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,
    pub core: OrderMatchingCore,
    /* 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.

core: OrderMatchingCore

Implementations

impl OrderMatchingEngine

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

pub fn reset(&mut self)

pub const fn set_fill_model(&mut self, fill_model: FillModel)

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

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

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

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

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

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

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

pub fn process_order_book_delta(&mut self, delta: &OrderBookDelta)

Process the venues market for the given order book delta.

pub fn process_order_book_deltas(&mut self, deltas: &OrderBookDeltas)

pub fn process_quote_tick(&mut self, quote: &QuoteTick)

Panics

Panics if updating the order book with the quote tick fails.

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

Panics

Panics if the bar type configuration is missing a time delta.

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

Panics

Panics if updating the order book with the trade tick fails.

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

pub fn process_order(&mut self, order: &mut OrderAny, account_id: AccountId)

Panics

Panics if the instrument activation timestamp is missing.

pub fn process_modify(&mut self, command: &ModifyOrder, account_id: AccountId)

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

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

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

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

Iterate the matching engine by processing the bid and ask order sides and advancing time up to the given UNIX timestamp_ns.

Panics

Panics if the best bid or ask price is unavailable when iterating.

pub fn fill_market_order(&mut self, order: &mut OrderAny)

pub fn fill_limit_order(&mut self, order: &mut OrderAny)

Panics

Panics if the order has no price, or if fill price or quantity precision mismatches occur.

pub fn trigger_stop_order(&mut self, order: &mut OrderAny)

Trait Implementations

impl Debug for OrderMatchingEngine

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

Formats the value using the given formatter.