rustrade_execution/exchange/mock/orders.rs
1//! Resting orders, held in the order a venue would match them.
2
3use crate::order::{
4 Order, TimeInForce, UnindexedOrder,
5 id::ClientOrderId,
6 state::{ActiveOrderState, Open},
7};
8use chrono::{DateTime, Utc};
9use fnv::FnvHashMap;
10use rust_decimal::Decimal;
11use rustrade_instrument::{
12 Side, asset::name::AssetNameExchange, exchange::ExchangeId,
13 instrument::name::InstrumentNameExchange,
14};
15use std::collections::{BTreeMap, BTreeSet, hash_map::Entry};
16use thiserror::Error;
17
18/// An open order held by a simulated venue.
19pub type OpenOrder = Order<ExchangeId, InstrumentNameExchange, Open>;
20
21/// The balance a venue is holding against one resting order.
22///
23/// Recorded so the venue settles on a fill, and releases on a cancel, **exactly** what it took when
24/// the order rested — rather than recomputing an amount that a changed fee model or contract size
25/// could make disagree with the one the client was told about. A CFD fill is the exception: what
26/// it costs depends on the position it trades against, which can move while the order rests, so
27/// its hold is released and the fill costed afresh (see `SimulatedVenue`'s reserved balances).
28#[derive(Debug, Clone, PartialEq, Eq)]
29pub struct Reservation {
30 /// The asset the order pays with: quote for a buy or a CFD, base for a spot sell.
31 pub asset: AssetNameExchange,
32 /// How much of it is held, inclusive of the fee the fill will charge. For a CFD, net of what
33 /// the fill will pay back by closing a position, so an order that only reduces one holds
34 /// nothing.
35 ///
36 /// Held against the order's **unfilled** quantity alone — its whole quantity for an order that
37 /// rested without trading, and the remainder alone for one the book filled in part before it
38 /// rested, or one a configured `initial_state` seeded already part-filled.
39 pub amount: Decimal,
40}
41
42/// One resting order, and whatever the venue is holding against it.
43///
44/// The two are one value rather than two collections because they have exactly one lifetime: an
45/// order that leaves the book takes its reservation with it, and a reservation that outlives its
46/// order is held against nothing.
47#[derive(Debug, Clone)]
48pub struct RestingOrder {
49 pub order: OpenOrder,
50 /// What the venue holds against [`order`](Self::order), or `None` if it holds nothing.
51 ///
52 /// `None` for an order that arrived through a configured `initial_state`: the venue did not
53 /// take that balance and has nothing of its own to give back. See [`OpenOrders`].
54 pub reservation: Option<Reservation>,
55}
56
57/// An order [`OpenOrders::insert`] refused, because another is already resting under its
58/// [`ClientOrderId`].
59///
60/// Holds the refused order and its reservation, untouched. Boxed because an order is large and the
61/// refusal is the rare path.
62#[derive(Debug, Clone, Error)]
63#[error("an order is already resting under {}", .0.order.key.cid)]
64pub struct AlreadyResting(pub Box<RestingOrder>);
65
66/// One order's place in one side of one instrument's queue.
67///
68/// Ordered so that a [`BTreeMap`]'s ascending iteration is **best first** for the side it belongs
69/// to. Derived field order is the priority rule: price, then arrival, then insertion.
70#[derive(Debug, Clone, Copy, PartialEq, Eq, PartialOrd, Ord)]
71struct QueuePosition {
72 /// The order's price, ranked for its side: negated on the buy side, so the **highest** bid and
73 /// the **lowest** offer both sort first.
74 price_rank: Decimal,
75 /// When the venue accepted the order. Earlier is matched first, at equal price.
76 time_exchange: DateTime<Utc>,
77 /// Insertion sequence, which breaks the tie between two orders accepted at the same instant.
78 ///
79 /// Without it two such orders compare equal and a `BTreeMap` keeps only one of them.
