nautilus_model/orderbook/analysis.rs
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// -------------------------------------------------------------------------------------------------
// Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
// https://nautechsystems.io
//
// Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
// You may not use this file except in compliance with the License.
// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
// Unless required by applicable law or agreed to in writing, software
// distributed under the License is distributed on an "AS IS" BASIS,
// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
// See the License for the specific language governing permissions and
// limitations under the License.
// -------------------------------------------------------------------------------------------------
//! Functions related to order book analysis.
use std::collections::BTreeMap;
use super::{book::OrderBook, ladder::BookPrice, level::Level};
use crate::{
enums::{BookType, OrderSide},
orderbook::error::BookIntegrityError,
types::{price::Price, quantity::Quantity},
};
/// Calculates the estimated fill quantity for a specified price from a set of
/// order book levels and order side.
#[must_use]
pub fn get_quantity_for_price(
price: Price,
order_side: OrderSide,
levels: &BTreeMap<BookPrice, Level>,
) -> f64 {
let mut matched_size: f64 = 0.0;
for (book_price, level) in levels {
match order_side {
OrderSide::Buy => {
if book_price.value > price {
break;
}
}
OrderSide::Sell => {
if book_price.value < price {
break;
}
}
_ => panic!("Invalid `OrderSide` {order_side}"),
}
matched_size += level.size();
}
matched_size
}
/// Calculates the estimated average price for a specified quantity from a set of
/// order book levels.
#[must_use]
pub fn get_avg_px_for_quantity(qty: Quantity, levels: &BTreeMap<BookPrice, Level>) -> f64 {
let mut cumulative_size_raw = 0u64;
let mut cumulative_value = 0.0;
for (book_price, level) in levels {
let size_this_level = level.size_raw().min(qty.raw - cumulative_size_raw);
cumulative_size_raw += size_this_level;
cumulative_value += book_price.value.as_f64() * size_this_level as f64;
if cumulative_size_raw >= qty.raw {
break;
}
}
if cumulative_size_raw == 0 {
0.0
} else {
cumulative_value / cumulative_size_raw as f64
}
}
pub fn book_check_integrity(book: &OrderBook) -> Result<(), BookIntegrityError> {
match book.book_type {
BookType::L1_MBP => {
if book.bids.len() > 1 {
return Err(BookIntegrityError::TooManyLevels(
OrderSide::Buy,
book.bids.len(),
));
}
if book.asks.len() > 1 {
return Err(BookIntegrityError::TooManyLevels(
OrderSide::Sell,
book.asks.len(),
));
}
}
BookType::L2_MBP => {
for bid_level in book.bids.levels.values() {
let num_orders = bid_level.orders.len();
if num_orders > 1 {
return Err(BookIntegrityError::TooManyOrders(
OrderSide::Buy,
num_orders,
));
}
}
for ask_level in book.asks.levels.values() {
let num_orders = ask_level.orders.len();
if num_orders > 1 {
return Err(BookIntegrityError::TooManyOrders(
OrderSide::Sell,
num_orders,
));
}
}
}
BookType::L3_MBO => {}
};
if let (Some(top_bid_level), Some(top_ask_level)) = (book.bids.top(), book.asks.top()) {
let best_bid = top_bid_level.price;
let best_ask = top_ask_level.price;
if best_bid.value >= best_ask.value {
return Err(BookIntegrityError::OrdersCrossed(best_bid, best_ask));
}
}
Ok(())
}