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feat(ws): add tape-based book update processor

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floor-licker
2026-01-30 20:22:45 -05:00
parent b523a7fd44
commit e0b97c53cb
4 changed files with 328 additions and 1 deletions
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tests/no_alloc_hot_paths.rs
+55 -1
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@@ -5,7 +5,7 @@ use std::hash::{Hash, Hasher};
use std::str::FromStr;
use chrono::Utc;
use polyfill_rs::{book::OrderBookManager, OrderBookImpl, Side};
use polyfill_rs::{book::OrderBookManager, OrderBookImpl, Side, WsBookUpdateProcessor};
use rust_decimal::Decimal;
thread_local! {
@@ -215,3 +215,57 @@ fn no_alloc_book_manager_apply_book_update_existing_levels() {
manager.apply_book_update(&update).unwrap();
guard.assert_no_allocations();
}
#[test]
fn no_alloc_ws_book_update_processor_apply_existing_levels() {
let asset_id = "test_asset_id";
let manager = OrderBookManager::new(100);
manager.get_or_create_book(asset_id).unwrap();
// Warm up the internal book with initial levels (allocations allowed).
manager
.apply_delta(polyfill_rs::types::OrderDelta {
token_id: asset_id.to_string(),
timestamp: chrono::Utc::now(),
side: Side::BUY,
price: Decimal::from_str("0.75").unwrap(),
size: Decimal::from_str("100.0").unwrap(),
sequence: 1,
})
.unwrap();
manager
.apply_delta(polyfill_rs::types::OrderDelta {
token_id: asset_id.to_string(),
timestamp: chrono::Utc::now(),
side: Side::SELL,
price: Decimal::from_str("0.76").unwrap(),
size: Decimal::from_str("100.0").unwrap(),
sequence: 2,
})
.unwrap();
let mut processor = WsBookUpdateProcessor::new(1024);
// Warm up simd-json buffers/tape outside the guarded section.
let mut warmup_msg = format!(
"{{\"event_type\":\"book\",\"asset_id\":\"{asset_id}\",\"market\":\"0xabc\",\"timestamp\":10,\"bids\":[{{\"price\":\"0.75\",\"size\":\"200.0\"}}],\"asks\":[{{\"price\":\"0.76\",\"size\":\"50.0\"}}]}}"
)
.into_bytes();
processor
.process_bytes(warmup_msg.as_mut_slice(), &manager)
.unwrap();
let mut msg = format!(
"{{\"event_type\":\"book\",\"asset_id\":\"{asset_id}\",\"market\":\"0xabc\",\"timestamp\":11,\"bids\":[{{\"price\":\"0.75\",\"size\":\"150.0\"}}],\"asks\":[{{\"price\":\"0.76\",\"size\":\"75.0\"}}]}}"
)
.into_bytes();
// Warm up TLS access before measuring (defensive).
let _ = allocation_count();
let guard = NoAllocGuard::new();
processor
.process_bytes(msg.as_mut_slice(), &manager)
.unwrap();
guard.assert_no_allocations();
}