80 seq: u64,
81}
82
83impl QueuePosition {
84 fn new(side: Side, price: Decimal, time_exchange: DateTime<Utc>, seq: u64) -> Self {
85 Self {
86 price_rank: match side {
87 Side::Buy => -price,
88 Side::Sell => price,
89 },
90 time_exchange,
91 seq,
92 }
93 }
94}
95
96/// A venue's open orders, indexed for lookup by id **and** for matching in price-time order.
97///
98/// # Why two indices
99///
100/// The two accesses want opposite things. Cancelling an order, and answering a snapshot, address
101/// one order by [`ClientOrderId`]. Matching a tick walks an instrument's orders from the best price
102/// down, and must stop as soon as the price stops crossing.
103///
104/// Holding only the map makes matching a sort of every open order on every tick. Holding only the
105/// queues makes a cancel a scan. The map owns the orders, the queues hold ids.
106///
107/// # Why price-time and not "whatever the map yields"
108///
109/// A tick that crosses two resting orders with only enough balance to fill one fills whichever
110/// comes first. Read off a hash map, that is an arbitrary choice which a rebuild or a different
111/// `ClientOrderId` can silently reverse, so two runs of one backtest need not agree. Price-time
112/// priority is both the reproducible rule and the one real venues use.
113///
114/// # Orders with no price
115///
116/// An order resting without a limit price cannot be ranked against one, and is not a thing a venue
117/// holds: an order with no price to wait at has nothing to wait for. Such an order is kept in the
118/// map — a snapshot must report everything the account holds — but is absent from the queues, so
119/// matching can never reach it. It can only arrive through a configured `initial_state`.
120///
121/// # Why a third index for deadlines
122///
123/// A [`TimeInForce::GoodTillDate`] order retires at a stated instant, and the venue sweeps for such
124/// orders on every clock advance *and* every market tick. Neither of the other two indices can
125/// answer "which orders are past their deadline": a deadline is unrelated to price, so the
126/// price-time queues cannot be walked with a `take_while` the way matching walks them, and the map
127/// is unordered. Answering from either would mean scanning every open order on every tick.
128///
129/// A third index therefore holds **only** the orders that have a deadline, keyed by it. A sweep is
130/// a range query that stops at the first order still working, so it costs nothing when nothing can
131/// expire — which is every venue whose orders are all `GoodUntilCancelled`, including every
132/// market-order-only backtest.
133///
134/// # Reservations, and the ones that are not there
135///
136/// An order the venue booked itself carries the [`Reservation`] the venue took for it, so a fill
137/// settles and a cancel releases the same amount that was held — see [`RestingOrder`].
138///
139/// An order seeded by a configured `initial_state` carries `None`, because the venue never took
140/// anything for it. Cancelling such an order therefore releases nothing and restates no balance.
141/// That is the honest answer rather than a convenient one: the snapshot says an order is resting
142/// and says what the balances are, but not which order any held portion belongs to, so a venue
143/// that credited a release would be inventing the amount.
144#[derive(Debug, Default)]
145pub struct OpenOrders {
146 by_id: FnvHashMap<ClientOrderId, RestingOrder>,
147 /// Per instrument and side, best first. Values are keys into [`by_id`](Self::by_id).
148 queues: FnvHashMap<(InstrumentNameExchange, Side), BTreeMap<QueuePosition, ClientOrderId>>,
149 /// Every order carrying a deadline, earliest first — see the type's note on deadlines.
150 ///
151 /// Keyed on `(deadline, cid)` rather than on the deadline alone because two orders can share
152 /// one instant. No further tie-break is needed: a [`ClientOrderId`] is unique across open
153 /// orders, since [`by_id`](Self::by_id) is keyed by it, so the pair is already total — and
154 /// therefore a sweep's order is reproducible between runs.
155 expiries: BTreeSet<(DateTime<Utc>, ClientOrderId)>,
156 /// Monotone across every instrument, so insertion order is total even across queues.
157 seq: u64,
158}
159
160/// The instant `order` retires at of its own accord, or `None` if it works until cancelled.
