _ => order_price_raw < new_price_raw,
            };

            if crossed {
                self.queue_ahead_total
                    .insert(client_order_id, (order_price_raw, 0));
            } else if order_price_raw == new_price_raw && ahead_raw > new_size_raw {
                self.queue_ahead_total
                    .insert(client_order_id, (order_price_raw, new_size_raw));
            }
        }

        for id in stale.drain(..) {
            self.queue_ahead_total.shift_remove(&id);
        }

        // Pending L1 orders affected by this price move. `stale` must be empty
        // here so ids from the ahead-total walk are not removed from pending.
        keys.clear();
        keys.extend(self.queue_pending.keys().copied());

        for client_order_id in keys.iter().copied() {
            let Some(&order_price_raw) = self.queue_pending.get(&client_order_id) else {
                continue;
            };

            let cache = self.cache.borrow();
            let order_info = cache.order(&client_order_id).and_then(|order| {
                if order.is_closed() {
                    None
                } else {
                    Some(order.order_side())
                }
            });
            drop(cache);

            let Some(side) = order_info else {
                stale.push(client_order_id);
                continue;
            };

            if side != order_side {
                continue;
            }

            let crossed = match order_side {
                OrderSide::Buy => order_price_raw > new_price_raw,
                _ => order_price_raw < new_price_raw,
            };

            if crossed {
                self.queue_pending.shift_remove(&client_order_id);
                self.queue_ahead_total
                    .insert(client_order_id, (order_price_raw, 0));
            } else if order_price_raw == new_price_raw {
                self.queue_pending.shift_remove(&client_order_id);
                self.queue_ahead_total
                    .insert(client_order_id, (order_price_raw, new_size_raw));
            }
        }

        for id in stale.drain(..) {
            self.queue_pending.shift_remove(&id);
        }

        self.queue_id_scratch = keys;
        self.queue_stale_scratch = stale;
    }

    fn resolve_pending_l1_snapshots(
        &mut self,
        bid_price_raw: PriceRaw,
        bid_size_raw: QuantityRaw,
        ask_price_raw: PriceRaw,
        ask_size_raw: QuantityRaw,
    ) {
        let mut keys = Self::take_cleared(&mut self.queue_id_scratch);
        keys.extend(self.queue_pending.keys().copied());
        let mut stale = Self::take_cleared(&mut self.queue_stale_scratch);

        for client_order_id in keys.iter().copied() {
            let Some(&order_price_raw) = self.queue_pending.get(&client_order_id) else {
                continue;
            };

            let cache = self.cache.borrow();
            let order_info = cache.order(&client_order_id).and_then(|order| {
                if order.is_closed() {
                    None
                } else {
                    Some(order.order_side())
                }
            });
            drop(cache);

            let Some(side) = order_info else {
                stale.push(client_order_id);
                continue;
            };

            // Initialize snapshot when BBO reaches the order's price level
            let matched_size = match side {
                OrderSide::Buy if order_price_raw == bid_price_raw => Some(bid_size_raw),
                OrderSide::Sell if order_price_raw == ask_price_raw => Some(ask_size_raw),
                _ => None,
            };

            if let Some(size) = matched_size {
                self.queue_pending.shift_remove(&client_order_id);
                self.queue_ahead_total
                    .insert(client_order_id, (order_price_raw, size));
            }
        }

        for id in stale.drain(..) {
            self.queue_pending.shift_remove(&id);
        }

        self.queue_id_scratch = keys;
        self.queue_stale_scratch = stale;
    }

    fn resolve_pending_on_trade(&mut self, trade_price_raw: PriceRaw) {
        let mut keys = Self::take_cleared(&mut self.queue_id_scratch);
        keys.extend(self.queue_pending.keys().copied());
        let mut stale = Self::take_cleared(&mut self.queue_stale_scratch);

        for client_order_id in keys.iter().copied() {
            let Some(&order_price_raw) = self.queue_pending.get(&client_order_id) else {
                continue;
            };

            let cache = self.cache.borrow();
            let order_side = cache.order(&client_order_id).and_then(|order| {
                if order.is_closed() {
                    None
                } else {
                    Some(order.order_side())
                }
            });
            drop(cache);

            let Some(side) = order_side else {
                stale.push(client_order_id);
                continue;
            };

            // Trade through a pending level proves the queue was crossed
            let crossed = match side {
                OrderSide::Buy => trade_price_raw < order_price_raw,
                OrderSide::Sell => trade_price_raw > order_price_raw,
                _ => false,
            };

            if crossed {
                self.queue_pending.shift_remove(&client_order_id);
                self.queue_ahead_total
                    .insert(client_order_id, (order_price_raw, 0));
            }
        }

        for id in stale.drain(..) {
            self.queue_pending.shift_remove(&id);
        }

        self.queue_id_scratch = keys;
        self.queue_stale_scratch = stale;
    }

    fn take_cleared<T>(buf: &mut Vec<T>) -> Vec<T> {
        let mut items = mem::take(buf);
        items.clear();
        items
    }

    #[must_use]
    /// Returns the best bid price from the order book.
    pub fn best_bid_price(&self) -> Option<Price> {
        self.book.best_bid_price()
    }

    #[must_use]
    /// Returns the best ask price from the order book.
    pub fn best_ask_price(&self) -> Option<Price> {
        self.book.best_ask_price()
    }

    #[must_use]
    /// Returns a reference to the internal order book.
    pub const fn get_book(&self) -> &OrderBook {
        &self.book
    }

    #[must_use]
    /// Returns all open bid orders managed by the matching core.
    pub fn get_open_bid_orders(&self) -> Vec<RestingOrder> {
        self.core.get_orders_bid()
    }

    #[must_use]
    /// Returns all open ask orders managed by the matching core.
    pub fn get_open_ask_orders(&self) -> Vec<RestingOrder> {
        self.core.get_orders_ask()
    }

    #[must_use]
    /// Returns all open orders from both bid and ask sides.
    pub fn get_open_orders(&self) -> Vec<RestingOrder> {
        self.core.get_orders()
    }

    #[must_use]
    /// Returns true if an order with the given client order ID exists in the matching engine.
    pub fn order_exists(&self, client_order_id: ClientOrderId) -> bool {
        self.core.order_exists(client_order_id)
    }

    #[must_use]
    /// Returns the number of partial-fill counters tracked by the engine.
    pub fn cached_filled_qty_len(&self) -> usize {
        self.cached_filled_qty.len()
    }

    #[must_use]
    pub const fn get_core(&self) -> &OrderMatchingCore {
        &self.core
    }

    pub fn set_fill_at_market(&mut self, value: bool) {
        self.fill_at_market = value;
    }

    /// Updates the instrument definition used by this matching engine.
    ///
    /// # Errors
    ///
    /// Returns an error if `instrument.id()` does not match this engines instrument ID.
    pub fn update_instrument(&mut self, instrument: InstrumentAny) -> anyhow::Result<()> {
        if instrument.id() != self.instrument.id() {
            anyhow::bail!(
                "Cannot update instrument {} with {}",
                self.instrument.id(),
                instrument.id()
            );
        }

        let changed = instrument.price_increment() != self.instrument.price_increment()
            || instrument.price_precision() != self.instrument.price_precision()
            || instrument.size_precision() != self.instrument.size_precision();

        if changed {
            self.core
                .update_price_increment(instrument.price_increment());
            self.book.reset();
            self.trade_consumption = 0;
            self.bid_consumption.clear();
            self.ask_consumption.clear();
            self.queue_pending.clear();
            self.queue_ahead_orders.clear();
            self.queue_ahead_total.clear();
            self.queue_excess.clear();
            self.prev_bid_price_raw = 0;
            self.prev_bid_size_raw = 0;
            self.prev_ask_price_raw = 0;
            self.prev_ask_size_raw = 0;
            self.tob_initialized = false;
            self.last_quote_bid = None;
            self.last_quote_ask = None;
            self.precision_mismatch_streak = 0;
            self.target_bid = None;
            self.target_ask = None;
            self.target_last = None;
            self.last_bar_bid = None;
            self.last_bar_ask = None;
            self.core.bid = None;
            self.core.ask = None;
            self.core.last = None;
            log::info!(
                "Updated instrument {} (price_precision={} size_precision={})",
                instrument.id(),
                instrument.price_precision(),
                instrument.size_precision()
            );
        }

        self.instrument = instrument;

        if changed {
            self.drop_incompatible_core_orders();
        }
        Ok(())
    }

    fn check_price_precision(&self, actual: u8, field: &str) -> anyhow::Result<()> {
        let expected = self.instrument.price_precision();
        if actual != expected {
            anyhow::bail!(
                "Invalid {field} precision {actual}, expected {expected} for {}",
                self.instrument.id()
            );
        }
        Ok(())
    }

    fn check_size_precision(&self, actual: u8, field: &str) -> anyhow::Result<()> {
        let expected = self.instrument.size_precision();
        if actual != expected {
            anyhow::bail!(
                "Invalid {field} precision {actual}, expected {expected} for {}",
                self.instrument.id()
            );
        }
        Ok(())
    }

    fn log_precision_mismatch(
        &mut self,
        data_type: &str,
        instrument_id: InstrumentId,
        err: &anyhow::Error,
    ) {
        self.precision_mismatch_streak = self.precision_mismatch_streak.saturating_add(1);
        let streak = self.precision_mismatch_streak;

        if streak <= 3 || streak.is_multiple_of(100) {
            log::warn!(
                "Skipping {data_type} for {instrument_id}: {err} \
                 (consecutive_precision_mismatches={streak})"
            );
        }

        if streak == 20 {
            log::error!(
                "Precision mismatches reached {streak} consecutive events for \
                 {instrument_id}; check instrument update flow and upstream market data"
            );
        }
    }

    fn drop_incompatible_core_orders(&mut self) {
        let client_order_ids: Vec<ClientOrderId> = self
            .core
            .iter_orders()
            .filter(|order| {
                !self.resting_order_matches_current_instrument(order)
                    || !self.cached_order_matches_current_instrument(order.client_order_id)
            })
            .map(|order| order.client_order_id)
            .collect();

        for client_order_id in client_order_ids {
            let order = self
                .cache
                .borrow()
                .order(&client_order_id)
                .map(|o| o.clone());

            if let Some(order) = order
                && (order.is_inflight() || order.is_open())
            {
                log::warn!(
                    "Canceling order {client_order_id} after instrument update: \
                     price, trigger price, or quantity is not compatible with {}",
                    self.instrument.id()
                );
                self.cancel_order(&order, None);
            } else {
                self.delete_core_order(client_order_id);
                self.cached_filled_qty.swap_remove(&client_order_id);
            }
        }
    }

    fn cached_order_matches_current_instrument(&self, client_order_id: ClientOrderId) -> bool {
        self.cache
            .borrow()
            .order(&client_order_id)
            .is_none_or(|order| {
                Self::quantity_matches_precision(order.quantity(), self.instrument.size_precision())
            })
    }

    fn resting_order_matches_current_instrument(&self, order: &RestingOrder) -> bool {
        order
            .limit_price
            .is_none_or(|price| self.price_matches_current_instrument(price))
            && order
                .trigger_price
                .is_none_or(|price| self.price_matches_current_instrument(price))
    }

    fn price_matches_current_instrument(&self, price: Price) -> bool {
        Self::price_matches_precision(price, self.instrument.price_precision())
            && Self::price_matches_tick(price, self.instrument.price_increment())
    }

    fn price_matches_precision(price: Price, precision: u8) -> bool {
        let precision_diff = FIXED_PRECISION.saturating_sub(precision);
        let scale = PriceRaw::pow(10, u32::from(precision_diff));
        price.raw % scale == 0
    }

    fn price_matches_tick(price: Price, increment: Price) -> bool {
        let increment_raw = increment.raw.abs();
        increment_raw == 0 || price.raw % increment_raw == 0
    }

    fn quantity_matches_precision(quantity: Quantity, precision: u8) -> bool {
        let precision_diff = FIXED_PRECISION.saturating_sub(precision);
        let scale = QuantityRaw::pow(10, u32::from(precision_diff));
        quantity.raw.is_multiple_of(scale)
    }

    fn normalize_price_for_current_instrument(&self, price: Price) -> Option<Price> {
        if !self.price_matches_current_instrument(price) {
            return None;
        }

        Some(Price::from_raw(
            price.raw,
            self.instrument.price_precision(),
        ))
    }

    fn normalize_quantity_for_current_instrument(&self, quantity: Quantity) -> Option<Quantity> {
        let precision = self.instrument.size_precision();
        if !Self::quantity_matches_precision(quantity, precision) {
            return None;
        }

        Some(Quantity::from_raw(quantity.raw, precision))
    }

    /// Process the venues market for the given order book delta.
    ///
    /// # Errors
    ///
    /// - If delta order price precision does not match the instrument (for Add/Update actions).
    /// - If delta order size precision does not match the instrument (for Add/Update actions).
    /// - If applying the delta to the book fails.
    pub fn process_order_book_delta(&mut self, delta: &OrderBookDelta) -> anyhow::Result<()> {
        log::debug!("Processing {delta}");

        // Validate precision for Add and Update actions (Delete/Clear may have NULL_ORDER)
        if matches!(delta.action, BookAction::Add | BookAction::Update) {
            self.check_price_precision(delta.order.price.precision, "delta order price")?;
            self.check_size_precision(delta.order.size.precision, "delta order size")?;
        }

        // L1 books are driven by top-of-book data only, ignore deltas
        if self.book_type == BookType::L1_MBP {
            self.iterate(delta.ts_init, AggressorSide::NoAggressor);
            return Ok(());
        }

        self.book.apply_delta(delta)?;

        let delta_snapshot_or_clear = (delta.flags & 32) != 0 || delta.action == BookAction::Clear;

        if self.config.queue_position {
            if delta_snapshot_or_clear {
                self.clear_all_queue_positions();
            } else {
                self.adjust_queue_for_delta(delta);
            }
        }

        if self.config.queue_position && delta_snapshot_or_clear {
            self.seed_tob_baseline();
        }

        self.iterate(delta.ts_init, AggressorSide::NoAggressor);
        Ok(())
    }

    /// Process the venues market for the given order book deltas.
    ///
    /// # Errors
    ///
    /// - If any delta order price precision does not match the instrument (for Add/Update actions).
    /// - If any delta order size precision does not match the instrument (for Add/Update actions).
    /// - If applying the deltas to the book fails.
    pub fn process_order_book_deltas(&mut self, deltas: &OrderBookDeltas) -> anyhow::Result<()> {
        log::debug!("Processing {deltas}");

        // Validate precision for Add and Update actions (Delete/Clear may have NULL_ORDER)
        for delta in &deltas.deltas {
            if matches!(delta.action, BookAction::Add | BookAction::Update) {
                self.check_price_precision(delta.order.price.precision, "delta order price")?;
                self.check_size_precision(delta.order.size.precision, "delta order size")?;
            }
        }

        // L1 books are driven by top-of-book data only, ignore deltas
        if self.book_type == BookType::L1_MBP {
            self.iterate(deltas.ts_init, AggressorSide::NoAggressor);
            return Ok(());
        }

        self.book.apply_deltas(deltas)?;

        let mut has_snapshot_or_clear = false;

        if self.config.queue_position {
            for delta in &deltas.deltas {
                if (delta.flags & 32) != 0 || delta.action == BookAction::Clear {
                    self.clear_all_queue_positions();
                    has_snapshot_or_clear = true;
                    break;
                }
                self.adjust_queue_for_delta(delta);
            }
        }

        if self.config.queue_position && has_snapshot_or_clear {
            self.seed_tob_baseline();
        }

        self.iterate(deltas.ts_init, AggressorSide::NoAggressor);
        Ok(())
    }

    /// Process the venues market for the given order book depth10.
    ///
    /// # Errors
    ///
    /// - If any bid/ask price precision does not match the instrument.
    /// - If any bid/ask size precision does not match the instrument.
    /// - If applying the depth to the book fails.
    /// - If updating the L1 order book with the top-of-book quote fails.
    pub fn process_order_book_depth10(&mut self, depth: &OrderBookDepth10) -> anyhow::Result<()> {
        log::debug!("Processing OrderBookDepth10 for {}", depth.instrument_id);

        // Validate precision for non-padding entries
        for order in &depth.bids {
            if order.side == OrderSide::NoOrderSide || !order.size.is_positive() {
                continue;
            }
            self.check_price_precision(order.price.precision, "bid price")?;
            self.check_size_precision(order.size.precision, "bid size")?;
        }

        for order in &depth.asks {
            if order.side == OrderSide::NoOrderSide || !order.size.is_positive() {
                continue;
            }
            self.check_price_precision(order.price.precision, "ask price")?;
            self.check_size_precision(order.size.precision, "ask size")?;
        }

        let top_bid = Self::first_valid_depth_order(&depth.bids, OrderSide::Buy);
        let top_ask = Self::first_valid_depth_order(&depth.asks, OrderSide::Sell);

        // For L1 books, only apply top-of-book to avoid mispricing
        // against worst-level entries when full depth is applied
        if self.book_type == BookType::L1_MBP {
            let quote = QuoteTick::new(
                depth.instrument_id,
                Self::depth_quote_price(top_bid, self.instrument.price_precision()),
                Self::depth_quote_price(top_ask, self.instrument.price_precision()),
                Self::depth_quote_size(top_bid, self.instrument.size_precision()),
                Self::depth_quote_size(top_ask, self.instrument.size_precision()),
                depth.ts_event,
                depth.ts_init,
            );
            self.book.update_quote_tick(&quote)?;
            self.last_quote_bid = top_bid.map(|order| order.price);
            self.last_quote_ask = top_ask.map(|order| order.price);
        } else {
            self.book.apply_depth(depth)?;
        }

        // Depth10 always replaces the full book via apply_depth regardless of flags
        if self.config.queue_position {
            self.clear_all_queue_positions();
            let bid_price_raw = top_bid.map_or(0, |order| order.price.raw);
            let bid_size_raw = top_bid.map_or(0, |order| order.size.raw);
            let ask_price_raw = top_ask.map_or(0, |order| order.price.raw);
            let ask_size_raw = top_ask.map_or(0, |order| order.size.raw);

            // Handle crossed/matched pending orders (same as quote path)
            if self.tob_initialized {
                if bid_price_raw < self.prev_bid_price_raw {
                    self.adjust_l1_queue_on_price_move(bid_price_raw, bid_size_raw, OrderSide::Buy);
                }

                if ask_price_raw > self.prev_ask_price_raw {
                    self.adjust_l1_queue_on_price_move(
                        ask_price_raw,
                        ask_size_raw,
                        OrderSide::Sell,
                    );
                }
            }

            self.resolve_pending_l1_snapshots(
                bid_price_raw,
                bid_size_raw,
                ask_price_raw,
                ask_size_raw,
            );

            self.prev_bid_price_raw = bid_price_raw;
            self.prev_bid_size_raw = bid_size_raw;
            self.prev_ask_price_raw = ask_price_raw;
            self.prev_ask_size_raw = ask_size_raw;
            self.tob_initialized = true;
        }

        self.iterate(depth.ts_init, AggressorSide::NoAggressor);
        Ok(())
    }

    fn first_valid_depth_order(orders: &[BookOrder], side: OrderSide) -> Option<BookOrder> {
        orders
            .iter()
            .copied()
            .find(|order| order.side == side && order.size.is_positive())
    }

    fn depth_quote_price(order: Option<BookOrder>, price_precision: u8) -> Price {
        order.map_or_else(|| Price::zero(price_precision), |order| order.price)
    }

    fn depth_quote_size(order: Option<BookOrder>, size_precision: u8) -> Quantity {
        order.map_or_else(|| Quantity::zero(size_precision), |order| order.size)
    }

    /// Processes a quote tick to update the market state.
    pub fn process_quote_tick(&mut self, quote: &QuoteTick) {
        log::debug!("Processing {quote}");

        if let Err(e) = self.check_price_precision(quote.bid_price.precision, "bid_price") {
            self.log_precision_mismatch("quote tick", quote.instrument_id, &e);
            return;
        }

        if let Err(e) = self.check_price_precision(quote.ask_price.precision, "ask_price") {
            self.log_precision_mismatch("quote tick", quote.instrument_id, &e);
            return;
        }

        if let Err(e) = self.check_size_precision(quote.bid_size.precision, "bid_size") {
            self.log_precision_mismatch("quote tick", quote.instrument_id, &e);
            return;
        }

        if let Err(e) = self.check_size_precision(quote.ask_size.precision, "ask_size") {
            self.log_precision_mismatch("quote tick", quote.instrument_id, &e);
            return;
        }

        self.precision_mismatch_streak = 0;

        if self.book_type == BookType::L1_MBP {
            // Stale update: skip book mutation and cache updates
            if quote.ts_event < self.book.ts_last {
                log::warn!(
                    "Skipping stale quote: ts_event {} < book.ts_last {} for {}",
                    quote.ts_event,
                    self.book.ts_last,
                    self.book.instrument_id,
                );
                self.iterate(quote.ts_init, AggressorSide::NoAggressor);
                return;
            }

            if !self.update_quote_tick_or_skip(quote, "quote tick") {
                return;
            }

            if self.config.queue_position {
                self.decrement_l1_queue_on_quote(
                    quote.bid_price.raw,
                    quote.bid_size.raw,
                    quote.ask_price.raw,
                    quote.ask_size.raw,
                );
                self.prev_bid_price_raw = quote.bid_price.raw;
                self.prev_bid_size_raw = quote.bid_size.raw;
                self.prev_ask_price_raw = quote.ask_price.raw;
                self.prev_ask_size_raw = quote.ask_size.raw;
                self.tob_initialized = true;
            }
            self.last_quote_bid = Some(quote.bid_price);
            self.last_quote_ask = Some(quote.ask_price);
        }

        self.iterate(quote.ts_init, AggressorSide::NoAggressor);
    }

    /// Processes a bar and simulates market dynamics by creating synthetic ticks.
    ///
    /// For L1 books with bar execution enabled, generates synthetic trade or quote
    /// ticks from bar OHLC data to drive order matching.
    ///
    /// # Panics
    ///
    /// - If the bar type configuration is missing a time delta.
    pub fn process_bar(&mut self, bar: &Bar) {
        log::debug!("Processing {bar}");

        debug_assert!(
            bar.high >= bar.open
                && bar.high >= bar.low
                && bar.high >= bar.close
                && bar.low <= bar.open
                && bar.low <= bar.close,
            "OHLC invariant violated for {bar}"
        );

        // Check if configured for bar execution can only process an L1 book with bars
        if !self.config.bar_execution || self.book_type != BookType::L1_MBP {
            return;
        }

        let bar_type = bar.bar_type;
        // Do not process internally aggregated bars
        if bar_type.aggregation_source() == AggregationSource::Internal {
            return;
        }

        if let Err(e) = self.check_price_precision(bar.open.precision, "bar open") {
            self.log_precision_mismatch("bar", bar.instrument_id(), &e);
            return;
        }

        if let Err(e) = self.check_price_precision(bar.high.precision, "bar high") {
            self.log_precision_mismatch("bar", bar.instrument_id(), &e);
            return;
        }

        if let Err(e) = self.check_price_precision(bar.low.precision, "bar low") {
            self.log_precision_mismatch("bar", bar.instrument_id(), &e);
            return;
        }

        if let Err(e) = self.check_price_precision(bar.close.precision, "bar close") {
            self.log_precision_mismatch("bar", bar.instrument_id(), &e);
            return;
        }

        if let Err(e) = self.check_size_precision(bar.volume.precision, "bar volume") {
            self.log_precision_mismatch("bar", bar.instrument_id(), &e);
            return;
        }

        self.precision_mismatch_streak = 0;

        let price_type = bar_type.spec().price_type;
        if price_type == PriceType::Mark {
            log::warn!(
                "Cannot process bar for {} with `PriceType::Mark`, mark price bars are not supported for bar execution",
                bar.instrument_id(),
            );
            return;
        }

        let execution_bar_type =
            if let Some(execution_bar_type) = self.execution_bar_types.get(&bar.instrument_id()) {
                execution_bar_type.to_owned()
            } else {
                self.execution_bar_types
                    .insert(bar.instrument_id(), bar_type);
                self.execution_bar_deltas
                    .insert(bar_type, bar_type.spec().timedelta());
                bar_type
            };

        if execution_bar_type != bar_type {
            let mut bar_type_timedelta = self.execution_bar_deltas.get(&bar_type).copied();
            if bar_type_timedelta.is_none() {
                bar_type_timedelta = Some(bar_type.spec().timedelta());
                self.execution_bar_deltas
                    .insert(bar_type, bar_type_timedelta.unwrap());
            }

            if self.execution_bar_deltas.get(&execution_bar_type).unwrap()
                >= &bar_type_timedelta.unwrap()
            {
                self.execution_bar_types
                    .insert(bar_type.instrument_id(), bar_type);
            } else {
                return;
            }
        }

        match price_type {
            PriceType::Last | PriceType::Mid => self.process_trade_ticks_from_bar(bar),
            PriceType::Bid => {
                self.last_bar_bid = Some(bar.to_owned());
                self.process_quote_ticks_from_bar();
            }
            PriceType::Ask => {
                self.last_bar_ask = Some(bar.to_owned());
                self.process_quote_ticks_from_bar();
            }
            PriceType::Mark => {
                unreachable!("PriceType::Mark bars return before execution bar state updates")
            }
        }
    }

    fn process_trade_ticks_from_bar(&mut self, bar: &Bar) {
        let sizes = BarTickSizes::from_volume(bar.volume, self.instrument.size_increment());

        let aggressor_side = if self.core.last.is_none_or(|last| bar.open > last) {
            AggressorSide::Buy
        } else {
            AggressorSide::Sell
        };

