Add message counting and last trade information

hftbacktest/src/backtest/mod.rs

@@ -889,6 +889,11 @@ where
         self.local.get(asset_no).unwrap().state_values()
     }
 
+    #[inline]
+    fn mutable_state_values(&mut self, asset_no: usize) -> &mut StateValues {
+        self.local.get_mut(asset_no).unwrap().state_values_mut()
+    }
+
     fn depth(&self, asset_no: usize) -> &MD {
         self.local.get(asset_no).unwrap().depth()
     }
@@ -897,6 +902,14 @@ where
         self.local.get(asset_no).unwrap().last_trades()
     }
 
+    fn last_trade_price(&self, asset_no: usize) -> f64 {
+        self.local.get(asset_no).unwrap().last_trade_price()
+    }
+
+    fn last_trade_size(&self, asset_no: usize) -> f64 {
+        self.local.get(asset_no).unwrap().last_trade_size()
+    }
+
     #[inline]
     fn clear_last_trades(&mut self, asset_no: Option<usize>) {
         match asset_no {

hftbacktest/src/backtest/proc/l3_local.rs

@@ -46,6 +46,8 @@ where
     trades: Vec<Event>,
     last_feed_latency: Option<(i64, i64)>,
     last_order_latency: Option<(i64, i64, i64)>,
+    last_trade_price: f64,
+    last_trade_size: f64,
 }
 
 impl<AT, LM, MD, FM> L3Local<AT, LM, MD, FM>
@@ -70,6 +72,8 @@ where
             trades: Vec::with_capacity(trade_len),
             last_feed_latency: None,
             last_order_latency: None,
+            last_trade_price: 0.0,
+            last_trade_size: 0.0,
         }
     }
 }
@@ -113,6 +117,8 @@ where
         self.order_l2e.request(order, |order| {
             order.req = Status::Rejected;
         });
+        self.state_values_mut().num_messages += 1;
+        self.state_values_mut().num_creations += 1;
 
         Ok(())
     }
@@ -148,6 +154,8 @@ where
             order.price_tick = orig_price_tick;
             order.qty = orig_qty;
         });
+        self.state_values_mut().num_messages += 1;
+        self.state_values_mut().num_modifications += 1;
 
         Ok(())
     }
@@ -168,6 +176,8 @@ where
         self.order_l2e.request(order.clone(), |order| {
             order.req = Status::Rejected;
         });
+        self.state_values_mut().num_messages += 1;
+        self.state_values_mut().num_cancellations += 1;
 
         Ok(())
     }
@@ -188,6 +198,10 @@ where
         self.state.values()
     }
 
+    fn state_values_mut(&mut self) -> &mut StateValues {
+        self.state.values_mut()
+    }
+
     fn depth(&self) -> &MD {
         &self.depth
     }
@@ -200,6 +214,14 @@ where
         self.trades.as_slice()
     }
 
+    fn last_trade_price(&self) -> f64 {
+        self.last_trade_price
+    }
+
+    fn last_trade_size(&self) -> f64 {
+        self.last_trade_size
+    }
+
     fn clear_last_trades(&mut self) {
         self.trades.clear();
     }
@@ -246,8 +268,12 @@ where
             self.depth.delete_order(ev.order_id, ev.local_ts)?;
         }
         // Processes a trade event
-        else if ev.is(LOCAL_TRADE_EVENT) && self.trades.capacity() > 0 {
-            self.trades.push(ev.clone());
+        else if ev.is(LOCAL_TRADE_EVENT) {
+            if self.trades.capacity() > 0 {
+                self.trades.push(ev.clone());
+            }
+            self.last_trade_size = ev.qty;
+            self.last_trade_price = ev.px;
         }
 
         // Stores the current feed latency

hftbacktest/src/backtest/proc/local.rs

@@ -46,6 +46,8 @@ where
     trades: Vec<Event>,
     last_feed_latency: Option<(i64, i64)>,
     last_order_latency: Option<(i64, i64, i64)>,
+    last_trade_price: f64,
+    last_trade_size: f64,
 }
 
 impl<AT, LM, MD, FM> Local<AT, LM, MD, FM>
@@ -70,6 +72,8 @@ where
             trades: Vec::with_capacity(last_trades_cap),
             last_feed_latency: None,
             last_order_latency: None,
+            last_trade_size: 0.0,
+            last_trade_price: 0.0,
         }
     }
 