161fn deadline_of(order: &OpenOrder) -> Option<DateTime<Utc>> {
162 match order.time_in_force {
163 TimeInForce::GoodTillDate { expiry } => Some(expiry),
164 _ => None,
165 }
166}
167
168impl OpenOrders {
169 /// Inserts `order` holding `reservation` against it, unless an order is already resting under
170 /// its [`ClientOrderId`].
171 ///
172 /// # Errors
173 /// [`AlreadyResting`], carrying `order` and `reservation` back untouched, if an order is already
174 /// held under its id. The book is left exactly as it was: the order already resting keeps its
175 /// queue position, its deadline and its own reservation. `reservation` is handed back rather
176 /// than dropped because it may already be held against the account, and only the caller knows
177 /// the ledger to give it back to.
178 ///
179 /// `reservation` is `None` only for an order the venue did not book itself — see the type's
180 /// note on reservations. It is a parameter rather than a later setter so that an order cannot
181 /// reach the book in a state where what is held against it has not yet been decided.
182 pub fn insert(
183 &mut self,
184 order: OpenOrder,
185 reservation: Option<Reservation>,
186 ) -> Result<(), AlreadyResting> {
187 let cid = order.key.cid.clone();
188 let vacant = match self.by_id.entry(cid.clone()) {
189 Entry::Occupied(_) => {
190 return Err(AlreadyResting(Box::new(RestingOrder {
191 order,
192 reservation,
193 })));
194 }
195 Entry::Vacant(vacant) => vacant,
196 };
197
198 if let Some(expiry) = deadline_of(&order) {
199 self.expiries.insert((expiry, cid.clone()));
200 }
201
202 if let Some(price) = order.price {
203 self.seq += 1;
204 self.queues
205 .entry((order.key.instrument.clone(), order.side))
206 .or_default()
207 .insert(
208 QueuePosition::new(order.side, price, order.state.time_exchange, self.seq),
209 cid,
210 );
211 }
212
213 vacant.insert(RestingOrder { order, reservation });
214 Ok(())
215 }
216
217 /// Whether an order is resting under `cid`.
218 pub fn contains(&self, cid: &ClientOrderId) -> bool {
219 self.by_id.contains_key(cid)
220 }
221
222 /// Removes and returns the order held under `cid`, with whatever is held against it.
223 pub fn remove(&mut self, cid: &ClientOrderId) -> Option<RestingOrder> {
224 let resting = self.by_id.remove(cid)?;
225 self.unindex(&resting.order);
226 Some(resting)
227 }
228
229 /// Every order whose deadline has been reached by `now`, earliest deadline first.
230 ///
231 /// "Reached" is inclusive: an order with a deadline of exactly `now` is returned, because a
232 /// [`TimeInForce::GoodTillDate`] order stops working *at* its stated instant rather than after
233 /// it. The venue relies on this to make a deadline an unconditional cutoff — see
234 /// `SimulatedVenue::advance_time`.
235 ///
236 /// Returned rather than iterated because the caller retires each one, which borrows `self`
237 /// mutably. The walk stops at the first order still working, so it costs a single comparison
238 /// when nothing is due, whatever the size of the book.
239 pub fn expired_as_of(&self, now: DateTime<Utc>) -> Vec<ClientOrderId> {
240 self.expiries
241 .iter()
242 .take_while(|(expiry, _)| *expiry <= now)
243 .map(|(_, cid)| cid.clone())
244 .collect()
245 }
246
247 /// Takes `order` out of every index that ranks it, leaving [`by_id`](Self::by_id) to its caller.
248 fn unindex(&mut self, order: &OpenOrder) {
249 self.dequeue(order);
250
251 if let Some(expiry) = deadline_of(order) {
252 self.expiries.remove(&(expiry, order.key.cid.clone()));
253 }
254 }
255
256 pub fn get(&self, cid: &ClientOrderId) -> Option<&OpenOrder> {
257 self.by_id.get(cid).map(|resting| &resting.order)
258 }
259
260 pub fn len(&self) -> usize {
261 self.by_id.len()
262 }
263
264 pub fn is_empty(&self) -> bool {
265 self.by_id.is_empty()
266 }
267
268 /// Every open order, in no particular order.
