Struct OrderMatchingEngine 

pub struct OrderMatchingEngine {
    pub venue: Venue,
    pub instrument: InstrumentAny,
    pub raw_id: u32,
    pub book_type: BookType,
    pub oms_type: OmsType,
    pub account_type: AccountType,
    pub market_status: MarketStatus,
    pub config: OrderMatchingEngineConfig,
    /* private fields */
}

An order matching engine for a single market.

Fields

venue: Venue

The venue for the matching engine.

instrument: InstrumentAny

The instrument for the matching engine.

raw_id: u32

The instruments raw integer ID for the venue.

book_type: BookType

The order book type for the matching engine.

oms_type: OmsType

The order management system (OMS) type for the matching engine.

account_type: AccountType

The account type for the matching engine.

market_status: MarketStatus

The market status for the matching engine.

config: OrderMatchingEngineConfig

The config for the matching engine.

Implementations

impl OrderMatchingEngine

pub fn new( instrument: InstrumentAny, raw_id: u32, fill_model: FillModelAny, fee_model: FeeModelAny, book_type: BookType, oms_type: OmsType, account_type: AccountType, clock: Rc<RefCell<dyn Clock>>, cache: Rc<RefCell<Cache>>, config: OrderMatchingEngineConfig, ) -> Self

Creates a new OrderMatchingEngine instance.

pub fn reset(&mut self)

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 set_fill_model(&mut self, fill_model: FillModelAny)

Sets the fill model for the matching engine.

pub fn best_bid_price(&self) -> Option<Price>

Returns the best bid price from the order book.

pub fn best_ask_price(&self) -> Option<Price>

Returns the best ask price from the order book.

pub const fn get_book(&self) -> &OrderBook

Returns a reference to the internal order book.

pub const fn get_open_bid_orders(&self) -> &[OrderMatchInfo]

Returns all open bid orders managed by the matching core.

pub const fn get_open_ask_orders(&self) -> &[OrderMatchInfo]

Returns all open ask orders managed by the matching core.

pub fn get_open_orders(&self) -> Vec<OrderMatchInfo>

Returns all open orders from both bid and ask sides.

pub fn order_exists(&self, client_order_id: ClientOrderId) -> bool

Returns true if an order with the given client order ID exists in the matching engine.

pub const fn get_core(&self) -> &OrderMatchingCore

pub fn get_core_mut(&mut self) -> &mut OrderMatchingCore

pub fn set_fill_at_market(&mut self, value: bool)

pub fn process_order_book_delta(&mut self, delta: &OrderBookDelta) -> Result<()>

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_deltas( &mut self, deltas: &OrderBookDeltas, ) -> Result<()>

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_depth10( &mut self, depth: &OrderBookDepth10, ) -> Result<()>

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_quote_tick(&mut self, quote: &QuoteTick)

Processes a quote tick to update the market state.

Panics

• If updating the order book with the quote tick fails.
• If bid/ask price precision does not match the instrument.
• If bid/ask size precision does not match the instrument.

pub fn process_bar(&mut self, bar: &Bar)

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.
• If bar OHLC price precision does not match the instrument.
• If bar volume precision does not match the instrument.

pub fn process_trade_tick(&mut self, trade: &TradeTick)

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.

Panics

• If updating the order book with the trade tick fails.
• If trade price precision does not match the instrument.
• If trade size precision does not match the instrument.

pub fn process_status(&mut self, action: MarketStatusAction)

Processes a market status action to update the market state.

pub fn process_instrument_close(&mut self, close: InstrumentClose)

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_order(&mut self, order: &mut OrderAny, account_id: AccountId)

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_modify(&mut self, command: &ModifyOrder, account_id: AccountId)

Processes an order modify command to update quantity, price, or trigger price.

pub fn process_cancel(&mut self, command: &CancelOrder, account_id: AccountId)

Processes an order cancel command.

pub fn process_cancel_all( &mut self, command: &CancelAllOrders, account_id: AccountId, )

Processes a cancel all orders command for an instrument.

pub fn process_batch_cancel( &mut self, command: &BatchCancelOrders, account_id: AccountId, )

Processes a batch cancel orders command.

pub fn iterate( &mut self, timestamp_ns: UnixNanos, aggressor_side: AggressorSide, )

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 fill_market_order(&mut self, client_order_id: ClientOrderId)

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_limit_order(&mut self, client_order_id: ClientOrderId)

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 trigger_stop_order(&mut self, client_order_id: ClientOrderId)

Triggers a stop order, converting it to an active market or limit order.

Trait Implementations

impl Debug for OrderMatchingEngine

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.