        // Open: fill at market price (gap from previous bar)
        if self.core.last.is_none() {
            self.fill_at_market = true;

            if !self.process_bar_trade_tick(
                bar,
                bar.open,
                sizes.open,
                aggressor_side,
                "bar open trade tick",
            ) {
                return;
            }
            self.core.set_last_raw(bar.open);
        } else if self.core.last.is_some_and(|last| bar.open != last) {
            // Gap between previous close and this bar's open
            self.fill_at_market = true;

            if !self.process_bar_trade_tick(
                bar,
                bar.open,
                sizes.open,
                aggressor_side,
                "bar gap-open trade tick",
            ) {
                return;
            }
            self.core.set_last_raw(bar.open);
        }

        // Determine high/low processing order.
        // Default: O > H > L > C. With adaptive ordering, swap if low is closer to open.
        let high_first = !self.config.bar_adaptive_high_low_ordering
            || (bar.high.raw - bar.open.raw).abs() < (bar.low.raw - bar.open.raw).abs();

        if high_first {
            self.process_bar_high(bar, sizes.high);
            self.process_bar_low(bar, sizes.low);
        } else {
            self.process_bar_low(bar, sizes.low);
            self.process_bar_high(bar, sizes.high);
        }

        // Close: fill at trigger price (market moving through prices)
        if self.core.last.is_some_and(|last| bar.close != last) {
            self.fill_at_market = false;

            let aggressor_side = if bar.close > self.core.last.unwrap() {
                AggressorSide::Buy
            } else {
                AggressorSide::Sell
            };

            if !self.process_bar_trade_tick(
                bar,
                bar.close,
                sizes.close,
                aggressor_side,
                "bar close trade tick",
            ) {
                return;
            }

            self.core.set_last_raw(bar.close);
        }

        self.fill_at_market = true;
    }

    fn process_bar_high(&mut self, bar: &Bar, size: Quantity) {
        if self.core.last.is_some_and(|last| bar.high > last) {
            self.fill_at_market = false;

            if !self.process_bar_trade_tick(
                bar,
                bar.high,
                size,
                AggressorSide::Buy,
                "bar high trade tick",
            ) {
                return;
            }

            self.core.set_last_raw(bar.high);
        }
    }

    fn process_bar_low(&mut self, bar: &Bar, size: Quantity) {
        if self.core.last.is_some_and(|last| bar.low < last) {
            self.fill_at_market = false;

            if !self.process_bar_trade_tick(
                bar,
                bar.low,
                size,
                AggressorSide::Sell,
                "bar low trade tick",
            ) {
                return;
            }

            self.core.set_last_raw(bar.low);
        }
    }

    fn process_bar_trade_tick(
        &mut self,
        bar: &Bar,
        price: Price,
        size: Quantity,
        aggressor_side: AggressorSide,
        context: &str,
    ) -> bool {
        if size.is_zero() {
            return true;
        }

        let trade_tick = TradeTick::new(
            bar.instrument_id(),
            price,
            size,
            aggressor_side,
            self.ids_generator.generate_trade_id(bar.ts_init),
            bar.ts_init,
            bar.ts_init,
        );

        if !self.update_trade_tick_or_skip(&trade_tick, context) {
            return false;
        }

        self.iterate(trade_tick.ts_init, AggressorSide::NoAggressor);
        true
    }

    fn process_quote_ticks_from_bar(&mut self) {
        // Wait for next bar
        if self.last_bar_bid.is_none()
            || self.last_bar_ask.is_none()
            || self.last_bar_bid.unwrap().ts_init != self.last_bar_ask.unwrap().ts_init
        {
            return;
        }
        let bid_bar = self.last_bar_bid.unwrap();
        let ask_bar = self.last_bar_ask.unwrap();

        let size_increment = self.instrument.size_increment();
        let bid_sizes = BarTickSizes::from_volume(bid_bar.volume, size_increment);
        let ask_sizes = BarTickSizes::from_volume(ask_bar.volume, size_increment);
        let mut has_current_bid = false;
        let mut has_current_ask = false;

        let mut quote_tick = QuoteTick::new(
            self.book.instrument_id,
            bid_bar.open,
            ask_bar.open,
            bid_sizes.open,
            ask_sizes.open,
            bid_bar.ts_init,
            bid_bar.ts_init,
        );

        // Open: fill at market price (gap from previous bar)
        self.fill_at_market = true;

        if !self.process_bar_quote_tick(
            &quote_tick,
            "bar open quote tick",
            &mut has_current_bid,
            &mut has_current_ask,
        ) {
            return;
        }

        // Determine high/low processing order from the bid bar (v1 parity).
        // Default: O > H > L > C. With adaptive ordering, swap if low is closer to open
        let high_first = !self.config.bar_adaptive_high_low_ordering
            || (bid_bar.high.raw - bid_bar.open.raw).abs()
                < (bid_bar.low.raw - bid_bar.open.raw).abs();

        let high_leg = (
            bid_bar.high,
            ask_bar.high,
            bid_sizes.high,
            ask_sizes.high,
            "bar high quote tick",
        );
        let low_leg = (
            bid_bar.low,
            ask_bar.low,
            bid_sizes.low,
            ask_sizes.low,
            "bar low quote tick",
        );
        let legs = if high_first {
            [high_leg, low_leg]
        } else {
            [low_leg, high_leg]
        };

        // High/low: fill at trigger price (market moving through prices)
        for (bid_price, ask_price, bid_size, ask_size, context) in legs {
            self.fill_at_market = false;
            quote_tick.bid_price = bid_price;
            quote_tick.ask_price = ask_price;
            quote_tick.bid_size = bid_size;
            quote_tick.ask_size = ask_size;

            if !self.process_bar_quote_tick(
                &quote_tick,
                context,
                &mut has_current_bid,
                &mut has_current_ask,
            ) {
                return;
            }
        }

        // Close: fill at trigger price (market moving through prices)
        self.fill_at_market = false;
        quote_tick.bid_price = bid_bar.close;
        quote_tick.ask_price = ask_bar.close;
        quote_tick.bid_size = bid_sizes.close;
        quote_tick.ask_size = ask_sizes.close;

        if !self.process_bar_quote_tick(
            &quote_tick,
            "bar close quote tick",
            &mut has_current_bid,
            &mut has_current_ask,
        ) {
            return;
        }

        self.last_bar_bid = None;
        self.last_bar_ask = None;
        self.fill_at_market = true;
    }

    fn process_bar_quote_tick(
        &mut self,
        quote: &QuoteTick,
        context: &str,
        has_current_bid: &mut bool,
        has_current_ask: &mut bool,
    ) -> bool {
        let has_bid_size = !quote.bid_size.is_zero();
        let has_ask_size = !quote.ask_size.is_zero();
        let mut book_changed = false;
        let mut bid_cleared = false;
        let mut ask_cleared = false;

        match (has_bid_size, has_ask_size) {
            (true, true) => {
                if !self.update_quote_tick_or_skip(quote, context) {
                    return false;
                }
                *has_current_bid = true;
                *has_current_ask = true;
                book_changed = true;
            }
            _ => {
                if has_bid_size {
                    self.update_bar_quote_bid(quote);
                    *has_current_bid = true;
                    book_changed = true;
                } else if !*has_current_bid {
                    self.clear_bar_quote_bid(quote);
                    *has_current_bid = true;
                    book_changed = true;
                    bid_cleared = true;
                }

                if has_ask_size {
                    self.update_bar_quote_ask(quote);
                    *has_current_ask = true;
                    book_changed = true;
                } else if !*has_current_ask {
                    self.clear_bar_quote_ask(quote);
                    *has_current_ask = true;
                    book_changed = true;
                    ask_cleared = true;
                }
            }
        }

        if book_changed
            && let (Some(best_bid), Some(best_ask)) =
                (self.book.best_bid_price(), self.book.best_ask_price())
            && best_bid > best_ask
        {
            if has_bid_size && !has_ask_size {
                self.clear_bar_quote_ask(quote);
                ask_cleared = true;
            } else if has_ask_size && !has_bid_size {
                self.clear_bar_quote_bid(quote);
                bid_cleared = true;
            }
        }

        if has_bid_size {
            self.last_quote_bid = Some(quote.bid_price);
        } else if bid_cleared {
            self.last_quote_bid = None;
        }

        if has_ask_size {
            self.last_quote_ask = Some(quote.ask_price);
        } else if ask_cleared {
            self.last_quote_ask = None;
        }

        if !book_changed {
            return true;
        }

        self.iterate(quote.ts_init, AggressorSide::NoAggressor);
        true
    }

    fn update_bar_quote_bid(&mut self, quote: &QuoteTick) {
        let bid = BookOrder::new(
            OrderSide::Buy,
            quote.bid_price,
            quote.bid_size,
            OrderSide::Buy as u64,
        );
        self.book
            .add(bid, 0, self.book.sequence.saturating_add(1), quote.ts_event);
    }

    fn clear_bar_quote_bid(&mut self, quote: &QuoteTick) {
        self.book
            .clear_bids(self.book.sequence.saturating_add(1), quote.ts_event);
    }

    fn update_bar_quote_ask(&mut self, quote: &QuoteTick) {
        let ask = BookOrder::new(
            OrderSide::Sell,
            quote.ask_price,
            quote.ask_size,
            OrderSide::Sell as u64,
        );
        self.book
            .add(ask, 0, self.book.sequence.saturating_add(1), quote.ts_event);
    }

    fn clear_bar_quote_ask(&mut self, quote: &QuoteTick) {
        self.book
            .clear_asks(self.book.sequence.saturating_add(1), quote.ts_event);
    }

    /// Processes a trade tick to update the market state.
    ///
    /// For L1 books, always updates the order book with the trade tick to maintain
    /// market state. When `trade_execution` is disabled, order matching and maintenance
    /// operations (GTD order expiry, trailing stop activation, instrument expiration)
    /// are skipped. These maintenance operations will run on the next quote tick or bar.
    pub fn process_trade_tick(&mut self, trade: &TradeTick) {
        log::debug!("Processing {trade}");

        if let Err(e) = self.check_price_precision(trade.price.precision, "trade price") {
            self.log_precision_mismatch("trade tick", trade.instrument_id, &e);
            return;
        }

        if let Err(e) = self.check_size_precision(trade.size.precision, "trade size") {
            self.log_precision_mismatch("trade tick", trade.instrument_id, &e);
            return;
        }

        self.precision_mismatch_streak = 0;

        let price_raw = trade.price.raw;

        if self.book_type == BookType::L1_MBP {
            // Stale update: skip book mutation and trade execution
            if trade.ts_event < self.book.ts_last {
                log::warn!(
                    "Skipping stale trade: ts_event {} < book.ts_last {} for {}",
                    trade.ts_event,
                    self.book.ts_last,
                    self.book.instrument_id,
                );
                self.iterate(trade.ts_init, AggressorSide::NoAggressor);
                return;
            }

            if !self.update_trade_tick_or_skip(trade, "trade tick") {
                return;
            }
        }

        self.core.set_last_raw(trade.price);

        if !self.config.trade_execution {
            // Sync core to L1 book, skip order matching
            if self.book_type == BookType::L1_MBP {
                if let Some(bid) = self.book.best_bid_price() {
                    self.core.set_bid_raw(bid);
                }

                if let Some(ask) = self.book.best_ask_price() {
                    self.core.set_ask_raw(ask);
                }
            }
            return;
        }

        let aggressor_side = trade.aggressor_side;

        match aggressor_side {
            AggressorSide::Buy => {
                // Buyer lifted the ask: ask was at trade.price, post-trade
                // ask is at least this level (only widen)
                if self.core.ask.is_none() || price_raw > self.core.ask.map_or(0, |p| p.raw) {
                    self.core.set_ask_raw(trade.price);
                }

                // Initialize bid from first trade if needed
                if self.core.bid.is_none() {
                    self.core.set_bid_raw(trade.price);
                }
            }
            AggressorSide::Sell => {
                // Seller hit the bid: bid was at trade.price, post-trade
                // bid is at most this level (only narrow)
                if self.core.bid.is_none()
                    || price_raw < self.core.bid.map_or(PriceRaw::MAX, |p| p.raw)
                {
                    self.core.set_bid_raw(trade.price);
                }

                // Initialize ask from first trade if needed
                if self.core.ask.is_none() {
                    self.core.set_ask_raw(trade.price);
                }
            }
            AggressorSide::NoAggressor => {
                if self.core.bid.is_none()
                    || price_raw <= self.core.bid.map_or(PriceRaw::MAX, |p| p.raw)
                {
                    self.core.set_bid_raw(trade.price);
                }

                if self.core.ask.is_none() || price_raw >= self.core.ask.map_or(0, |p| p.raw) {
                    self.core.set_ask_raw(trade.price);
                }
            }
        }

        let original_bid = self.core.bid;
        let original_ask = self.core.ask;

        match aggressor_side {
            AggressorSide::Sell => {
                if original_ask.is_some_and(|ask| price_raw < ask.raw) {
                    self.core.set_ask_raw(trade.price);
                }
            }
            AggressorSide::Buy => {
                if original_bid.is_some_and(|bid| price_raw > bid.raw) {
                    self.core.set_bid_raw(trade.price);
                }
            }
            AggressorSide::NoAggressor => {
                // No directional information, so both sides take the trade price
                self.core.set_bid_raw(trade.price);
                self.core.set_ask_raw(trade.price);
            }
        }

        self.last_trade_size = Some(trade.size);
        self.trade_consumption = 0;

        if self.config.liquidity_consumption && self.book_type != BookType::L1_MBP {
            self.seed_trade_consumption(price_raw, trade.size.raw, trade.ts_event, aggressor_side);
        }

        self.resolve_pending_on_trade(price_raw);
        self.decrement_queue_on_trade(price_raw, trade.size.raw, aggressor_side);

        self.iterate(trade.ts_init, aggressor_side);

        self.last_trade_size = None;
        self.trade_consumption = 0;

        // Restore the non-aggressor side after temporary trade price override.
        // For L2/L3 books the book has independent depth so restore from originals.
        // For L1_MBP restore from the last quote values (not originals, which are
        // polluted by iterate's L1 book sync). Without quotes, skip the restore
        // so the core tracks the latest trade price.
        if self.book_type == BookType::L1_MBP {
            match aggressor_side {
                AggressorSide::Sell => {
                    if let Some(ask) = self.last_quote_ask {
                        self.core.ask = Some(ask);
                    }
                }
                AggressorSide::Buy => {
                    if let Some(bid) = self.last_quote_bid {
                        self.core.bid = Some(bid);
                    }
                }
                AggressorSide::NoAggressor => {}
            }
        } else {
            match aggressor_side {
                AggressorSide::Sell => {
                    if let Some(ask) = original_ask
                        && price_raw < ask.raw
                    {
                        self.core.ask = Some(ask);
                    }
                }
                AggressorSide::Buy => {
                    if let Some(bid) = original_bid
                        && price_raw > bid.raw
                    {
                        self.core.bid = Some(bid);
                    }
                }
                AggressorSide::NoAggressor => {}
            }
        }
    }

    fn update_quote_tick_or_skip(&mut self, quote: &QuoteTick, context: &str) -> bool {
        if let Err(e) = self.book.update_quote_tick(quote) {
            log::warn!(
                "Skipping {context} for {}: update_quote_tick failed: {e}",
                quote.instrument_id,
            );
            return false;
        }
        true
    }

    fn update_trade_tick_or_skip(&mut self, trade: &TradeTick, context: &str) -> bool {
        if let Err(e) = self.book.update_trade_tick(trade) {
            log::warn!(
                "Skipping {context} for {}: update_trade_tick failed: {e}",
                trade.instrument_id,
            );
            return false;
        }
        true
    }

    /// Processes a market status action to update the market state.
    pub fn process_status(&mut self, action: MarketStatusAction) {
        log::debug!("Processing {action}");

        match action {
            MarketStatusAction::Trading | MarketStatusAction::PreOpen
                if matches!(
                    self.market_status,
                    MarketStatus::Closed | MarketStatus::Paused | MarketStatus::Suspended
                ) =>
            {
                self.market_status = MarketStatus::Open;
            }
            MarketStatusAction::Pause if self.market_status == MarketStatus::Open => {
                self.market_status = MarketStatus::Paused;
            }
            MarketStatusAction::Suspend if self.market_status == MarketStatus::Open => {
                self.market_status = MarketStatus::Suspended;
            }
            MarketStatusAction::Halt | MarketStatusAction::Close
                if self.market_status == MarketStatus::Open =>
            {
                self.market_status = MarketStatus::Closed;
            }
            _ => {}
        }
    }

    /// Processes an instrument close event.
    ///
    /// For `ContractExpired` close types, stores the close and triggers expiration
    /// processing which cancels all open orders and closes all open positions.
    pub fn process_instrument_close(&mut self, close: InstrumentClose) {
        if close.instrument_id != self.instrument.id() {
            log::warn!(
                "Received instrument close for unknown instrument_id: {}",
                close.instrument_id
            );
            return;
        }

        if close.close_type == InstrumentCloseType::ContractExpired {
            self.instrument_close = Some(close);
            self.iterate(close.ts_init, AggressorSide::NoAggressor);
        }
    }

    /// Processes instrument expiration at the given timestamp.
    pub fn process_instrument_expiration(&mut self, timestamp_ns: UnixNanos) {
        self.check_instrument_expiration(timestamp_ns);
    }

    /// Returns whether instrument expiration has already been processed.
    #[must_use]
    pub const fn is_expiration_processed(&self) -> bool {
        self.expiration_processed
    }

    fn requires_pending_resolution(&self) -> bool {
        matches!(self.instrument, InstrumentAny::BinaryOption(_))
    }

    fn cancel_open_orders_for_expiration(&mut self) {
        // Build a single de-duplicated cancellation set across the matching
        // core and cache. Resting orders may still only be represented in the
        // core while inflight orders can remain cache-only during the
        // submitted/pending transition window.
        let instrument_id = self.instrument.id();
        let expiration_order_ids: IndexSet<ClientOrderId> = {
            let cache = self.cache.borrow();
            let mut order_ids = IndexSet::new();

            for order_info in self.get_open_orders() {
                order_ids.insert(order_info.client_order_id);
            }

            for order in cache.orders(None, Some(&instrument_id), None, None, None) {
                if order.is_open() || order.is_inflight() {
                    order_ids.insert(order.client_order_id());
                }
            }

            order_ids
        };

        for client_order_id in expiration_order_ids {
            let order = {
                let cache = self.cache.borrow();
                cache.order(&client_order_id).map(|order| order.clone())
            };

            if let Some(order) = order {
                self.cancel_order(&order, None);
            }
        }
    }

    fn enter_pending_resolution(&mut self) {
        if self.pending_resolution {
            return;
        }

        self.pending_resolution = true;
        self.market_status = MarketStatus::Closed;
        self.cancel_open_orders_for_expiration();
        log::info!(
            "{} expired and is now pending resolution; open orders canceled and new orders blocked",
            self.instrument.id()
        );
    }

    fn check_instrument_expiration(&mut self, timestamp_ns: UnixNanos) {
        if self.expiration_processed || self.option_settlement_failed {
            return;
        }

        let timestamp_triggered = self
            .instrument
            .expiration_ns()
            .is_some_and(|ns| timestamp_ns >= ns);

        if !timestamp_triggered && self.instrument_close.is_none() {
            return;
        }

        if self.instrument_close.is_none()
            && timestamp_triggered
            && self.requires_pending_resolution()
        {
            self.enter_pending_resolution();
            return;
        }

        if matches!(
            self.instrument,
            InstrumentAny::OptionContract(_) | InstrumentAny::CryptoOption(_)
        ) {
            // `iterate` matches resting orders ahead of this check, so enter
            // pending resolution at the first trigger. Latched because a queueing
            // handler leaves the cached status behind the cancellation dispatch.
            if !self.option_expiration_orders_canceled {
                self.option_expiration_orders_canceled = true;
                self.enter_pending_resolution();
            }

            match self.process_option_expiry(timestamp_ns) {
                Ok(true) => {
                    self.expiration_processed = true;
                    self.pending_resolution = false;
                    self.instrument_close.take();
                    self.option_settlement_warning = None;
                    log::info!("{} reached expiration", self.instrument.id());
                }
                Ok(false) => {}
                Err(e) => {
                    self.option_settlement_failed = true;
                    log::error!(
                        "Option settlement failed terminally for {}: {e}",
                        self.instrument.id()
                    );
                }
            }
            return;
        }

        self.expiration_processed = true;
        self.pending_resolution = false;
        let close = self.instrument_close.take();
        log::info!("{} reached expiration", self.instrument.id());
        self.cancel_open_orders_for_expiration();

        let instrument_id = self.instrument.id();
        let positions: Vec<(
            TraderId,
            StrategyId,
            AccountId,
            PositionId,
            OrderSide,
            Quantity,
        )> = {
            let cache = self.cache.borrow();
            cache
                .positions_open(None, Some(&instrument_id), None, None, None)
                .into_iter()
                .map(|pos| {
                    let closing_side = match pos.side {
                        PositionSide::Long => OrderSide::Sell,
                        PositionSide::Short => OrderSide::Buy,
                        _ => OrderSide::NoOrderSide,
                    };
                    (
                        pos.trader_id,
                        pos.strategy_id,
                        pos.account_id,
                        pos.id,
                        closing_side,
                        pos.quantity,
                    )
                })
                .collect()
        };

        let ts_now = self.clock.borrow().timestamp_ns();
        let close_price_fallback = close.as_ref().map(|c| c.close_price);

        for (trader_id, strategy_id, account_id, position_id, closing_side, quantity) in positions {
            let client_order_id =
                ClientOrderId::from(format!("EXPIRATION-{}-{}", self.venue, UUID4::new()).as_str());
            let mut order = OrderAny::Market(MarketOrder::new(
                trader_id,
                strategy_id,
                instrument_id,
                client_order_id,
                closing_side,
                quantity,
                TimeInForce::Gtc,
                UUID4::new(),
                ts_now,
                true, // reduce_only
                false,
                None,
                None,
                None,
                None,
                None,
                None,
                None,
                Some(vec![Ustr::from(&format!(
                    "EXPIRATION_{}_CLOSE",
                    self.venue
                ))]),
            ));
            order.set_liquidity_side(LiquiditySide::Taker);

            let add_result =
                self.cache
                    .borrow_mut()
                    .add_order(order.clone(), Some(position_id), None, false);
            if add_result.is_err() {
                log::debug!("Expiration order already in cache: {client_order_id}");
            } else {
                self.publish_order_initialized(&order);
            }

            let venue_order_id = self.ids_generator.get_venue_order_id(&order).unwrap();

            // A restored position can expire with no order processed this
            // session, leaving the account unindexed.
            self.account_ids.insert(trader_id, account_id);
            self.generate_order_accepted(&order, venue_order_id);

            let fill_price = self.settlement_price.or(close_price_fallback);
            if let Some(fill_price) = fill_price {
                if let Err(e) = self.apply_fills(
                    &order,
                    &[(fill_price, quantity)],
                    LiquiditySide::Taker,
                    Some(position_id),
                    None,
                    None,
                ) {
                    log::error!("Cannot fill expiration order {client_order_id}: {e}");
                }
            } else {
                self.fill_market_order(client_order_id);
            }
        }
    }