269 ///
270 /// Callers that need a reproducible sequence must impose one — [`resting`](Self::resting) for
271 /// matching, or an explicit sort for a snapshot.
272 pub fn iter(&self) -> impl Iterator<Item = &OpenOrder> + '_ {
273 self.by_id.values().map(|resting| &resting.order)
274 }
275
276 /// One instrument's resting orders on one side, **best price first** and earliest first within
277 /// a price.
278 ///
279 /// This is the order a venue matches in, so a caller filling against a crossing tick takes them
280 /// as they come and stops at the first that does not cross.
281 pub fn resting(
282 &self,
283 instrument: &InstrumentNameExchange,
284 side: Side,
285 ) -> impl Iterator<Item = &OpenOrder> + '_ {
286 self.queues
287 .get(&(instrument.clone(), side))
288 .into_iter()
289 .flat_map(|queue| queue.values())
290 // `by_id` and `queues` are written only together, so a queued id is always present.
291 .filter_map(|cid| self.by_id.get(cid))
292 .map(|resting| &resting.order)
293 }
294
295 fn dequeue(&mut self, order: &OpenOrder) {
296 let Some(price) = order.price else {
297 // Never queued — see the type's note on orders with no price.
298 return;
299 };
300
301 let key = (order.key.instrument.clone(), order.side);
302 let Some(queue) = self.queues.get_mut(&key) else {
303 return;
304 };
305
306 // The position's `seq` is not known from the order, so this finds it by value. Queues are
307 // per instrument and side, and an order appears in exactly one, so this is a scan of one
308 // instrument's book rather than of every open order.
309 let position = queue
310 .range(QueuePosition::new(order.side, price, order.state.time_exchange, 0)..)
311 .find(|(_, queued)| *queued == &order.key.cid)
312 .map(|(position, _)| *position);
313
314 // A priced order is queued by `insert` and dequeued only from here, so failing to find one
315 // means its `price`, `side` or `state.time_exchange` changed while it was on the book: the
316 // range above no longer covers where it was filed. That silently leaves a queued id with no
317 // order behind it, which `resting` then silently filters out — invisible in both
318 // directions, and it would corrupt price-time priority for every later match. Asserted
319 // rather than tolerated, because there is no correct way to carry on from it.
320 debug_assert!(
321 position.is_some(),
322 "OpenOrders lost the queue position of {} ({} {price} at {}): its ranking fields were \
323 mutated while it was on the book",
324 order.key.cid,
325 order.side,
326 order.state.time_exchange
327 );
328
329 if let Some(position) = position {
330 queue.remove(&position);
331 }
332
333 if queue.is_empty() {
334 self.queues.remove(&key);
335 }
336 }
337}
338
339/// Narrows an order's state to `Open`, or `None` if it is in any other state.
