starts stack only orderbook work

githubsands · githubsands · commit 99a5c1e51696 · 2025-08-03T16:48:44.000-07:00
* creates orderbook-slab library
* defines our level data structure where liquidity
  for each exchange is mirroed
diff --git a/Cargo.lock b/Cargo.lock
diff --git a/Cargo.toml b/Cargo.toml
@@ -15,6 +15,7 @@ members = [
     "exchange",
     "depth-driver",
     "orderbook",
+    "orderbook-slabs",
     "ring-buffer",
     "testing/depth-generator",
     "testing/exchange-stubs",
diff --git a/orderbook-slabs/Cargo.toml b/orderbook-slabs/Cargo.toml
@@ -0,0 +1,8 @@
+[package]
+name = "orderbook-slabs"
+version = "0.1.0"
+edition = "2024"
+
+[dependencies]
+fixed = "1.29.0"
+rustc-hash.workspace = true
diff --git a/orderbook-slabs/src/lib.rs b/orderbook-slabs/src/lib.rs
@@ -0,0 +1,2 @@
+mod liquidity;
+mod slab;
diff --git a/orderbook-slabs/src/liquidity.rs b/orderbook-slabs/src/liquidity.rs
@@ -0,0 +1,65 @@
+use fixed::{FixedU32, types::extra::U0};
+
+#[derive(Copy, Clone, Debug)]
+pub struct LiquidityNode {
+    q: FixedU32<U0>,
+    l: u8,
+}
+
+// Runs a macro to create our level with N size - N being the
+// exchange number this service is mirroring
+//
+/*
+impl Level<LiquidityNode> {
+    fn new(price_level: f64) -> Self {
+        let mut level = Level {
+            price: price_level,
+            deque: [LiquidityNode {
+                        q: FixedU32::MIN,
+                        l: 0,
+                }; N]
+        };
+        for i in 0..N {
+            level.deque[i] = LiquidityNode {
+                q: FixedU32::from_num(0),
+                l: i as u8 + 1,
+            }
+        }
+        level
+    }
+}
+*/
+
+macro_rules! level_exchange_depth {
+    ($exchanges:expr) => {
+        #[derive(Clone)]
+        pub struct Level<LiquidityNode> {
+            price: FixedU32<U0>,
+            deque: [LiquidityNode; $exchanges],
+        }
+
+        impl Level<LiquidityNode> {
+            pub fn new(price_level: FixedU32<U0>) -> Self {
+                let mut level = Level {
+                    price: price_level,
+                    deque: [LiquidityNode {
+                        q: FixedU32::MIN,
+                        l: 0,
+                    }; $exchanges],
+                };
+                for i in 0..$exchanges {
+                    level.deque[i] = LiquidityNode {
+                        q: FixedU32::MIN,
+                        l: i as u8 + 1,
+                    }
+                }
+                level
+            }
+        }
+    };
+}
+
+// todo: this parameter will be configurable in the build script
+//   at the root of this project - its the total number of exchanges
+//   this service is mirroring
+level_exchange_depth!(10);
diff --git a/orderbook-slabs/src/slab.rs b/orderbook-slabs/src/slab.rs
@@ -0,0 +1,16 @@
+use crate::liquidity::{Level, LiquidityNode};
+use fixed::{FixedU32, types::extra::U0};
+use rustc_hash::FxHashMap;
+
+struct Side {
+    internal: FxHashMap<FixedU32<U0>, Level<LiquidityNode>>,
+}
+
+impl Side {
+    fn new(price_depth: FixedU32<U0>) -> Side {
+        let internal: FxHashMap<FixedU32<U0>, Level<LiquidityNode>> = FxHashMap::default();
+        Side {
+            internal: FxHashMap::default(),
+        }
+    }
+}
