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Add synthetic book support for binary markets #3495

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a9b6869
own_synthetic_book using (1 - price) parity
Javdu10 Jan 27, 2026
e716427
transform into BinaryMarketBookView
Javdu10 Jan 31, 2026
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146 changes: 146 additions & 0 deletions crates/model/src/orderbook/binary_book_view.rs
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Original file line number Diff line number Diff line change
@@ -0,0 +1,146 @@
// -------------------------------------------------------------------------------------------------
// Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
// https://nautechsystems.io
//
// Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
// You may not use this file except in compliance with the License.
// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
// Unless required by applicable law or agreed to in writing, software
// distributed under the License is distributed on an "AS IS" BASIS,
// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
// See the License for the specific language governing permissions and
// limitations under the License.
// -------------------------------------------------------------------------------------------------

//! Binary market book views.

use ahash::AHashSet;
use indexmap::IndexMap;
use rust_decimal::Decimal;

use super::{book::OrderBook, own::OwnOrderBook};
use crate::{
data::BookOrder,
enums::{OrderSide, OrderStatus},
types::{Price, Quantity},
};

/// A filtered book view for binary markets, including synthetic orders.
#[derive(Clone, Debug)]
#[cfg_attr(
feature = "python",
pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
)]
pub struct BinaryMarketBookView {
pub book: OrderBook,
}

impl BinaryMarketBookView {
/// Creates a new [`BinaryMarketBookView`] by filtering bids/asks and rebuilding a book.
/// # Panics
///
/// Panics if Price::from_decimal or Quantity::from_decimal fails when reconstructing orders.
#[must_use]
pub fn new(
book: OrderBook,
own_book: OwnOrderBook,
own_synthetic_book: OwnOrderBook,
depth: Option<usize>,
status: Option<AHashSet<OrderStatus>>,
accepted_buffer_ns: Option<u64>,
now: Option<u64>,
) -> Self {
let mut bids_map = book
.bids(depth)
.map(|level| (level.price.value.as_decimal(), level.size_decimal()))
.collect::<IndexMap<Decimal, Decimal>>();

filter_quantities(
&mut bids_map,
own_book.bid_quantity(status.clone(), None, None, accepted_buffer_ns, now),
);

let synthetic_as_bids = own_synthetic_book
.ask_quantity(status.clone(), None, None, accepted_buffer_ns, now)
.into_iter()
.map(|(price, quantity)| (Decimal::ONE - price, quantity))
.collect::<IndexMap<Decimal, Decimal>>();

filter_quantities(&mut bids_map, synthetic_as_bids);

let mut asks_map = book
.asks(depth)
.map(|level| (level.price.value.as_decimal(), level.size_decimal()))
.collect::<IndexMap<Decimal, Decimal>>();

filter_quantities(
&mut asks_map,
own_book.ask_quantity(status.clone(), None, None, accepted_buffer_ns, now),
);

let synthetic_as_asks = own_synthetic_book
.bid_quantity(status, None, None, accepted_buffer_ns, now)
.into_iter()
.map(|(price, quantity)| (Decimal::ONE - price, quantity))
.collect::<IndexMap<Decimal, Decimal>>();

filter_quantities(&mut asks_map, synthetic_as_asks);

let mut filtered_book = OrderBook::new(book.instrument_id, book.book_type);
let sequence = book.sequence;
let ts_event = book.ts_last;

let mut order_id = 1_u64;
for (price, quantity) in bids_map {
if quantity <= Decimal::ZERO {
continue;
}

let order = BookOrder::new(
OrderSide::Buy,
Price::from_decimal(price).expect("Invalid bid price for BinaryMarketBookView"),
Quantity::from_decimal(quantity)
.expect("Invalid bid quantity for BinaryMarketBookView"),
order_id,
);
order_id += 1;
filtered_book.add(order, 0, sequence, ts_event);
}

for (price, quantity) in asks_map {
if quantity <= Decimal::ZERO {
continue;
}

let order = BookOrder::new(
OrderSide::Sell,
Price::from_decimal(price).expect("Invalid ask price for BinaryMarketBookView"),
Quantity::from_decimal(quantity)
.expect("Invalid ask quantity for BinaryMarketBookView"),
order_id,
);
order_id += 1;
filtered_book.add(order, 0, sequence, ts_event);
}

