Orderbook in Rust

index

https://lobsterdata.com/

https://www.kaggle.com/datasets/freemanone/fi2010

an orderbook is a store of buy(bid) and sell(ask) orders for a specific asset/financial instrument usually organized by price-time priority.

inshort: It shows who wants to buy or sell, how much, and at what price.

Order Book Levels

The different “levels” of order book data represent how much information is being shown or used.

1. Level 1 (L1) - Top of the book Best Bid Offer (BBO), best ask ⇒ minimum ask somebody is willing to accept best bid ⇒ highest someone is willing to pay
2. Level 2 (L2) – Market Depth Market by Price (MBP), Shows multiple prices, their quantity, number of asks/bids With L2, you can answer: “How much could I buy without moving the market too much?”
3. Level 3 (L3) – Full Depth / Raw Orders Market by Order(MBO), Shows every individual order.

Order Matching Algorithms:

• Price-Time Priority (FIFO): maintain a Priority Queue of asks/bids, FIFO as queue works on it. Match best price first. For equal price, oldest order wins.
• Pro-Rata Matching: priority to high quantity at best price. Orders at the same price level are matched proportionally based on their sizes.
• Size-Time Priority (Hybrid model): larger orders which came ahead of others get matched first if prices are equal. Orders are sorted first by size(like prorata), then by time within same size(like fifo).

Rust details:

• Box<T> – Single Owner, Heap Allocation
• Rc<T> – Multiple Owners (Single Thread) - Rc docs
• Arc<T> – Multiple Owners (Multi-Thread) -

If you want mutability inside Rc or Arc, wrap your type:

• Rc<RefCell<T>> for single-threaded mutable access
• Arc<Mutex<T>> for multi-threaded mutable access