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Show HN: A first project in Rust – in-memory order book
- cstein2 7y agoFeedback welcome! I'm sure I'm missing loads of Rust patterns and idioms...
- ShorsHammer 7y agoSome comments: Async/await syntax is poorly documented across the ecosystem but has landed now and is useful, without it codebases will look outdated soon enough, hyper itself has some of the best docs Lazystatic is popular way to use globals like that yet don't really bother with it anymore. The paradigms are a bit different for a language, you are discouraged from such things for a reason, there's certainly ways around using globals. You don't need extern crate with 2018 edition and macros are automatically imported
- roblabla 7y agoInstead of lazy static, use once_cell’s Lazy type[0]! It is a replacement that does away with the macro-based approach, possible thanks to improvements in const fn. This leads to improved IDE experience. [0] https://docs.rs/once_cell/1.3.1/once_cell/ https://docs.rs/once_cell/1.3.1/once_cell/
- cstein2 7y agoThanks! What would you suggest instead of a global/lazy static in this situation though? I recall struggling to pass some dynamically allocated structure into the hyper service instantiation.
- evdubs 7y agoWhy use a Vec instead of a B-Tree?
- evdubs 7y agoAlso, why use Uuids instead of a pair of user_id: u64, order_id: u64?
- cstein2 7y agoLeaking the number of orders seemed like a bad idea
- evdubs 7y agoAre you planning to hook your order book up to a data feed like, for example, binance[1] to see how your book performs? [1] https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#how-to-manage-a-local-order-book-correctly https://github.com/binance-exchange/binance-official-api-doc...
- cstein2 7y agoYeah I was planning on playing around with the performance/optimizing it. Didn't know about that binance data feed though, thanks.
- cstein2 7y agoI was imagining inserts at an unoccupied price level would be relatively rare in normal order book operation, so a Vec just seemed simpler
- seanhunter 7y agoThey aren't that unusual on an absolute basis but relative to the number of orders in a stock they are quite rare (iirc - it's been a while since I was directly involved in this). This is a cool project btw - I'm looking for my first chance to really sink my teeth into rust so found it interesting. A few non-rust observations (you probably know all this but kept your orderbook simple which is totally cool but just in case): An actual order book has a "tick ladder" which specifies which price points are valid for a given ticker on a given venue. This means you actually know all the possible prices ahead of time. If you ever wanted to productionize this you could probably take advantage of that and make a custom data structure that used the fact that you had all the keys preset and did the insert and lookup in O(1). Secondly in real life the matching logic is quite a bit more complex because of order flags and venue logic. If you're just covering US venues you don't need to worry about venues because of Reg NMS but anywhere else you'll want the order books to actually by venue and symbol not just symbol. Order flags interfere with matching in a number of ways. Firstly a normal limit order will partially match up to the limit and any remaining quantity will sit on the book waiting to be matched. You can flag the order as "fill or kill" to say fill the whole order or nothing and you can flag it as "immediate or cancel" to say don't put any remaining quantity passively on the book. There are many other order flags but those are probably the most important ones for matching. Secondly on many venues orders can have an iceberg order type which means that only the "tip" quantity gets shown on the book but they will actually match up to a larger quantity at that price. Finally you can add a "minimum executed quantity" on any passive orders to prevent pinging (information leakage). This will only match with incoming orders bigger than the MXQ, so messes with the normal price, time ordering. Orders behind that order could match first potentially. MXQ is more important for dark venues or order types so maybe you don't need to consider it.
- jansc 7y agoHeh, I also released my first project in Rust yesterday. An ncurses gopher client. I probably missed many patterns and idioms as well. Starting with Rust is quite hard, even as an experienced developer. I spent hours "fighting" the compiler. Code available at https://github.com/jansc/ncgopher/ https://github.com/jansc/ncgopher/
- kenshi 7y agoCould you talk a bit about the kinds of things you had to fight the compiler on? Can you identify any idioms or approaches that seem normal or natural in other languages, but which are problematic in Rust?
- jansc 7y agoTwo examples: The application has two main components, a controller and a struct containing the ui implementation. Callbacks in the cursive library are called with a reference to Cursive, but I had a hard time figuring out how to pass the controller to the callback. In the end I decided to use a message channel (mpsc::Receiver and mpsc::Sender) to let the two components communicate. After some struggling I saw that cursive has a function to set user data which is accessible inside the callbacks. So I pass the channels through userdats. Not sure if this is the best architecture. I never managed to pass a reference to the controller to the ui callbacks. The Compiler complained about undefined lifetime of the reference, though I knew that both outlive the application runtime. A similar situation occurred in the asynchronous communication with gopher servers. I use a thread to fetch a resource from another server while keeping the ui responsive. Passing the result from the thread back did not work out in the beginning. I don’t think the idioms are so different in Rust, but when passing data between components, threads and the like, you have to be very specific in your code, using Arcs, RwLocks, Mutexes, etc. On the bright sight, when the code compiles, it usually worked as intended. Using C or C++, there would be more race conditions, null pointer exceptions and more.
- asplake 7y agoI don’t do Rust but that was nicely readable. One comment: using Enums for stock symbols presumably forces a recompile on each new symbol. What would be the idiomatic representation in Rust for things like that? Some kind of interned string?
- roblabla 7y agoA string works. If a numerical/in-place representation is wanted for efficiency, you could rely on the fact that stock symbols are always less than 8 characters, so we can parse it into an array of 8 bytes.
- aloukissas 7y agoGreat stuff! Since we're working on things like that on the daily, you have inspired me to do something like that in elixir :)
- Misdicorl 7y agoIf this is intended as anything more than a toy, you don't want to store the full OpenLimitOrder in the book data structure. The symbol should be allocated once on the book. The side is allocated twice in each set of vecs. The price is defined in the vec itself. The queue should be a vec of IDs and open size. The real struct should only be constructed lazily as absolutely needed.
- cstein2 7y agoI suspect it will remain a toy, but agreed on those optimizations