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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.
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
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