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Implement quote tick processing for SimulatedExchange #1956

Merged
merged 1 commit into from
Sep 26, 2024
Merged

Implement quote tick processing for SimulatedExchange #1956

merged 1 commit into from
Sep 26, 2024

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filipmacek
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@filipmacek filipmacek commented Sep 25, 2024 •
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Pull Request

  • implemented best_bid_price , best_ask_price and process_quote_tick in SimulatedExchange
  • implemented process_quote_tick in OrderMatchingEngine
  • added tests test_venue_mismatch_between_exchange_and_instrument, est_cash_account_trading_futures_or_perpetuals and test_exchange_process_quote_tick
  • added Display trait bound in check_equal function
  • pushed two orderbook aggr function update_book_with_quote_tick and update_book_with_trade_tick, update_book_bid and update_book_ask inside Orderbook struct

@filipmacek filipmacek added the rust Relating to the Rust core label Sep 25, 2024
@filipmacek filipmacek self-assigned this Sep 25, 2024
@filipmacek filipmacek changed the title implement process_quote_tick in simulated exchange Implement quote tick processing for SimulatedExchange Sep 25, 2024
@filipmacek filipmacek force-pushed the simulated-exchange-process-quote-tick branch from c46debf to 8bce095 Compare September 25, 2024 15:36
cjdsellers
cjdsellers approved these changes Sep 26, 2024
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The update_quote_tick logic was extracted into that function in an attempt to separate Nautilus backtesting/simulation specific logic. I do think this is a cleaner approach for now though.

@cjdsellers cjdsellers merged commit 954b731 into develop Sep 26, 2024
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@cjdsellers cjdsellers deleted the simulated-exchange-process-quote-tick branch September 26, 2024 06:27
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@filipmacek @cjdsellers