340pub(super) fn as_open(order: UnindexedOrder) -> Option<OpenOrder> {
341 match order.state {
342 crate::order::state::OrderState::Active(ActiveOrderState::Open(open)) => Some(Order {
343 key: order.key,
344 side: order.side,
345 price: order.price,
346 quantity: order.quantity,
347 kind: order.kind,
348 time_in_force: order.time_in_force,
349 state: open,
350 }),
351 _ => None,
352 }
353}
354
355#[cfg(test)]
356#[allow(clippy::unwrap_used, clippy::expect_used)] // Test code: panics acceptable
357mod tests {
358 use super::*;
359 use crate::order::{
360 OrderKey, OrderKind, TimeInForce,
361 id::{OrderId, StrategyId, VenueOrderId},
362 };
363 use rust_decimal_macros::dec;
364
365 fn at(millis: i64) -> DateTime<Utc> {
366 DateTime::from_timestamp_millis(millis).unwrap()
367 }
368
369 fn instrument() -> InstrumentNameExchange {
370 InstrumentNameExchange::new("btc_usdt")
371 }
372
373 fn gtd(cid: &str, expiry_millis: i64) -> OpenOrder {
374 let mut order = order(cid, Side::Buy, Some(dec!(100)), 1_000);
375 order.time_in_force = TimeInForce::GoodTillDate {
376 expiry: at(expiry_millis),
377 };
378 order
379 }
380
381 fn order(cid: &str, side: Side, price: Option<Decimal>, millis: i64) -> OpenOrder {
382 Order {
383 key: OrderKey {
384 exchange: ExchangeId::BinanceSpot,
385 instrument: instrument(),
386 strategy: StrategyId::new("test"),
387 cid: ClientOrderId::new(cid),
388 },
389 side,
390 price,
391 quantity: dec!(1),
392 kind: OrderKind::Limit,
393 time_in_force: TimeInForce::GoodUntilCancelled { post_only: false },
394 state: Open {
395 id: VenueOrderId::Assigned(OrderId::new(cid)),
396 time_exchange: at(millis),
397 filled_quantity: Decimal::ZERO,
398 },
399 }
400 }
401
402 /// A book holding `orders`, none of them with a reservation.
403 fn book(orders: impl IntoIterator<Item = OpenOrder>) -> OpenOrders {
404 let mut open = OpenOrders::default();
405 for order in orders {
406 open.insert(order, None).unwrap();
407 }
408 open
409 }
410
411 fn cids(orders: impl Iterator<Item = &'static OpenOrder>) -> Vec<String> {
412 orders.map(|order| order.key.cid.0.to_string()).collect()
413 }
414
415 fn resting_cids(open: &OpenOrders, side: Side) -> Vec<String> {
416 open.resting(&instrument(), side)
417 .map(|order| order.key.cid.0.to_string())
418 .collect()
419 }
420
421 /// The best bid is the highest one, and the earliest of those at the same price.
422 #[test]
423 fn buys_rest_highest_price_then_earliest_first() {
424 let open = book([
425 order("low", Side::Buy, Some(dec!(99)), 1_000),
426 order("high_late", Side::Buy, Some(dec!(101)), 3_000),
427 order("high_early", Side::Buy, Some(dec!(101)), 2_000),
428 order("mid", Side::Buy, Some(dec!(100)), 500),
429 ]);
430
431 assert_eq!(
432 resting_cids(&open, Side::Buy),
433 ["high_early", "high_late", "mid", "low"],
434 "price first, then arrival — not insertion order, and not the map's order"
435 );
436 }
437
438 /// The best offer is the lowest one. Same rule, opposite price direction.
439 #[test]
440 fn sells_rest_lowest_price_then_earliest_first() {
441 let open = book([
442 order("high", Side::Sell, Some(dec!(101)), 1_000),
443 order("low_late", Side::Sell, Some(dec!(99)), 3_000),
444 order("low_early", Side::Sell, Some(dec!(99)), 2_000),
445 ]);
446
447 assert_eq!(
448 resting_cids(&open, Side::Sell),
449 ["low_early", "low_late", "high"]
450 );
451 }
452
453 /// Two orders at one price and one instant must both survive.
454 ///
455 /// Without the insertion sequence in the key they compare equal, and a `BTreeMap` keeps one —
456 /// an order silently vanishing from the book rather than merely being mis-ranked.
