refactor(rust): refactor making response parts in exchange processors.

nkaz001 · nkaz001 · commit 48f3842b391c · 2025-03-03T10:14:30.000-05:00
diff --git a/hftbacktest/src/backtest/proc/l3_nopartialfillexchange.rs b/hftbacktest/src/backtest/proc/l3_nopartialfillexchange.rs
@@ -100,6 +100,12 @@ where
         }
     }
 
+    fn make_response(&mut self, order: Order, timestamp: i64) {
+        let local_recv_timestamp =
+            order.exch_timestamp + self.order_latency.response(timestamp, &order);
+        self.orders_to.append(order, local_recv_timestamp);
+    }
+
     fn process_recv_order_(
         &mut self,
         mut order: Order,
@@ -123,9 +129,7 @@ where
             return Err(BacktestError::InvalidOrderRequest);
         }
         // Makes the response.
-        let local_recv_timestamp =
-            recv_timestamp + self.order_latency.response(recv_timestamp, &order);
-        self.orders_to.append(order, local_recv_timestamp);
+        self.make_response(order, recv_timestamp);
         Ok(())
     }
 
@@ -135,13 +139,11 @@ where
         order.status = Status::Expired;
         order.exch_timestamp = timestamp;
 
-        let local_recv_timestamp =
-            order.exch_timestamp + self.order_latency.response(timestamp, &order);
-        self.orders_to.append(order, local_recv_timestamp);
+        self.make_response(order, timestamp);
         Ok(())
     }
 
-    fn fill<const INSERT_BUS: bool>(
+    fn fill<const MAKE_RESPONSE: bool>(
         &mut self,
         order: &mut Order,
         timestamp: i64,
@@ -169,10 +171,8 @@ where
 
         self.state.apply_fill(order);
 
-        if INSERT_BUS {
-            let local_recv_timestamp =
-                order.exch_timestamp + self.order_latency.response(timestamp, order);
-            self.orders_to.append(order.clone(), local_recv_timestamp);
+        if MAKE_RESPONSE {
+            self.make_response(order.clone(), timestamp);
         }
         Ok(())
     }
diff --git a/hftbacktest/src/backtest/proc/nopartialfillexchange.rs b/hftbacktest/src/backtest/proc/nopartialfillexchange.rs
@@ -117,6 +117,12 @@ where
         }
     }
 
+    fn make_response(&mut self, order: Order, timestamp: i64) {
+        let local_recv_timestamp =
+            order.exch_timestamp + self.order_latency.response(timestamp, &order);
+        self.orders_to.append(order, local_recv_timestamp);
+    }
+
     fn process_recv_order_(
         &mut self,
         mut order: Order,
@@ -140,9 +146,7 @@ where
             return Err(BacktestError::InvalidOrderRequest);
         }
         // Makes the response.
-        let local_recv_timestamp =
-            recv_timestamp + self.order_latency.response(recv_timestamp, &order);
-        self.orders_to.append(order, local_recv_timestamp);
+        self.make_response(order, recv_timestamp);
         Ok(())
     }
 
@@ -196,7 +200,7 @@ where
         Ok(())
     }
 
-    fn fill<const INSERT_BUS: bool>(
+    fn fill<const MAKE_RESPONSE: bool>(
         &mut self,
         order: &mut Order,
         timestamp: i64,
@@ -224,10 +228,8 @@ where
 
         self.state.apply_fill(order);
 
-        if INSERT_BUS {
-            let local_recv_timestamp =
-                order.exch_timestamp + self.order_latency.response(timestamp, order);
-            self.orders_to.append(order.clone(), local_recv_timestamp);
+        if MAKE_RESPONSE {
+            self.make_response(order.clone(), timestamp);
         }
         Ok(())
     }
diff --git a/hftbacktest/src/backtest/proc/partialfillexchange.rs b/hftbacktest/src/backtest/proc/partialfillexchange.rs
@@ -131,6 +131,12 @@ where
         }
     }
 
+    fn make_response(&mut self, order: Order, timestamp: i64) {
+        let local_recv_timestamp =
+            order.exch_timestamp + self.order_latency.response(timestamp, &order);
+        self.orders_to.append(order, local_recv_timestamp);
+    }
+
     fn process_recv_order_(
         &mut self,
         mut order: Order,
@@ -154,9 +160,7 @@ where
             return Err(BacktestError::InvalidOrderRequest);
         }
         // Makes the response.
-        let local_recv_timestamp =
-            recv_timestamp + self.order_latency.response(recv_timestamp, &order);
-        self.orders_to.append(order, local_recv_timestamp);
+        self.make_response(order, recv_timestamp);
         Ok(())
     }
 
@@ -236,7 +240,7 @@ where
         Ok(())
     }
 
-    fn fill<const INSERT_BUS: bool>(
+    fn fill<const MAKE_RESPONSE: bool>(
         &mut self,
         order: &mut Order,
         timestamp: i64,
@@ -269,10 +273,8 @@ where
 
         self.state.apply_fill(order);
 