Self {
book: filtered_book,
}
}
}

fn filter_quantities(
public_map: &mut IndexMap<Decimal, Decimal>,
own_map: IndexMap<Decimal, Decimal>,
) {
for (price, own_size) in own_map {
if let Some(public_size) = public_map.get_mut(&price) {
*public_size = (*public_size - own_size).max(Decimal::ZERO);

if *public_size == Decimal::ZERO {
public_map.shift_remove(&price);
}
}
}
}
2 changes: 2 additions & 0 deletions crates/model/src/orderbook/mod.rs
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Expand Up @@ -17,6 +17,7 @@
pub mod aggregation;
pub mod analysis;
pub mod binary_book_view;
pub mod book;
pub mod display;
pub mod error;
Expand All @@ -29,6 +30,7 @@ mod tests;

// Re-exports
pub use crate::orderbook::{
binary_book_view::BinaryMarketBookView,
book::OrderBook,
error::{BookIntegrityError, InvalidBookOperation},
ladder::BookPrice,
Expand Down
3 changes: 2 additions & 1 deletion crates/model/src/orderbook/own.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -207,7 +207,7 @@ impl Display for OwnBookOrder {
}
}

#[derive(Debug)]
#[derive(Clone, Debug)]
#[cfg_attr(
feature = "python",
pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
Expand Down Expand Up @@ -573,6 +573,7 @@ where
}

/// Represents a ladder of price levels for one side of an order book.
#[derive(Clone)]
pub(crate) struct OwnBookLadder {
pub side: OrderSideSpecified,
pub levels: BTreeMap<BookPrice, OwnBookLevel>,
Expand Down
157 changes: 156 additions & 1 deletion crates/model/src/orderbook/tests.rs
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Expand Up @@ -31,6 +31,7 @@ use crate::{
orderbook::{
BookIntegrityError, BookPrice, OrderBook, OwnBookOrder,
analysis::book_check_integrity,
binary_book_view::BinaryMarketBookView,
own::{OwnBookLadder, OwnBookLevel, OwnOrderBook},
},
stubs::TestDefault,
Expand Down Expand Up @@ -1619,6 +1620,161 @@ fn test_book_filtered_with_own_orders_different_level() {
assert_eq!(asks_filtered.get(&dec!(101.00)), Some(&dec!(100)));
}

#[rstest]
fn test_book_filtered_with_synthetic_orders() {
let instrument_yes_id = InstrumentId::from("YES.XNAS");
let instrument_no_id = InstrumentId::from("NO.XNAS");
let mut book = OrderBook::new(instrument_yes_id, BookType::L2_MBP);
let mut synthetic_book = OwnOrderBook::new(instrument_no_id);
let own_book = OwnOrderBook::new(instrument_yes_id);

// Public book levels
let bid_order = BookOrder::new(OrderSide::Buy, Price::from("0.40"), Quantity::from(100), 1);
let ask_order = BookOrder::new(OrderSide::Sell, Price::from("0.60"), Quantity::from(100), 2);

book.add(bid_order, 0, 1, 1.into());
book.add(ask_order, 0, 2, 2.into());

// Synthetic orders: ask at 0.60 -> bid at 0.40, bid at 0.40 -> ask at 0.60
let synthetic_ask_order = OwnBookOrder::new(
TraderId::test_default(),
ClientOrderId::from("SYN-ASK-1"),
Some(VenueOrderId::from("1")),
OrderSideSpecified::Sell,
Price::from("0.60"),
Quantity::from(30),
OrderType::Limit,
TimeInForce::Gtc,
OrderStatus::Accepted,
1.into(),
1.into(),
1.into(),
1.into(),
);

let synthetic_bid_order = OwnBookOrder::new(
TraderId::test_default(),
ClientOrderId::from("SYN-BID-1"),
Some(VenueOrderId::from("2")),
OrderSideSpecified::Buy,
Price::from("0.40"),
Quantity::from(20),
OrderType::Limit,
TimeInForce::Gtc,
OrderStatus::Accepted,
2.into(),
2.into(),
2.into(),
2.into(),
);

synthetic_book.add(synthetic_ask_order);
synthetic_book.add(synthetic_bid_order);

let view =
BinaryMarketBookView::new(book, own_book, synthetic_book, Some(10), None, None, None);
let bids_filtered = view.book.bids_as_map(None);
let asks_filtered = view.book.asks_as_map(None);

assert_eq!(bids_filtered.get(&dec!(0.40)), Some(&dec!(70))); // 100 - 30
assert_eq!(asks_filtered.get(&dec!(0.60)), Some(&dec!(80))); // 100 - 20
}