457 #[test]
458 fn orders_at_the_same_price_and_instant_both_rest() {
459 let open = book([
460 order("first", Side::Buy, Some(dec!(100)), 1_000),
461 order("second", Side::Buy, Some(dec!(100)), 1_000),
462 ]);
463
464 assert_eq!(open.len(), 2);
465 assert_eq!(
466 resting_cids(&open, Side::Buy),
467 ["first", "second"],
468 "the tie is broken by insertion, which is deterministic"
469 );
470 }
471
472 #[test]
473 fn the_two_sides_are_separate_queues() {
474 let open = book([
475 order("bid", Side::Buy, Some(dec!(99)), 1_000),
476 order("ask", Side::Sell, Some(dec!(101)), 1_000),
477 ]);
478
479 assert_eq!(resting_cids(&open, Side::Buy), ["bid"]);
480 assert_eq!(resting_cids(&open, Side::Sell), ["ask"]);
481 }
482
483 #[test]
484 fn a_removed_order_leaves_the_queue() {
485 let mut open = book([
486 order("a", Side::Buy, Some(dec!(100)), 1_000),
487 order("b", Side::Buy, Some(dec!(99)), 1_000),
488 ]);
489
490 let removed = open.remove(&ClientOrderId::new("a")).expect("a is open");
491 assert_eq!(removed.order.key.cid, ClientOrderId::new("a"));
492
493 assert_eq!(resting_cids(&open, Side::Buy), ["b"]);
494 assert_eq!(open.len(), 1);
495 assert!(open.get(&ClientOrderId::new("a")).is_none());
496 assert!(open.remove(&ClientOrderId::new("a")).is_none());
497 }
498
499 /// Removing every order must leave nothing behind for the next one to trip over.
500 #[test]
501 fn emptying_the_book_empties_the_queues() {
502 let mut open = book([
503 order("a", Side::Buy, Some(dec!(100)), 1_000),
504 order("b", Side::Buy, Some(dec!(99)), 2_000),
505 ]);
506
507 open.remove(&ClientOrderId::new("a"));
508 open.remove(&ClientOrderId::new("b"));
509
510 assert!(open.is_empty());
511 assert!(resting_cids(&open, Side::Buy).is_empty());
512
513 open.insert(order("c", Side::Buy, Some(dec!(98)), 3_000), None)
514 .unwrap();
515 assert_eq!(resting_cids(&open, Side::Buy), ["c"]);
516 }
517
518 /// A second order under a resting id is refused, handed back whole with its reservation, and
519 /// the order already resting keeps its place.
520 #[test]
521 fn a_second_order_under_a_resting_id_is_refused_and_the_first_keeps_its_place() {
522 let mut open = book([
523 order("taken", Side::Buy, Some(dec!(100)), 1_000),
524 order("other", Side::Buy, Some(dec!(99)), 1_000),
525 ]);
526 let held = Reservation {
527 asset: AssetNameExchange::new("usdt"),
528 amount: dec!(98),
529 };
530
531 let Err(AlreadyResting(refused)) = open.insert(
532 order("taken", Side::Buy, Some(dec!(98)), 2_000),
533 Some(held.clone()),
534 ) else {
535 panic!("an id already resting is refused");
536 };
537
538 assert_eq!(
539 refused.order.price,
540 Some(dec!(98)),
541 "the refused order comes back"
542 );
543 assert_eq!(
544 refused.reservation,
545 Some(held),
546 "and so does what the caller may already hold against it"
547 );
548 assert_eq!(open.len(), 2, "nothing was added");
549 assert_eq!(
550 open.get(&ClientOrderId::new("taken"))
551 .map(|order| order.price),
552 Some(Some(dec!(100))),
553 "the resting order is the one still held"
554 );
555 assert_eq!(
556 resting_cids(&open, Side::Buy),
557 ["taken", "other"],
558 "at its own price and place, appearing exactly once"
559 );
560 }
561
562 /// An order with no limit price is held but cannot be matched.
563 #[test]
564 fn an_order_without_a_price_is_held_but_never_rests() {
565 let open = book([
566 order("priceless", Side::Buy, None, 1_000),
567 order("priced", Side::Buy, Some(dec!(100)), 1_000),
568 ]);
569
570 assert_eq!(open.len(), 2, "a snapshot must still report it");
571 assert!(open.get(&ClientOrderId::new("priceless")).is_some());
572 assert_eq!(
573 resting_cids(&open, Side::Buy),
574 ["priced"],
575 "an order with no price to wait at has nothing to wait for"
576 );
577 }
578
579 /// Only orders that carry a deadline are indexed for the sweep, and only once reached.
