Recursive partial fulfillment may lead to stack overflow

[serejke]

Overview

Thanks for this repo. It's a great exercise on the orderbooks. Taking a look for inspiration.

I know you're not going to maintain it. Just thought it would be a good idea to share ideas for potential contributors.

Recursive partial matchmaking

orderbook-rs/src/engine/orderbook.rs

Line 246 in 3210aa9

self.process_market_order(

Potential stack overflow

Imagine 10.000 ask limit orders with qty = 1 and the same "best" price, say 1.

Then a bid market order with qty = 10.000 and price 1, too.

To fulfill the bid, all 10.000 need to be executed. I haven't run the example, but I guess a stack overflow error will be thrown in runtime.

Solution

Use a non-recursive loop: pull the best opposite order, fill it fully, and partially fill the big order.