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Merge remote-tracking branch 'refs/remotes/origin/master'
2 parents 0d8cdd4 + 9302d72 commit c15a874

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hftbacktest/src/depth/btreemarketdepth.rs

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -95,7 +95,7 @@ impl L2MarketDepth for BTreeMarketDepth {
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timestamp: i64,
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) -> (i64, i64, i64, f64, f64, i64) {
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let price_tick = (price / self.tick_size).round() as i64;
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let prev_best_ask_tick = *self.bid_depth.keys().next().unwrap_or(&INVALID_MAX);
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let prev_best_ask_tick = *self.ask_depth.keys().next().unwrap_or(&INVALID_MAX);
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let prev_qty = *self.ask_depth.get(&prev_best_ask_tick).unwrap_or(&0.0);
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if (qty / self.lot_size).round() as i64 == 0 {

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