-        if INSERT_BUS {
-            let local_recv_timestamp =
-                order.exch_timestamp + self.order_latency.response(timestamp, order);
-            self.orders_to.append(order.clone(), local_recv_timestamp);
+        if MAKE_RESPONSE {
+            self.make_response(order.clone(), timestamp);
         }
         Ok(())
     }

Original file line number	Diff line number	Diff line change
`@@ -117,6 +117,12 @@ where`
`117`	`117`	`}`
`118`	`118`	`}`
`119`	`119`
	`120`	`+ fn make_response(&mut self, order: Order, timestamp: i64) {`
	`121`	`+ let local_recv_timestamp =`
	`122`	`+ order.exch_timestamp + self.order_latency.response(timestamp, &order);`
	`123`	`+ self.orders_to.append(order, local_recv_timestamp);`
	`124`	`+ }`
	`125`	`+`
`120`	`126`	`fn process_recv_order_(`
`121`	`127`	`&mut self,`
`122`	`128`	`mut order: Order,`
`@@ -140,9 +146,7 @@ where`
`140`	`146`	`return Err(BacktestError::InvalidOrderRequest);`
`141`	`147`	`}`
`142`	`148`	`// Makes the response.`
`143`		`- let local_recv_timestamp =`
`144`		`- recv_timestamp + self.order_latency.response(recv_timestamp, &order);`
`145`		`- self.orders_to.append(order, local_recv_timestamp);`
	`149`	`+ self.make_response(order, recv_timestamp);`
`146`	`150`	`Ok(())`
`147`	`151`	`}`
`148`	`152`
`@@ -196,7 +200,7 @@ where`
`196`	`200`	`Ok(())`
`197`	`201`	`}`
`198`	`202`
`199`		`- fn fill<const INSERT_BUS: bool>(`
	`203`	`+ fn fill<const MAKE_RESPONSE: bool>(`
`200`	`204`	`&mut self,`
`201`	`205`	`order: &mut Order,`
`202`	`206`	`timestamp: i64,`
`@@ -224,10 +228,8 @@ where`
`224`	`228`
`225`	`229`	`self.state.apply_fill(order);`
`226`	`230`
`227`		`- if INSERT_BUS {`
`228`		`- let local_recv_timestamp =`
`229`		`- order.exch_timestamp + self.order_latency.response(timestamp, order);`
`230`		`- self.orders_to.append(order.clone(), local_recv_timestamp);`
	`231`	`+ if MAKE_RESPONSE {`
	`232`	`+ self.make_response(order.clone(), timestamp);`
`231`	`233`	`}`
`232`	`234`	`Ok(())`
`233`	`235`	`}`
Original file line number	Diff line number	Diff line change
`@@ -131,6 +131,12 @@ where`
`131`	`131`	`}`
`132`	`132`	`}`
`133`	`133`
	`134`	`+ fn make_response(&mut self, order: Order, timestamp: i64) {`
	`135`	`+ let local_recv_timestamp =`
	`136`	`+ order.exch_timestamp + self.order_latency.response(timestamp, &order);`
	`137`	`+ self.orders_to.append(order, local_recv_timestamp);`
	`138`	`+ }`
	`139`	`+`
`134`	`140`	`fn process_recv_order_(`
`135`	`141`	`&mut self,`
`136`	`142`	`mut order: Order,`
`@@ -154,9 +160,7 @@ where`
`154`	`160`	`return Err(BacktestError::InvalidOrderRequest);`
`155`	`161`	`}`
`156`	`162`	`// Makes the response.`
`157`		`- let local_recv_timestamp =`
`158`		`- recv_timestamp + self.order_latency.response(recv_timestamp, &order);`
`159`		`- self.orders_to.append(order, local_recv_timestamp);`
	`163`	`+ self.make_response(order, recv_timestamp);`
`160`	`164`	`Ok(())`
`161`	`165`	`}`
`162`	`166`
`@@ -236,7 +240,7 @@ where`
`236`	`240`	`Ok(())`
`237`	`241`	`}`
`238`	`242`
`239`		`- fn fill<const INSERT_BUS: bool>(`
	`243`	`+ fn fill<const MAKE_RESPONSE: bool>(`
`240`	`244`	`&mut self,`
`241`	`245`	`order: &mut Order,`
`242`	`246`	`timestamp: i64,`
`@@ -269,10 +273,8 @@ where`
`269`	`273`
`270`	`274`	`self.state.apply_fill(order);`
`271`	`275`
`272`		`- if INSERT_BUS {`
`273`		`- let local_recv_timestamp =`
`274`		`- order.exch_timestamp + self.order_latency.response(timestamp, order);`
`275`		`- self.orders_to.append(order.clone(), local_recv_timestamp);`
	`276`	`+ if MAKE_RESPONSE {`
	`277`	`+ self.make_response(order.clone(), timestamp);`
`276`	`278`	`}`
`277`	`279`	`Ok(())`
`278`	`280`	`}`