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feat: add id field to all OrderEvent variants
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This way all the variants are consistent in their structure and it's
always possible to retrieve the order ID from an order event without
matching.
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@rubik
rubik committed Oct 10, 2020
1 parent 737546e commit c557a1e
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Showing 4 changed files with 74 additions and 56 deletions.
4 changes: 2 additions & 2 deletions README.md
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Original file line number Diff line number Diff line change
Expand Up @@ -31,10 +31,10 @@ use lobster::{FillMetadata, OrderBook, OrderEvent, OrderType, Side};

let mut ob = OrderBook::default();
let event = ob.execute(OrderType::Market { id: 0, qty: 1, side: Side::Bid });
assert_eq!(event, OrderEvent::Unfilled(0));
assert_eq!(event, OrderEvent::Unfilled { id: 0 });

let event = ob.execute(OrderType::Limit { id: 1, price: 120, qty: 3, side: Side::Ask });
assert_eq!(event, OrderEvent::Placed(1));
assert_eq!(event, OrderEvent::Placed { id: 1 });

let event = ob.execute(OrderType::Market { id: 2, qty: 4, side: Side::Bid });
assert_eq!(
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4 changes: 2 additions & 2 deletions src/lib.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -6,10 +6,10 @@
//!
//! let mut ob = OrderBook::default();
//! let event = ob.execute(OrderType::Market { id: 0, qty: 1, side: Side::Bid });
//! assert_eq!(event, OrderEvent::Unfilled(0));
//! assert_eq!(event, OrderEvent::Unfilled { id: 0 });
//!
//! let event = ob.execute(OrderType::Limit { id: 1, price: 120, qty: 3, side: Side::Ask });
//! assert_eq!(event, OrderEvent::Placed(1));
//! assert_eq!(event, OrderEvent::Placed { id: 1 });
//!
//! let event = ob.execute(OrderType::Market { id: 2, qty: 4, side: Side::Bid });
//! assert_eq!(
Expand Down
15 changes: 12 additions & 3 deletions src/models.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -45,13 +45,22 @@ pub enum OrderType {
pub enum OrderEvent {
/// Indicating that the corresponding order was not filled. It is only sent
/// in response to market orders.
Unfilled(u128),
Unfilled {
/// The ID of the order this event is referring to.
id: u128,
},
/// Indicating that the corresponding order was placed on the order book. It
/// is only send in response to limit orders.
Placed(u128),
Placed {
/// The ID of the order this event is referring to.
id: u128,
},
/// Indicating that the corresponding order was removed from the order book.
/// It is only sent in response to cancel orders.
Canceled(u128),
Canceled {
/// The ID of the order this event is referring to.
id: u128,
},
/// Indicating that the corresponding order was only partially filled. It is
/// sent in response to market or limit orders.
PartiallyFilled {
Expand Down
107 changes: 58 additions & 49 deletions src/orderbook.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -207,7 +207,7 @@ impl OrderBook {
OrderType::Market { id, side, qty } => {
let (fills, partial, filled_qty) = self.market(id, side, qty);
if fills.is_empty() {
OrderEvent::Unfilled(id)
OrderEvent::Unfilled { id }
} else {
match partial {
false => OrderEvent::Filled {
Expand All @@ -232,7 +232,7 @@ impl OrderBook {
let (fills, partial, filled_qty) =
self.limit(id, side, qty, price);
if fills.is_empty() {
OrderEvent::Placed(id)
OrderEvent::Placed { id }
} else {
match partial {
false => OrderEvent::Filled {
Expand All @@ -250,7 +250,7 @@ impl OrderBook {
}
OrderType::Cancel(id) => {
self.cancel(id);
OrderEvent::Canceled(id)
OrderEvent::Canceled { id }
}
}
}
