Price Handling

Price Handling Patterns

The price type is f64

IEEE 754 double precision. No fixed-point, no decimal types.

Use i64 fixed-point only for a matching engine (bit-exact required), a regulatory audit trail mandating reproducibility, or a settlement system with legal precision requirements. Hybrid: i64 on the execution hot path, f64 for display and analytics.

Never == on prices

rustCopy code
use float_cmp::{approx_eq, F64Margin};

pub const PRICE_EPSILON: f64 = 1e-10;  // sub-pipette tolerance

pub fn prices_equal(a: f64, b: f64) -> bool {
    approx_eq!(f64, a, b, epsilon = PRICE_EPSILON, ulps = 4)
}

pub fn price_gte(a: f64, b: f64) -> bool { a > b || prices_equal(a, b) }
pub fn price_lte(a: f64, b: f64) -> bool { a < b || prices_equal(a, b) }

Round only at the boundaries

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pub fn round_to_tick(price: f64, tick_size: f64) -> f64 {
    (price / tick_size).round() * tick_size
}

pub fn validate_tick_alignment(price: f64, tick_size: f64) -> bool {
    prices_equal(price, round_to_tick(price, tick_size))
}

Order submission order: round to tick, validate alignment (on failure return an error, never re-round), then format for the broker API if it takes a string.

Format with the symbol's precision, never hardcoded decimals (EURUSD 5, AAPL 2, BTC 8):

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format!("{:.1$}", price, symbol.display_decimals as usize)

Symbol metadata owns precision

Tick size and display precision belong to the symbol, not to the price value. A Price { value, decimals } struct is the wrong shape.

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#[derive(Clone, Copy)]
pub struct SymbolSpec {
    pub symbol_id: u32,
    pub tick_size: f64,         // minimum price increment
    pub display_decimals: u8,   // decimal places for UI
    pub lot_size: f64,          // minimum quantity
}

impl SymbolSpec {
    pub fn round_price(&self, price: f64) -> f64 {
        round_to_tick(price, self.tick_size)
    }

    pub fn format_price(&self, price: f64) -> String {
        format!("{:.1$}", price, self.display_decimals as usize)
    }
}

The symbol table loads at subscription setup (cold path), is keyed by symbol ID, and re-syncs on reconnect or symbol list change.

Price newtype

Optional: wrap f64 in a #[repr(transparent)] newtype with PartialOrd but no PartialEq; equality goes through prices_equal. Constructor debug_assert!s is_finite(). Use for order types; skip on the market-data hot path.

Normalize feeds to f64 at ingest

Convert at the entry boundary; downstream code sees plain f64 regardless of feed source.

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// doubles (IB, dxFeed, Rithmic): pass through
fn ingest_double(value: f64) -> f64 { value }

// strings (Binance, Coinbase): parse
fn ingest_string(s: &str) -> Result<f64, ParseFloatError> { s.parse() }

// scaled integers (CME MDP): unscale
fn ingest_scaled(mantissa: i64, exponent: i8) -> f64 {
    mantissa as f64 * 10f64.powi(exponent as i32)
}