580 #[test]
581 fn only_orders_past_their_deadline_are_swept() {
582 let open = book([
583 order("no_deadline", Side::Buy, Some(dec!(100)), 1_000),
584 gtd("due", 5_000),
585 gtd("later", 9_000),
586 ]);
587
588 assert!(
589 open.expired_as_of(at(4_999)).is_empty(),
590 "nothing is due before the earliest deadline"
591 );
592 assert_eq!(
593 open.expired_as_of(at(5_000)),
594 [ClientOrderId::new("due")],
595 "a deadline is reached at its instant, not after it"
596 );
597 assert_eq!(
598 open.expired_as_of(at(9_999)),
599 [ClientOrderId::new("due"), ClientOrderId::new("later")],
600 "earliest deadline first, and an order without one is never swept"
601 );
602 }
603
604 /// Two orders sharing one deadline are both swept, in a reproducible order.
605 ///
606 /// Without the id in the key they compare equal and a `BTreeSet` keeps one — an order silently
607 /// outliving its own deadline.
608 #[test]
609 fn orders_sharing_a_deadline_are_both_swept_in_id_order() {
610 let open = book([gtd("b", 5_000), gtd("a", 5_000)]);
611
612 assert_eq!(
613 open.expired_as_of(at(5_000)),
614 [ClientOrderId::new("a"), ClientOrderId::new("b")],
615 "the tie is broken by id, which does not depend on map iteration"
616 );
617 }
618
619 /// An order that leaves the book takes its deadline with it, whichever way it left.
620 #[test]
621 fn a_removed_order_is_no_longer_swept() {
622 let mut open = book([gtd("gone", 5_000), gtd("stays", 5_000)]);
623
624 open.remove(&ClientOrderId::new("gone"));
625
626 assert_eq!(
627 open.expired_as_of(at(5_000)),
628 [ClientOrderId::new("stays")],
629 "a deadline that outlived its order would retire an order twice"
630 );
631 }
632
633 /// A refused order brings no deadline of its own, and the resting order keeps its own.
634 #[test]
635 fn a_refused_order_leaves_the_resting_ones_deadline() {
636 let mut open = book([gtd("taken", 5_000)]);
637
638 assert!(open.insert(gtd("taken", 9_000), None).is_err());
639
640 assert_eq!(
641 open.expired_as_of(at(9_000)),
642 [ClientOrderId::new("taken")],
643 "the resting order's deadline, once: the refused one's never reached the index"
644 );
645 assert_eq!(open.expired_as_of(at(5_000)), [ClientOrderId::new("taken")]);
646 }
647
648 /// An id is free again once its order has left the book, and the next order under it brings
649 /// its own deadline.
650 #[test]
651 fn an_id_is_free_again_once_its_order_leaves_the_book() {
652 let mut open = book([gtd("reused", 5_000)]);
653 open.remove(&ClientOrderId::new("reused")).unwrap();
654
655 open.insert(order("reused", Side::Buy, Some(dec!(100)), 6_000), None)
656 .unwrap();
657
658 assert!(
659 open.expired_as_of(at(9_000)).is_empty(),
660 "the first order's deadline left with it"
661 );
662 assert_eq!(resting_cids(&open, Side::Buy), ["reused"]);
663 }
664
665 #[test]
666 fn iter_reports_every_open_order() {
667 let open = book([
668 order("a", Side::Buy, Some(dec!(100)), 1_000),
669 order("b", Side::Sell, Some(dec!(101)), 1_000),
670 order("c", Side::Buy, None, 1_000),
671 ]);
672
673 let mut all = cids(Vec::leak(open.iter().cloned().collect::<Vec<_>>()).iter());
674 all.sort();
675 assert_eq!(all, ["a", "b", "c"]);
676 }
677}