#[rstest]
fn test_book_filtered_with_own_and_synthetic_orders() {
let instrument_id = InstrumentId::from("AAPL.XNAS");
let mut book = OrderBook::new(instrument_id, BookType::L2_MBP);
let mut own_book = OwnOrderBook::new(instrument_id);
let mut synthetic_book = OwnOrderBook::new(instrument_id);

// Public book levels
let bid_order = BookOrder::new(OrderSide::Buy, Price::from("0.40"), Quantity::from(100), 1);
let ask_order = BookOrder::new(OrderSide::Sell, Price::from("0.60"), Quantity::from(100), 2);

book.add(bid_order, 0, 1, 1.into());
book.add(ask_order, 0, 2, 2.into());

// Own orders
let own_bid_order = OwnBookOrder::new(
TraderId::test_default(),
ClientOrderId::from("OWN-BID-1"),
Some(VenueOrderId::from("1")),
OrderSideSpecified::Buy,
Price::from("0.40"),
Quantity::from(10),
OrderType::Limit,
TimeInForce::Gtc,
OrderStatus::Accepted,
1.into(),
1.into(),
1.into(),
1.into(),
);

let own_ask_order = OwnBookOrder::new(
TraderId::test_default(),
ClientOrderId::from("OWN-ASK-1"),
Some(VenueOrderId::from("2")),
OrderSideSpecified::Sell,
Price::from("0.60"),
Quantity::from(5),
OrderType::Limit,
TimeInForce::Gtc,
OrderStatus::Accepted,
2.into(),
2.into(),
2.into(),
2.into(),
);

own_book.add(own_bid_order);
own_book.add(own_ask_order);

// Synthetic orders: ask at 0.60 -> bid at 0.40, bid at 0.40 -> ask at 0.60
let synthetic_ask_order = OwnBookOrder::new(
TraderId::test_default(),
ClientOrderId::from("SYN-ASK-1"),
Some(VenueOrderId::from("3")),
OrderSideSpecified::Sell,
Price::from("0.60"),
Quantity::from(30),
OrderType::Limit,
TimeInForce::Gtc,
OrderStatus::Accepted,
3.into(),
3.into(),
3.into(),
3.into(),
);

let synthetic_bid_order = OwnBookOrder::new(
TraderId::test_default(),
ClientOrderId::from("SYN-BID-1"),
Some(VenueOrderId::from("4")),
OrderSideSpecified::Buy,
Price::from("0.40"),
Quantity::from(20),
OrderType::Limit,
TimeInForce::Gtc,
OrderStatus::Accepted,
4.into(),
4.into(),
4.into(),
4.into(),
);

synthetic_book.add(synthetic_ask_order);
synthetic_book.add(synthetic_bid_order);

let view =
BinaryMarketBookView::new(book, own_book, synthetic_book, Some(10), None, None, None);
let bids_filtered = view.book.bids_as_map(None);
let asks_filtered = view.book.asks_as_map(None);

assert_eq!(bids_filtered.get(&dec!(0.40)), Some(&dec!(60))); // 100 - 10 - 30
assert_eq!(asks_filtered.get(&dec!(0.60)), Some(&dec!(75))); // 100 - 5 - 20
}

#[rstest]
fn test_book_filtered_with_status_filter() {
let instrument_id = InstrumentId::from("AAPL.XNAS");
Expand Down Expand Up @@ -1726,7 +1882,6 @@ fn test_book_filtered_with_status_filter() {
);
let asks_filtered =
book.asks_filtered_as_map(None, Some(&own_book), Some(status_filter), None, None);

// Check that only ACCEPTED own orders are subtracted
assert_eq!(bids_filtered.get(&dec!(100.00)), Some(&dec!(70))); // 100 - 30 = 70
assert_eq!(asks_filtered.get(&dec!(101.00)), Some(&dec!(70))); // 100 - 30 = 70
Expand Down
1 change: 1 addition & 0 deletions crates/model/src/python/mod.rs
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Expand Up @@ -168,6 +168,7 @@ pub fn model(_: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
m.add_class::<crate::instruments::SyntheticInstrument>()?;
// Order book
m.add_class::<crate::orderbook::book::OrderBook>()?;
m.add_class::<crate::orderbook::binary_book_view::BinaryMarketBookView>()?;
m.add_class::<crate::orderbook::level::BookLevel>()?;
m.add_function(wrap_pyfunction!(
crate::python::orderbook::book::py_update_book_with_quote_tick,
Expand Down
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