@@ -175,6 +179,8 @@ where
             order.req = Status::Rejected;
         });
 
+        self.state_values_mut().num_messages += 1;
+        self.state_values_mut().num_creations += 1;
         Ok(())
     }
 
@@ -210,6 +216,8 @@ where
             order.qty = orig_qty;
         });
 
+        self.state_values_mut().num_messages += 1;
+        self.state_values_mut().num_modifications += 1;
         Ok(())
     }
 
@@ -230,6 +238,8 @@ where
             order.req = Status::Rejected;
         });
 
+        self.state_values_mut().num_messages += 1;
+        self.state_values_mut().num_cancellations += 1;
         Ok(())
     }
 
@@ -249,6 +259,10 @@ where
         self.state.values()
     }
 
+    fn state_values_mut(&mut self) -> &mut StateValues {
+        self.state.values_mut()
+    }
+
     fn depth(&self) -> &MD {
         &self.depth
     }
@@ -261,6 +275,14 @@ where
         self.trades.as_slice()
     }
 
+    fn last_trade_price(&self) -> f64 {
+        self.last_trade_price
+    }
+
+    fn last_trade_size(&self) -> f64 {
+        self.last_trade_size
+    }
+
     fn clear_last_trades(&mut self) {
         self.trades.clear();
     }
@@ -299,8 +321,12 @@ where
             self.depth.update_ask_depth(ev.px, ev.qty, ev.local_ts);
         }
         // Processes a trade event
-        else if ev.is(LOCAL_TRADE_EVENT) && self.trades.capacity() > 0 {
-            self.trades.push(ev.clone());
+        else if ev.is(LOCAL_TRADE_EVENT) {
+            if self.trades.capacity() > 0 {
+                self.trades.push(ev.clone());
+            }
+            self.last_trade_size = ev.qty;
+            self.last_trade_price = ev.px;
         }
 
         // Stores the current feed latency

hftbacktest/src/backtest/proc/mod.rs

@@ -80,6 +80,9 @@ where
     /// Returns the state's values such as balance, fee, and so on.
     fn state_values(&self) -> &StateValues;
 
+    /// Returns the state's values such as balance, fee, and so on, mutable.
+    fn state_values_mut(&mut self) -> &mut StateValues;
+
     /// Returns the [`MarketDepth`].
     fn depth(&self) -> &MD;
 
@@ -89,6 +92,12 @@ where
     /// Returns the last market trades.
     fn last_trades(&self) -> &[Event];
 
+    /// Returns the last trade's price
+    fn last_trade_price(&self) -> f64;
+
+    /// Returns the last trade's size
+    fn last_trade_size(&self) -> f64;
+
     /// Clears the last market trades from the buffer.
     fn clear_last_trades(&mut self);
 

hftbacktest/src/backtest/state.rs

@@ -28,6 +28,10 @@ where
                 num_trades: 0,
                 trading_volume: 0.0,
                 trading_value: 0.0,
+                num_messages: 0,
+                num_creations: 0,
+                num_modifications: 0,
+                num_cancellations: 0,
             },
             fee_model,
             asset_type,
@@ -41,6 +45,7 @@ where
         self.state_values.balance -= amount * AsRef::<f64>::as_ref(&order.side);
         self.state_values.fee += self.fee_model.amount(order, amount);
         self.state_values.num_trades += 1;
+        self.state_values.num_messages += 1;
         self.state_values.trading_volume += order.exec_qty;
         self.state_values.trading_value += amount;
     }
@@ -59,4 +64,9 @@ where
     pub fn values(&self) -> &StateValues {
         &self.state_values
     }
+
+    #[inline]
+    pub fn values_mut(&mut self) -> &mut StateValues {
+        &mut self.state_values
+    }
 }

hftbacktest/src/live/bot.rs

@@ -172,12 +172,12 @@ impl<MD> LiveBotBuilder<MD> {
 /// Provides the same interface as the backtesters in [`backtest`](`crate::backtest`).
 ///
 /// ```
-/// use hftbacktest::{live::{Instrument, LiveBot}, prelude::HashMapMarketDepth};
+/// use hftbacktest::{live::{Instrument, LiveBotBuilder, ipc::iceoryx::IceoryxUnifiedChannel}, prelude::HashMapMarketDepth};
 ///
 /// let tick_size = 0.1;
 /// let lot_size = 1.0;
 ///
-/// let mut hbt = LiveBot::builder()
+/// let hbt: hftbacktest::live::LiveBot<IceoryxUnifiedChannel, HashMapMarketDepth> = LiveBotBuilder::new()
 ///     .register(Instrument::new(
 ///         "connector_name",
 ///         "symbol",
@@ -439,6 +439,11 @@ where
         &self.instruments.get(asset_no).unwrap().state
     }
 
