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Preserve FIFO time priority after order cancellation #4

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Preserve FIFO time priority after order cancellation #4

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14 changes: 6 additions & 8 deletions Orderbook.h
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Original file line number Diff line number Diff line change
Expand Up @@ -412,14 +412,12 @@ class Orderbook {
? asks_.at(price)
: bids_.at(price);

// Swap-and-pop: move the last element into the cancelled slot, then
// pop the back. This is O(1) and keeps the vector contiguous.
// We must update the swapped order's stored index to reflect its new position.
if (idx != orders.size() - 1) {
orders[idx] = std::move(orders.back());
orders_.at(orders[idx]->GetOrderId()).location_ = idx;
// Erase in place to preserve FIFO time priority within the price level.
// The shifted suffix needs fresh indices in the lookup map.
orders.erase(orders.begin() + static_cast<std::ptrdiff_t>(idx));
for (std::size_t i = idx; i < orders.size(); ++i) {
orders_.at(orders[i]->GetOrderId()).location_ = i;
}
orders.pop_back();

if (side == Side::Sell) {
if (orders.empty()) asks_.erase(price);
Expand Down Expand Up @@ -500,4 +498,4 @@ class Orderbook {
void ResetMarketDataStats() { stats_.Reset(); }
bool IsInitialized() const { return isInitialized_; }
uint64_t GetLastSequenceNumber() const { return lastSequenceNumber_; }
};
};
18 changes: 17 additions & 1 deletion tests.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -114,6 +114,21 @@ TEST(TestTimePriority_FIFO) {
ASSERT_EQ(trades[0].GetBidTrade().orderId_, 1);
}

TEST(TestCancelPreservesFIFO) {
Orderbook orderbook;
orderbook.AddOrder(std::make_shared<Order>(OrderType::GoodTillCancel, 1, Side::Buy, 100, 10));
orderbook.AddOrder(std::make_shared<Order>(OrderType::GoodTillCancel, 2, Side::Buy, 100, 10));
orderbook.AddOrder(std::make_shared<Order>(OrderType::GoodTillCancel, 3, Side::Buy, 100, 10));

orderbook.CancelOrder(1);
auto trades = orderbook.AddOrder(
std::make_shared<Order>(OrderType::GoodTillCancel, 4, Side::Sell, 100, 10)
);

ASSERT_EQ(trades.size(), 1);
ASSERT_EQ(trades[0].GetBidTrade().orderId_, 2);
}

TEST(TestMarketOrderBuy) {
Orderbook orderbook;
orderbook.AddOrder(std::make_shared<Order>(OrderType::GoodTillCancel, 1, Side::Sell, 100, 10));
Expand Down Expand Up @@ -589,6 +604,7 @@ int main() {
RUN_TEST(TestMultipleMatchesAtSamePrice);
RUN_TEST(TestPricePriority);
RUN_TEST(TestTimePriority_FIFO);
RUN_TEST(TestCancelPreservesFIFO);
RUN_TEST(TestMarketOrderBuy);
RUN_TEST(TestMarketOrderSell);
RUN_TEST(TestMarketOrderEmptyBook);
Expand All @@ -603,7 +619,7 @@ int main() {
RUN_TEST(TestMinNotionalValidation);
RUN_TEST(TestMarketOrderValidation);

std::cout << "\nAll " << 21 << " functionality tests passed!\n";
std::cout << "\nAll " << 22 << " functionality tests passed!\n";

PrintPerformanceHeader();

Expand Down