    /// Liquidates all open positions for this instrument.
    ///
    /// Cancels open orders if `cancel_open_orders` is true, then closes every open
    /// position at best bid/ask or the settlement price, emitting accepted and filled
    /// events for each synthetic close order.
    ///
    /// # Panics
    ///
    /// Panics if the venue order ID generator cannot produce an ID for the synthetic
    /// liquidation order (internal state inconsistency).
    ///
    /// Only positions whose instrument settles in `settlement_currency` are closed.
    /// Matching engines for other settlement currencies are skipped, scoping
    /// liquidation to the currency whose margin account breached the threshold.
    pub fn liquidate_open_positions(
        &mut self,
        ts_now: UnixNanos,
        cancel_open_orders: bool,
        settlement_currency: Currency,
    ) {
        // Only liquidate positions settled in the breached currency.
        if self.instrument.settlement_currency() != settlement_currency {
            return;
        }

        if cancel_open_orders {
            let open_orders: Vec<RestingOrder> = self.get_open_orders();
            for order_info in &open_orders {
                let order = {
                    let cache = self.cache.borrow();
                    cache.order_owned(&order_info.client_order_id)
                };

                if let Some(order) = order {
                    self.cancel_order(&order, None);
                }
            }
        }

        let instrument_id = self.instrument.id();
        let positions: Vec<(
            TraderId,
            StrategyId,
            AccountId,
            PositionId,
            OrderSide,
            Quantity,
        )> = {
            let cache = self.cache.borrow();
            cache
                .positions_open(None, Some(&instrument_id), None, None, None)
                .into_iter()
                .map(|pos| {
                    (
                        pos.trader_id,
                        pos.strategy_id,
                        pos.account_id,
                        pos.id,
                        OrderCore::closing_side(pos.side),
                        pos.quantity,
                    )
                })
                .collect()
        };

        for (trader_id, strategy_id, account_id, position_id, closing_side, quantity) in positions {
            // Pre-check: ensure a price source is available before emitting events.
            let has_price = if closing_side == OrderSide::Sell {
                self.best_bid_price().is_some() || self.settlement_price.is_some()
            } else {
                self.best_ask_price().is_some() || self.settlement_price.is_some()
            };

            if !has_price {
                log::warn!(
                    "LIQUIDATION: no price available for {instrument_id} position {position_id}, skipping"
                );
                continue;
            }

            let client_order_id = ClientOrderId::from(
                format!("LIQUIDATION-{}-{}", self.venue, UUID4::new()).as_str(),
            );
            let order = OrderAny::Market(MarketOrder::new(
                trader_id,
                strategy_id,
                instrument_id,
                client_order_id,
                closing_side,
                quantity,
                TimeInForce::Ioc,
                UUID4::new(),
                ts_now,
                true, // reduce_only
                false,
                None,
                None,
                None,
                None,
                None,
                None,
                None,
                Some(vec![Ustr::from(&format!(
                    "LIQUIDATION_{}_CLOSE",
                    self.venue
                ))]),
            ));

            let venue_order_id = self.ids_generator.get_venue_order_id(&order).unwrap();
            {
                let mut cache = self.cache.borrow_mut();
                if let Err(e) = cache.add_order(order.clone(), Some(position_id), None, false) {
                    log::debug!("Liquidation order already in cache: {e}");
                } else {
                    drop(cache);
                    self.publish_order_initialized(&order);
                    self.cache
                        .borrow_mut()
                        .add_venue_order_id(&client_order_id, &venue_order_id, false)
                        .ok();
                }
            }

            // Route through the normal market-order fill machinery (fill model,
            // book depth consumption, slippage) instead of apply_fills directly.
            self.account_ids.insert(trader_id, account_id);
            self.generate_order_submitted(&order, account_id);
            self.generate_order_accepted(&order, venue_order_id);
            self.fill_market_order(client_order_id);
        }
    }

    /// Processes a new order submission.
    ///
    /// Validates the order against instrument precision, expiration, and contingency
    /// rules before accepting or rejecting it.
    ///
    /// # Panics
    ///
    /// Panics if an OTO child order references a missing or non-OTO parent.
    pub fn process_order(&mut self, order: &mut OrderAny, account_id: AccountId) {
        // Idempotent: OTO children may be re-routed via `fill_order`
        if self.core.order_exists(order.client_order_id()) {
            return;
        }

        // Ensure expiration semantics are enforced even when no fresh market-data
        // tick arrives for this instrument after expiry (e.g. after rotation).
        let ts_now = self.clock.borrow().timestamp_ns();
        self.check_instrument_expiration(ts_now);

        // Validate inside a cache borrow scope, collecting any rejection
        // reason rather than emitting events while the borrow is held.
        // This avoids RefCell re-entrancy panics from synchronous event
        // dispatch that calls back into the execution engine.
        let reject_reason: Option<Ustr> = 'validate: {
            let cache_borrow = self.cache.as_ref().borrow();

            // Index identifiers
            self.account_ids.insert(order.trader_id(), account_id);

            if self.pending_resolution {
                break 'validate Some(
                    format!(
                        "Contract {} has expired and is pending resolution",
                        self.instrument.id()
                    )
                    .into(),
                );
            }

            if self.market_status != MarketStatus::Open {
                break 'validate Some(
                    format!(
                        "Market {} is {}, cannot accept order {}",
                        self.instrument.id(),
                        self.market_status,
                        order.client_order_id()
                    )
                    .into(),
                );
            }

            // Check for instrument expiration or activation
            if self.instrument.has_expiration() {
                if let Some(activation_ns) = self.instrument.activation_ns()
                    && self.clock.borrow().timestamp_ns() < activation_ns
                {
                    break 'validate Some(
                        format!(
                            "Contract {} is not yet active, activation {activation_ns}",
                            self.instrument.id(),
                        )
                        .into(),
                    );
                }

                if let Some(expiration_ns) = self.instrument.expiration_ns()
                    && self.clock.borrow().timestamp_ns() >= expiration_ns
                {
                    break 'validate Some(
                        format!(
                            "Contract {} has expired, expiration {expiration_ns}",
                            self.instrument.id(),
                        )
                        .into(),
                    );
                }
            }

            // Contingent orders checks
            if self.config.support_contingent_orders {
                if let Some(parent_order_id) = order.parent_order_id() {
                    let parent_order = match cache_borrow.order(&parent_order_id) {
                        Some(o) if o.contingency_type().unwrap() == ContingencyType::Oto => o,
                        _ => panic!("OTO parent not found"),
                    };

                    if parent_order.status() == OrderStatus::Rejected && order.is_open() {
                        break 'validate Some(
                            format!("Rejected OTO order from {parent_order_id}").into(),
                        );
                    } else if parent_order.status() == OrderStatus::Accepted
                        || parent_order.status() == OrderStatus::Triggered
                        || (self.config.oto_full_trigger
                            && parent_order.status() == OrderStatus::PartiallyFilled)
                    {
                        log::info!(
                            "Pending OTO order {} triggers from {parent_order_id}",
                            order.client_order_id(),
                        );
                        return;
                    }
                }

                if let Some(linked_order_ids) = order.linked_order_ids() {
                    for client_order_id in linked_order_ids {
                        match cache_borrow.order(client_order_id) {
                            Some(contingent_order)
                                if (order.contingency_type().unwrap() == ContingencyType::Oco
                                    || order.contingency_type().unwrap()
                                        == ContingencyType::Ouo)
                                    && !order.is_closed()
                                    && contingent_order.is_closed() =>
                            {
                                break 'validate Some(
                                    format!("Contingent order {client_order_id} already closed")
                                        .into(),
                                );
                            }
                            None => panic!("Cannot find contingent order for {client_order_id}"),
                            _ => {}
                        }
                    }
                }
            }

            // Check for valid order quantity precision
            if order.quantity().precision != self.instrument.size_precision() {
                break 'validate Some(
                    format!(
                        "Invalid order quantity precision for order {}, was {} when {} size precision is {}",
                        order.client_order_id(),
                        order.quantity().precision,
                        self.instrument.id(),
                        self.instrument.size_precision()
                    )
                    .into(),
                );
            }

            // Check for valid order display quantity precision
            if let Some(display_qty) = order.display_qty()
                && display_qty.precision != self.instrument.size_precision()
            {
                break 'validate Some(
                    format!(
                        "Invalid order display quantity precision for order {}, was {} when {} size precision is {}",
                        order.client_order_id(),
                        display_qty.precision,
                        self.instrument.id(),
                        self.instrument.size_precision()
                    )
                    .into(),
                );
            }

            // Check for valid order price precision
            if let Some(price) = order.price()
                && price.precision != self.instrument.price_precision()
            {
                break 'validate Some(
                    format!(
                        "Invalid order price precision for order {}, was {} when {} price precision is {}",
                        order.client_order_id(),
                        price.precision,
                        self.instrument.id(),
                        self.instrument.price_precision()
                    )
                    .into(),
                );
            }

            // Check for valid order trigger price precision
            if let Some(trigger_price) = order.trigger_price()
                && trigger_price.precision != self.instrument.price_precision()
            {
                break 'validate Some(
                    format!(
                        "Invalid order trigger price precision for order {}, was {} when {} price precision is {}",
                        order.client_order_id(),
                        trigger_price.precision,
                        self.instrument.id(),
                        self.instrument.price_precision()
                    )
                    .into(),
                );
            }

            let position = self.position_for_order_in_cache(&cache_borrow, order);

            // Check not shorting an equity without a MARGIN account
            if order.order_side() == OrderSide::Sell
                && self.account_type != AccountType::Margin
                && matches!(self.instrument, InstrumentAny::Equity(_))
                && position
                    .as_ref()
                    .is_none_or(|pos| !order.would_reduce_only(pos.side, pos.quantity))
            {
                let position_string = position
                    .as_ref()
                    .map_or("None".to_string(), |pos| pos.id.to_string());
                break 'validate Some(
                    format!(
                        "Short selling not permitted on a CASH account with position {position_string} and order {order}",
                    )
                    .into(),
                );
            }

            // Check reduce-only instruction
            if self.config.use_reduce_only
                && order.is_reduce_only()
                && !order.is_closed()
                && position.as_ref().is_none_or(|pos| {
                    pos.is_closed()
                        || (order.is_buy() && pos.is_long())
                        || (order.is_sell() && pos.is_short())
                })
            {
                break 'validate Some(
                    format!(
                        "Reduce-only order {} ({}-{}) would have increased position",
                        order.client_order_id(),
                        order.order_type().to_string().to_uppercase(),
                        order.order_side().to_string().to_uppercase()
                    )
                    .into(),
                );
            }

            None
        };

        if let Some(reason) = reject_reason {
            self.generate_order_rejected(order, reason);
            return;
        }

        // Convert quote-denominated quantity to base quantity for non-inverse instruments.
        // Mirrors live venue semantics where the quote notional is settled into a base
        // quantity before the order enters normal fill and state handling. Without this
        // conversion the book simulation would treat the quote notional as base size.
        // Only applies to order types with a reliable reference price at submission;
        // trigger-style market orders and trailing orders are left untouched so they
        // convert at fill time from the actual (possibly-trailed) price.
        if order.is_quote_quantity()
            && !self.instrument.is_inverse()
            && !matches!(
                order.order_type(),
                OrderType::TrailingStopLimit | OrderType::TrailingStopMarket,
            )
            && (order.price().is_some()
                || matches!(
                    order.order_type(),
                    OrderType::Market | OrderType::MarketToLimit,
                ))
            && !self.convert_quote_to_base_quantity(order)
        {
            return;
        }

        match order.order_type() {
            OrderType::Market => self.process_market_order(order),
            OrderType::Limit => self.process_limit_order(order),
            OrderType::MarketToLimit => self.process_market_to_limit_order(order),
            OrderType::StopMarket => self.process_stop_market_order(order),
            OrderType::StopLimit => self.process_stop_limit_order(order),
            OrderType::MarketIfTouched => self.process_market_if_touched_order(order),
            OrderType::LimitIfTouched => self.process_limit_if_touched_order(order),
            OrderType::TrailingStopMarket => self.process_trailing_stop_order(order),
            OrderType::TrailingStopLimit => self.process_trailing_stop_order(order),
        }
    }

    fn convert_quote_to_base_quantity(&self, order: &mut OrderAny) -> bool {
        // Pick a reference price to convert the quote notional into a base quantity.
        // Priced orders use their own price (worst-case execution); marketable orders
        // use the best opposing book level.
        let reference_price = if let Some(price) = order.price() {
            Some(price)
        } else {
            match order.order_side() {
                OrderSide::Buy => self.core.ask,
                OrderSide::Sell => self.core.bid,
                OrderSide::NoOrderSide => None,
            }
        };

        let Some(reference_price) = reference_price else {
            self.generate_order_rejected(
                order,
                format!(
                    "No market for {} to convert quote quantity to base",
                    order.instrument_id(),
                )
                .into(),
            );
            return false;
        };

        let base_quantity = self
            .instrument
            .calculate_base_quantity(order.quantity(), reference_price);

        let ts_now = self.clock.borrow().timestamp_ns();
        let event = OrderEventAny::Updated(OrderUpdated::new(
            order.trader_id(),
            order.strategy_id(),
            order.instrument_id(),
            order.client_order_id(),
            base_quantity,
            UUID4::new(),
            ts_now,
            ts_now,
            false,
            order.venue_order_id(),
            order.account_id(),
            None,
            None,
            None,
            false,
        ));

        // Apply the update to the local order so subsequent dispatch uses the base
        // quantity immediately (the event is also dispatched to the execution engine
        // for cache reconciliation).
        if let Err(e) = order.apply(event.clone()) {
            log::error!(
                "Failed to apply quote-to-base update for {}: {e}",
                order.client_order_id(),
            );
            return false;
        }
        self.dispatch_order_event(event);
        true
    }

    /// Processes an order modify command to update quantity, price, or trigger price.
    pub fn process_modify(&mut self, command: &ModifyOrder, account_id: AccountId) {
        if !self.core.order_exists(command.client_order_id) {
            self.generate_order_modify_rejected(
                command.trader_id,
                command.strategy_id,
                command.instrument_id,
                command.client_order_id,
                Ustr::from(format!("Order {} not found", command.client_order_id).as_str()),
                command.venue_order_id,
                Some(account_id),
            );
            return;
        }

        let order = match self
            .cache
            .borrow()
            .order(&command.client_order_id)
            .map(|o| o.clone())
        {
            Some(order) => order,
            None => {
                log::error!(
                    "Cannot modify order: order {} not found in cache",
                    command.client_order_id
                );
                return;
            }
        };

        let update_success = self.update_order(
            &order,
            command.quantity,
            command.price,
            command.trigger_price,
            None,
        );

        if !update_success {
            return;
        }

        // Local `order` is pre-event; resync from the cache for fresh state
        let Some(refreshed) = self.resync_core_entry(command.client_order_id) else {
            return;
        };

        // Skip queue reset on rejected modifies to preserve accrued position
        let price_changed = refreshed.price() != order.price()
            || refreshed.trigger_price() != order.trigger_price();

        if price_changed
            && refreshed.is_open()
            && self.config.queue_position
            && let Some(new_price) = refreshed.price()
        {
            self.snapshot_queue_position(&refreshed, new_price);
            self.queue_excess.swap_remove(&refreshed.client_order_id());
        }
    }

    /// Processes an order cancel command.
    pub fn process_cancel(&mut self, command: &CancelOrder, account_id: AccountId) {
        if !self.core.order_exists(command.client_order_id) {
            self.generate_order_cancel_rejected(
                command.trader_id,
                command.strategy_id,
                account_id,
                command.instrument_id,
                command.client_order_id,
                command.venue_order_id,
                Ustr::from(format!("Order {} not found", command.client_order_id).as_str()),
            );
            return;
        }

        let order = match self
            .cache
            .borrow()
            .order(&command.client_order_id)
            .map(|o| o.clone())
        {
            Some(order) => order,
            None => {
                log::error!(
                    "Cannot cancel order: order {} not found in cache",
                    command.client_order_id
                );
                return;
            }
        };

        if !order.is_inflight() && !order.is_open() {
            self.purge_stale_core_entry(command.client_order_id);
            return;
        }

        self.cancel_order(&order, None);
    }

    /// Processes a cancel all orders command for an instrument.
    pub fn process_cancel_all(&mut self, command: &CancelAllOrders, _account_id: AccountId) {
        let instrument_id = command.instrument_id;
        let order_side = if command.order_side == OrderSide::NoOrderSide {
            None
        } else {
            Some(command.order_side)
        };

        let client_order_ids: Vec<ClientOrderId> = self
            .cache
            .borrow()
            .orders_open(None, Some(&instrument_id), None, None, order_side)
            .iter()
            .map(|o| o.client_order_id())
            .collect();

        for client_order_id in client_order_ids {
            let order = match self
                .cache
                .borrow()
                .order(&client_order_id)
                .map(|o| o.clone())
            {
                Some(order) => order,
                None => continue,
            };

            if !order.is_inflight() && !order.is_open() {
                self.purge_stale_core_entry(client_order_id);
                continue;
            }

            self.cancel_order(&order, None);
        }
    }

    // Removes a closed order's stale entry from the matching core so the next
    // `iterate_bids/asks` does not produce a spurious fill action.
    fn purge_stale_core_entry(&mut self, client_order_id: ClientOrderId) {
        if self.core.order_exists(client_order_id) {
            self.delete_core_order(client_order_id);
        }
        self.cached_filled_qty.swap_remove(&client_order_id);
    }

    fn resync_core_entry(&mut self, client_order_id: ClientOrderId) -> Option<OrderAny> {
        let order = self
            .cache
            .borrow()
            .order(&client_order_id)
            .map(|o| o.clone())?;

        // Gate on `is_closed`, not `is_open`: cache may transiently hold the
        // order in `Submitted` (process_limit_order accepts before cache add)
        if order.is_closed() {
            self.delete_core_order(client_order_id);
            return Some(order);
        }

        let new_match_info = Self::matching_core_entry(&order);

        // Skip the delete+add when unchanged to preserve FIFO at the level
        let unchanged = self
            .core
            .get_order(client_order_id)
            .is_some_and(|existing| *existing == new_match_info);

        if unchanged {
            self.track_post_match_order(&order);
            return Some(order);
        }

        self.delete_core_order(client_order_id);
        self.track_post_match_order(&order);
        self.core.add_order(new_match_info);
        Some(order)
    }

    /// Processes a batch cancel orders command.
    pub fn process_batch_cancel(&mut self, command: &BatchCancelOrders, account_id: AccountId) {
        for order in &command.cancels {
            self.process_cancel(order, account_id);
        }
    }

    /// Processes a batch modify orders command.
    pub fn process_batch_modify(&mut self, command: &BatchModifyOrders, account_id: AccountId) {
        for order in &command.modifies {
            self.process_modify(order, account_id);
        }
    }

    fn process_market_order(&mut self, order: &OrderAny) {
        if order.time_in_force() == TimeInForce::AtTheOpen
            || order.time_in_force() == TimeInForce::AtTheClose
        {
            self.generate_order_rejected(
                order,
                format!(
                    "time in force {} is not currently supported",
                    order.time_in_force()
                )
                .into(),
            );
            return;
        }

        // Check if market exists
        if (order.order_side() == OrderSide::Buy && self.core.ask.is_none())
            || (order.order_side() == OrderSide::Sell && self.core.bid.is_none())
        {
            self.generate_order_rejected(
                order,
                format!("No market for {}", order.instrument_id()).into(),
            );
            return;
        }

        if self.config.use_market_order_acks {
            let venue_order_id = self.ids_generator.get_venue_order_id(order).unwrap();
            self.generate_order_accepted(order, venue_order_id);
        }

        // Add order to cache for fill_market_order to fetch
        if let Err(e) = self
            .cache
            .borrow_mut()
            .add_order(order.clone(), None, None, false)
        {
            log::debug!("Order already in cache: {e}");
        }

        self.fill_market_order(order.client_order_id());
    }

    fn process_limit_order(&mut self, order: &mut OrderAny) {
        if order.time_in_force() == TimeInForce::AtTheOpen
            || order.time_in_force() == TimeInForce::AtTheClose
        {
            self.generate_order_rejected(
                order,
                format!(
                    "time in force {} is not currently supported",
                    order.time_in_force()
                )
                .into(),
            );
            return;
        }

        let limit_px = order.price().expect("Limit order must have a price");
        if order.is_post_only()
            && self
                .core
                .is_limit_matched(order.order_side_specified(), limit_px)
        {
            self.generate_order_rejected(
                order,
                format!(
                    "POST_ONLY {} {} order limit px of {} would have been a TAKER: bid={}, ask={}",
                    order.order_type(),
                    order.order_side(),
                    order.price().unwrap(),
                    self.core
                        .bid
                        .map_or_else(|| "None".to_string(), |p| p.to_string()),
                    self.core
                        .ask
                        .map_or_else(|| "None".to_string(), |p| p.to_string())
                )
                .into(),
            );
            return;
        }

        // Order is valid and accepted
        self.accept_order(order);

        // Check for immediate fill
        if self
            .core
            .is_limit_matched(order.order_side_specified(), limit_px)
        {
            // Filling as liquidity taker
            order.set_liquidity_side(LiquiditySide::Taker);

            if self
                .cache
                .borrow_mut()
                .add_order(order.clone(), None, None, false)
                .is_err()
                && let Err(e) = self.cache.borrow_mut().replace_order(order)
            {
                log::debug!("Failed to update order in cache: {e}");
            }
            self.fill_limit_order(order.client_order_id());

            // If fill didn't execute (e.g. all liquidity consumed), revert to
            // maker so the fill model check applies on subsequent iterations
            if self.core.order_exists(order.client_order_id())
                && let Some(mut order) = self.cache.borrow_mut().order_mut(&order.client_order_id())
            {
                order.set_liquidity_side(LiquiditySide::Maker);
            }
        } else if matches!(order.time_in_force(), TimeInForce::Fok | TimeInForce::Ioc) {
            self.cancel_order(order, None);
        } else {
            // Add passive order to cache for later modify/cancel operations
            order.set_liquidity_side(LiquiditySide::Maker);

            if let Some(price) = order.price() {
                self.snapshot_queue_position(order, price);
            }

            let add_result = self
                .cache
                .borrow_mut()
                .add_order(order.clone(), None, None, false);

            if let Err(e) = add_result {
                log::debug!("Failed to add order to cache: {e}");

                // Persist Maker side on the cached copy when exec engine
                // already cached the order (only if not already Maker/Taker)
                if let Some(mut order) = self.cache.borrow_mut().order_mut(&order.client_order_id())
                    && !matches!(
                        order.liquidity_side(),
                        Some(LiquiditySide::Maker | LiquiditySide::Taker)
                    )
                {
                    order.set_liquidity_side(LiquiditySide::Maker);
                }
            }
        }
    }

    fn process_market_to_limit_order(&mut self, order: &OrderAny) {
        // Check that market exists
        if (order.order_side() == OrderSide::Buy && self.core.ask.is_none())
            || (order.order_side() == OrderSide::Sell && self.core.bid.is_none())
        {
            self.generate_order_rejected(
                order,
                format!("No market for {}", order.instrument_id()).into(),
            );
            return;
        }

        if self.config.use_market_order_acks {
            let venue_order_id = self.ids_generator.get_venue_order_id(order).unwrap();
            self.generate_order_accepted(order, venue_order_id);
        }

        // Immediately fill marketable order
        if let Err(e) = self
            .cache
            .borrow_mut()
            .add_order(order.clone(), None, None, false)
        {
            log::debug!("Order already in cache: {e}");
        }
        let client_order_id = order.client_order_id();
        self.fill_market_order(client_order_id);

        // Check for remaining quantity to rest as limit order
        let filled_qty = self
            .cached_filled_qty
            .get(&client_order_id)
            .copied()
            .unwrap_or_default();
        let leaves_qty = order.quantity().saturating_sub(filled_qty);
        if leaves_qty.is_zero() {
            self.purge_cached_filled_qty_if_closed(client_order_id);
            return;
        }

        let updated_order = self
            .cache
            .borrow()
            .order(&client_order_id)
            .map(|o| o.clone());

        if let Some(mut updated_order) = updated_order {
            self.accept_order(&mut updated_order);
        }
    }

    fn process_stop_market_order(&mut self, order: &mut OrderAny) {
        let stop_px = order
            .trigger_price()
            .expect("Stop order must have a trigger price");

        if self.core.is_stop_matched_with_trigger_type(
            order.order_side_specified(),
            stop_px,
            order.trigger_type().unwrap_or(TriggerType::Default),
        ) {
            if self.config.reject_stop_orders {
                self.generate_order_rejected(
                    order,
                    format!(
                        "{} {} order stop px of {} was in the market: bid={}, ask={}, but rejected because of configuration",
                        order.order_type(),
                        order.order_side(),
                        order.trigger_price().unwrap(),
                        self.core
                            .bid
                            .map_or_else(|| "None".to_string(), |p| p.to_string()),
                        self.core
                            .ask
                            .map_or_else(|| "None".to_string(), |p| p.to_string())
                    ).into(),
                );
                return;
            }

            if let Err(e) = self
                .cache
                .borrow_mut()
                .add_order(order.clone(), None, None, false)
            {
                log::debug!("Order already in cache: {e}");
            }
            self.fill_market_order(order.client_order_id());
            return;
        }

        // order is not matched but is valid and we accept it
        self.accept_order(order);

        // Add passive order to cache for later modify/cancel operations
        order.set_liquidity_side(LiquiditySide::Maker);

        if let Err(e) = self
            .cache
            .borrow_mut()
            .add_order(order.clone(), None, None, false)
        {
            log::debug!("Order already in cache: {e}");
        }
    }

    fn process_stop_limit_order(&mut self, order: &mut OrderAny) {
        let stop_px = order
            .trigger_price()
            .expect("Stop order must have a trigger price");

        if self.core.is_stop_matched_with_trigger_type(
            order.order_side_specified(),
            stop_px,
            order.trigger_type().unwrap_or(TriggerType::Default),
        ) {
            if self.config.reject_stop_orders {
                self.generate_order_rejected(
                    order,
                    format!(
                        "{} {} order stop px of {} was in the market: bid={}, ask={}, but rejected because of configuration",
                        order.order_type(),
                        order.order_side(),
                        order.trigger_price().unwrap(),
                        self.core
                            .bid
                            .map_or_else(|| "None".to_string(), |p| p.to_string()),
                        self.core
                            .ask
                            .map_or_else(|| "None".to_string(), |p| p.to_string())
                    ).into(),
                );
                return;
            }

            self.accept_triggered_limit_style_order(order);
            return;
        }

        self.accept_order(order);