+    #[inline]
+    fn mutable_state_values(&mut self, asset_no: usize) -> &mut StateValues {
+        &mut self.instruments.get_mut(asset_no).unwrap().state
+    }
+
     #[inline]
     fn depth(&self, asset_no: usize) -> &MD {
         &self.instruments.get(asset_no).unwrap().depth
@@ -453,6 +458,24 @@ where
             .as_slice()
     }
 
+    #[inline]
+    fn last_trade_size(&self, asset_no: usize) -> f64 {
+        self.instruments
+            .get(asset_no)
+            .unwrap()
+            .last_trade_size
+            .clone()
+    }
+
+    #[inline]
+    fn last_trade_price(&self, asset_no: usize) -> f64 {
+        self.instruments
+            .get(asset_no)
+            .unwrap()
+            .last_trade_price
+            .clone()
+    }
+
     fn clear_last_trades(&mut self, asset_no: Option<usize>) {
         match asset_no {
             Some(asset_no) => {

hftbacktest/src/live/mod.rs

@@ -24,6 +24,8 @@ pub struct Instrument<MD> {
     last_feed_latency: Option<(i64, i64)>,
     last_order_latency: Option<(i64, i64, i64)>,
     state: StateValues,
+    last_trade_size: f64,
+    last_trade_price: f64,
 }
 
 impl<MD> Instrument<MD> {
@@ -53,6 +55,8 @@ impl<MD> Instrument<MD> {
             last_feed_latency: None,
             last_order_latency: None,
             state: Default::default(),
+            last_trade_price: 0.0,
+            last_trade_size: 0.0,
         }
     }
 }

hftbacktest/src/types.rs

@@ -459,6 +459,15 @@ impl AsRef<str> for OrdType {
 ///
 /// **Usage:**
 /// ```
+/// use hftbacktest::types::AnyClone;
+/// use std::any::Any;
+///
+/// // Define your custom data type
+/// #[derive(Clone)]
+/// struct QueuePos {
+///     pos: usize,
+/// }
+///
 /// impl AnyClone for QueuePos {
 ///     fn as_any(&self) -> &dyn Any {
 ///         self
@@ -746,6 +755,14 @@ pub struct StateValues {
     pub trading_volume: f64,
     /// Backtest only
     pub trading_value: f64,
+    /// Number of messages (backtest only)
+    pub num_messages: i64,
+    /// Number of quote cancellation messages (backtest only)
+    pub num_cancellations: i64,
+    /// Number of quote creation messages (backtest only)
+    pub num_creations: i64,
+    /// Number of modification messages (backtest only)
+    pub num_modifications: i64,
 }
 
 /// Provides errors that can occur in builders.
@@ -796,6 +813,9 @@ where
     /// Returns the state's values such as balance, fee, and so on.
     fn state_values(&self, asset_no: usize) -> &StateValues;
 
+    /// Returns the state's values such as balance, fee, and so on, mutable.
+    fn mutable_state_values(&mut self, asset_no: usize) -> &mut StateValues;
+
     /// Returns the [`MarketDepth`].
     ///
     /// * `asset_no` - Asset number from which the market depth will be retrieved.
@@ -806,6 +826,16 @@ where
     /// * `asset_no` - Asset number from which the last market trades will be retrieved.
     fn last_trades(&self, asset_no: usize) -> &[Event];
 
+    /// Returns the last trade's price
+    ///
+    /// * `asset_no` - Asset number from which the last market trades will be retrieved.
+    fn last_trade_price(&self, asset_no: usize) -> f64;
+
+    /// Returns the last trade's size
+    ///
+    /// * `asset_no` - Asset number from which the last market trades will be retrieved.
+    fn last_trade_size(&self, asset_no: usize) -> f64;
+
     /// Clears the last market trades from the buffer.
     ///
     /// * `asset_no` - Asset number at which this command will be executed. If `None`, all last