Add core OrderBookDepth10 apply

nautechsystems · Jan 1, 2024 · e0df740 · e0df740
1 parent 3bb1a03
commit e0df740
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Showing 5 changed files with 47 additions and 5 deletions.
diff --git a/nautilus_core/model/src/data/depth.rs b/nautilus_core/model/src/data/depth.rs
@@ -126,7 +126,7 @@ pub mod stubs {
 
         for i in 0..10 {
             let order = BookOrder::new(
-                OrderSide::Sell,
+                OrderSide::Buy,
                 Price::new(price, 2).unwrap(),
                 Quantity::new(quantity, 0).unwrap(),
                 order_id,
@@ -146,7 +146,7 @@ pub mod stubs {
 
         for i in 0..10 {
             let order = BookOrder::new(
-                OrderSide::Buy,
+                OrderSide::Sell,
                 Price::new(price, 2).unwrap(),
                 Quantity::new(quantity, 0).unwrap(),
                 order_id,

diff --git a/nautilus_core/model/src/ffi/orderbook/book.rs b/nautilus_core/model/src/ffi/orderbook/book.rs
@@ -22,7 +22,10 @@ use nautilus_core::ffi::{cvec::CVec, string::str_to_cstr};
 
 use super::level::Level_API;
 use crate::{
-    data::{delta::OrderBookDelta, order::BookOrder, quote::QuoteTick, trade::TradeTick},
+    data::{
+        delta::OrderBookDelta, depth::OrderBookDepth10, order::BookOrder, quote::QuoteTick,
+        trade::TradeTick,
+    },
     enums::{BookType, OrderSide},
     identifiers::instrument_id::InstrumentId,
     orderbook::book::OrderBook,
@@ -145,6 +148,11 @@ pub extern "C" fn orderbook_apply_delta(book: &mut OrderBook_API, delta: OrderBo
     book.apply_delta(delta)
 }
 
+#[no_mangle]
+pub extern "C" fn orderbook_apply_depth(book: &mut OrderBook_API, depth: OrderBookDepth10) {
+    book.apply_depth(depth)
+}
+
 #[no_mangle]
 pub extern "C" fn orderbook_bids(book: &mut OrderBook_API) -> CVec {
     book.bids()

diff --git a/nautilus_core/model/src/orderbook/book.rs b/nautilus_core/model/src/orderbook/book.rs
@@ -19,7 +19,10 @@ use thiserror::Error;
 
 use super::{ladder::BookPrice, level::Level};
 use crate::{
-    data::{delta::OrderBookDelta, order::BookOrder, quote::QuoteTick, trade::TradeTick},
+    data::{
+        delta::OrderBookDelta, depth::OrderBookDepth10, order::BookOrder, quote::QuoteTick,
+        trade::TradeTick,
+    },
     enums::{BookAction, BookType, OrderSide},
     identifiers::instrument_id::InstrumentId,
     orderbook::ladder::Ladder,
@@ -164,6 +167,19 @@ impl OrderBook {
         }
     }
 
+    pub fn apply_depth(&mut self, depth: OrderBookDepth10) {
+        self.bids.clear();
+        self.asks.clear();
+
+        for order in depth.bids {
+            self.add(order, depth.ts_event, depth.sequence);
+        }
+
+        for order in depth.asks {
+            self.add(order, depth.ts_event, depth.sequence);
+        }
+    }
+
     pub fn bids(&self) -> Vec<&Level> {
         self.bids.levels.values().collect()
     }
@@ -518,7 +534,7 @@ mod tests {
 
     use super::*;
     use crate::{
-        data::order::BookOrder,
+        data::{depth::stubs::stub_depth10, order::BookOrder},
         enums::{AggressorSide, OrderSide},
         identifiers::{instrument_id::InstrumentId, trade_id::TradeId},
         types::{price::Price, quantity::Quantity},
@@ -776,6 +792,20 @@ mod tests {
         );
     }
 
+    #[rstest]
+    fn test_apply_depth(stub_depth10: OrderBookDepth10) {
+        let depth = stub_depth10;
+        let instrument_id = InstrumentId::from("AAPL.XNAS");
+        let mut book = OrderBook::new(instrument_id, BookType::L2_MBP);
+
+        book.apply_depth(depth);
+
+        assert_eq!(book.best_bid_price().unwrap().as_f64(), 99.00);
+        assert_eq!(book.best_ask_price().unwrap().as_f64(), 100.00);
+        assert_eq!(book.best_bid_size().unwrap().as_f64(), 100.0);
+        assert_eq!(book.best_ask_size().unwrap().as_f64(), 100.0);
+    }
+
     #[rstest]
     fn test_update_quote_tick_l1() {
         let instrument_id = InstrumentId::from("ETHUSDT-PERP.BINANCE");

diff --git a/nautilus_trader/core/includes/model.h b/nautilus_trader/core/includes/model.h
@@ -2085,6 +2085,8 @@ void orderbook_clear_asks(struct OrderBook_API *book, uint64_t ts_event, uint64_
 
 void orderbook_apply_delta(struct OrderBook_API *book, struct OrderBookDelta_t delta);
 
+void orderbook_apply_depth(struct OrderBook_API *book, struct OrderBookDepth10 depth);
+
 CVec orderbook_bids(struct OrderBook_API *book);
 
 CVec orderbook_asks(struct OrderBook_API *book);

diff --git a/nautilus_trader/core/rust/model.pxd b/nautilus_trader/core/rust/model.pxd
@@ -1425,6 +1425,8 @@ cdef extern from "../includes/model.h":
 
     void orderbook_apply_delta(OrderBook_API *book, OrderBookDelta_t delta);
 
+    void orderbook_apply_depth(OrderBook_API *book, OrderBookDepth10 depth);
+
     CVec orderbook_bids(OrderBook_API *book);
 
     CVec orderbook_asks(OrderBook_API *book);