        // Add passive order to cache for later modify/cancel operations
        order.set_liquidity_side(LiquiditySide::Maker);

        if let Err(e) = self
            .cache
            .borrow_mut()
            .add_order(order.clone(), None, None, false)
        {
            log::debug!("Order already in cache: {e}");
        }
    }

    fn process_market_if_touched_order(&mut self, order: &mut OrderAny) {
        if self.core.is_touch_triggered_with_trigger_type(
            order.order_side_specified(),
            order.trigger_price().unwrap(),
            order.trigger_type().unwrap_or(TriggerType::Default),
        ) {
            if self.config.reject_stop_orders {
                self.generate_order_rejected(
                    order,
                    format!(
                        "{} {} order trigger px of {} was in the market: bid={}, ask={}, but rejected because of configuration",
                        order.order_type(),
                        order.order_side(),
                        order.trigger_price().unwrap(),
                        self.core
                            .bid
                            .map_or_else(|| "None".to_string(), |p| p.to_string()),
                        self.core
                            .ask
                            .map_or_else(|| "None".to_string(), |p| p.to_string())
                    ).into(),
                );
                return;
            }

            if let Err(e) = self
                .cache
                .borrow_mut()
                .add_order(order.clone(), None, None, false)
            {
                log::debug!("Order already in cache: {e}");
            }
            self.fill_market_order(order.client_order_id());
            return;
        }

        // Order is valid and accepted
        self.accept_order(order);

        // Add passive order to cache for later modify/cancel operations
        order.set_liquidity_side(LiquiditySide::Maker);

        if let Err(e) = self
            .cache
            .borrow_mut()
            .add_order(order.clone(), None, None, false)
        {
            log::debug!("Order already in cache: {e}");
        }
    }

    fn process_limit_if_touched_order(&mut self, order: &mut OrderAny) {
        if self.core.is_touch_triggered_with_trigger_type(
            order.order_side_specified(),
            order.trigger_price().unwrap(),
            order.trigger_type().unwrap_or(TriggerType::Default),
        ) {
            if self.config.reject_stop_orders {
                self.generate_order_rejected(
                    order,
                    format!(
                        "{} {} order trigger px of {} was in the market: bid={}, ask={}, but rejected because of configuration",
                        order.order_type(),
                        order.order_side(),
                        order.trigger_price().unwrap(),
                        self.core
                            .bid
                            .map_or_else(|| "None".to_string(), |p| p.to_string()),
                        self.core
                            .ask
                            .map_or_else(|| "None".to_string(), |p| p.to_string())
                    ).into(),
                );
                return;
            }
            self.accept_triggered_limit_style_order(order);
            return;
        }

        // Order is valid and accepted
        self.accept_order(order);

        // Add passive order to cache for later modify/cancel operations
        order.set_liquidity_side(LiquiditySide::Maker);

        if let Err(e) = self
            .cache
            .borrow_mut()
            .add_order(order.clone(), None, None, false)
        {
            log::debug!("Order already in cache: {e}");
        }
    }

    fn accept_triggered_limit_style_order(&mut self, order: &mut OrderAny) {
        self.accept_order(order);

        if let Err(e) = self
            .cache
            .borrow_mut()
            .add_order(order.clone(), None, None, false)
        {
            log::debug!("Order already in cache: {e}");
        }

        self.trigger_limit_style_stop_order(order.client_order_id(), order.clone());

        if let Some(cached_order) = self
            .cache
            .borrow()
            .order(&order.client_order_id())
            .map(|order| order.clone())
        {
            *order = cached_order;
        }
    }

    fn process_trailing_stop_order(&mut self, order: &mut OrderAny) {
        if let Some(trigger_price) = order.trigger_price()
            && self.core.is_stop_matched_with_trigger_type(
                order.order_side_specified(),
                trigger_price,
                order.trigger_type().unwrap_or(TriggerType::Default),
            )
        {
            self.generate_order_rejected(
                    order,
                    format!(
                        "{} {} order trigger px of {} was in the market: bid={}, ask={}, but rejected because of configuration",
                        order.order_type(),
                        order.order_side(),
                        trigger_price,
                        self.core
                            .bid
                            .map_or_else(|| "None".to_string(), |p| p.to_string()),
                        self.core
                            .ask
                            .map_or_else(|| "None".to_string(), |p| p.to_string())
                    ).into(),
                );
            return;
        }

        // Set Maker before `accept_order` so trail-on-accept's cache write
        // captures it (a later `set_liquidity_side` would be dropped by the
        // `add_order` no-op below).
        order.set_liquidity_side(LiquiditySide::Maker);

        self.accept_order(order);

        if let Err(e) = self
            .cache
            .borrow_mut()
            .add_order(order.clone(), None, None, false)
        {
            log::debug!("Order already in cache: {e}");
        }
    }

    /// Iterate the matching engine by processing the bid and ask order sides
    /// and advancing time up to the given UNIX `timestamp_ns`.
    ///
    /// The `aggressor_side` parameter is used for trade execution processing.
    /// When not `NoAggressor`, the book-based bid/ask reset is skipped to preserve
    /// transient trade price overrides.
    pub fn iterate(&mut self, timestamp_ns: UnixNanos, aggressor_side: AggressorSide) {
        // TODO implement correct clock fixed time setting self.clock.set_time(ts_now);
        self.purge_closed_cached_filled_qty();

        // Only reset bid/ask from book when not processing trade execution
        // (preserves transient trade price override for L2/L3 books). The
        // `last_trade_size` gate covers the no-aggressor trade-tick path
        // where `process_trade_tick` overrides both sides to the trade
        // price; without it the override is undone here.
        if aggressor_side == AggressorSide::NoAggressor && self.last_trade_size.is_none() {
            if let Some(bid) = self.book.best_bid_price() {
                self.core.set_bid_raw(bid);
            }

            if let Some(ask) = self.book.best_ask_price() {
                self.core.set_ask_raw(ask);
            }
        }

        let mut matched_order = false;

        if self.market_status == MarketStatus::Open {
            // Process bid actions before snapshotting asks so cross-side
            // contingencies (OCO/OUO) mutate state between sides
            for action in self.core.iterate_bids() {
                matched_order = true;

                match action {
                    MatchAction::FillLimit(id) => self.fill_limit_order(id),
                    MatchAction::TriggerStop(id) => self.trigger_stop_order(id),
                }
            }

            for action in self.core.iterate_asks() {
                matched_order = true;

                match action {
                    MatchAction::FillLimit(id) => self.fill_limit_order(id),
                    MatchAction::TriggerStop(id) => self.trigger_stop_order(id),
                }
            }
        }

        let order_ids: Vec<ClientOrderId> = if matched_order {
            self.core.iter_orders().map(|m| m.client_order_id).collect()
        } else if self.post_match_order_ids.is_empty() {
            Vec::new()
        } else {
            self.core
                .iter_orders()
                .filter_map(|order| {
                    self.post_match_order_ids
                        .contains(&order.client_order_id)
                        .then_some(order.client_order_id)
                })
                .collect()
        };
        let support_gtd_orders = self.config.support_gtd_orders;

        for client_order_id in order_ids {
            let (action, keep_tracking) = {
                let cache = self.cache.borrow();
                let Some(order) = cache.order(&client_order_id) else {
                    self.post_match_order_ids.swap_remove(&client_order_id);
                    continue;
                };

                (
                    post_match_order_action(&order, support_gtd_orders, timestamp_ns, |order| {
                        order.clone()
                    }),
                    Self::requires_post_match_maintenance(&order),
                )
            };

            match action {
                PostMatchOrderAction::RemoveClosed => {
                    self.delete_core_order(client_order_id);
                    self.cached_filled_qty.swap_remove(&client_order_id);
                    continue;
                }
                PostMatchOrderAction::Expire(order) => {
                    self.delete_core_order(client_order_id);
                    self.cached_filled_qty.swap_remove(&client_order_id);
                    self.expire_order(&order);
                    continue;
                }
                PostMatchOrderAction::UpdateTrailing(mut order) => {
                    if self.maybe_activate_trailing_stop(
                        &mut order,
                        self.core.bid,
                        self.core.ask,
                        self.core.last,
                    ) {
                        self.update_trailing_stop_order(&order);
                        self.resync_core_entry(client_order_id);
                    }
                }
                PostMatchOrderAction::NoMaintenance => {
                    if !keep_tracking {
                        self.post_match_order_ids.swap_remove(&client_order_id);
                    }
                }
            }

            // Single-shot: only the first order after a trigger fill sees
            // the mutated core; the restore clears the override here.
            if self.target_bid.is_some() || self.target_ask.is_some() || self.target_last.is_some()
            {
                if let Some(t) = self.target_bid.take() {
                    self.core.bid = Some(t);
                }

                if let Some(t) = self.target_ask.take() {
                    self.core.ask = Some(t);
                }

                if let Some(t) = self.target_last.take() {
                    self.core.last = Some(t);
                }
            }
        }

        // Fallback for when the per-order loop hit no eligible order (e.g.,
        // all closed by the matching pass) so the fill override on
        // `core.last` cannot leak into the next iterate.
        if let Some(t) = self.target_bid.take() {
            self.core.bid = Some(t);
        }

        if let Some(t) = self.target_ask.take() {
            self.core.ask = Some(t);
        }

        if let Some(t) = self.target_last.take() {
            self.core.last = Some(t);
        }

        // Restore core bid/ask to book values after iteration
        // (during trade execution, transient override was used for matching)
        self.core.bid = self.book.best_bid_price();
        self.core.ask = self.book.best_ask_price();

        // Process instrument expiration last so orders at the expiration tick
        // get a chance to fill before positions are closed.
        self.check_instrument_expiration(timestamp_ns);
        self.purge_closed_cached_filled_qty();
    }

    fn get_trailing_activation_price(
        &self,
        trigger_type: TriggerType,
        order_side: OrderSide,
        bid: Option<Price>,
        ask: Option<Price>,
        last: Option<Price>,
    ) -> Option<Price> {
        match trigger_type {
            TriggerType::LastPrice => last,
            TriggerType::LastOrBidAsk => last.or(match order_side {
                OrderSide::Buy => ask,
                OrderSide::Sell => bid,
                _ => None,
            }),
            // Default, BidAsk, DoubleBidAsk, DoubleLastPrice, IndexPrice, MarkPrice
            _ => match order_side {
                OrderSide::Buy => ask,
                OrderSide::Sell => bid,
                _ => None,
            },
        }
    }

    fn maybe_activate_trailing_stop(
        &self,
        order: &mut OrderAny,
        bid: Option<Price>,
        ask: Option<Price>,
        last: Option<Price>,
    ) -> bool {
        match order {
            OrderAny::TrailingStopMarket(inner) => {
                if inner.is_activated {
                    return true;
                }

                if inner.activation_price.is_none() {
                    let px = self.get_trailing_activation_price(
                        inner.trigger_type,
                        inner.order_side(),
                        bid,
                        ask,
                        last,
                    );

                    if let Some(p) = px {
                        inner.activation_price = Some(p);
                        inner.set_activated();

                        if let Err(e) = self.cache.borrow_mut().replace_order(order) {
                            log::error!("Failed to update order: {e}");
                        }
                        return true;
                    }
                    return false;
                }

                let activation_price = inner.activation_price.unwrap();
                let hit = match inner.order_side() {
                    OrderSide::Buy => ask.is_some_and(|a| a <= activation_price),
                    OrderSide::Sell => bid.is_some_and(|b| b >= activation_price),
                    _ => false,
                };

                if hit {
                    inner.set_activated();

                    if let Err(e) = self.cache.borrow_mut().replace_order(order) {
                        log::error!("Failed to update order: {e}");
                    }
                }
                hit
            }
            OrderAny::TrailingStopLimit(inner) => {
                if inner.is_activated {
                    return true;
                }

                if inner.activation_price.is_none() {
                    let px = self.get_trailing_activation_price(
                        inner.trigger_type,
                        inner.order_side(),
                        bid,
                        ask,
                        last,
                    );

                    if let Some(p) = px {
                        inner.activation_price = Some(p);
                        inner.set_activated();

                        if let Err(e) = self.cache.borrow_mut().replace_order(order) {
                            log::error!("Failed to update order: {e}");
                        }
                        return true;
                    }
                    return false;
                }

                let activation_price = inner.activation_price.unwrap();
                let hit = match inner.order_side() {
                    OrderSide::Buy => ask.is_some_and(|a| a <= activation_price),
                    OrderSide::Sell => bid.is_some_and(|b| b >= activation_price),
                    _ => false,
                };

                if hit {
                    inner.set_activated();

                    if let Err(e) = self.cache.borrow_mut().replace_order(order) {
                        log::error!("Failed to update order: {e}");
                    }
                }
                hit
            }
            _ => true,
        }
    }

    fn determine_limit_price_and_volume(&mut self, order: &OrderAny) -> Vec<(Price, Quantity)> {
        match order.price() {
            Some(order_price) => {
                // When liquidity consumption is enabled, get ALL crossed levels so that
                // consumed levels can be filtered out while still finding valid ones.
                // Otherwise simulate_fills only returns enough levels to satisfy leaves_qty,
                // which may all be consumed, missing other valid crossed levels.
                let mut fills = if self.config.liquidity_consumption {
                    let size_prec = self.instrument.size_precision();
                    self.book
                        .get_all_crossed_levels(order.order_side(), order_price, size_prec)
                } else {
                    let book_order =
                        BookOrder::new(order.order_side(), order_price, order.quantity(), 1);
                    self.book.simulate_fills(&book_order)
                };

                // Trade execution: use trade-driven fill when book doesn't reflect trade price
                if let Some(trade_size) = self.last_trade_size
                    && let Some(trade_price) = self.core.last
                {
                    let fills_at_trade_price = fills.iter().any(|(px, _)| *px == trade_price);

                    if !fills_at_trade_price
                        && self
                            .core
                            .is_limit_matched(order.order_side_specified(), order_price)
                    {
                        // Fill model check for MAKER at limit is already handled in fill_limit_order,
                        // don't re-check here to avoid calling is_limit_filled() twice (p² probability).
                        let leaves_qty = order.leaves_qty();
                        let available_qty = if self.config.liquidity_consumption {
                            let remaining = trade_size.raw.saturating_sub(self.trade_consumption);
                            Quantity::from_raw(remaining, trade_size.precision)
                        } else {
                            trade_size
                        };

                        let fill_qty = min(leaves_qty, available_qty);

                        if !fill_qty.is_zero() {
                            log::debug!(
                                "Trade execution fill: {} @ {} (trade_price={}, available: {}, book had {} fills)",
                                fill_qty,
                                order_price,
                                trade_price,
                                available_qty,
                                fills.len()
                            );

                            if self.config.liquidity_consumption {
                                self.trade_consumption += fill_qty.raw;
                            }

                            // Fill at the limit price (conservative) rather than the trade price.
                            // Trade execution fills already account for consumption via trade_consumption,
                            // return early to bypass apply_liquidity_consumption which would incorrectly
                            // discard these fills when the trade price isn't in the order book.
                            return vec![(order_price, fill_qty)];
                        }
                    }
                }

                // Return immediately if no fills
                if fills.is_empty() {
                    return fills;
                }

                // Save original book prices BEFORE any fill price modifications for consumption tracking,
                // since the MAKER loop below may adjust fill prices. Consumption should be
                // tracked against the original book price levels where liquidity was sourced from.
                let book_prices: Vec<Price> = if self.config.liquidity_consumption {
                    fills.iter().map(|(px, _)| *px).collect()
                } else {
                    Vec::new()
                };
                let book_prices_ref: Option<&[Price]> = if book_prices.is_empty() {
                    None
                } else {
                    Some(&book_prices)
                };

                // Filling as MAKER from trigger
                if order
                    .liquidity_side()
                    .is_some_and(|liquidity_side| liquidity_side == LiquiditySide::Maker)
                {
                    match order.order_side().as_specified() {
                        OrderSideSpecified::Buy => {
                            let target_price = if order
                                .trigger_price()
                                .is_some_and(|trigger_price| order_price > trigger_price)
                            {
                                order.trigger_price().unwrap()
                            } else {
                                order_price
                            };

                            for fill in &mut fills {
                                let last_px = fill.0;
                                if last_px < order_price {
                                    // Marketable BUY would have filled at limit
                                    self.target_bid = self.core.bid;
                                    self.target_ask = self.core.ask;
                                    self.target_last = self.core.last;
                                    self.core.set_ask_raw(target_price);
                                    self.core.set_last_raw(target_price);
                                    fill.0 = target_price;
                                }
                            }
                        }
                        OrderSideSpecified::Sell => {
                            let target_price = if order
                                .trigger_price()
                                .is_some_and(|trigger_price| order_price < trigger_price)
                            {
                                order.trigger_price().unwrap()
                            } else {
                                order_price
                            };

                            for fill in &mut fills {
                                let last_px = fill.0;
                                if last_px > order_price {
                                    // Marketable SELL would have filled at limit
                                    self.target_bid = self.core.bid;
                                    self.target_ask = self.core.ask;
                                    self.target_last = self.core.last;
                                    self.core.set_bid_raw(target_price);
                                    self.core.set_last_raw(target_price);
                                    fill.0 = target_price;
                                }
                            }
                        }
                    }
                }

                self.apply_liquidity_consumption(
                    fills,
                    order.order_side(),
                    order.leaves_qty(),
                    book_prices_ref,
                )
            }
            None => panic!("Limit order must have a price"),
        }
    }

    fn determine_market_price_and_volume(&self, order: &OrderAny) -> Vec<(Price, Quantity)> {
        let price = match order.order_side().as_specified() {
            OrderSideSpecified::Buy => Price::max(FIXED_PRECISION),
            OrderSideSpecified::Sell => Price::min(FIXED_PRECISION),
        };

        // When liquidity consumption is enabled, get ALL crossed levels so that
        // consumed levels can be filtered out while still finding valid ones.
        let mut fills = if self.config.liquidity_consumption {
            let size_prec = self.instrument.size_precision();
            self.book
                .get_all_crossed_levels(order.order_side(), price, size_prec)
        } else {
            let book_order = BookOrder::new(order.order_side(), price, order.quantity(), 0);
            self.book.simulate_fills(&book_order)
        };

        // For stop market and market-if-touched orders during bar H/L/C processing, fill at trigger price
        // (market moved through the trigger). For gaps/immediate triggers, fill at market.
        if !self.fill_at_market
            && self.book_type == BookType::L1_MBP
            && !fills.is_empty()
            && matches!(
                order.order_type(),
                OrderType::StopMarket | OrderType::TrailingStopMarket | OrderType::MarketIfTouched
            )
            && let Some(trigger_price) = order.trigger_price()
        {
            fills[0] = (trigger_price, fills[0].1);

            // Skip liquidity consumption for trigger price fills (gap price may not exist in book).
            let mut remaining_qty = order.leaves_qty().raw;
            let mut capped_fills = Vec::with_capacity(fills.len());

            for (price, qty) in fills {
                if remaining_qty == 0 {
                    break;
                }

                let capped_qty_raw = min(qty.raw, remaining_qty);
                if capped_qty_raw == 0 {
                    continue;
                }

                remaining_qty -= capped_qty_raw;
                capped_fills.push((price, Quantity::from_raw(capped_qty_raw, qty.precision)));
            }

            return capped_fills;
        }

        fills
    }

    fn determine_market_fill_model_price_and_volume(
        &mut self,
        order: &OrderAny,
    ) -> anyhow::Result<(Vec<(Price, Quantity)>, bool)> {
        if let (Some(best_bid), Some(best_ask)) = (self.core.bid, self.core.ask)
            && let Some(book) = self.fill_model.get_orderbook_for_fill_simulation(
                &self.instrument,
                order,
                best_bid,
                best_ask,
            )?
        {
            let price = match order.order_side().as_specified() {
                OrderSideSpecified::Buy => Price::max(FIXED_PRECISION),
                OrderSideSpecified::Sell => Price::min(FIXED_PRECISION),
            };
            let book_order = BookOrder::new(order.order_side(), price, order.quantity(), 0);
            let fills = book.simulate_fills(&book_order);
            if !fills.is_empty() {
                return Ok((fills, true));
            }
        }
        Ok((self.determine_market_price_and_volume(order), false))
    }

    fn determine_limit_fill_model_price_and_volume(
        &mut self,
        order: &OrderAny,
    ) -> anyhow::Result<Vec<(Price, Quantity)>> {
        if let (Some(best_bid), Some(best_ask)) = (self.core.bid, self.core.ask)
            && let Some(book) = self.fill_model.get_orderbook_for_fill_simulation(
                &self.instrument,
                order,
                best_bid,
                best_ask,
            )?
            && let Some(limit_price) = order.price()
        {
            let book_order = BookOrder::new(order.order_side(), limit_price, order.quantity(), 0);
            let fills = book.simulate_fills(&book_order);
            if !fills.is_empty() {
                return Ok(fills);
            }
        }
        Ok(self.determine_limit_price_and_volume(order))
    }

    /// Fills a market order against the current order book.
    ///
    /// The order is filled as a taker against available liquidity.
    /// Reduce-only orders are canceled if no position exists.
    pub fn fill_market_order(&mut self, client_order_id: ClientOrderId) {
        let mut order = match self
            .cache
            .borrow()
            .order(&client_order_id)
            .map(|o| o.clone())
        {
            Some(order) => order,
            None => {
                log::error!("Cannot fill market order: order {client_order_id} not found in cache");
                return;
            }
        };

        if order.is_closed() {
            self.purge_stale_core_entry(client_order_id);
            return;
        }

        // Convert quote-denominated quantity at fill time for trigger-style market
        // orders that skipped conversion at submission. Idempotent: orders already
        // converted have `is_quote_quantity == false`.
        if order.is_quote_quantity()
            && !self.instrument.is_inverse()
            && !self.convert_quote_to_base_quantity(&mut order)
        {
            return;
        }

        if let Some(filled_qty) = self.cached_filled_qty.get(&order.client_order_id())
            && filled_qty >= &order.quantity()
        {
            log::debug!(
                "Ignoring fill as already filled pending application of events: {:?}, {:?}, {:?}, {:?}",
                filled_qty,
                order.quantity(),
                order.filled_qty(),
                order.quantity()
            );
            return;
        }

        let (venue_position_id, position) = self.fill_position_for_order(&order, Some(true));

        if self.config.use_reduce_only && order.is_reduce_only() && position.is_none() {
            log::warn!(
                "Canceling REDUCE_ONLY {} as would increase position",
                order.order_type()
            );
            self.cancel_order(&order, None);
            return;
        }

        order.set_liquidity_side(LiquiditySide::Taker);
        let (mut fills, from_synthetic) =
            match self.determine_market_fill_model_price_and_volume(&order) {
                Ok(result) => result,
                Err(e) => {
                    log::error!(
                        "Cannot fill market order {}: fill model failed: {e}",
                        order.client_order_id()
                    );
                    return;
                }
            };

        // Apply protection price filtering at fill time (trigger-time semantics for stops)
        let protection_price: Option<Price> = if let Some(protection_points) =
            self.config.price_protection_points
            && matches!(
                order.order_type(),
                OrderType::Market | OrderType::StopMarket
            ) {
            protection_price_calculate(
                self.instrument.price_increment(),
                &order,
                protection_points,
                self.core.bid,
                self.core.ask,
            )
            .ok()
        } else {
            None
        };

        if let Some(protection_price) = protection_price {
            fills = self.filter_fills_by_protection(fills, &order, protection_price);
        }

        // Skip consumption for synthetic fill-model books (prices may not exist
        // in the real book) and trigger price fills (gap price may not exist)
        let is_trigger_price_fill = !self.fill_at_market
            && self.book_type == BookType::L1_MBP
            && matches!(
                order.order_type(),
                OrderType::StopMarket | OrderType::TrailingStopMarket | OrderType::MarketIfTouched
            )
            && order.trigger_price().is_some();

        if !from_synthetic && !is_trigger_price_fill {
            fills = self.apply_liquidity_consumption(
                fills,
                order.order_side(),
                order.leaves_qty(),
                None,
            );
        }

        if let Err(e) = self.apply_fills(
            &order,
            &fills,
            LiquiditySide::Taker,
            if self.config.use_reduce_only && order.is_reduce_only() {
                venue_position_id
            } else {
                None
            },
            position.as_ref(),
            protection_price,
        ) {
            log::error!("Cannot fill market order {}: {e}", order.client_order_id());
        }
    }

    fn filter_fills_by_protection(
        &self,
        fills: Vec<(Price, Quantity)>,
        order: &OrderAny,
        protection_price: Price,
    ) -> Vec<(Price, Quantity)> {
        let protection_raw = protection_price.raw;
        fills
            .into_iter()
            .filter(|(fill_price, _)| {
                match order.order_side() {
                    // BUY: only fill at prices <= protection_price
                    OrderSide::Buy => fill_price.raw <= protection_raw,
                    // SELL: only fill at prices >= protection_price
                    OrderSide::Sell => fill_price.raw >= protection_raw,
                    OrderSide::NoOrderSide => false,
                }
            })
            .collect()
    }

