fix: use book diff px for new orders and handle empty books in valida…

server/src/listeners/order_book/state.rs

@@ -1,7 +1,7 @@
 use crate::{
     listeners::order_book::{L2Snapshots, TimedSnapshots, utils::compute_l2_snapshots},
     order_book::{
-        Coin, InnerOrder, Oid,
+        Coin, InnerOrder, Oid, Px,
         multi_book::{OrderBooks, Snapshots},
     },
     prelude::*,
@@ -100,6 +100,10 @@ impl OrderBookState {
                         let time = order.time.and_utc().timestamp_millis();
                         let mut inner_order: InnerL4Order = order.try_into()?;
                         inner_order.modify_sz(sz);
+                        // Use px from book diff (more accurate than order status px)
+                        if let Ok(diff_px) = Px::parse_from_str(diff.px()) {
+                            inner_order.modify_px(diff_px);
+                        }
                         // must replace time with time of entering book, which is the timestamp of the order status update
                         #[allow(clippy::unwrap_used)]
                         inner_order.convert_trigger(time.try_into().unwrap());

server/src/listeners/order_book/utils.rs

@@ -71,8 +71,15 @@ pub(super) fn validate_snapshot_consistency<O: Clone + PartialEq + Debug>(
             return Err(format!("Missing {} book", coin.value()).into());
         }
     }
-    if !snapshot_map.is_empty() {
-        return Err("Extra orderbooks detected".to_string().into());
+    // Only error if expected has non-empty books that we don't have
+    // Empty books are equivalent to not existing
+    let non_empty_expected: Vec<_> = snapshot_map
+        .iter()
+        .filter(|(_, book)| !book.as_ref()[0].is_empty() || !book.as_ref()[1].is_empty())
+        .map(|(c, _)| c.value())
+        .collect();
+    if !non_empty_expected.is_empty() {
+        return Err(format!("Extra orderbooks detected: {:?}", non_empty_expected).into());
     }
     Ok(())
 }

server/src/order_book/types.rs

@@ -65,6 +65,7 @@ pub(crate) trait InnerOrder: Clone {
     fn decrement_sz(&mut self, dec: Sz);
     fn fill(&mut self, maker_order: &mut Self) -> Sz;
     fn modify_sz(&mut self, sz: Sz);
+    fn modify_px(&mut self, px: Px);
     fn convert_trigger(&mut self, ts: u64);
 }
 

server/src/types/inner.rs

@@ -62,6 +62,10 @@ impl InnerOrder for InnerL4Order {
         match_sz
     }
 
+    fn modify_px(&mut self, px: Px) {
+        self.limit_px = px;
+    }
+
     fn convert_trigger(&mut self, ts: u64) {
         if self.is_trigger {
             self.trigger_px = "0.0".to_string();

server/src/types/node_data.rs

@@ -29,6 +29,10 @@ impl NodeDataOrderDiff {
     pub(crate) fn coin(&self) -> Coin {
         Coin::new(&self.coin)
     }
+
+    pub(crate) fn px(&self) -> &str {
+        &self.px
+    }
 }
 
 #[derive(Debug, Clone, Serialize, Deserialize)]