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bountx / LOB / 22902168186 / 1
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Ran 10 Mar 2026 12:21PM UTC
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10 Mar 2026 12:20PM UTC coverage: 88.516% (+5.0%) from 83.476%
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feat: Enhance OrderBook with OFI view and metrics (#32)

* feat: Enhance OrderBook with OFI view and metrics

- Introduced `lastOfiValue` in `Metrics` to track the Order Flow Imbalance (OFI) for the most recent genuine update.
- Added `ofi_types.hpp` to define `LevelDelta` and `EventKind` for better representation of order book updates.
- Refactored `OrderBook` to maintain bid and ask states using unordered maps for O(1) access and update.
- Implemented OFI view logic to track the top price levels and determine if they are in the OFI view.
- Updated `applyUpdate` and `applyDelta` methods to return `UpdateResult` containing level deltas and their properties.
- Enhanced Prometheus metrics to include `lob_ofi_value`, reflecting the computed OFI.
- Added tests for OFI functionality, ensuring correct behavior for updates, removals, and metrics emission.

* feat: Enhance OFI view handling with new metrics and validation

* feat: Update OFI view handling to include Maintenance deltas and improve event filtering

* feat: Enhance OFI handling by including Maintenance deltas and refining event kind propagation

* 📝 Add docstrings to `feat/ofi-layer`

Docstrings generation was requested by @bountx.

The following files were modified:

* `src/binance_adapter.cpp`
* `src/kraken_adapter.cpp`
* `src/main.cpp`
* `src/order_book.cpp`
* `src/subscriber_protocol.hpp`
* `tests/test_order_book.cpp`

These files were kept as they were:
* `src/i_exchange_adapter.hpp`
* `src/prometheus_format.hpp`
* `src/subscriber_server.hpp`
* `tests/test_prometheus_format.cpp`

These file types are not supported:
* `grafana/dashboards/lob.json`

---------

Co-authored-by: Andrzej Pijanowski <apijanowski@cloudferro.com>
Co-authored-by: coderabbitai[bot] <136622811+coderabbitai[bot]@users.noreply.github.com>

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