    /// Attempts to fill a limit order against the current order book.
    ///
    /// Determines fill prices and quantities based on available liquidity,
    /// then applies the fills to the order.
    ///
    /// # Panics
    ///
    /// Panics if the order has no price (design error).
    pub fn fill_limit_order(&mut self, client_order_id: ClientOrderId) {
        let mut order = match self
            .cache
            .borrow()
            .order(&client_order_id)
            .map(|o| o.clone())
        {
            Some(order) => order,
            None => {
                log::error!("Cannot fill limit order: order {client_order_id} not found in cache");
                return;
            }
        };

        if order.is_closed() {
            self.purge_stale_core_entry(client_order_id);
            return;
        }

        // Convert quote-denominated quantity at fill time for orders that entered
        // this path still carrying a quote notional (e.g. trailing-stop-limit with
        // a late-assigned price). Idempotent for already-converted orders.
        if order.is_quote_quantity()
            && !self.instrument.is_inverse()
            && !self.convert_quote_to_base_quantity(&mut order)
        {
            return;
        }

        match order.price() {
            Some(order_price) => {
                let cached_filled_qty = self.cached_filled_qty.get(&order.client_order_id());
                if let Some(&qty) = cached_filled_qty
                    && qty >= order.quantity()
                {
                    log::debug!(
                        "Ignoring fill as already filled pending application of events: {}, {}, {}, {}",
                        qty,
                        order.quantity(),
                        order.filled_qty(),
                        order.leaves_qty(),
                    );
                    return;
                }

                // Check fill model for MAKER orders at the limit price
                if order
                    .liquidity_side()
                    .is_some_and(|liquidity_side| liquidity_side == LiquiditySide::Maker)
                {
                    // For trade execution: check if trade price equals order price
                    // For quote updates: check if bid/ask equals order price
                    let at_limit = if self.last_trade_size.is_some() && self.core.last.is_some() {
                        self.core.last.is_some_and(|last| last == order_price)
                    } else if order.order_side() == OrderSide::Buy {
                        self.core.bid.is_some_and(|bid| bid == order_price)
                    } else {
                        self.core.ask.is_some_and(|ask| ask == order_price)
                    };

                    if at_limit {
                        let is_limit_filled = match self.fill_model.is_limit_filled() {
                            Ok(value) => value,
                            Err(e) => {
                                log::error!(
                                    "Cannot fill limit order {}: fill model failed: {e}",
                                    order.client_order_id()
                                );
                                return;
                            }
                        };

                        if !is_limit_filled {
                            return; // Not filled (simulates queue position)
                        }
                    }
                }

                let queue_allowed_raw = if self.config.queue_position {
                    match self.determine_trade_fill_qty(&order) {
                        None | Some(0) => {
                            if matches!(order.time_in_force(), TimeInForce::Fok | TimeInForce::Ioc)
                            {
                                self.cancel_order(&order, None);
                            }
                            return;
                        }
                        Some(allowed) => Some(allowed),
                    }
                } else {
                    None
                };

                let (venue_position_id, position) = self.fill_position_for_order(&order, None);

                if self.config.use_reduce_only && order.is_reduce_only() && position.is_none() {
                    log::warn!(
                        "Canceling REDUCE_ONLY {} as would increase position",
                        order.order_type()
                    );
                    self.cancel_order(&order, None);
                    return;
                }

                let tc_before = self.trade_consumption;
                let mut fills = match self.determine_limit_fill_model_price_and_volume(&order) {
                    Ok(fills) => fills,
                    Err(e) => {
                        log::error!(
                            "Cannot fill limit order {}: fill model failed: {e}",
                            order.client_order_id()
                        );
                        return;
                    }
                };

                if let Some(allowed_raw) = queue_allowed_raw {
                    let size_prec = self.instrument.size_precision();
                    let mut remaining = allowed_raw;
                    fills = fills
                        .into_iter()
                        .filter_map(|(price, qty)| {
                            if remaining == 0 {
                                return None;
                            }
                            let capped = qty.raw.min(remaining);
                            remaining -= capped;
                            Some((price, Quantity::from_raw(capped, size_prec)))
                        })
                        .collect();

                    // Consume excess and reconcile trade budget after capping
                    let consumed: QuantityRaw = fills.iter().map(|(_, qty)| qty.raw).sum();

                    if let Some(excess) = self.queue_excess.get_mut(&order.client_order_id()) {
                        *excess = excess.saturating_sub(consumed);
                    }
                    self.trade_consumption = tc_before + consumed;
                }

                // Skip apply_fills when consumed-liquidity adjustment produces no fills.
                // This occurs for partially filled orders when an unrelated delta arrives
                // and no new liquidity is available at the order's price level.
                if fills.is_empty() && self.config.liquidity_consumption {
                    log::debug!(
                        "Skipping fill for {}: no liquidity available after consumption",
                        order.client_order_id()
                    );

                    if matches!(order.time_in_force(), TimeInForce::Fok | TimeInForce::Ioc) {
                        self.cancel_order(&order, None);
                    }

                    return;
                }

                let liquidity_side = order.liquidity_side().unwrap();
                if let Err(e) = self.apply_fills(
                    &order,
                    &fills,
                    liquidity_side,
                    venue_position_id,
                    position.as_ref(),
                    None,
                ) {
                    log::error!("Cannot fill limit order {}: {e}", order.client_order_id());
                }
            }
            None => panic!("Limit order must have a price"),
        }
    }

    fn fill_position_for_order(
        &mut self,
        order: &OrderAny,
        generate: Option<bool>,
    ) -> (Option<PositionId>, Option<Position>) {
        if self.oms_type == OmsType::Hedging
            && self.config.use_reduce_only
            && order.is_reduce_only()
        {
            let cache = self.cache.as_ref().borrow();

            if let Some(position) = cache.position_for_order(&order.client_order_id()) {
                let position = position.cloned();
                return (Some(position.id), Some(position));
            }

            if let Some(position) = Self::open_position_reduced_by_order(&cache, order) {
                return (Some(position.id), Some(position));
            }
        }

        let venue_position_id = self.ids_generator.get_position_id(order, generate);

        let position = {
            let cache = self.cache.as_ref().borrow();
            venue_position_id
                .as_ref()
                .and_then(|position_id| cache.position_owned(position_id))
        };

        (venue_position_id, position)
    }

    fn position_for_order_in_cache(&self, cache: &Cache, order: &OrderAny) -> Option<Position> {
        if let Some(position) = cache.position_for_order(&order.client_order_id()) {
            return Some(position.cloned());
        }

        if self.oms_type == OmsType::Netting {
            let position_id = PositionId::new(
                format!("{}-{}", order.instrument_id(), order.strategy_id()).as_str(),
            );
            return cache
                .position(&position_id)
                .map(|position| position.cloned());
        }

        if self.oms_type == OmsType::Hedging
            && self.config.use_reduce_only
            && order.is_reduce_only()
        {
            return Self::open_position_reduced_by_order(cache, order);
        }

        None
    }

    fn open_position_reduced_by_order(cache: &Cache, order: &OrderAny) -> Option<Position> {
        cache
            .positions_open(
                None,
                Some(&order.instrument_id()),
                Some(&order.strategy_id()),
                None,
                None,
            )
            .into_iter()
            .find(|position| order.would_reduce_only(position.side, position.quantity))
            .map(|position| position.cloned())
    }

    fn apply_fills(
        &mut self,
        order: &OrderAny,
        fills: &[(Price, Quantity)],
        liquidity_side: LiquiditySide,
        venue_position_id: Option<PositionId>,
        position: Option<&Position>,
        protection_price: Option<Price>,
    ) -> anyhow::Result<()> {
        if order.time_in_force() == TimeInForce::Fok {
            let mut total_size = Quantity::zero(order.quantity().precision);

            for &(fill_px, fill_qty) in fills {
                if self
                    .normalize_price_for_current_instrument(fill_px)
                    .is_some()
                    && let Some(fill_qty) = self.normalize_quantity_for_current_instrument(fill_qty)
                {
                    total_size = total_size.add(fill_qty);
                }
            }

            if order.leaves_qty() > total_size {
                self.cancel_order(order, None);
                return Ok(());
            }
        }

        if fills.is_empty() {
            if order.status() == OrderStatus::Submitted {
                self.generate_order_rejected(
                    order,
                    format!("No market for {}", order.instrument_id()).into(),
                );
            } else {
                log::error!(
                    "Cannot fill order: no fills from book when fills were expected (check size in data)"
                );
                return Ok(());
            }
        }

        // For netting mode, don't use venue position ID (use None instead)
        let venue_position_id = if self.oms_type == OmsType::Netting {
            None
        } else {
            venue_position_id
        };

        let mut initial_market_to_limit_fill = false;
        let mut total_filled = self
            .cached_filled_qty
            .get(&order.client_order_id())
            .copied()
            .unwrap_or_else(|| order.filled_qty());
        let initial_total_filled = total_filled;
        let mut last_fill_px: Option<Price> = None;
        let mut reduce_only_remaining_raw = None;
        let mut reduce_only_filled_raw = None;

        if self.config.use_reduce_only
            && order.is_reduce_only()
            && let Some(current_position) = position
        {
            reduce_only_remaining_raw = Some(current_position.quantity.raw);
            reduce_only_filled_raw = Some(total_filled.raw);
        }

        for &(fill_px, fill_qty) in fills {
            let Some(mut fill_px) = self.normalize_fill_price(fill_px, order.client_order_id())
            else {
                continue;
            };

            let Some(fill_qty) = self.normalize_fill_quantity(fill_qty, order.client_order_id())
            else {
                continue;
            };

            if order.filled_qty() == Quantity::zero(order.filled_qty().precision)
                && order.order_type() == OrderType::MarketToLimit
            {
                self.generate_order_updated(order, order.quantity(), Some(fill_px), None, None);
                initial_market_to_limit_fill = true;
            }

            if self.book_type == BookType::L1_MBP && self.fill_model.is_slipped()? {
                fill_px = match order.order_side().as_specified() {
                    OrderSideSpecified::Buy => fill_px.add(self.instrument.price_increment()),
                    OrderSideSpecified::Sell => fill_px.sub(self.instrument.price_increment()),
                }
            }

            let mut effective_fill_qty = fill_qty;

            if let Some(remaining_raw) = reduce_only_remaining_raw {
                if remaining_raw == 0 {
                    return Ok(());
                }

                if effective_fill_qty.raw > remaining_raw {
                    effective_fill_qty =
                        Quantity::from_raw(remaining_raw, effective_fill_qty.precision);
                }
            }

            if fill_qty.is_zero() {
                if fills.len() == 1 && order.status() == OrderStatus::Submitted {
                    self.generate_order_rejected(
                        order,
                        format!("No market for {}", order.instrument_id()).into(),
                    );
                }
                return Ok(());
            }

            // Mirror `fill_order`'s leaves cap
            let capped_fill_qty = min(
                effective_fill_qty,
                order.quantity().saturating_sub(total_filled),
            );
            let reduce_only_exhausts_position = reduce_only_remaining_raw
                .is_some_and(|remaining_raw| capped_fill_qty.raw >= remaining_raw);

            if reduce_only_exhausts_position {
                let reduce_only_target_raw = reduce_only_filled_raw
                    .unwrap_or(initial_total_filled.raw)
                    .checked_add(capped_fill_qty.raw)
                    .expect("Overflow occurred when adding reduce-only target quantity");
                let reduce_only_target =
                    Quantity::from_raw(reduce_only_target_raw, order.quantity().precision);

                if order.quantity() != reduce_only_target {
                    self.generate_order_updated(order, reduce_only_target, None, None, None);
                }
            }

            total_filled = total_filled.add(capped_fill_qty);

            if let Some(remaining_raw) = reduce_only_remaining_raw.as_mut() {
                *remaining_raw = remaining_raw.saturating_sub(capped_fill_qty.raw);
            }

            if let Some(filled_raw) = reduce_only_filled_raw.as_mut() {
                *filled_raw = filled_raw
                    .checked_add(capped_fill_qty.raw)
                    .expect("Overflow occurred when adding reduce-only filled quantity");
            }

            self.fill_order(
                order,
                fill_px,
                effective_fill_qty,
                liquidity_side,
                venue_position_id,
                position,
            )?;
            last_fill_px = Some(fill_px);

            if order.order_type() == OrderType::MarketToLimit && initial_market_to_limit_fill {
                // Filled initial level
                return Ok(());
            }

            if reduce_only_exhausts_position {
                self.purge_cached_filled_qty_if_closed(order.client_order_id());
                return Ok(());
            }
        }

        let leaves_remaining = total_filled < order.quantity();
        let filled_in_loop = total_filled > initial_total_filled;

        if order.time_in_force() == TimeInForce::Ioc && leaves_remaining {
            self.cancel_order(order, None);
            return Ok(());
        }

        // `filled_in_loop` covers the just-partially-filled case where the
        // local clone's status has not seen the fill events yet.
        if leaves_remaining
            && (order.is_open() || filled_in_loop)
            && self.book_type == BookType::L1_MBP
            && matches!(
                order.order_type(),
                OrderType::Market
                    | OrderType::MarketIfTouched
                    | OrderType::StopMarket
                    | OrderType::TrailingStopMarket
            )
        {
            // Exhausted L1 volume: slip remainder by a single price increment
            let Some(last_fill_px) = last_fill_px else {
                return Ok(());
            };

            let side = order.order_side().as_specified();
            let slip_fill_px = match side {
                OrderSideSpecified::Buy => last_fill_px.add(self.instrument.price_increment()),
                OrderSideSpecified::Sell => last_fill_px.sub(self.instrument.price_increment()),
            };

            if let Some(protection_price) = protection_price {
                let exceeds_boundary = match side {
                    OrderSideSpecified::Buy => slip_fill_px.raw > protection_price.raw,
                    OrderSideSpecified::Sell => slip_fill_px.raw < protection_price.raw,
                };

                if exceeds_boundary {
                    return Ok(());
                }
            }

            let mut leaves_qty = order.quantity().saturating_sub(total_filled);

            if let Some(remaining_raw) = reduce_only_remaining_raw {
                if remaining_raw == 0 {
                    return Ok(());
                }

                if leaves_qty.raw > remaining_raw {
                    leaves_qty = Quantity::from_raw(remaining_raw, leaves_qty.precision);
                }

                if leaves_qty.raw >= remaining_raw {
                    let reduce_only_target_raw = reduce_only_filled_raw
                        .unwrap_or(initial_total_filled.raw)
                        .checked_add(leaves_qty.raw)
                        .expect("Overflow occurred when adding reduce-only target quantity");
                    let reduce_only_target =
                        Quantity::from_raw(reduce_only_target_raw, order.quantity().precision);

                    if order.quantity() != reduce_only_target {
                        self.generate_order_updated(order, reduce_only_target, None, None, None);
                    }
                }
            }

            if leaves_qty.is_zero() {
                return Ok(());
            }

            self.fill_order(
                order,
                slip_fill_px,
                leaves_qty,
                liquidity_side,
                venue_position_id,
                position,
            )?;
            self.purge_cached_filled_qty_if_closed(order.client_order_id());
        }

        Ok(())
    }

    fn normalize_fill_price(
        &self,
        fill_px: Price,
        client_order_id: ClientOrderId,
    ) -> Option<Price> {
        let normalized = self.normalize_price_for_current_instrument(fill_px);
        if normalized.is_none() {
            log::warn!(
                "Skipping fill for {client_order_id}: fill price {fill_px} is not compatible \
                 with {} price_precision={} price_increment={}",
                self.instrument.id(),
                self.instrument.price_precision(),
                self.instrument.price_increment()
            );
        }
        normalized
    }

    fn normalize_fill_quantity(
        &self,
        fill_qty: Quantity,
        client_order_id: ClientOrderId,
    ) -> Option<Quantity> {
        let normalized = self.normalize_quantity_for_current_instrument(fill_qty);
        if normalized.is_none() {
            log::warn!(
                "Skipping fill for {client_order_id}: fill quantity {fill_qty} is not compatible \
                 with {} size_precision={}",
                self.instrument.id(),
                self.instrument.size_precision()
            );
        }
        normalized
    }

    fn fill_order(
        &mut self,
        order: &OrderAny,
        last_px: Price,
        last_qty: Quantity,
        liquidity_side: LiquiditySide,
        venue_position_id: Option<PositionId>,
        _position: Option<&Position>,
    ) -> anyhow::Result<()> {
        self.check_size_precision(last_qty.precision, "fill quantity")?;

        let (last_qty, new_filled_qty) =
            if let Some(filled_qty) = self.cached_filled_qty.get(&order.client_order_id()) {
                let leaves_qty = order.quantity().saturating_sub(*filled_qty);
                let last_qty = min(last_qty, leaves_qty);
                (last_qty, *filled_qty + last_qty)
            } else {
                let last_qty = min(last_qty, order.quantity());
                (last_qty, last_qty)
            };

        if last_qty.is_zero() {
            return Ok(());
        }

        let fee_order;
        let commission_order = {
            // `order` is a stale pre-fill clone: give fee models the current
            // pre-fill `filled_qty` (e.g. `FixedFeeModel` charges once per order).
            let mut cloned = order.clone();
            write_filled_qty(&mut cloned, new_filled_qty.saturating_sub(last_qty));
            if order.liquidity_side() != Some(liquidity_side) {
                cloned.set_liquidity_side(liquidity_side);
            }
            fee_order = cloned;
            &fee_order
        };

        let underlying_px = self.fee_underlying_price()?;
        let commission = self.fee_model.get_commission_with_context(
            commission_order,
            last_qty,
            last_px,
            &self.instrument,
            underlying_px,
        )?;

        self.cached_filled_qty
            .insert(order.client_order_id(), new_filled_qty);

        let venue_order_id = self.ids_generator.get_venue_order_id(order).unwrap();
        self.generate_order_filled(
            order,
            venue_order_id,
            venue_position_id,
            last_qty,
            last_px,
            self.instrument.quote_currency(),
            commission,
            liquidity_side,
        );

        let post_fill_filled_qty = self
            .cached_filled_qty
            .get(&order.client_order_id())
            .copied()
            .unwrap_or(order.filled_qty());
        let post_fill_leaves_qty = order.quantity().saturating_sub(post_fill_filled_qty);
        let fully_filled = post_fill_leaves_qty.is_zero();

        if order.is_closed() || fully_filled {
            if self.core.order_exists(order.client_order_id()) {
                self.delete_core_order(order.client_order_id());
            }
            // MarketToLimit reads `cached_filled_qty` in its caller to compute leaves;
            // its own cleanup happens there after the read.
            if order.order_type() != OrderType::MarketToLimit {
                self.purge_cached_filled_qty_if_closed(order.client_order_id());
            }
        }

        if !self.config.support_contingent_orders {
            return Ok(());
        }

        if let Some(contingency_type) = order.contingency_type() {
            match contingency_type {
                ContingencyType::Oto => {
                    if let Some(linked_orders_ids) = order.linked_order_ids() {
                        for client_order_id in linked_orders_ids {
                            let mut child_order = match self.cache.borrow().order(client_order_id) {
                                Some(child_order) => child_order.clone(),
                                None => anyhow::bail!("Order {client_order_id} not found in cache"),
                            };

                            if child_order.is_closed() || child_order.is_active_local() {
                                continue;
                            }

                            // Check if we need to index position id
                            if let (None, Some(position_id)) =
                                (child_order.position_id(), order.position_id())
                            {
                                self.cache
                                    .borrow_mut()
                                    .add_position_id(
                                        &position_id,
                                        &self.venue,
                                        client_order_id,
                                        &child_order.strategy_id(),
                                    )
                                    .unwrap();
                                log::debug!(
                                    "Added position id {position_id} to cache for order {client_order_id}"
                                );
                            }

                            if (!child_order.is_open())
                                || (matches!(child_order.status(), OrderStatus::PendingUpdate)
                                    && child_order
                                        .previous_status()
                                        .is_some_and(|s| matches!(s, OrderStatus::Submitted)))
                            {
                                let account_id = order
                                    .account_id()
                                    .or_else(|| self.account_ids.get(&order.trader_id()).copied())
                                    .ok_or_else(|| {
                                        anyhow::anyhow!(
                                            "Account ID not found for trader {}",
                                            order.trader_id()
                                        )
                                    })?;
                                self.process_order(&mut child_order, account_id);
                            }
                        }
                    } else {
                        log::error!(
                            "OTO order {} does not have linked orders",
                            order.client_order_id()
                        );
                    }
                }
                ContingencyType::Oco => {
                    if let Some(linked_orders_ids) = order.linked_order_ids() {
                        for client_order_id in linked_orders_ids {
                            let child_order = match self.cache.borrow().order(client_order_id) {
                                Some(child_order) => child_order.clone(),
                                None => anyhow::bail!("Order {client_order_id} not found in cache"),
                            };

                            if child_order.is_closed() || child_order.is_active_local() {
                                continue;
                            }

                            self.cancel_order(&child_order, None);
                        }
                    } else {
                        log::error!(
                            "OCO order {} does not have linked orders",
                            order.client_order_id()
                        );
                    }
                }
                ContingencyType::Ouo => {
                    if let Some(linked_orders_ids) = order.linked_order_ids() {
                        for client_order_id in linked_orders_ids {
                            let child_order = match self.cache.borrow().order(client_order_id) {
                                Some(child_order) => child_order.clone(),
                                None => anyhow::bail!("Order {client_order_id} not found in cache"),
                            };

                            if child_order.is_active_local() {
                                continue;
                            }

                            let child_filled_qty = self
                                .cached_filled_qty
                                .get(&child_order.client_order_id())
                                .copied()
                                .unwrap_or(child_order.filled_qty());

                            if post_fill_leaves_qty.is_zero() && child_order.is_open() {
                                self.cancel_order(&child_order, None);
                            } else if child_order.is_open()
                                && child_filled_qty >= post_fill_leaves_qty
                            {
                                self.cancel_order(&child_order, Some(false));
                            } else if !post_fill_leaves_qty.is_zero()
                                && post_fill_leaves_qty != child_order.leaves_qty()
                            {
                                let price = child_order.price();
                                let trigger_price = child_order.trigger_price();
                                self.update_order(
                                    &child_order,
                                    Some(post_fill_leaves_qty),
                                    price,
                                    trigger_price,
                                    Some(false),
                                );
                            }
                        }
                    } else {
                        log::error!(
                            "OUO order {} does not have linked orders",
                            order.client_order_id()
                        );
                    }
                }
                _ => {}
            }
        }

        Ok(())
    }

    fn fee_underlying_price(&self) -> CorrectnessResult<Option<Price>> {
        if !matches!(
            self.instrument,
            InstrumentAny::CryptoOption(_) | InstrumentAny::OptionContract(_)
        ) {
            return Ok(None);
        }

        let Some(underlying) = self.instrument.underlying() else {
            return Ok(None);
        };

        let underlying_id = InstrumentId::from(format!("{underlying}.{}", self.venue).as_str());
        let instrument_id = self.instrument.id();
        let cache = self.cache.borrow();
        if let Some(price) = cache
            .price(&underlying_id, PriceType::Last)
            .or_else(|| cache.price(&underlying_id, PriceType::Mark))
            .or_else(|| cache.price(&underlying_id, PriceType::Mid))
        {
            return Ok(Some(price));
        }

        cache
            .option_greeks(&instrument_id)
            .and_then(|greeks| greeks.underlying_price)
            .map(|price| Price::new_checked(price, FIXED_PRECISION))
            .transpose()
    }

    fn cached_order_is_closed(&self, client_order_id: ClientOrderId) -> bool {
        self.cache
            .borrow()
            .order(&client_order_id)
            .is_none_or(|order| order.is_closed())
    }

    fn purge_cached_filled_qty_if_closed(&mut self, client_order_id: ClientOrderId) {
        if self.cached_order_is_closed(client_order_id) {
            self.cached_filled_qty.swap_remove(&client_order_id);
        }
    }

    fn purge_closed_cached_filled_qty(&mut self) {
        let client_order_ids: Vec<ClientOrderId> = self.cached_filled_qty.keys().copied().collect();

        for client_order_id in client_order_ids {
            self.purge_cached_filled_qty_if_closed(client_order_id);
        }
    }

    fn update_limit_order(
        &mut self,
        order: &OrderAny,
        quantity: Quantity,
        price: Price,
    ) -> ModifyOutcome {
        if self
            .core
            .is_limit_matched(order.order_side_specified(), price)
        {
            if order.is_post_only() {
                self.generate_order_modify_rejected(
                    order.trader_id(),
                    order.strategy_id(),
                    order.instrument_id(),
                    order.client_order_id(),
                    Ustr::from(format!(
                        "POST_ONLY {} {} order with new limit px of {} would have been a TAKER: bid={}, ask={}",
                        order.order_type(),
                        order.order_side(),
                        price,
                        self.core.bid.map_or_else(|| "None".to_string(), |p| p.to_string()),
                        self.core.ask.map_or_else(|| "None".to_string(), |p| p.to_string())
                    ).as_str()),
                    order.venue_order_id(),
                    order.account_id(),
                );
                return ModifyOutcome::Rejected;
            }

            self.generate_order_updated(order, quantity, Some(price), None, None);

