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https://github.com/floor-licker/polyfill-rs.git
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floor-licker
@@ -0,0 +1,227 @@
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//! Benchmark for order book updates
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//!
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//! This benchmark measures the performance of order book operations
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//! including delta application, price updates, and book maintenance.
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use criterion::{black_box, criterion_group, criterion_main, Criterion};
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use polyfill_rs::{
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book::OrderBook,
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types::{OrderDelta, Side},
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};
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use rust_decimal::{Decimal, Decimal as RustDecimal};
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use rust_decimal_macros::dec;
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use std::time::Instant;
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fn bench_book_creation(c: &mut Criterion) {
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c.bench_function("book_creation", |b| {
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b.iter(|| {
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let _book = OrderBook::new(
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black_box("test_token".to_string()),
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black_box(100),
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);
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});
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});
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}
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fn bench_delta_application(c: &mut Criterion) {
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let mut book = OrderBook::new("test_token".to_string(), 100);
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// Pre-populate with some levels
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for i in 1..=10 {
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let price = Decimal::from(50 + i) / Decimal::from(100);
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let delta = OrderDelta {
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token_id: "test_token".to_string(),
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timestamp: chrono::Utc::now(),
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side: Side::BUY,
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price,
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size: dec!(100),
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sequence: i,
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};
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book.apply_delta(delta).unwrap();
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}
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c.bench_function("delta_application", |b| {
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b.iter(|| {
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let delta = OrderDelta {
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token_id: "test_token".to_string(),
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timestamp: chrono::Utc::now(),
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side: black_box(Side::SELL),
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price: black_box(dec!(0.52)),
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size: black_box(dec!(50)),
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sequence: black_box(11),
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};
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book.apply_delta(delta).unwrap();
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});
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});
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}
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fn bench_best_price_lookup(c: &mut Criterion) {
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let mut book = OrderBook::new("test_token".to_string(), 100);
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// Pre-populate with levels
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for i in 1..=20 {
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let price = Decimal::from(50 + i) / Decimal::from(100);
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let delta = OrderDelta {
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token_id: "test_token".to_string(),
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timestamp: chrono::Utc::now(),
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side: if i % 2 == 0 { Side::BUY } else { Side::SELL },
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price,
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size: dec!(100),
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sequence: i,
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};
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book.apply_delta(delta).unwrap();
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}
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c.bench_function("best_price_lookup", |b| {
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b.iter(|| {
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let _bid = book.best_bid();
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let _ask = book.best_ask();
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let _spread = book.spread();
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let _mid = book.mid_price();
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});
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});
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}
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fn bench_book_snapshot(c: &mut Criterion) {
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let mut book = OrderBook::new("test_token".to_string(), 100);
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// Pre-populate with levels
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for i in 1..=50 {
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let price = Decimal::from(50 + i) / Decimal::from(100);
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let delta = OrderDelta {
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token_id: "test_token".to_string(),
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timestamp: chrono::Utc::now(),
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side: if i % 2 == 0 { Side::BUY } else { Side::SELL },
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price,
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size: dec!(100),
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sequence: i,
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};
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book.apply_delta(delta).unwrap();
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}
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c.bench_function("book_snapshot", |b| {
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b.iter(|| {
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let _snapshot = book.snapshot();
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});
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});
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}
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fn bench_market_impact_calculation(c: &mut Criterion) {
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let mut book = OrderBook::new("test_token".to_string(), 100);
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// Pre-populate with levels
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for i in 1..=30 {
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let price = Decimal::from(50 + i) / Decimal::from(100);
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let delta = OrderDelta {
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token_id: "test_token".to_string(),
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timestamp: chrono::Utc::now(),
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side: if i % 2 == 0 { Side::BUY } else { Side::SELL },
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price,
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size: dec!(100),
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sequence: i,
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};
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book.apply_delta(delta).unwrap();
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}
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c.bench_function("market_impact_calculation", |b| {
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b.iter(|| {
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let _impact = book.calculate_market_impact(Side::BUY, dec!(50));
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});
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});
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}
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fn bench_high_frequency_updates(c: &mut Criterion) {
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c.bench_function("high_frequency_updates", |b| {
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b.iter(|| {
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let mut book = OrderBook::new("test_token".to_string(), 100);
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let start_time = Instant::now();
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// Simulate high-frequency updates
