fix(rust): the price bound was not checked in the depth clear event.

nkaz001 · Nov 16, 2024 · 415f81b · 415f81b
1 parent 949d74e
commit 415f81b
Showing 1 changed file with 28 additions and 4 deletions.
diff --git a/hftbacktest/src/depth/roivectormarketdepth.rs b/hftbacktest/src/depth/roivectormarketdepth.rs
@@ -261,10 +261,22 @@ impl L2MarketDepth for ROIVectorMarketDepth {
                             }
                         }
                     }
+                    let low_bid_tick = if self.low_bid_tick == INVALID_MAX {
+                        self.roi_lb
+                    } else {
+                        self.low_bid_tick
+                    };
+                    let clear_upto = if clear_upto - 1 < self.roi_lb {
+                        self.roi_lb
+                    } else if clear_upto - 1 > self.roi_ub {
+                        self.roi_ub
+                    } else {
+                        clear_upto - 1
+                    };
                     self.best_bid_tick = depth_below(
                         &self.bid_depth,
-                        clear_upto - 1,
-                        self.low_bid_tick,
+                        clear_upto,
+                        low_bid_tick,
                         self.roi_lb,
                         self.roi_ub,
                     );
@@ -288,10 +300,22 @@ impl L2MarketDepth for ROIVectorMarketDepth {
                             }
                         }
                     }
+                    let high_ask_tick = if self.high_ask_tick == INVALID_MIN {
+                        self.roi_ub
+                    } else {
+                        self.high_ask_tick
+                    };
+                    let clear_upto = if clear_upto + 1 < self.roi_lb {
+                        self.roi_lb
+                    } else if clear_upto + 1 > self.roi_ub {
+                        self.roi_ub
+                    } else {
+                        clear_upto + 1
+                    };
                     self.best_ask_tick = depth_above(
                         &self.ask_depth,
-                        clear_upto + 1,
-                        self.high_ask_tick,
+                        clear_upto,
+                        high_ask_tick,
                         self.roi_lb,
                         self.roi_ub,
                     );