            // Re-read from cache to get the order with events applied
            let client_order_id = order.client_order_id();
            if let Some(mut order) = self.cache.borrow_mut().order_mut(&client_order_id) {
                order.set_liquidity_side(LiquiditySide::Taker);
            }
            self.fill_limit_order(client_order_id);
            return ModifyOutcome::Applied;
        }
        self.generate_order_updated(order, quantity, Some(price), None, None);
        ModifyOutcome::Applied
    }

    fn update_stop_market_order(
        &self,
        order: &OrderAny,
        quantity: Quantity,
        trigger_price: Price,
    ) -> ModifyOutcome {
        if self.core.is_stop_matched_with_trigger_type(
            order.order_side_specified(),
            trigger_price,
            order.trigger_type().unwrap_or(TriggerType::Default),
        ) {
            self.generate_order_modify_rejected(
                order.trader_id(),
                order.strategy_id(),
                order.instrument_id(),
                order.client_order_id(),
                Ustr::from(
                    format!(
                        "{} {} order new stop px of {} was in the market: bid={}, ask={}",
                        order.order_type(),
                        order.order_side(),
                        trigger_price,
                        self.core
                            .bid
                            .map_or_else(|| "None".to_string(), |p| p.to_string()),
                        self.core
                            .ask
                            .map_or_else(|| "None".to_string(), |p| p.to_string())
                    )
                    .as_str(),
                ),
                order.venue_order_id(),
                order.account_id(),
            );
            return ModifyOutcome::Rejected;
        }

        self.generate_order_updated(order, quantity, None, Some(trigger_price), None);
        ModifyOutcome::Applied
    }

    fn update_stop_limit_order(
        &mut self,
        order: &OrderAny,
        quantity: Quantity,
        price: Price,
        trigger_price: Price,
    ) -> ModifyOutcome {
        if order.is_triggered().is_some_and(|t| t) {
            // Update limit price
            if self
                .core
                .is_limit_matched(order.order_side_specified(), price)
            {
                if order.is_post_only() {
                    self.generate_order_modify_rejected(
                        order.trader_id(),
                        order.strategy_id(),
                        order.instrument_id(),
                        order.client_order_id(),
                        Ustr::from(format!(
                            "POST_ONLY {} {} order with new limit px of {} would have been a TAKER: bid={}, ask={}",
                            order.order_type(),
                            order.order_side(),
                            price,
                            self.core.bid.map_or_else(|| "None".to_string(), |p| p.to_string()),
                            self.core.ask.map_or_else(|| "None".to_string(), |p| p.to_string())
                        ).as_str()),
                        order.venue_order_id(),
                        order.account_id(),
                    );
                    return ModifyOutcome::Rejected;
                }
                self.generate_order_updated(order, quantity, Some(price), None, None);

                // Re-read from cache to get the order with events applied
                let client_order_id = order.client_order_id();
                if let Some(mut order) = self.cache.borrow_mut().order_mut(&client_order_id) {
                    order.set_liquidity_side(LiquiditySide::Taker);
                }
                self.fill_limit_order(client_order_id);
                return ModifyOutcome::Applied;
            }
        } else {
            // Update stop price
            if self.core.is_stop_matched_with_trigger_type(
                order.order_side_specified(),
                trigger_price,
                order.trigger_type().unwrap_or(TriggerType::Default),
            ) {
                self.generate_order_modify_rejected(
                    order.trader_id(),
                    order.strategy_id(),
                    order.instrument_id(),
                    order.client_order_id(),
                    Ustr::from(
                        format!(
                            "{} {} order new stop px of {} was in the market: bid={}, ask={}",
                            order.order_type(),
                            order.order_side(),
                            trigger_price,
                            self.core
                                .bid
                                .map_or_else(|| "None".to_string(), |p| p.to_string()),
                            self.core
                                .ask
                                .map_or_else(|| "None".to_string(), |p| p.to_string())
                        )
                        .as_str(),
                    ),
                    order.venue_order_id(),
                    order.account_id(),
                );
                return ModifyOutcome::Rejected;
            }
        }

        self.generate_order_updated(order, quantity, Some(price), Some(trigger_price), None);
        ModifyOutcome::Applied
    }

    fn update_market_if_touched_order(
        &self,
        order: &OrderAny,
        quantity: Quantity,
        trigger_price: Price,
    ) -> ModifyOutcome {
        if self.core.is_touch_triggered_with_trigger_type(
            order.order_side_specified(),
            trigger_price,
            order.trigger_type().unwrap_or(TriggerType::Default),
        ) {
            self.generate_order_modify_rejected(
                order.trader_id(),
                order.strategy_id(),
                order.instrument_id(),
                order.client_order_id(),
                Ustr::from(
                    format!(
                        "{} {} order new trigger px of {} was in the market: bid={}, ask={}",
                        order.order_type(),
                        order.order_side(),
                        trigger_price,
                        self.core
                            .bid
                            .map_or_else(|| "None".to_string(), |p| p.to_string()),
                        self.core
                            .ask
                            .map_or_else(|| "None".to_string(), |p| p.to_string())
                    )
                    .as_str(),
                ),
                order.venue_order_id(),
                order.account_id(),
            );
            // Cannot update order
            return ModifyOutcome::Rejected;
        }

        self.generate_order_updated(order, quantity, None, Some(trigger_price), None);
        ModifyOutcome::Applied
    }

    fn update_limit_if_touched_order(
        &mut self,
        order: &OrderAny,
        quantity: Quantity,
        price: Price,
        trigger_price: Price,
    ) -> ModifyOutcome {
        if order.is_triggered().is_some_and(|t| t) {
            // Update limit price
            if self
                .core
                .is_limit_matched(order.order_side_specified(), price)
            {
                if order.is_post_only() {
                    self.generate_order_modify_rejected(
                        order.trader_id(),
                        order.strategy_id(),
                        order.instrument_id(),
                        order.client_order_id(),
                        Ustr::from(format!(
                            "POST_ONLY {} {} order with new limit px of {} would have been a TAKER: bid={}, ask={}",
                            order.order_type(),
                            order.order_side(),
                            price,
                            self.core.bid.map_or_else(|| "None".to_string(), |p| p.to_string()),
                            self.core.ask.map_or_else(|| "None".to_string(), |p| p.to_string())
                        ).as_str()),
                        order.venue_order_id(),
                        order.account_id(),
                    );
                    // Cannot update order
                    return ModifyOutcome::Rejected;
                }
                self.generate_order_updated(order, quantity, Some(price), None, None);

                // Re-read from cache to get the order with events applied
                let client_order_id = order.client_order_id();
                if let Some(mut order) = self.cache.borrow_mut().order_mut(&client_order_id) {
                    order.set_liquidity_side(LiquiditySide::Taker);
                }
                self.fill_limit_order(client_order_id);
                return ModifyOutcome::Applied;
            }
        } else {
            // Update trigger price
            if self.core.is_touch_triggered_with_trigger_type(
                order.order_side_specified(),
                trigger_price,
                order.trigger_type().unwrap_or(TriggerType::Default),
            ) {
                self.generate_order_modify_rejected(
                    order.trader_id(),
                    order.strategy_id(),
                    order.instrument_id(),
                    order.client_order_id(),
                    Ustr::from(
                        format!(
                            "{} {} order new trigger px of {} was in the market: bid={}, ask={}",
                            order.order_type(),
                            order.order_side(),
                            trigger_price,
                            self.core
                                .bid
                                .map_or_else(|| "None".to_string(), |p| p.to_string()),
                            self.core
                                .ask
                                .map_or_else(|| "None".to_string(), |p| p.to_string())
                        )
                        .as_str(),
                    ),
                    order.venue_order_id(),
                    order.account_id(),
                );
                return ModifyOutcome::Rejected;
            }
        }

        self.generate_order_updated(order, quantity, Some(price), Some(trigger_price), None);
        ModifyOutcome::Applied
    }

    fn update_trailing_stop_order(&self, order: &OrderAny) {
        let (new_trigger_price, new_price) = match trailing_stop_calculate(
            self.instrument.price_increment(),
            order.trigger_price(),
            order,
            self.core.bid,
            self.core.ask,
            self.core.last,
        ) {
            Ok(prices) => prices,
            Err(e) => {
                // Missing market data yet: await the next update to compute the trigger.
                log::debug!("Cannot calculate trailing-stop update: {e}");
                return;
            }
        };

        if new_trigger_price.is_none() && new_price.is_none() {
            return;
        }

        self.generate_order_updated(order, order.quantity(), new_price, new_trigger_price, None);
    }

    fn accept_order(&mut self, order: &mut OrderAny) {
        if order.is_closed() {
            // Temporary guard to prevent invalid processing
            return;
        }

        if order.status() != OrderStatus::Accepted {
            let venue_order_id = self.ids_generator.get_venue_order_id(order).unwrap();
            let event = self.create_order_accepted(order, venue_order_id);
            // Apply locally so `cancel_order` sees `Accepted`,
            // dispatch on apply failure so `Released` still registers with the core.
            if let Err(e) = order.apply(event.clone()) {
                log::warn!(
                    "Skipping local apply of accepted event for {}: {e}",
                    order.client_order_id(),
                );
            }
            self.dispatch_order_event(event);

            // Activate before emitting `OrderUpdated` so `match_info` below
            // carries the activation flag.
            if matches!(
                order.order_type(),
                OrderType::TrailingStopLimit | OrderType::TrailingStopMarket
            ) && order.trigger_price().is_none()
                && self.maybe_activate_trailing_stop(
                    order,
                    self.core.bid,
                    self.core.ask,
                    self.core.last,
                )
            {
                self.update_trailing_stop_order(order);
            }
        }

        let match_info = Self::matching_core_entry(order);
        self.track_post_match_order(order);
        self.core.add_order(match_info);
    }

    fn track_post_match_order(&mut self, order: &OrderAny) {
        self.post_match_order_ids.insert(order.client_order_id());
    }

    fn delete_core_order(&mut self, client_order_id: ClientOrderId) {
        self.post_match_order_ids.swap_remove(&client_order_id);
        let _ = self.core.delete_order(client_order_id);
    }

    fn requires_post_match_maintenance(order: &OrderAny) -> bool {
        order.expire_time().is_some()
            || matches!(
                order.order_type(),
                OrderType::TrailingStopMarket | OrderType::TrailingStopLimit
            )
    }

    fn matching_core_entry(order: &OrderAny) -> RestingOrder {
        let triggered_limit_style = matches!(
            order.order_type(),
            OrderType::StopLimit | OrderType::LimitIfTouched | OrderType::TrailingStopLimit
        ) && order.is_triggered().is_some_and(|triggered| triggered);

        RestingOrder::new_with_trigger_type(
            order.client_order_id(),
            order.order_side().as_specified(),
            order.order_type(),
            order.trigger_type().unwrap_or(TriggerType::Default),
            if triggered_limit_style {
                None
            } else {
                order.trigger_price()
            },
            order.price(),
            match order {
                OrderAny::TrailingStopMarket(o) => o.is_activated,
                OrderAny::TrailingStopLimit(o) => o.is_activated,
                _ => true,
            },
        )
    }

    fn expire_order(&mut self, order: &OrderAny) {
        if self.config.support_contingent_orders
            && order
                .contingency_type()
                .is_some_and(|c| c != ContingencyType::NoContingency)
        {
            self.cancel_contingent_orders(order);
        }

        self.generate_order_expired(order);
    }

    fn cancel_order(&mut self, order: &OrderAny, cancel_contingencies: Option<bool>) {
        let cancel_contingencies = cancel_contingencies.unwrap_or(true);

        if order.is_active_local()
            && !matches!(
                (order.status(), order.order_type(), order.time_in_force()),
                (
                    OrderStatus::Initialized | OrderStatus::Released,
                    OrderType::Market,
                    TimeInForce::Ioc | TimeInForce::Fok
                )
            )
        {
            log::error!(
                "Cannot cancel an order with {} from the matching engine",
                order.status()
            );
            return;
        }

        // Check if order exists in OrderMatching core, and delete it if it does
        if self.core.order_exists(order.client_order_id()) {
            self.delete_core_order(order.client_order_id());
        }
        self.cached_filled_qty.swap_remove(&order.client_order_id());

        let venue_order_id = self.ids_generator.get_venue_order_id(order).unwrap();
        self.generate_order_canceled(order, venue_order_id);

        if self.config.support_contingent_orders
            && order.contingency_type().is_some()
            && order.contingency_type().unwrap() != ContingencyType::NoContingency
            && cancel_contingencies
        {
            self.cancel_contingent_orders(order);
        }
    }

    fn update_order(
        &mut self,
        order: &OrderAny,
        quantity: Option<Quantity>,
        price: Option<Price>,
        trigger_price: Option<Price>,
        update_contingencies: Option<bool>,
    ) -> bool {
        let update_contingencies = update_contingencies.unwrap_or(true);
        let quantity = quantity.unwrap_or(order.quantity());

        let price_prec = self.instrument.price_precision();
        let size_prec = self.instrument.size_precision();
        let instrument_id = self.instrument.id();

        if quantity.precision != size_prec {
            self.generate_order_modify_rejected(
                order.trader_id(),
                order.strategy_id(),
                order.instrument_id(),
                order.client_order_id(),
                Ustr::from(&format!(
                    "Invalid update quantity precision {}, expected {size_prec} for {instrument_id}",
                    quantity.precision
                )),
                order.venue_order_id(),
                order.account_id(),
            );
            return false;
        }

        if let Some(px) = price
            && px.precision != price_prec
        {
            self.generate_order_modify_rejected(
                order.trader_id(),
                order.strategy_id(),
                order.instrument_id(),
                order.client_order_id(),
                Ustr::from(&format!(
                    "Invalid update price precision {}, expected {price_prec} for {instrument_id}",
                    px.precision
                )),
                order.venue_order_id(),
                order.account_id(),
            );
            return false;
        }

        if let Some(tp) = trigger_price
            && tp.precision != price_prec
        {
            self.generate_order_modify_rejected(
                order.trader_id(),
                order.strategy_id(),
                order.instrument_id(),
                order.client_order_id(),
                Ustr::from(&format!(
                    "Invalid update trigger_price precision {}, expected {price_prec} for {instrument_id}",
                    tp.precision
                )),
                order.venue_order_id(),
                order.account_id(),
            );
            return false;
        }

        // Use cached_filled_qty since PassiveOrderAny in core is not updated with fills
        let filled_qty = self
            .cached_filled_qty
            .get(&order.client_order_id())
            .copied()
            .unwrap_or(order.filled_qty());
        if quantity < filled_qty {
            self.generate_order_modify_rejected(
                order.trader_id(),
                order.strategy_id(),
                order.instrument_id(),
                order.client_order_id(),
                Ustr::from(&format!(
                    "Cannot reduce order quantity {quantity} below filled quantity {filled_qty}",
                )),
                order.venue_order_id(),
                order.account_id(),
            );
            return false;
        }

        let outcome = match order {
            OrderAny::Limit(_) | OrderAny::MarketToLimit(_) => {
                let price = price.unwrap_or(order.price().unwrap());
                self.update_limit_order(order, quantity, price)
            }
            OrderAny::StopMarket(_) => {
                let trigger_price = trigger_price.unwrap_or(order.trigger_price().unwrap());
                self.update_stop_market_order(order, quantity, trigger_price)
            }
            OrderAny::StopLimit(_) => {
                let price = price.unwrap_or(order.price().unwrap());
                let trigger_price = trigger_price.unwrap_or(order.trigger_price().unwrap());
                self.update_stop_limit_order(order, quantity, price, trigger_price)
            }
            OrderAny::MarketIfTouched(_) => {
                let trigger_price = trigger_price.unwrap_or(order.trigger_price().unwrap());
                self.update_market_if_touched_order(order, quantity, trigger_price)
            }
            OrderAny::LimitIfTouched(_) => {
                let price = price.unwrap_or(order.price().unwrap());
                let trigger_price = trigger_price.unwrap_or(order.trigger_price().unwrap());
                self.update_limit_if_touched_order(order, quantity, price, trigger_price)
            }
            OrderAny::TrailingStopMarket(_) => {
                if let Some(trigger_price) = trigger_price.or(order.trigger_price()) {
                    self.update_market_if_touched_order(order, quantity, trigger_price)
                } else {
                    self.generate_order_updated(order, quantity, None, trigger_price, None);
                    ModifyOutcome::Applied
                }
            }
            OrderAny::TrailingStopLimit(_) => {
                match (
                    price.or(order.price()),
                    trigger_price.or(order.trigger_price()),
                ) {
                    (Some(price), Some(trigger_price)) => {
                        self.update_limit_if_touched_order(order, quantity, price, trigger_price)
                    }
                    _ => {
                        self.generate_order_updated(order, quantity, price, trigger_price, None);
                        ModifyOutcome::Applied
                    }
                }
            }
            _ => {
                panic!(
                    "Unsupported order type {} for update_order",
                    order.order_type()
                );
            }
        };

        if outcome == ModifyOutcome::Rejected {
            return false;
        }

        // If order now has zero leaves after update, cancel it
        let new_leaves_qty = quantity.saturating_sub(filled_qty);
        if new_leaves_qty.is_zero() {
            if self.config.support_contingent_orders
                && order
                    .contingency_type()
                    .is_some_and(|c| c != ContingencyType::NoContingency)
                && update_contingencies
            {
                self.update_contingent_order(order, quantity);
            }
            // Pass false since we already handled contingents above
            self.cancel_order(order, Some(false));
            return true;
        }

        if self.config.support_contingent_orders
            && order
                .contingency_type()
                .is_some_and(|c| c != ContingencyType::NoContingency)
            && update_contingencies
        {
            self.update_contingent_order(order, quantity);
        }

        true
    }

    /// Triggers a stop order, converting it to an active market or limit order.
    pub fn trigger_stop_order(&mut self, client_order_id: ClientOrderId) {
        let order = match self
            .cache
            .borrow()
            .order(&client_order_id)
            .map(|o| o.clone())
        {
            Some(order) => order,
            None => {
                log::error!(
                    "Cannot trigger stop order: order {client_order_id} not found in cache"
                );
                return;
            }
        };

        if order.is_closed() {
            log::debug!("Cannot trigger stop order: {client_order_id} already closed");
            return;
        }

        match order.order_type() {
            OrderType::StopLimit | OrderType::LimitIfTouched | OrderType::TrailingStopLimit => {
                self.trigger_limit_style_stop_order(client_order_id, order);
            }
            OrderType::StopMarket | OrderType::MarketIfTouched | OrderType::TrailingStopMarket => {
                self.fill_market_order(client_order_id);
            }
            _ => {
                log::error!(
                    "Cannot trigger stop order: invalid order type {}",
                    order.order_type()
                );
            }
        }
    }

    fn trigger_limit_style_stop_order(&mut self, client_order_id: ClientOrderId, order: OrderAny) {
        if order.is_triggered().is_some_and(|triggered| triggered) {
            let liquidity_side = match (order.price(), order.trigger_price()) {
                (Some(price), Some(trigger_price)) => Self::determine_triggered_limit_liquidity(
                    order.order_side(),
                    price,
                    trigger_price,
                ),
                _ => LiquiditySide::Maker,
            };

            if let Some(mut cached_order) = self.cache.borrow_mut().order_mut(&client_order_id)
                && !matches!(
                    cached_order.liquidity_side(),
                    Some(LiquiditySide::Maker | LiquiditySide::Taker)
                )
            {
                cached_order.set_liquidity_side(liquidity_side);
            }
            self.fill_limit_order(client_order_id);
            return;
        }

        let event = self.create_order_triggered(&order);
        let order = match self.cache.borrow_mut().update_order(&event) {
            Ok(order) => order,
            Err(e) => {
                log::debug!(
                    "Failed to apply triggered event for {} before fill: {e}",
                    order.client_order_id(),
                );
                order
            }
        };
        self.dispatch_order_event(event);

        let trigger_price = order
            .trigger_price()
            .expect("Limit-style stop order must have a trigger price");
        let price = order
            .price()
            .expect("Limit-style stop order must have a price");

        let maker_inside = match order.order_side() {
            OrderSide::Buy => self
                .core
                .ask
                .is_some_and(|ask| trigger_price > price && price > ask),
            OrderSide::Sell => self
                .core
                .bid
                .is_some_and(|bid| trigger_price < price && price < bid),
            OrderSide::NoOrderSide => false,
        };

        if maker_inside {
            if let Some(mut cached_order) = self.cache.borrow_mut().order_mut(&client_order_id) {
                cached_order.set_liquidity_side(LiquiditySide::Maker);
            }
            self.resync_core_entry(client_order_id);
            self.fill_limit_order(client_order_id);
            return;
        }

        if self
            .core
            .is_limit_matched(order.order_side_specified(), price)
        {
            if order.is_post_only() {
                self.delete_core_order(client_order_id);
                self.cached_filled_qty.swap_remove(&client_order_id);
                let event = self.create_order_rejected(
                    &order,
                    format!(
                        "POST_ONLY {} {} order limit px of {} would have been a TAKER: bid={}, ask={}",
                        order.order_type(),
                        order.order_side(),
                        price,
                        self.core
                            .bid
                            .map_or_else(|| "None".to_string(), |p| p.to_string()),
                        self.core
                            .ask
                            .map_or_else(|| "None".to_string(), |p| p.to_string())
                    )
                    .into(),
                );

                if let Err(e) = self.cache.borrow_mut().update_order(&event) {
                    log::debug!(
                        "Failed to apply rejected event for {} after post-only trigger: {e}",
                        order.client_order_id(),
                    );
                }
                self.dispatch_order_event(event);
                return;
            }

            if let Some(mut cached_order) = self.cache.borrow_mut().order_mut(&client_order_id) {
                cached_order.set_liquidity_side(LiquiditySide::Taker);
            }
            self.resync_core_entry(client_order_id);
            self.fill_limit_order(client_order_id);
            return;
        }

        if let Some(mut cached_order) = self.cache.borrow_mut().order_mut(&client_order_id) {
            cached_order.set_liquidity_side(Self::determine_triggered_limit_liquidity(
                order.order_side(),
                price,
                trigger_price,
            ));
        }
        self.resync_core_entry(client_order_id);
    }

    fn determine_triggered_limit_liquidity(
        side: OrderSide,
        price: Price,
        trigger_price: Price,
    ) -> LiquiditySide {
        if (side == OrderSide::Buy && trigger_price > price)
            || (side == OrderSide::Sell && trigger_price < price)
        {
            LiquiditySide::Maker
        } else {
            LiquiditySide::Taker
        }
    }

    fn update_contingent_order(&mut self, order: &OrderAny, parent_quantity: Quantity) {
        log::debug!(
            "Updating contingent orders from {}",
            order.client_order_id()
        );

        if let Some(linked_order_ids) = order.linked_order_ids() {
            let parent_filled_qty = self
                .cached_filled_qty
                .get(&order.client_order_id())
                .copied()
                .unwrap_or(order.filled_qty());
            let parent_leaves_qty = parent_quantity.saturating_sub(parent_filled_qty);

            for client_order_id in linked_order_ids {
                let child_order = match self.cache.borrow().order(client_order_id) {
                    Some(order) => order.clone(),
                    None => panic!("Order {client_order_id} not found in cache."),
                };

                if child_order.is_active_local() {
                    continue;
                }

                let child_filled_qty = self
                    .cached_filled_qty
                    .get(&child_order.client_order_id())
                    .copied()
                    .unwrap_or(child_order.filled_qty());

                if parent_leaves_qty.is_zero() {
                    self.cancel_order(&child_order, Some(false));
                } else if child_filled_qty >= parent_leaves_qty {
                    // Child already filled beyond parent's remaining qty, cancel it
                    self.cancel_order(&child_order, Some(false));
                } else {
                    let child_leaves_qty = child_order.quantity().saturating_sub(child_filled_qty);
                    if child_leaves_qty != parent_leaves_qty {
                        let price = child_order.price();
                        let trigger_price = child_order.trigger_price();
                        self.update_order(
                            &child_order,
                            Some(parent_leaves_qty),
                            price,
                            trigger_price,
                            Some(false),
                        );
                    }
                }
            }
        }
    }

    fn cancel_contingent_orders(&mut self, order: &OrderAny) {
        if let Some(linked_order_ids) = order.linked_order_ids() {
            for client_order_id in linked_order_ids {
                let contingent_order = match self.cache.borrow().order(client_order_id) {
                    Some(order) => order.clone(),
                    None => panic!("Cannot find contingent order for {client_order_id}"),
                };

                if contingent_order.is_active_local() {
                    // order is not on the exchange yet
                    continue;
                }

                if !contingent_order.is_closed() {
                    self.cancel_order(&contingent_order, Some(false));
                }
            }
        }
    }

    fn generate_order_submitted(&self, order: &OrderAny, account_id: AccountId) {
        let ts_now = self.clock.borrow().timestamp_ns();
        let event = OrderEventAny::Submitted(OrderSubmitted::new(
            order.trader_id(),
            order.strategy_id(),
            order.instrument_id(),
            order.client_order_id(),
            account_id,
            UUID4::new(),
            ts_now,
            ts_now,
        ));
        self.dispatch_order_event(event);
    }

    fn create_order_rejected(&self, order: &OrderAny, reason: Ustr) -> OrderEventAny {
        let ts_now = self.clock.borrow().timestamp_ns();
        let account_id = order
            .account_id()
            .unwrap_or(self.account_ids.get(&order.trader_id()).unwrap().to_owned());

        let due_post_only = reason.as_str().starts_with("POST_ONLY");