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for i in 1..=1000 {
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let price = Decimal::from(500 + (i % 100)) / Decimal::from(1000);
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let size = Decimal::from(10 + (i % 90));
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let delta = OrderDelta {
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token_id: "test_token".to_string(),
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timestamp: chrono::Utc::now(),
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side: if i % 2 == 0 { Side::BUY } else { Side::SELL },
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price,
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size,
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sequence: i,
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};
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book.apply_delta(delta).unwrap();
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// Check prices every 10 updates
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if i % 10 == 0 {
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let _bid = book.best_bid();
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let _ask = book.best_ask();
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}
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}
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let duration = start_time.elapsed();
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black_box(duration);
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});
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});
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}
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fn bench_concurrent_access(c: &mut Criterion) {
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use std::sync::Arc;
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use tokio::sync::RwLock;
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c.bench_function("concurrent_access", |b| {
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b.iter(|| {
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let book = Arc::new(RwLock::new(OrderBook::new("test_token".to_string(), 100)));
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let book_clone = book.clone();
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// Simulate concurrent reads and writes
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let rt = tokio::runtime::Runtime::new().unwrap();
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rt.block_on(async {
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let mut tasks = Vec::new();
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// Spawn writer tasks
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for i in 1..=10 {
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let book = book.clone();
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tasks.push(tokio::spawn(async move {
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let price = Decimal::from(50 + i) / Decimal::from(100);
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let delta = OrderDelta {
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token_id: "test_token".to_string(),
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timestamp: chrono::Utc::now(),
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side: if i % 2 == 0 { Side::BUY } else { Side::SELL },
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price,
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size: dec!(100),
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sequence: i,
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};
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let mut book = book.write().await;
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book.apply_delta(delta).unwrap();
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}));
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}
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// Spawn reader tasks
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for _ in 0..20 {
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let book = book_clone.clone();
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tasks.push(tokio::spawn(async move {
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let book = book.read().await;
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let _bid = book.best_bid();
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let _ask = book.best_ask();
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}));
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}
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// Wait for all tasks
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for task in tasks {
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let _ = task.await;
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}
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});
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});
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});
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}
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criterion_group!(
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benches,
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bench_book_creation,
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bench_delta_application,
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bench_best_price_lookup,
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bench_book_snapshot,
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bench_market_impact_calculation,
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bench_high_frequency_updates,
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bench_concurrent_access,
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);
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criterion_main!(benches);
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@@ -0,0 +1,194 @@
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//! Benchmark for fill processing
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//!
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//! This benchmark measures the performance of trade execution and
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//! fill processing operations.
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use criterion::{black_box, criterion_group, criterion_main, Criterion};
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use polyfill_rs::{
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book::OrderBook,
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fill::{FillEngine, FillProcessor},
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types::{FillEvent, MarketOrderRequest, OrderDelta, Side},
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};
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use rust_decimal::{Decimal, Decimal as RustDecimal};
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use rust_decimal_macros::dec;
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use std::time::Instant;
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fn bench_fill_engine_creation(c: &mut Criterion) {
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c.bench_function("fill_engine_creation", |b| {
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b.iter(|| {
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let _engine = FillEngine::new(
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black_box(dec!(1)),
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black_box(dec!(5)),
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black_box(10),
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);
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});
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});
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}
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fn bench_market_order_execution(c: &mut Criterion) {
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let mut engine = FillEngine::new(dec!(1), dec!(5), 10);
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let mut book = OrderBook::new("test_token".to_string(), 100);
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// Pre-populate book with levels
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for i in 1..=20 {
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let price = Decimal::from(50 + i) / Decimal::from(100);
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let delta = OrderDelta {
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token_id: "test_token".to_string(),
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timestamp: chrono::Utc::now(),
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side: if i % 2 == 0 { Side::BUY } else { Side::SELL },
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price,
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size: dec!(100),
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sequence: i,
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};
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book.apply_delta(delta).unwrap();
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}
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c.bench_function("market_order_execution", |b| {
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b.iter(|| {
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let request = MarketOrderRequest {
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token_id: "test_token".to_string(),
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side: black_box(Side::BUY),
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amount: black_box(dec!(50)),
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slippage_tolerance: Some(dec!(1.0)),
