fix: clear the correct ask range in ROIVectorMarketDepth::clear_depth#318
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23f3001135 wants to merge 1 commit into
Open
fix: clear the correct ask range in ROIVectorMarketDepth::clear_depth#31823f3001135 wants to merge 1 commit into
23f3001135 wants to merge 1 commit into
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The ask branch computed the upper bound of the cleared range with `roi_ub` instead of `roi_lb`. Depth vector indices are offset by `roi_lb`, so the bound collapsed below `from` and the loop never ran, leaving stale ask quantity behind the best ask after an ASK_DEPTH_CLEAR event. The bid branch already used `roi_lb`.
Up to standards ✅🟢 Issues
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| Metric | Results |
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| Complexity | 0 |
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Summary
ROIVectorMarketDepth::clear_depthdoes not clear the ask side when given a price bound. The bid side works correctly; the ask side leaves stale quantity in the book.Details
The depth is stored in a flat vector indexed by
tick - roi_lb. The ask branch computes the upper bound of the loop as:but the index offset is
roi_lb, notroi_ub. Sinceroi_ubis the top of the range (typically far aboveroi_lb),toends up belowfrom, sofor t in from..tonever runs and no ask level is cleared. The bid branch just above already usesroi_lb:After an
ASK_DEPTH_CLEARevent the levels that should have been removed stay inask_depth, sitting behind the recomputed best ask.best_ask_tickis recomputed separately, so the top of book still looks correct and the problem is easy to miss, butask_qty_at_tick,ask_depth(), and the queue model that seeds order positions from those quantities all see phantom liquidity.HashMapMarketDepthandBTreeMarketDepthboth clearbest_ask_tick..=clear_upto, confirming the intended behaviour.Fix
Use
roi_lbfor the upper bound, matching the bid side and the rest of the file.Test
Added
test_l2_clear_depth_upto_price: it clears the ask side up to a price and checks the levels are gone (plus the mirror bid case). It fails before the change and passes after.