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fix: clear the correct ask range in ROIVectorMarketDepth::clear_depth #318

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fix: clear the correct ask range in ROIVectorMarketDepth::clear_depth #318

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41 changes: 39 additions & 2 deletions hftbacktest/src/depth/roivectormarketdepth.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -316,7 +316,8 @@ impl L2MarketDepth for ROIVectorMarketDepth {
let clear_upto = (clear_upto_price / self.tick_size).round() as i64;
if self.best_ask_tick != INVALID_MAX {
let from = self.best_ask_tick - self.roi_lb;
let to = (clear_upto + 1 - self.roi_ub).min(self.ask_depth.len() as i64);
// Depth vector indices are offset by roi_lb, not roi_ub.
let to = (clear_upto + 1 - self.roi_lb).min(self.ask_depth.len() as i64);
for t in from..to {
unsafe {
*self.ask_depth.get_unchecked_mut(t as usize) = 0.0;
Expand Down Expand Up @@ -805,7 +806,14 @@ impl L3MarketDepth for ROIVectorMarketDepth {
#[cfg(test)]
mod tests {
use crate::{
depth::{INVALID_MAX, INVALID_MIN, L3MarketDepth, MarketDepth, ROIVectorMarketDepth},
depth::{
INVALID_MAX,
INVALID_MIN,
L2MarketDepth,
L3MarketDepth,
MarketDepth,
ROIVectorMarketDepth,
},
types::Side,
};

Expand Down Expand Up @@ -1029,4 +1037,33 @@ mod tests {
assert_eq_qty!(depth.ask_qty_at_tick(4981), 0.0, lot_size);
assert_eq_qty!(depth.ask_qty_at_tick(5002), 0.002, lot_size);
}

#[test]
fn test_l2_clear_depth_upto_price() {
let lot_size = 1.0;
let mut depth = ROIVectorMarketDepth::new(1.0, lot_size, 100.0, 200.0);

// Clearing the ask side up to a price must remove every level up to that price,
// rather than leaving stale quantity sitting behind the best ask.
depth.update_ask_depth(150.0, 5.0, 0);
depth.update_ask_depth(151.0, 7.0, 0);
depth.update_ask_depth(160.0, 9.0, 0);

depth.clear_depth(Side::Sell, 155.0);
assert_eq_qty!(depth.ask_qty_at_tick(150), 0.0, lot_size);
assert_eq_qty!(depth.ask_qty_at_tick(151), 0.0, lot_size);
assert_eq_qty!(depth.ask_qty_at_tick(160), 9.0, lot_size);
assert_eq!(depth.best_ask_tick(), 160);

// The bid side, which already behaved correctly.
depth.update_bid_depth(150.0, 5.0, 0);
depth.update_bid_depth(149.0, 7.0, 0);
depth.update_bid_depth(140.0, 9.0, 0);

depth.clear_depth(Side::Buy, 145.0);
assert_eq_qty!(depth.bid_qty_at_tick(150), 0.0, lot_size);
assert_eq_qty!(depth.bid_qty_at_tick(149), 0.0, lot_size);
assert_eq_qty!(depth.bid_qty_at_tick(140), 9.0, lot_size);
assert_eq!(depth.best_bid_tick(), 140);
}
}