        OrderEventAny::Rejected(OrderRejected::new(
            order.trader_id(),
            order.strategy_id(),
            order.instrument_id(),
            order.client_order_id(),
            account_id,
            reason,
            UUID4::new(),
            ts_now,
            ts_now,
            false,
            due_post_only,
        ))
    }

    fn generate_order_rejected(&self, order: &OrderAny, reason: Ustr) {
        let event = self.create_order_rejected(order, reason);
        self.dispatch_order_event(event);
    }

    fn publish_order_initialized(&self, order: &OrderAny) {
        let event = OrderEventAny::Initialized(order.init_event().clone());
        msgbus::publish_order_event(
            format!("events.order.{}", order.strategy_id()).into(),
            &event,
        );
    }

    fn create_order_accepted(
        &self,
        order: &OrderAny,
        venue_order_id: VenueOrderId,
    ) -> OrderEventAny {
        let ts_now = self.clock.borrow().timestamp_ns();
        let account_id = order
            .account_id()
            .unwrap_or(self.account_ids.get(&order.trader_id()).unwrap().to_owned());
        OrderEventAny::Accepted(OrderAccepted::new(
            order.trader_id(),
            order.strategy_id(),
            order.instrument_id(),
            order.client_order_id(),
            venue_order_id,
            account_id,
            UUID4::new(),
            ts_now,
            ts_now,
            false,
        ))
    }

    fn generate_order_accepted(&self, order: &OrderAny, venue_order_id: VenueOrderId) {
        let event = self.create_order_accepted(order, venue_order_id);
        self.dispatch_order_event(event);
    }

    #[expect(clippy::too_many_arguments)]
    fn generate_order_modify_rejected(
        &self,
        trader_id: TraderId,
        strategy_id: StrategyId,
        instrument_id: InstrumentId,
        client_order_id: ClientOrderId,
        reason: Ustr,
        venue_order_id: Option<VenueOrderId>,
        account_id: Option<AccountId>,
    ) {
        let ts_now = self.clock.borrow().timestamp_ns();
        let event = OrderEventAny::ModifyRejected(OrderModifyRejected::new(
            trader_id,
            strategy_id,
            instrument_id,
            client_order_id,
            reason,
            UUID4::new(),
            ts_now,
            ts_now,
            false,
            venue_order_id,
            account_id,
        ));
        self.dispatch_order_event(event);
    }

    #[expect(clippy::too_many_arguments)]
    fn generate_order_cancel_rejected(
        &self,
        trader_id: TraderId,
        strategy_id: StrategyId,
        account_id: AccountId,
        instrument_id: InstrumentId,
        client_order_id: ClientOrderId,
        venue_order_id: Option<VenueOrderId>,
        reason: Ustr,
    ) {
        let ts_now = self.clock.borrow().timestamp_ns();
        let event = OrderEventAny::CancelRejected(OrderCancelRejected::new(
            trader_id,
            strategy_id,
            instrument_id,
            client_order_id,
            reason,
            UUID4::new(),
            ts_now,
            ts_now,
            false,
            venue_order_id,
            Some(account_id),
        ));
        self.dispatch_order_event(event);
    }

    fn generate_order_updated(
        &self,
        order: &OrderAny,
        quantity: Quantity,
        price: Option<Price>,
        trigger_price: Option<Price>,
        protection_price: Option<Price>,
    ) {
        let ts_now = self.clock.borrow().timestamp_ns();
        let event = OrderEventAny::Updated(OrderUpdated::new(
            order.trader_id(),
            order.strategy_id(),
            order.instrument_id(),
            order.client_order_id(),
            quantity,
            UUID4::new(),
            ts_now,
            ts_now,
            false,
            order.venue_order_id(),
            order.account_id(),
            price,
            trigger_price,
            protection_price,
            order.is_quote_quantity(),
        ));

        self.dispatch_order_event(event);
    }

    fn generate_order_canceled(&self, order: &OrderAny, venue_order_id: VenueOrderId) {
        let ts_now = self.clock.borrow().timestamp_ns();
        let event = OrderEventAny::Canceled(OrderCanceled::new(
            order.trader_id(),
            order.strategy_id(),
            order.instrument_id(),
            order.client_order_id(),
            UUID4::new(),
            ts_now,
            ts_now,
            false,
            Some(venue_order_id),
            order.account_id(),
        ));
        self.dispatch_order_event(event);
    }

    fn create_order_triggered(&self, order: &OrderAny) -> OrderEventAny {
        let ts_now = self.clock.borrow().timestamp_ns();
        OrderEventAny::Triggered(OrderTriggered::new(
            order.trader_id(),
            order.strategy_id(),
            order.instrument_id(),
            order.client_order_id(),
            UUID4::new(),
            ts_now,
            ts_now,
            false,
            order.venue_order_id(),
            order.account_id(),
        ))
    }

    fn generate_order_expired(&self, order: &OrderAny) {
        let ts_now = self.clock.borrow().timestamp_ns();
        let event = OrderEventAny::Expired(OrderExpired::new(
            order.trader_id(),
            order.strategy_id(),
            order.instrument_id(),
            order.client_order_id(),
            UUID4::new(),
            ts_now,
            ts_now,
            false,
            order.venue_order_id(),
            order.account_id(),
        ));
        self.dispatch_order_event(event);
    }

    #[expect(clippy::too_many_arguments)]
    fn generate_order_filled(
        &mut self,
        order: &OrderAny,
        venue_order_id: VenueOrderId,
        venue_position_id: Option<PositionId>,
        last_qty: Quantity,
        last_px: Price,
        quote_currency: Currency,
        commission: Money,
        liquidity_side: LiquiditySide,
    ) {
        debug_assert!(
            last_qty <= order.quantity(),
            "Fill quantity {last_qty} exceeds order quantity {order_qty} for {client_order_id}",
            order_qty = order.quantity(),
            client_order_id = order.client_order_id()
        );

        let ts_now = self.clock.borrow().timestamp_ns();
        let account_id = order
            .account_id()
            .unwrap_or(self.account_ids.get(&order.trader_id()).unwrap().to_owned());
        let event = OrderEventAny::Filled(OrderFilled::new(
            order.trader_id(),
            order.strategy_id(),
            order.instrument_id(),
            order.client_order_id(),
            venue_order_id,
            account_id,
            self.ids_generator.generate_trade_id(ts_now),
            order.order_side(),
            order.order_type(),
            last_qty,
            last_px,
            quote_currency,
            liquidity_side,
            UUID4::new(),
            ts_now,
            ts_now,
            false,
            venue_position_id,
            Some(commission),
            None,
        ));

        self.dispatch_order_event(event);
    }
}

#[derive(Debug, Clone, Copy, PartialEq, Eq)]
enum ModifyOutcome {
    Applied,
    Rejected,
}

#[derive(Debug)]
enum PostMatchOrderAction {
    RemoveClosed,
    Expire(OrderAny),
    UpdateTrailing(OrderAny),
    NoMaintenance,
}

fn post_match_order_action<F>(
    order: &OrderAny,
    support_gtd_orders: bool,
    timestamp_ns: UnixNanos,
    clone_order: F,
) -> PostMatchOrderAction
where
    F: FnOnce(&OrderAny) -> OrderAny,
{
    if order.is_closed() {
        PostMatchOrderAction::RemoveClosed
    } else if support_gtd_orders
        && order
            .expire_time()
            .is_some_and(|expire_ns| timestamp_ns >= expire_ns)
    {
        PostMatchOrderAction::Expire(clone_order(order))
    } else if matches!(
        order.order_type(),
        OrderType::TrailingStopMarket | OrderType::TrailingStopLimit
    ) {
        PostMatchOrderAction::UpdateTrailing(clone_order(order))
    } else {
        PostMatchOrderAction::NoMaintenance
    }
}

/// Writes `filled_qty` directly onto an order clone's core state.
///
/// Used to present fee models with the current pre-fill quantity when the
/// order passed to the fill path is a stale clone (see `fill_order`).
fn write_filled_qty(order: &mut OrderAny, filled_qty: Quantity) {
    match order {
        OrderAny::Limit(o) => o.filled_qty = filled_qty,
        OrderAny::LimitIfTouched(o) => o.filled_qty = filled_qty,
        OrderAny::Market(o) => o.filled_qty = filled_qty,
        OrderAny::MarketIfTouched(o) => o.filled_qty = filled_qty,
        OrderAny::MarketToLimit(o) => o.filled_qty = filled_qty,
        OrderAny::StopLimit(o) => o.filled_qty = filled_qty,
        OrderAny::StopMarket(o) => o.filled_qty = filled_qty,
        OrderAny::TrailingStopLimit(o) => o.filled_qty = filled_qty,
        OrderAny::TrailingStopMarket(o) => o.filled_qty = filled_qty,
    }
}

#[derive(Debug, Clone, Copy)]
struct BarTickSizes {
    open: Quantity,
    high: Quantity,
    low: Quantity,
    close: Quantity,
}

impl BarTickSizes {
    fn from_volume(volume: Quantity, size_increment: Quantity) -> Self {
        let precision_diff = FIXED_PRECISION.saturating_sub(volume.precision);
        let scale = QuantityRaw::pow(10, u32::from(precision_diff));
        let units = volume.raw / scale;
        let increment_units = (size_increment.raw / scale).max(1);
        let rounded_units = (units / increment_units) * increment_units;
        let increments = rounded_units / increment_units;
        let zero = Quantity::zero(volume.precision);
        let size =
            |increments| Quantity::from_raw(increments * increment_units * scale, volume.precision);

        match increments {
            0 => Self {
                open: zero,
                high: zero,
                low: zero,
                close: zero,
            },
            // One increment cannot cover both high and low without exceeding the bar volume.
            1 => Self {
                open: zero,
                high: zero,
                low: zero,
                close: size(1),
            },
            2 => Self {
                open: zero,
                high: size(1),
                low: size(1),
                close: zero,
            },
            3 => {
                let path_size = size(1);

                Self {
                    open: path_size,
                    high: path_size,
                    low: path_size,
                    close: zero,
                }
            }
            _ => {
                let path_increments = increments / 4;
                let close_increments = increments - (path_increments * 3);
                let path_size = size(path_increments);

                Self {
                    open: path_size,
                    high: path_size,
                    low: path_size,
                    close: size(close_increments),
                }
            }
        }
    }
}

#[cfg(test)]
mod tests {
    use std::{
        cell::{Cell, RefCell},
        collections::{HashMap, HashSet},
        rc::Rc,
    };

    use nautilus_common::{cache::Cache, clock::TestClock};
    use nautilus_core::{UnixNanos, correctness::CorrectnessError};
    use nautilus_model::{
        data::{
            DEPTH10_LEN, OrderBookDelta, OrderBookDepth10, QuoteTick, TradeTick,
            option_chain::OptionGreeks,
            order::{BookOrder, OrderId},
        },
        enums::{
            AccountType, AggressorSide, BookAction, BookType, LiquiditySide, OmsType, OrderSide,
            OrderType, RecordFlag, TimeInForce, TrailingOffsetType, TriggerType,
        },
        events::OrderEventAny,
        identifiers::{AccountId, ClientOrderId, TradeId, VenueOrderId},
        instruments::{
            Instrument, InstrumentAny,
            stubs::{crypto_option_btc_deribit, crypto_perpetual_ethusdt, futures_contract_es},
        },
        orderbook::OrderBook,
        orders::{Order, OrderAny, OrderTestBuilder, stubs::TestOrderEventStubs},
        types::{Money, Price, Quantity, fixed::FIXED_PRECISION, quantity::QuantityRaw},
    };
    use proptest::prelude::*;
    use rstest::rstest;
    use rust_decimal::Decimal;

    use super::{BarTickSizes, OrderMatchingEngine, PostMatchOrderAction, post_match_order_action};
    use crate::{
        matching_engine::config::OrderMatchingEngineConfig,
        models::{
            fee::{FeeModel, FeeModelAny, FeeModelHandle},
            fill::{FillModel, FillModelHandle},
        },
    };

    fn assert_valid_bar_tick_sizes(volume: Quantity, size_increment: Quantity) {
        let sizes = BarTickSizes::from_volume(volume, size_increment);
        let total_raw = sizes.open.raw + sizes.high.raw + sizes.low.raw + sizes.close.raw;
        assert!(total_raw <= volume.raw);

        for quantity in [sizes.open, sizes.high, sizes.low, sizes.close] {
            assert_eq!(quantity.precision, volume.precision);
            assert!(
                OrderMatchingEngine::quantity_matches_precision(quantity, volume.precision),
                "bar tick quantity {quantity} not aligned to precision {}",
                volume.precision,
            );
            assert!(
                size_increment.raw == 0 || quantity.raw.is_multiple_of(size_increment.raw),
                "bar tick quantity {quantity} not aligned to increment {size_increment}",
            );
        }

        if size_increment.raw > 0 {
            assert!(
                volume.raw - total_raw < size_increment.raw,
                "bar tick split left {} raw units from volume {volume} and increment {size_increment}",
                volume.raw - total_raw,
            );
        }
    }

    #[rstest]
    fn test_post_match_order_action_does_not_clone_no_maintenance_order() {
        let order = post_match_limit_order();
        let clone_count = Cell::new(0);

        let action = post_match_order_action(&order, true, UnixNanos::from(1_u64), |order| {
            clone_count.set(clone_count.get() + 1);
            order.clone()
        });

        assert!(matches!(action, PostMatchOrderAction::NoMaintenance));
        assert_eq!(clone_count.get(), 0);
    }

    #[rstest]
    fn test_post_match_order_action_does_not_clone_closed_order() {
        let order = post_match_closed_limit_order();
        let clone_count = Cell::new(0);

        let action = post_match_order_action(&order, true, UnixNanos::from(1_u64), |order| {
            clone_count.set(clone_count.get() + 1);
            order.clone()
        });

        assert!(matches!(action, PostMatchOrderAction::RemoveClosed));
        assert_eq!(clone_count.get(), 0);
    }

    #[rstest]
    fn test_post_match_order_action_clones_expired_gtd_order_once() {
        let order = post_match_gtd_limit_order();
        let clone_count = Cell::new(0);

        let action = post_match_order_action(&order, true, UnixNanos::from(10_u64), |order| {
            clone_count.set(clone_count.get() + 1);
            order.clone()
        });

        let PostMatchOrderAction::Expire(cloned) = action else {
            panic!("Expected expired action, was {action:?}");
        };
        assert_eq!(cloned.client_order_id(), order.client_order_id());
        assert_eq!(clone_count.get(), 1);
    }

    #[rstest]
    fn test_post_match_order_action_clones_trailing_order_once() {
        let order = post_match_trailing_stop_order();
        let clone_count = Cell::new(0);

        let action = post_match_order_action(&order, true, UnixNanos::from(1_u64), |order| {
            clone_count.set(clone_count.get() + 1);
            order.clone()
        });

        let PostMatchOrderAction::UpdateTrailing(cloned) = action else {
            panic!("Expected trailing update action, was {action:?}");
        };
        assert_eq!(cloned.client_order_id(), order.client_order_id());
        assert_eq!(clone_count.get(), 1);
    }

    fn post_match_limit_order() -> OrderAny {
        OrderTestBuilder::new(OrderType::Limit)
            .instrument_id(crypto_perpetual_ethusdt().id())
            .side(OrderSide::Buy)
            .price(Price::from("1500.00"))
            .quantity(Quantity::from("1.000"))
            .client_order_id(ClientOrderId::from("POST-MATCH-LIMIT"))
            .submit(true)
            .build()
    }

    fn post_match_closed_limit_order() -> OrderAny {
        let account_id = AccountId::from("SIM-001");
        let venue_order_id = VenueOrderId::from("V-001");
        let mut order = post_match_limit_order();
        order
            .apply(TestOrderEventStubs::accepted(
                &order,
                account_id,
                venue_order_id,
            ))
            .unwrap();
        order
            .apply(TestOrderEventStubs::canceled(
                &order,
                account_id,
                Some(venue_order_id),
            ))
            .unwrap();
        order
    }

    fn post_match_gtd_limit_order() -> OrderAny {
        OrderTestBuilder::new(OrderType::Limit)
            .instrument_id(crypto_perpetual_ethusdt().id())
            .side(OrderSide::Buy)
            .price(Price::from("1500.00"))
            .quantity(Quantity::from("1.000"))
            .time_in_force(TimeInForce::Gtd)
            .expire_time(UnixNanos::from(10_u64))
            .client_order_id(ClientOrderId::from("POST-MATCH-GTD"))
            .submit(true)
            .build()
    }

    fn post_match_trailing_stop_order() -> OrderAny {
        OrderTestBuilder::new(OrderType::TrailingStopMarket)
            .instrument_id(crypto_perpetual_ethusdt().id())
            .side(OrderSide::Buy)
            .quantity(Quantity::from("1.000"))
            .trigger_price(Price::from("1510.00"))
            .trigger_type(TriggerType::BidAsk)
            .trailing_offset(Decimal::new(5, 0))
            .trailing_offset_type(TrailingOffsetType::Price)
            .client_order_id(ClientOrderId::from("POST-MATCH-TRAIL"))
            .submit(true)
            .build()
    }

    #[rstest]
    fn test_fill_order_calculates_commission_from_fill_liquidity_side() {
        let instrument = InstrumentAny::CryptoPerpetual(crypto_perpetual_ethusdt());
        let cache = Rc::new(RefCell::new(Cache::default()));
        let clock = Rc::new(RefCell::new(TestClock::new()));
        let mut engine = OrderMatchingEngine::new(
            instrument.clone(),
            1,
            FillModelHandle::default(),
            FeeModelAny::default().into(),
            BookType::L1_MBP,
            OmsType::Netting,
            AccountType::Margin,
            clock,
            cache,
            Default::default(),
        );
        let events = Rc::new(RefCell::new(Vec::new()));
        let events_handler = Rc::clone(&events);
        engine.set_event_handler(Rc::new(move |event| {
            events_handler.borrow_mut().push(event);
        }));

        let mut order = OrderTestBuilder::new(OrderType::Market)
            .instrument_id(instrument.id())
            .side(OrderSide::Buy)
            .quantity(Quantity::from("1.000"))
            .submit(true)
            .build();
        order.set_liquidity_side(LiquiditySide::Maker);
        engine
            .account_ids
            .insert(order.trader_id(), AccountId::from("ACCOUNT-001"));

        engine
            .fill_order(
                &order,
                Price::from("1500.00"),
                Quantity::from("1.000"),
                LiquiditySide::Taker,
                None,
                None,
            )
            .unwrap();

        let events = events.borrow();
        assert_eq!(events.len(), 1);
        let fill = match &events[0] {
            OrderEventAny::Filled(fill) => fill,
            event => panic!("Expected OrderFilled, was {event:?}"),
        };
        let commission = fill.commission.expect("expected commission");
        let expected_commission =
            fill.last_qty.as_decimal() * fill.last_px.as_decimal() * instrument.taker_fee();

        assert_eq!(fill.liquidity_side, LiquiditySide::Taker);
        assert_eq!(commission.currency, instrument.quote_currency());
        assert_eq!(commission.as_decimal(), expected_commission);
    }

    #[rstest]
    fn test_custom_fee_model_handle_is_called_by_fill_order() {
        let instrument = InstrumentAny::CryptoPerpetual(crypto_perpetual_ethusdt());
        let cache = Rc::new(RefCell::new(Cache::default()));
        let clock = Rc::new(RefCell::new(TestClock::new()));
        let calls = Rc::new(Cell::new(0));
        let expected_commission = Money::from("1.23 USDT");
        let fee_model = FeeModelHandle::new(RecordingFeeModel {
            calls: Rc::clone(&calls),
            commission: expected_commission,
        });
        let cloned_fee_model = fee_model.clone();
        drop(fee_model);
        let mut engine = OrderMatchingEngine::new(
            instrument.clone(),
            1,
            FillModelHandle::default(),
            cloned_fee_model,
            BookType::L1_MBP,
            OmsType::Netting,
            AccountType::Margin,
            clock,
            cache,
            Default::default(),
        );
        let events = Rc::new(RefCell::new(Vec::new()));
        let events_handler = Rc::clone(&events);
        engine.set_event_handler(Rc::new(move |event| {
            events_handler.borrow_mut().push(event);
        }));

        let order = OrderTestBuilder::new(OrderType::Market)
            .instrument_id(instrument.id())
            .side(OrderSide::Buy)
            .quantity(Quantity::from("1.000"))
            .submit(true)
            .build();
        engine
            .account_ids
            .insert(order.trader_id(), AccountId::from("ACCOUNT-001"));

        engine
            .fill_order(
                &order,
                Price::from("1500.00"),
                Quantity::from("1.000"),
                LiquiditySide::Taker,
                None,
                None,
            )
            .unwrap();

        let events = events.borrow();
        assert_eq!(events.len(), 1);
        let fill = match &events[0] {
            OrderEventAny::Filled(fill) => fill,
            event => panic!("Expected OrderFilled, was {event:?}"),
        };

        assert_eq!(calls.get(), 1);
        assert_eq!(fill.commission, Some(expected_commission));
    }

    #[rstest]
    fn test_fill_order_does_not_cache_filled_qty_when_fee_model_fails() {
        let instrument = InstrumentAny::CryptoPerpetual(crypto_perpetual_ethusdt());
        let cache = Rc::new(RefCell::new(Cache::default()));
        let clock = Rc::new(RefCell::new(TestClock::new()));
        let mut engine = OrderMatchingEngine::new(
            instrument.clone(),
            1,
            FillModelHandle::default(),
            FeeModelHandle::new(FailingFeeModel),
            BookType::L1_MBP,
            OmsType::Netting,
            AccountType::Margin,
            clock,
            cache,
            Default::default(),
        );
        let events = Rc::new(RefCell::new(Vec::new()));
        let events_handler = Rc::clone(&events);
        engine.set_event_handler(Rc::new(move |event| {
            events_handler.borrow_mut().push(event);
        }));

        let order = OrderTestBuilder::new(OrderType::Market)
            .instrument_id(instrument.id())
            .side(OrderSide::Buy)
            .quantity(Quantity::from("1.000"))
            .submit(true)
            .build();
        engine
            .account_ids
            .insert(order.trader_id(), AccountId::from("ACCOUNT-001"));

        let result = engine.fill_order(
            &order,
            Price::from("1500.00"),
            Quantity::from("1.000"),
            LiquiditySide::Taker,
            None,
            None,
        );

        assert!(result.is_err());
        assert_eq!(engine.cached_filled_qty_len(), 0);
        assert!(events.borrow().is_empty());
    }

    fn collision_engine() -> (OrderMatchingEngine, Rc<RefCell<Cache>>, VenueOrderId) {
        let instrument = InstrumentAny::CryptoPerpetual(crypto_perpetual_ethusdt());
        let cache = Rc::new(RefCell::new(Cache::default()));
        let venue_order_id = VenueOrderId::from(format!("{}-1-1", instrument.id().venue));
        cache
            .borrow_mut()
            .add_venue_order_id(&ClientOrderId::from("O-OWNER"), &venue_order_id, false)
            .unwrap();
        let engine = OrderMatchingEngine::new(
            instrument,
            1,
            FillModelHandle::default(),
            FeeModelAny::default().into(),
            BookType::L1_MBP,
            OmsType::Netting,
            AccountType::Margin,
            Rc::new(RefCell::new(TestClock::new())),
            Rc::clone(&cache),
            Default::default(),
        );