Expand Down Expand Up @@ -618,7 +618,7 @@ mod test {
qty: 12,
price: 395,
}]);
assert_eq!(results, vec![OrderEvent::Placed(0)]);
assert_eq!(results, vec![OrderEvent::Placed { id: 0 }]);
if *bid_ask == Side::Bid {
assert_eq!(ob.min_ask(), None);
assert_eq!(ob.max_bid(), Some(395));
Expand Down Expand Up @@ -681,7 +681,10 @@ mod test {
if *bid_ask == Side::Bid {
assert_eq!(
results,
vec![OrderEvent::Placed(0), OrderEvent::Placed(1)]
vec![
OrderEvent::Placed { id: 0 },
OrderEvent::Placed { id: 1 }
]
);
assert_eq!(ob.min_ask(), Some(398));
assert_eq!(ob.max_bid(), Some(395));
Expand All @@ -705,7 +708,7 @@ mod test {
assert_eq!(
results,
vec![
OrderEvent::Placed(0),
OrderEvent::Placed { id: 0 },
OrderEvent::Filled {
id: 1,
filled_qty: 2,
Expand Down Expand Up @@ -765,7 +768,10 @@ mod test {
]);
assert_eq!(
results,
vec![OrderEvent::Placed(0), OrderEvent::Placed(1)]
vec![
OrderEvent::Placed { id: 0 },
OrderEvent::Placed { id: 1 }
]
);
if *bid_ask == Side::Bid {
assert_eq!(ob.min_ask(), None);
Expand Down Expand Up @@ -834,7 +840,10 @@ mod test {
]);
assert_eq!(
results,
vec![OrderEvent::Placed(0), OrderEvent::Placed(1)]
vec![
OrderEvent::Placed { id: 0 },
OrderEvent::Placed { id: 1 }
]
);
if *bid_ask == Side::Bid {
assert_eq!(ob.min_ask(), None);
Expand Down Expand Up @@ -885,9 +894,9 @@ mod test {
assert_eq!(
results,
vec![
OrderEvent::Placed(0),
OrderEvent::Placed(1),
OrderEvent::Placed(2)
OrderEvent::Placed { id: 0 },
OrderEvent::Placed { id: 1 },
OrderEvent::Placed { id: 2 }
]
);
assert_eq!(ob.min_ask(), Some(399));
Expand All @@ -902,7 +911,7 @@ mod test {
assert_eq!(
results,
vec![
OrderEvent::Placed(0),
OrderEvent::Placed { id: 0 },
OrderEvent::Filled {
id: 1,
filled_qty: 2,
Expand All @@ -913,7 +922,7 @@ mod test {
price: 395,
},],
},
OrderEvent::Placed(2)
OrderEvent::Placed { id: 2 }
]
);
assert_eq!(ob.min_ask(), Some(395));
Expand Down Expand Up @@ -962,9 +971,9 @@ mod test {
assert_eq!(
results,
vec![
OrderEvent::Placed(0),
OrderEvent::Placed(1),
OrderEvent::Placed(2)
OrderEvent::Placed { id: 0 },
OrderEvent::Placed { id: 1 },
OrderEvent::Placed { id: 2 }
]
);
assert_eq!(
Expand Down Expand Up @@ -992,7 +1001,7 @@ mod test {
assert_eq!(
results,
vec![
OrderEvent::Placed(0),
OrderEvent::Placed { id: 0 },
OrderEvent::Filled {
id: 1,
filled_qty: 2,
Expand All @@ -1003,7 +1012,7 @@ mod test {
price: 395,
},],
},
OrderEvent::Placed(2)
OrderEvent::Placed { id: 2 }
]
);
assert_eq!(
Expand Down Expand Up @@ -1065,9 +1074,9 @@ mod test {
assert_eq!(
results,
vec![
OrderEvent::Placed(0),
OrderEvent::Placed(1),
OrderEvent::Placed(2)
OrderEvent::Placed { id: 0 },
OrderEvent::Placed { id: 1 },
OrderEvent::Placed { id: 2 }
]
);
assert_eq!(
Expand Down Expand Up @@ -1095,7 +1104,7 @@ mod test {
assert_eq!(
results,
vec![
OrderEvent::Placed(0),
OrderEvent::Placed { id: 0 },
OrderEvent::Filled {
id: 1,
filled_qty: 2,
Expand All @@ -1106,7 +1115,7 @@ mod test {
price: 395,
},],
},
OrderEvent::Placed(2)
OrderEvent::Placed { id: 2 }
]
);
assert_eq!(
Expand Down Expand Up @@ -1168,9 +1177,9 @@ mod test {
assert_eq!(
results,
vec![
OrderEvent::Placed(0),
OrderEvent::Placed(1),
OrderEvent::Placed(2)
OrderEvent::Placed { id: 0 },
OrderEvent::Placed { id: 1 },
OrderEvent::Placed { id: 2 }
]
);
assert_eq!(
Expand Down Expand Up @@ -1201,7 +1210,7 @@ mod test {
assert_eq!(
results,
vec![
OrderEvent::Placed(0),
OrderEvent::Placed { id: 0 },
OrderEvent::Filled {
id: 1,
filled_qty: 2,
Expand All @@ -1212,7 +1221,7 @@ mod test {
price: 395,
},],
},
OrderEvent::Placed(2)
OrderEvent::Placed { id: 2 }
]
);
assert_eq!(
Expand Down Expand Up @@ -1250,7 +1259,7 @@ mod test {
qty: 5,
});

assert_eq!(result, OrderEvent::Unfilled(0));
assert_eq!(result, OrderEvent::Unfilled { id: 0 });
}
}

