openpit/marketdata/
quote.rs

1// Copyright The Pit Project Owners. All rights reserved.
2// SPDX-License-Identifier: Apache-2.0
3//
4// Licensed under the Apache License, Version 2.0 (the "License");
5// you may not use this file except in compliance with the License.
6// You may obtain a copy of the License at
7//
8//     http://www.apache.org/licenses/LICENSE-2.0
9//
10// Unless required by applicable law or agreed to in writing, software
11// distributed under the License is distributed on an "AS IS" BASIS,
12// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
13// See the License for the specific language governing permissions and
14// limitations under the License.
15//
16// Please see https://github.com/openpitkit and the OWNERS file for details.
17
18use std::time::Duration;
19
20use crate::param::Price;
21
22/// Current market snapshot for an instrument.
23///
24/// Every field is optional: producers publish only the fields they actually
25/// have. How a `Quote` interacts with the slot's previously stored value is
26/// chosen by the publisher when calling the service:
27///
28/// - [`MarketDataService::push`](super::service::MarketDataService::push)
29///   replaces the entire snapshot - any field left as `None` in the new quote
30///   is cleared from the slot.
31/// - [`MarketDataService::push_patch`](super::service::MarketDataService::push_patch)
32///   merges the new quote into the existing snapshot - `None` fields preserve
33///   the prior value, `Some` fields overwrite it.
34///
35/// In either case the slot's publish instant is bumped to the current time.
36///
37/// `#[non_exhaustive]` keeps the door open for further optional fields in
38/// future releases.
39#[derive(Clone, Copy, Debug, Default, PartialEq, Eq)]
40#[non_exhaustive]
41pub struct Quote {
42    /// Mark price.
43    pub mark: Option<Price>,
44    /// Best-bid price.
45    pub bid: Option<Price>,
46    /// Best-ask price.
47    pub ask: Option<Price>,
48}
49
50impl Quote {
51    /// Creates an empty quote with all fields unset.
52    pub fn new() -> Self {
53        Self::default()
54    }
55
56    /// Sets the mark price.
57    pub fn with_mark(mut self, mark: Price) -> Self {
58        self.mark = Some(mark);
59        self
60    }
61
62    /// Sets the best-bid price.
63    pub fn with_bid(mut self, bid: Price) -> Self {
64        self.bid = Some(bid);
65        self
66    }
67
68    /// Sets the best-ask price.
69    pub fn with_ask(mut self, ask: Price) -> Self {
70        self.ask = Some(ask);
71        self
72    }
73
74    /// Merges `patch` into `self`: every `Some` field of `patch` overwrites
75    /// the matching field of `self`; every `None` field leaves `self`
76    /// unchanged.
77    pub(crate) fn patched_with(self, patch: Quote) -> Quote {
78        Quote {
79            mark: patch.mark.or(self.mark),
80            bid: patch.bid.or(self.bid),
81            ask: patch.ask.or(self.ask),
82        }
83    }
84}
85
86/// Maximum age allowed for a stored quote before it is treated as
87/// unavailable.
88///
89/// `QuoteTtl` is the public, two-state lifetime callers supply at the setter
90/// and registration boundaries. It maps onto the internal cascade as follows:
91///
92/// - As the service-wide default on
93///   [`MarketDataBuilder`](super::builder::MarketDataBuilder) it is the lowest
94///   cascade tier, applied only when no more specific axis is set.
95/// - At registration via
96///   [`register_with_ttl`](super::service::MarketDataService::register_with_ttl)
97///   /
98///   [`register_with_id_and_ttl`](super::service::MarketDataService::register_with_id_and_ttl)
99///   it becomes the instrument-level setting.
100/// - The per-account, per-group, and instrument-qualified setters
101///   (`set_*_ttl`) pin the matching axis cell.
102///
103/// The effective lifetime for a read is resolved by the cascade for the
104/// requested `(account, group)`; see
105/// [`MarketDataService`](super::service::MarketDataService) for the tier
106/// order. After a successful [`push`](super::service::MarketDataService::push)
107/// or [`push_patch`](super::service::MarketDataService::push_patch) the quote
108/// is observable through [`get`](super::service::MarketDataService::get) until
109/// at least the effective lifetime has elapsed; reads after that point return
110/// an expired-quote error (the entry is not removed from storage, only hidden
111/// from optional consumers).
112#[derive(Clone, Copy, Debug, PartialEq, Eq)]
113pub enum QuoteTtl {
114    /// Quotes never expire on their own; only
115    /// [`clear`](super::service::MarketDataService::clear) or a new push can
116    /// change visibility.
117    Infinite,
118    /// Quotes expire `duration` after the push that wrote them.
119    Within(Duration),
120}
121
122impl QuoteTtl {
123    /// Returns the per-quote lifetime, if finite.
124    pub fn as_duration(self) -> Option<Duration> {
125        match self {
126            Self::Infinite => None,
127            Self::Within(d) => Some(d),
128        }
129    }
130}
openpit/marketdata/quote.rs

openpit/marketdata/
quote.rs
