fix: take liquidity when an L3 order is modified to a marketable price

[23f3001135]

Summary

When a resting L3 order is modified to a price that crosses the book (buy >= best ask, sell <= best bid), it must take liquidity rather than reposition in the queue at a crossed price.

L3NoPartialFillExchange::ack_modify now detects a marketable modify and cancels + re-submits the order (re-normalizing leaves_qty to the new qty), mirroring the L2 NoPartialFillExchange, which modifies via cancel + new. If the order is already gone (filled/expired/unknown id), the modify is rejected, matching the existing OrderNotFound path.

Tests

Added unit tests covering:

• buy modified to/through the best ask takes and fills
• sell modified to/through the best bid takes and fills
• non-marketable modify still rests and repositions via the queue model

cargo test -p hftbacktest --no-default-features --features backtest passes (25 tests).

[Copilot]

Pull request overview

This pull request fixes L3 backtest behavior when a resting order is modified to a marketable (book-crossing) price: instead of allowing the order to “rest” at a crossed price, the exchange now cancels and re-submits the order so it properly takes liquidity (leveraging existing ack_new marketable-fill behavior). This aligns L3 behavior with the existing L2 NoPartialFillExchange approach.

Changes:

• Detect marketable (book-crossing) modifies in L3NoPartialFillExchange::ack_modify and handle them via cancel + re-submit (then fill via ack_new).
• Preserve existing rejection behavior when the order being modified is not found (already gone).
• Add unit tests covering marketable buy/sell modifies and a non-marketable modify that continues to rest/reposition via the queue model.

---

💡 Add Copilot custom instructions for smarter, more guided reviews. Learn how to get started.