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Repair auction functionality for order book #1200

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cjdsellers opened this issue Aug 12, 2023 · 0 comments
Open

Repair auction functionality for order book #1200

cjdsellers opened this issue Aug 12, 2023 · 0 comments
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enhancement New feature or request rust Relating to the Rust core

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@cjdsellers
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During the port of the OrderBook and associated components to Rust, the auction functionality was "commented out" to make the transition simpler.

We now need to "repair" and reinstate this functionality. It should be possible for this to become a component which the Rust OrderBook can directly interface with, this can be discussed in more detail.

Note the default_auction_match commented here:
https://github.com/nautechsystems/nautilus_trader/blob/develop/nautilus_trader/backtest/matching_engine.pyx#L20

The entire function has been commented out here:
https://github.com/nautechsystems/nautilus_trader/blob/develop/nautilus_trader/backtest/auction.py

@cjdsellers cjdsellers added enhancement New feature or request rust Relating to the Rust core labels Aug 12, 2023
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Labels
enhancement New feature or request rust Relating to the Rust core
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