        (engine, cache, venue_order_id)
    }

    #[rstest]
    #[case(OrderType::Market)]
    #[case(OrderType::MarketToLimit)]
    fn test_market_collision_probes_and_fills_with_default_ack_config(
        #[case] order_type: OrderType,
    ) {
        let (mut engine, cache, venue_order_id) = collision_engine();
        assert!(!engine.config.use_market_order_acks);
        let quote = QuoteTick::new(
            engine.instrument.id(),
            Price::from("1499.00"),
            Price::from("1500.00"),
            Quantity::from("10.000"),
            Quantity::from("10.000"),
            UnixNanos::default(),
            UnixNanos::default(),
        );
        engine.process_quote_tick(&quote);
        let events = Rc::new(RefCell::new(Vec::new()));
        let events_handler = Rc::clone(&events);
        engine.set_event_handler(Rc::new(move |event| {
            events_handler.borrow_mut().push(event);
        }));
        let mut order = OrderTestBuilder::new(order_type)
            .instrument_id(engine.instrument.id())
            .client_order_id(ClientOrderId::from("O-CLAIMANT"))
            .side(OrderSide::Buy)
            .quantity(Quantity::from("1.000"))
            .submit(true)
            .build();

        engine.process_order(&mut order, AccountId::from("ACCOUNT-001"));

        assert!(
            !events
                .borrow()
                .iter()
                .any(|event| matches!(event, OrderEventAny::Rejected(_)))
        );
        assert!(
            events
                .borrow()
                .iter()
                .any(|event| matches!(event, OrderEventAny::Filled(_)))
        );
        assert!(cache.borrow().order_exists(&order.client_order_id()));
        assert_eq!(
            cache.borrow().client_order_id(&venue_order_id),
            Some(&ClientOrderId::from("O-OWNER"))
        );
        assert_eq!(
            cache.borrow().venue_order_id(&order.client_order_id()),
            Some(&VenueOrderId::from(format!("{}-1-2", engine.venue)))
        );
    }

    struct RecordingFeeModel {
        calls: Rc<Cell<u32>>,
        commission: Money,
    }

    impl FeeModel for RecordingFeeModel {
        fn get_commission(
            &self,
            _order: &OrderAny,
            _fill_quantity: Quantity,
            _fill_px: Price,
            _instrument: &InstrumentAny,
        ) -> anyhow::Result<Money> {
            self.calls.set(self.calls.get() + 1);
            Ok(self.commission)
        }
    }

    struct FailingFeeModel;

    impl FeeModel for FailingFeeModel {
        fn get_commission(
            &self,
            _order: &OrderAny,
            _fill_quantity: Quantity,
            _fill_px: Price,
            _instrument: &InstrumentAny,
        ) -> anyhow::Result<Money> {
            Err(anyhow::anyhow!("fee model failed"))
        }
    }

    #[rstest]
    fn test_custom_fill_model_handle_is_called_by_market_fill() {
        let instrument = InstrumentAny::CryptoPerpetual(crypto_perpetual_ethusdt());
        let cache = Rc::new(RefCell::new(Cache::default()));
        let clock = Rc::new(RefCell::new(TestClock::new()));
        let calls = Rc::new(Cell::new(0));
        let fill_model = FillModelHandle::new(RecordingFillModel {
            calls: Rc::clone(&calls),
        });
        let mut engine = OrderMatchingEngine::new(
            instrument.clone(),
            1,
            fill_model,
            FeeModelAny::default().into(),
            BookType::L1_MBP,
            OmsType::Netting,
            AccountType::Margin,
            clock,
            cache,
            Default::default(),
        );
        let quote = QuoteTick::new(
            instrument.id(),
            Price::from("1500.00"),
            Price::from("1501.00"),
            Quantity::from("10.000"),
            Quantity::from("10.000"),
            UnixNanos::default(),
            UnixNanos::default(),
        );
        engine.process_quote_tick(&quote);

        let mut order = OrderTestBuilder::new(OrderType::Market)
            .instrument_id(instrument.id())
            .side(OrderSide::Buy)
            .quantity(Quantity::from("1.000"))
            .submit(true)
            .build();
        engine.process_order(&mut order, AccountId::from("ACCOUNT-001"));

        assert_eq!(calls.get(), 1);
    }

    #[rstest]
    fn test_l1_depth10_skips_padding_for_last_quote_tracking() {
        let instrument = InstrumentAny::CryptoPerpetual(crypto_perpetual_ethusdt());
        let cache = Rc::new(RefCell::new(Cache::default()));
        let clock = Rc::new(RefCell::new(TestClock::new()));
        let mut engine = OrderMatchingEngine::new(
            instrument.clone(),
            1,
            FillModelHandle::default(),
            FeeModelAny::default().into(),
            BookType::L1_MBP,
            OmsType::Netting,
            AccountType::Margin,
            clock,
            cache,
            Default::default(),
        );
        let mut bids = [BookOrder::default(); DEPTH10_LEN];
        let mut asks = [BookOrder::default(); DEPTH10_LEN];
        bids[1] = BookOrder::new(
            OrderSide::Buy,
            Price::from("1499.00"),
            Quantity::from("1.000"),
            1,
        );
        asks[0] = BookOrder::new(
            OrderSide::Sell,
            Price::from("1500.00"),
            Quantity::from("1.000"),
            2,
        );

        let depth = OrderBookDepth10::new(
            instrument.id(),
            bids,
            asks,
            [0; DEPTH10_LEN],
            [0; DEPTH10_LEN],
            0,
            0,
            UnixNanos::from(1_u64),
            UnixNanos::from(1_u64),
        );
        engine.process_order_book_depth10(&depth).unwrap();

        assert_eq!(engine.last_quote_bid, Some(Price::from("1499.00")));
        assert_eq!(engine.last_quote_ask, Some(Price::from("1500.00")));

        let depth_without_bid = OrderBookDepth10::new(
            instrument.id(),
            [BookOrder::default(); DEPTH10_LEN],
            asks,
            [0; DEPTH10_LEN],
            [0; DEPTH10_LEN],
            0,
            1,
            UnixNanos::from(2_u64),
            UnixNanos::from(2_u64),
        );
        engine
            .process_order_book_depth10(&depth_without_bid)
            .unwrap();

        assert_eq!(engine.last_quote_bid, None);
        assert_eq!(engine.last_quote_ask, Some(Price::from("1500.00")));
    }

    struct RecordingFillModel {
        calls: Rc<Cell<u32>>,
    }

    impl FillModel for RecordingFillModel {
        fn is_limit_filled(&mut self) -> anyhow::Result<bool> {
            Ok(true)
        }

        fn is_slipped(&mut self) -> anyhow::Result<bool> {
            Ok(false)
        }

        fn get_orderbook_for_fill_simulation(
            &mut self,
            _instrument: &InstrumentAny,
            _order: &OrderAny,
            _best_bid: Price,
            _best_ask: Price,
        ) -> anyhow::Result<Option<OrderBook>> {
            self.calls.set(self.calls.get() + 1);
            Ok(None)
        }
    }

    #[rstest]
    fn test_fee_underlying_price_uses_valid_cached_greeks_price() {
        let instrument = InstrumentAny::CryptoOption(crypto_option_btc_deribit(
            3,
            1,
            Price::from("0.001"),
            Quantity::from("0.1"),
        ));
        let cache = Rc::new(RefCell::new(Cache::default()));
        cache.borrow_mut().add_option_greeks(OptionGreeks {
            instrument_id: instrument.id(),
            underlying_price: Some(50_000.0),
            ..Default::default()
        });
        let clock = Rc::new(RefCell::new(TestClock::new()));
        let engine = OrderMatchingEngine::new(
            instrument,
            1,
            FillModelHandle::default(),
            FeeModelAny::default().into(),
            BookType::L1_MBP,
            OmsType::Netting,
            AccountType::Margin,
            clock,
            cache,
            Default::default(),
        );

        let price = engine
            .fee_underlying_price()
            .unwrap()
            .expect("expected underlying price");

        assert_eq!(price.precision, FIXED_PRECISION);
        assert_eq!(price.as_decimal(), Decimal::from(50_000));
    }

    #[rstest]
    fn test_fee_underlying_price_rejects_invalid_cached_greeks_price() {
        let instrument = InstrumentAny::CryptoOption(crypto_option_btc_deribit(
            3,
            1,
            Price::from("0.001"),
            Quantity::from("0.1"),
        ));
        let cache = Rc::new(RefCell::new(Cache::default()));
        cache.borrow_mut().add_option_greeks(OptionGreeks {
            instrument_id: instrument.id(),
            underlying_price: Some(f64::NAN),
            ..Default::default()
        });
        let clock = Rc::new(RefCell::new(TestClock::new()));
        let engine = OrderMatchingEngine::new(
            instrument,
            1,
            FillModelHandle::default(),
            FeeModelAny::default().into(),
            BookType::L1_MBP,
            OmsType::Netting,
            AccountType::Margin,
            clock,
            cache,
            Default::default(),
        );

        let error = engine.fee_underlying_price().unwrap_err();

        assert_eq!(
            error,
            CorrectnessError::InvalidValue {
                param: "value".to_string(),
                value: "NaN".to_string(),
                type_name: "f64",
            }
        );
    }

    #[rstest]
    fn test_bar_tick_sizes_divisible() {
        // precision=3, units=100_000: exactly divisible by 4, no rounding.
        let volume = Quantity::from("100.000");
        let increment = Quantity::from("0.001");
        let sizes = BarTickSizes::from_volume(volume, increment);
        assert_eq!(sizes.open, Quantity::from("25.000"));
        assert_eq!(sizes.high, Quantity::from("25.000"));
        assert_eq!(sizes.low, Quantity::from("25.000"));
        assert_eq!(sizes.close, Quantity::from("25.000"));
        assert_valid_bar_tick_sizes(volume, increment);
    }

    #[rstest]
    fn test_bar_tick_sizes_indivisible_with_remainder() {
        // precision=2, units=5: quarter_units=1, remainder=1; close carries 2 units.
        let volume = Quantity::from("0.05");
        let increment = Quantity::from("0.01");
        let sizes = BarTickSizes::from_volume(volume, increment);
        assert_eq!(sizes.open, Quantity::from("0.01"));
        assert_eq!(sizes.high, Quantity::from("0.01"));
        assert_eq!(sizes.low, Quantity::from("0.01"));
        assert_eq!(sizes.close, Quantity::from("0.02"));
        assert_valid_bar_tick_sizes(volume, increment);
        assert_eq!(
            sizes.open.raw + sizes.high.raw + sizes.low.raw + sizes.close.raw,
            volume.raw
        );
    }

    #[rstest]
    #[case("1", "0", "0", "0", "1")]
    #[case("2", "0", "1", "1", "0")]
    #[case("3", "1", "1", "1", "0")]
    fn test_bar_tick_sizes_units_less_than_four_preserves_volume(
        #[case] volume: &str,
        #[case] open_size: &str,
        #[case] high_size: &str,
        #[case] low_size: &str,
        #[case] close_size: &str,
    ) {
        let volume = Quantity::from(volume);
        let increment = Quantity::from("1");
        let sizes = BarTickSizes::from_volume(volume, increment);

        assert_eq!(sizes.open, Quantity::from(open_size));
        assert_eq!(sizes.high, Quantity::from(high_size));
        assert_eq!(sizes.low, Quantity::from(low_size));
        assert_eq!(sizes.close, Quantity::from(close_size));
        assert_valid_bar_tick_sizes(volume, increment);
        assert_eq!(
            sizes.open.raw + sizes.high.raw + sizes.low.raw + sizes.close.raw,
            volume.raw
        );
    }

    #[rstest]
    fn test_bar_tick_sizes_zero_volume_remains_zero() {
        let volume = Quantity::zero(3);
        let increment = Quantity::from("0.001");
        let sizes = BarTickSizes::from_volume(volume, increment);
        assert_eq!(sizes.open, Quantity::zero(3));
        assert_eq!(sizes.high, Quantity::zero(3));
        assert_eq!(sizes.low, Quantity::zero(3));
        assert_eq!(sizes.close, Quantity::zero(3));
        assert_valid_bar_tick_sizes(volume, increment);
    }

    #[rstest]
    fn test_bar_tick_sizes_rounds_down_to_size_increment() {
        let volume = Quantity::from("1.07");
        let increment = Quantity::from("0.10");
        let sizes = BarTickSizes::from_volume(volume, increment);
        assert_eq!(sizes.open, Quantity::from("0.20"));
        assert_eq!(sizes.high, Quantity::from("0.20"));
        assert_eq!(sizes.low, Quantity::from("0.20"));
        assert_eq!(sizes.close, Quantity::from("0.40"));
        assert_valid_bar_tick_sizes(volume, increment);
    }

    #[rstest]
    fn test_bar_tick_sizes_at_fixed_precision() {
        // When volume.precision == FIXED_PRECISION the scale is 1 and the formula
        // degenerates to a plain raw-space quartering.
        let units: QuantityRaw = 17;
        let volume = Quantity::from_raw(units, FIXED_PRECISION);
        let increment = Quantity::from_raw(1, FIXED_PRECISION);
        let sizes = BarTickSizes::from_volume(volume, increment);
        assert_eq!(sizes.open.raw, 4);
        assert_eq!(sizes.high.raw, 4);
        assert_eq!(sizes.low.raw, 4);
        assert_eq!(sizes.close.raw, 5);
        assert_valid_bar_tick_sizes(volume, increment);
    }

    fn get_l3_queue_engine(instrument: InstrumentAny) -> (OrderMatchingEngine, Rc<RefCell<Cache>>) {
        let clock = Rc::new(RefCell::new(TestClock::new()));
        let cache = Rc::new(RefCell::new(Cache::default()));
        let config = OrderMatchingEngineConfig {
            trade_execution: true,
            queue_position: true,
            ..Default::default()
        };

        let mut engine = OrderMatchingEngine::new(
            instrument,
            1,
            FillModelHandle::default(),
            FeeModelAny::default().into(),
            BookType::L3_MBO,
            OmsType::Netting,
            AccountType::Margin,
            clock,
            Rc::clone(&cache),
            config,
        );

        let handler_cache = Rc::clone(&cache);
        engine.set_event_handler(Rc::new(move |event: OrderEventAny| {
            if let Ok(mut cache) = handler_cache.try_borrow_mut() {
                let _ = cache.update_order(&event);
            }
        }));

        (engine, cache)
    }

    fn assert_l3_queue_synced(engine: &OrderMatchingEngine) {
        for (client_order_id, orders_ahead) in &engine.queue_ahead_orders {
            let set_sum: QuantityRaw = orders_ahead.values().sum();
            let counter = engine
                .queue_ahead_total
                .get(client_order_id)
                .map_or(0, |&(_, ahead_raw)| ahead_raw);
            assert_eq!(
                set_sum, counter,
                "tracked orders out of sync with quantity-ahead counter for {client_order_id}",
            );
        }
    }

    #[derive(Debug, Clone, Copy)]
    enum QueueEvent {
        Add { id: OrderId, size: u64 },
        Update { id: OrderId, size: u64 },
        MoveAway { id: OrderId },
        Delete { id: OrderId },
        Trade { size: u64, aggressor: u8 },
        AggregateCap { size: u64 },
        AggregateDelete,
        RestOrder,
    }

    fn granular_queue_event() -> impl Strategy<Value = QueueEvent> {
        prop_oneof![
            3 => (1u64..=6, 1u64..=9).prop_map(|(id, size)| QueueEvent::Add { id, size }),
            3 => (1u64..=6, 1u64..=9).prop_map(|(id, size)| QueueEvent::Update { id, size }),
            1 => (1u64..=6).prop_map(|id| QueueEvent::MoveAway { id }),
            2 => (1u64..=6).prop_map(|id| QueueEvent::Delete { id }),
            2 => Just(QueueEvent::RestOrder),
        ]
    }

    fn any_queue_event() -> impl Strategy<Value = QueueEvent> {
        prop_oneof![
            5 => granular_queue_event(),
            3 => (1u64..=9, 0u8..3).prop_map(|(size, aggressor)| QueueEvent::Trade {
                size,
                aggressor,
            }),
            1 => (1u64..=9).prop_map(|size| QueueEvent::AggregateCap { size }),
            1 => Just(QueueEvent::AggregateDelete),
        ]
    }

    // Drives generated events through an L3 queue_position engine; the
    // shadow id maps sanitize the feed to what real MBO feeds guarantee
    struct L3QueueSim {
        engine: OrderMatchingEngine,
        account_id: AccountId,
        live_main: HashMap<OrderId, u64>,
        live_away: HashSet<OrderId>,
        rest_snapshots: HashMap<ClientOrderId, HashSet<OrderId>>,
        rested: usize,
        sequence: u64,
    }

    impl L3QueueSim {
        const MAIN_PRICE: &'static str = "100.00";
        const AWAY_PRICE: &'static str = "101.00";

        fn new() -> Self {
            let instrument = InstrumentAny::CryptoPerpetual(crypto_perpetual_ethusdt());
            let (engine, _cache) = get_l3_queue_engine(instrument);

            Self {
                engine,
                account_id: AccountId::from("SIM-001"),
                live_main: HashMap::new(),
                live_away: HashSet::new(),
                rest_snapshots: HashMap::new(),
                rested: 0,
                sequence: 0,
            }
        }

        fn quantity(size: u64) -> Quantity {
            Quantity::from(format!("{size}.000").as_str())
        }

        fn process_delta(
            &mut self,
            action: BookAction,
            price: &str,
            size: u64,
            order_id: OrderId,
            flags: u8,
        ) {
            self.sequence += 1;
            let delta = OrderBookDelta::new(
                self.engine.instrument.id(),
                action,
                BookOrder::new(
                    OrderSide::Sell,
                    Price::from(price),
                    Self::quantity(size),
                    order_id,
                ),
                flags,
                self.sequence,
                UnixNanos::from(self.sequence),
                UnixNanos::from(self.sequence),
            );
            self.engine.process_order_book_delta(&delta).unwrap();
        }

        fn apply(&mut self, event: QueueEvent) {
            match event {
                QueueEvent::Add { id, size } => {
                    if self.live_main.contains_key(&id) || self.live_away.contains(&id) {
                        return;
                    }
                    self.process_delta(BookAction::Add, Self::MAIN_PRICE, size, id, 0);
                    self.live_main.insert(id, size);
                }
                QueueEvent::Update { id, size } => {
                    if !self.live_main.contains_key(&id) {
                        return;
                    }
                    self.process_delta(BookAction::Update, Self::MAIN_PRICE, size, id, 0);
                    self.live_main.insert(id, size);
                }
                QueueEvent::MoveAway { id } => {
                    let Some(size) = self.live_main.remove(&id) else {
                        return;
                    };
                    self.process_delta(BookAction::Update, Self::AWAY_PRICE, size, id, 0);
                    self.live_away.insert(id);
                }
                QueueEvent::Delete { id } => {
                    if let Some(size) = self.live_main.remove(&id) {
                        self.process_delta(BookAction::Delete, Self::MAIN_PRICE, size, id, 0);
                    } else if self.live_away.remove(&id) {
                        self.process_delta(BookAction::Delete, Self::AWAY_PRICE, 1, id, 0);
                    } else {
                        // Unknown id exercises the ignore path
                        self.process_delta(BookAction::Delete, Self::MAIN_PRICE, 1, id, 0);
                    }

                    // A later Add reusing this id is a new order, not the
                    // snapshot-time one (real feeds never reuse ids)
                    for snapshot_ids in self.rest_snapshots.values_mut() {
                        snapshot_ids.remove(&id);
                    }
                }
                QueueEvent::Trade { size, aggressor } => {
                    self.sequence += 1;
                    let aggressor_side = match aggressor {
                        0 => AggressorSide::Buy,
                        1 => AggressorSide::Sell,
                        _ => AggressorSide::NoAggressor,
                    };
                    let trade = TradeTick::new(
                        self.engine.instrument.id(),
                        Price::from(Self::MAIN_PRICE),
                        Self::quantity(size),
                        aggressor_side,
                        TradeId::new(format!("T-{}", self.sequence).as_str()),
                        UnixNanos::from(self.sequence),
                        UnixNanos::from(self.sequence),
                    );
                    self.engine.process_trade_tick(&trade);
                }
                QueueEvent::AggregateCap { size } => {
                    self.process_delta(
                        BookAction::Update,
                        Self::MAIN_PRICE,
                        size,
                        0,
                        RecordFlag::F_MBP as u8,
                    );
                }
                QueueEvent::AggregateDelete => {
                    self.process_delta(
                        BookAction::Delete,
                        Self::MAIN_PRICE,
                        1,
                        0,
                        RecordFlag::F_MBP as u8,
                    );
                }
                QueueEvent::RestOrder => {
                    if self.rested >= 3 {
                        return;
                    }
                    self.rested += 1;
                    let mut order = OrderTestBuilder::new(OrderType::Limit)
                        .instrument_id(self.engine.instrument.id())
                        .side(OrderSide::Sell)
                        .price(Price::from(Self::MAIN_PRICE))
                        .quantity(Self::quantity(5))
                        .client_order_id(ClientOrderId::from(
                            format!("O-PROP-{}", self.rested).as_str(),
                        ))
                        .submit(true)
                        .build();
                    self.engine.process_order(&mut order, self.account_id);

                    assert!(
                        self.engine
                            .queue_ahead_orders
                            .contains_key(&order.client_order_id()),
                        "L3 snapshot must track the resting order",
                    );

                    self.rest_snapshots.insert(
                        order.client_order_id(),
                        self.live_main.keys().copied().collect(),
                    );
                }
            }
        }

        // Without trades or aggregate rows, tracked orders must mirror the book
        // exactly, and equal the rest-time snapshot ids still at the level
        fn assert_tracked_orders_match_book(&self) {
            let level: HashMap<OrderId, QuantityRaw> = self
                .engine
                .book
                .get_orders_at_level(Price::from(Self::MAIN_PRICE), OrderSide::Buy)
                .iter()
                .map(|order| (order.order_id, order.size.raw))
                .collect();

            for (client_order_id, orders_ahead) in &self.engine.queue_ahead_orders {
                for (order_id, size_raw) in orders_ahead {
                    let book_size = level.get(order_id).copied().unwrap_or_else(|| {
                        panic!("tracked order {order_id} for {client_order_id} not in book level")
                    });
                    assert_eq!(
                        book_size, *size_raw,
                        "tracked size diverged from book for order {order_id}",
                    );
                }

                let tracked: HashSet<OrderId> = orders_ahead.keys().copied().collect();
                let expected: HashSet<OrderId> = self.rest_snapshots[client_order_id]
                    .iter()
                    .filter(|id| self.live_main.contains_key(id))
                    .copied()
                    .collect();
                assert_eq!(
                    tracked, expected,
                    "tracked set incomplete or stale for {client_order_id}",
                );
            }
        }
    }

    #[rstest]
    fn prop_test_l3_queue_tracking_stays_synced_with_counter() {
        proptest!(|(events in prop::collection::vec(any_queue_event(), 1..=80))| {
            let mut sim = L3QueueSim::new();
            for event in events {
                sim.apply(event);
                assert_l3_queue_synced(&sim.engine);
            }
        });
    }

    #[rstest]
    fn prop_test_l3_queue_tracking_mirrors_book_without_trades() {
        proptest!(|(events in prop::collection::vec(granular_queue_event(), 1..=80))| {
            let mut sim = L3QueueSim::new();
            for event in events {
                sim.apply(event);
                assert_l3_queue_synced(&sim.engine);
                sim.assert_tracked_orders_match_book();
            }
        });
    }

    // Replays real GLBX MBO flow (records 9150..10650 of
    // test_data/databento/esh4-glbx-mdp3-20231225.mbo.dbn.zst as JSON),
    // joining the touch periodically; the mid-stream start also exercises
    // unseen-id ignore paths
    #[rstest]
    fn test_l3_queue_position_replay_databento_mbo_stays_synced() {
        let json = include_str!("../../../../test_data/databento/esh4-glbx-mdp3-20231225.mbo.json");
        let records: Vec<serde_json::Value> = serde_json::from_str(json).unwrap();
        assert!(records.len() > 1000);

        let instrument = InstrumentAny::FuturesContract(futures_contract_es(None, None));
        let instrument_id = instrument.id();
        let (mut engine, cache) = get_l3_queue_engine(instrument);
        let account_id = AccountId::from("SIM-001");

        let mut rested = 0usize;
        let mut trades = 0usize;

        for (index, record) in records.iter().enumerate() {
            match record.get("type").and_then(serde_json::Value::as_str) {
                Some("OrderBookDelta") => {
                    let mut delta: OrderBookDelta = serde_json::from_value(record.clone()).unwrap();
                    delta.instrument_id = instrument_id;
                    engine.process_order_book_delta(&delta).unwrap();
                }
                Some("TradeTick") => {
                    let mut trade: TradeTick = serde_json::from_value(record.clone()).unwrap();
                    trade.instrument_id = instrument_id;
                    engine.process_trade_tick(&trade);
                    trades += 1;
                }
                other => panic!("unexpected record type {other:?}"),
            }

            if index % 150 == 100 {
                let (side, price) = if rested.is_multiple_of(2) {
                    (OrderSide::Sell, engine.book.best_ask_price())
                } else {
                    (OrderSide::Buy, engine.book.best_bid_price())
                };

                if let Some(price) = price {
                    rested += 1;
                    let mut order = OrderTestBuilder::new(OrderType::Limit)
                        .instrument_id(instrument_id)
                        .side(side)
                        .price(price)
                        .quantity(Quantity::from("1"))
                        .client_order_id(ClientOrderId::from(format!("O-MBO-{rested}").as_str()))
                        .submit(true)
                        .build();
                    engine.process_order(&mut order, account_id);

                    // A crossed mid-stream book can fill a joined order on
                    // arrival; only open orders are tracked
                    let is_open = cache
                        .borrow()
                        .order(&order.client_order_id())
                        .is_some_and(|order| order.is_open());
                    if is_open {
                        assert!(
                            engine
                                .queue_ahead_orders
                                .contains_key(&order.client_order_id()),
                            "L3 snapshot must track the resting order",
                        );
                    }
                }
            }

            assert_l3_queue_synced(&engine);
        }

        assert!(rested >= 5, "replay must exercise resting orders");
        assert!(trades >= 50, "replay must exercise trade interleavings");
    }
}