Expand Down Expand Up @@ -1287,9 +1296,9 @@ mod test {
assert_eq!(
results,
vec![
OrderEvent::Placed(0),
OrderEvent::Placed(1),
OrderEvent::Placed(2)
OrderEvent::Placed { id: 0 },
OrderEvent::Placed { id: 1 },
OrderEvent::Placed { id: 2 }
]
);
assert_eq!(
Expand Down Expand Up @@ -1322,7 +1331,7 @@ mod test {
assert_eq!(
results,
vec![
OrderEvent::Placed(0),
OrderEvent::Placed { id: 0 },
OrderEvent::Filled {
id: 1,
filled_qty: 2,
Expand All @@ -1333,7 +1342,7 @@ mod test {
price: 395,
},],
},
OrderEvent::Placed(2)
OrderEvent::Placed { id: 2 }
]
);
assert_eq!(
Expand Down Expand Up @@ -1399,9 +1408,9 @@ mod test {
assert_eq!(
results,
vec![
OrderEvent::Placed(0),
OrderEvent::Placed(1),
OrderEvent::Placed(2)
OrderEvent::Placed { id: 0 },
OrderEvent::Placed { id: 1 },
OrderEvent::Placed { id: 2 }
]
);
assert_eq!(
Expand Down Expand Up @@ -1437,7 +1446,7 @@ mod test {
assert_eq!(
results,
vec![
OrderEvent::Placed(0),
OrderEvent::Placed { id: 0 },
OrderEvent::Filled {
id: 1,
filled_qty: 2,
Expand All @@ -1448,7 +1457,7 @@ mod test {
price: 395,
},],
},
OrderEvent::Placed(2)
OrderEvent::Placed { id: 2 }
]
);
assert_eq!(
Expand Down Expand Up @@ -1480,7 +1489,7 @@ mod test {
fn cancel_non_existing_order() {
let (mut ob, _) = init_ob(vec![]);
let result = ob.execute(OrderType::Cancel(0));
assert_eq!(result, OrderEvent::Canceled(0));
assert_eq!(result, OrderEvent::Canceled { id: 0 });
assert_eq!(ob.min_ask(), None);
assert_eq!(ob.max_bid(), None);
assert_eq!(ob._asks(), BTreeMap::new());
Expand All @@ -1498,8 +1507,8 @@ mod test {
price: 395,
}]);
let result = ob.execute(OrderType::Cancel(0));
assert_eq!(results, vec![OrderEvent::Placed(0)]);
assert_eq!(result, OrderEvent::Canceled(0));
assert_eq!(results, vec![OrderEvent::Placed { id: 0 }]);
assert_eq!(result, OrderEvent::Canceled { id: 0 });
assert_eq!(ob.min_ask(), None);
assert_eq!(ob.max_bid(), None);
if *bid_ask == Side::Bid {
Expand Down Expand Up @@ -1541,12 +1550,12 @@ mod test {
assert_eq!(
results,
vec![
OrderEvent::Placed(0),
OrderEvent::Placed(1),
OrderEvent::Placed(2)
OrderEvent::Placed { id: 0 },
OrderEvent::Placed { id: 1 },
OrderEvent::Placed { id: 2 }
]
);
assert_eq!(result, OrderEvent::Canceled(0));
assert_eq!(result, OrderEvent::Canceled { id: 0 });
assert_eq!(ob.min_ask(), Some(399));
assert_eq!(ob.max_bid(), Some(398));
assert_eq!(ob._asks(), init_book(vec![(399, 9998)]));
Expand All @@ -1559,7 +1568,7 @@ mod test {
assert_eq!(
results,
vec![
OrderEvent::Placed(0),
OrderEvent::Placed { id: 0 },
OrderEvent::Filled {
id: 1,
filled_qty: 2,
Expand All @@ -1570,10 +1579,10 @@ mod test {
price: 395,
},],
},
OrderEvent::Placed(2)
OrderEvent::Placed { id: 2 }
]
);
assert_eq!(result, OrderEvent::Canceled(0));
assert_eq!(result, OrderEvent::Canceled { id: 0 });
assert_eq!(ob.min_ask(), Some(398));
assert_eq!(ob.max_bid(), None);
assert_eq!(
Expand Down

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