Common Crate

Overview

The common crate provides a foundational set of shared types and utilities essential for building high-frequency trading applications within the Foxhunt ecosystem. It encapsulates core data structures, error handling patterns, and common helpers used across various components.

Features

Market Data & Order Types: Defines standardized structs for market data (e.g., Tick, OrderBook) and various order types (e.g., LimitOrder, MarketOrder).
High-Precision Time Utilities: Offers utilities for working with nanosecond-resolution timestamps and duration calculations critical for HFT.
Robust Error Handling: Implements a custom FoxhuntError enum and Result type for consistent and traceable error management across the system.
Data Validation Helpers: Provides functions for validating common HFT parameters such as prices, quantities, and instrument IDs.
Serialization/Deserialization: Includes helpers and derive macros for efficient data serialization (e.g., using serde) for inter-process communication or persistence.
Instrument & Asset Definitions: Standardized types for defining trading instruments, assets, and exchanges.

Usage

use common::types::{Order, OrderSide, Price, Quantity, InstrumentId};
use common::errors::FoxhuntError;

fn create_limit_order(instrument: InstrumentId, price: Price, quantity: Quantity) -> Result<Order, FoxhuntError> {
    if price.value() <= 0.0 || quantity.value() <= 0.0 {
        return Err(FoxhuntError::ValidationError("Price and quantity must be positive".to_string()));
    }
    Ok(Order::new_limit(instrument, OrderSide::Buy, price, quantity))
}

let instrument = InstrumentId::new("BTCUSD".to_string());
let order = create_limit_order(instrument, Price::new(60000.0), Quantity::new(0.5));
println!("{:?}", order);

Testing

cargo test --package common

Documentation

Comprehensive API documentation is available at docs.rs/common.