Implementation:Avhz RustQuant OrderBook

Knowledge Sources	RustQuant
Domains	Order_Management, Quantitative_Finance
Last Updated	2026-02-07 19:00 GMT

Overview

Concrete tool for a simple VecDeque-based order book implementation provided by the RustQuant library.

Description

The OrderBook struct provides a straightforward order book implementation using two VecDeque<Order> collections -- one for bids (buy orders) and one for asks (sell orders). This is a simpler alternative to the BTreeMap-based Book struct in the limit_order_book module. The VecDeque data structure allows efficient push/pop from both front and back, though as the documentation notes, it is not the most performant choice for production use. The struct provides new() for construction (const fn), insert_order() which routes an Order to the correct side based on its OrderSide, is_empty() to check if both sides are empty, and len() to get the total number of orders across both sides. The struct implements Default and derives Debug and Clone. Additional operations like best_bid/ask, cancel_order, amend_order, and match_orders are defined as commented-out stubs for future implementation.

Usage

Use this when you need a lightweight, simple order book for prototyping or educational purposes where the full complexity of a price-level-indexed limit order book is not required.

Code Reference

Source Location

• Repository: RustQuant
• File: crates/RustQuant_trading/src/order_book.rs
• Lines: 1-115

Signature

#[derive(Debug, Clone)]
pub struct OrderBook {
    pub bids: VecDeque<Order>,
    pub asks: VecDeque<Order>,
}

impl OrderBook {
    pub const fn new() -> Self;
    pub fn insert_order(&mut self, order: Order);
    pub fn is_empty(&self) -> bool;
    pub fn len(&self) -> usize;
}

Import

use RustQuant::trading::OrderBook;

I/O Contract

Inputs

Name	Type	Required	Description
order	Order	Yes	An Order struct to insert into the book (routed by OrderSide)

Outputs

Name	Type	Description
OrderBook	struct	An order book with bid and ask sides
bool	is_empty()	True if both bid and ask sides have no orders
usize	len()	Total number of orders in the book (bids + asks)

Usage Examples

use RustQuant::trading::{OrderBook, Order, OrderType, OrderSide, OrderTimeInForce};
use time::OffsetDateTime;

let mut book = OrderBook::new();
assert!(book.is_empty());

// Insert a bid order
let bid = Order {
    id: 1,
    symbol_id: 100,
    order_type: OrderType::Limit,
    order_side: OrderSide::BID,
    price: 50.0,
    stop_price: 0.0,
    quantity: 200,
    executed_quantity: 0,
    leaves_quantity: 200,
    time_in_force: OrderTimeInForce::GoodTillCancelled,
    timestamp: OffsetDateTime::now_utc(),
};
book.insert_order(bid);

assert_eq!(book.len(), 1);
assert!(!book.is_empty());

Related Pages

• Principle:Avhz_RustQuant_Order_Management