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client_id: Some("bench_order".to_string()),
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};
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let _result = engine.execute_market_order(&request, &book);
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});
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});
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}
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fn bench_fill_processor(c: &mut Criterion) {
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let mut processor = FillProcessor::new(1000);
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c.bench_function("fill_processor", |b| {
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b.iter(|| {
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let fill = FillEvent {
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id: "fill_1".to_string(),
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order_id: "order_1".to_string(),
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token_id: "test_token".to_string(),
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side: black_box(Side::BUY),
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price: black_box(dec!(0.5)),
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size: black_box(dec!(100)),
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timestamp: chrono::Utc::now(),
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maker_address: alloy_primitives::Address::ZERO,
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taker_address: alloy_primitives::Address::ZERO,
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fee: black_box(dec!(0.1)),
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};
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processor.process_fill(fill).unwrap();
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});
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});
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}
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fn bench_market_impact_calculation(c: &mut Criterion) {
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let mut book = OrderBook::new("test_token".to_string(), 100);
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// Pre-populate with realistic order book
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for i in 1..=30 {
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let price = Decimal::from(50 + i) / Decimal::from(100);
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let size = Decimal::from(100 + i * 10);
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let delta = OrderDelta {
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token_id: "test_token".to_string(),
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timestamp: chrono::Utc::now(),
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side: if i % 2 == 0 { Side::BUY } else { Side::SELL },
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price,
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size,
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sequence: i,
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};
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book.apply_delta(delta).unwrap();
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}
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c.bench_function("market_impact_calculation", |b| {
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b.iter(|| {
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let _impact = book.calculate_market_impact(Side::BUY, dec!(50));
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let _impact = book.calculate_market_impact(Side::SELL, dec!(50));
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});
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});
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}
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fn bench_high_frequency_fills(c: &mut Criterion) {
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c.bench_function("high_frequency_fills", |b| {
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b.iter(|| {
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let mut engine = FillEngine::new(dec!(1), dec!(2), 5);
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let mut book = OrderBook::new("test_token".to_string(), 100);
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let start_time = Instant::now();
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// Simulate high-frequency fill processing
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for i in 1..=100 {
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// Add some market depth
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let price = Decimal::from(500 + (i % 10)) / Decimal::from(1000);
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let size = Decimal::from(10 + (i % 90));
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let delta = OrderDelta {
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token_id: "test_token".to_string(),
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timestamp: chrono::Utc::now(),
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side: if i % 2 == 0 { Side::BUY } else { Side::SELL },
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price,
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size,
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sequence: i,
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};
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book.apply_delta(delta).unwrap();
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// Execute market orders
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if i % 5 == 0 {
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let request = MarketOrderRequest {
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token_id: "test_token".to_string(),
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side: if i % 2 == 0 { Side::BUY } else { Side::SELL },
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amount: dec!(10),
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slippage_tolerance: Some(dec!(1.0)),
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client_id: Some(format!("order_{}", i)),
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};
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let _result = engine.execute_market_order(&request, &book);
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}
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}
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let duration = start_time.elapsed();
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black_box(duration);
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});
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});
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}
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fn bench_fill_statistics(c: &mut Criterion) {
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let mut engine = FillEngine::new(dec!(1), dec!(5), 10);
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// Add some fills
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for i in 1..=100 {
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let request = MarketOrderRequest {
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token_id: "test_token".to_string(),
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side: if i % 2 == 0 { Side::BUY } else { Side::SELL },
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amount: dec!(10),
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slippage_tolerance: Some(dec!(1.0)),
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client_id: Some(format!("order_{}", i)),
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};
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let mut book = OrderBook::new("test_token".to_string(), 100);
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book.apply_delta(OrderDelta {
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token_id: "test_token".to_string(),
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timestamp: chrono::Utc::now(),
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side: request.side.opposite(),
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price: dec!(0.5),
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size: dec!(100),
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sequence: i,
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}).unwrap();
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let _result = engine.execute_market_order(&request, &book);
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}
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c.bench_function("fill_statistics", |b| {
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b.iter(|| {
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let _stats = engine.get_stats();
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});
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});
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}
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criterion_group!(
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benches,
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bench_fill_engine_creation,
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bench_market_order_execution,
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bench_fill_processor,
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bench_market_impact_calculation,
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bench_high_frequency_fills,
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bench_fill_statistics,
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);
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criterion_main!(benches);
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