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Fix orderless position cache indexing #4688

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Merged
cjdsellers merged 6 commits into from
Aug 11, 2026
Merged

Fix orderless position cache indexing #4688

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0f148f9
Fix orderless position cache indexing
pengpengyi92 Aug 8, 2026
8df8df9
Address orderless position review feedback
pengpengyi92 Aug 9, 2026
b451ca4
Fix orderless HEDGING lookup after flip
pengpengyi92 Aug 10, 2026
6b38705
Remove redundant fill clone
pengpengyi92 Aug 10, 2026
e85c56f
Fix orderless flip replay and cache recovery
pengpengyi92 Aug 11, 2026
35c3027
Fix Rust formatting checks
pengpengyi92 Aug 11, 2026
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117 changes: 96 additions & 21 deletions crates/common/src/cache/mod.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -2347,7 +2347,8 @@ impl Cache {
.collect();

if let Some(db) = &self.database {
self.index.order_position = db.load_index_order_position()?;
let order_position = db.load_index_order_position()?;
self.index.order_position = self.sanitize_order_position_index(order_position);
self.index.order_client = db.load_index_order_client()?;
}

Expand Down Expand Up @@ -2444,7 +2445,8 @@ impl Cache {
};

if let Some(db) = &self.database {
self.index.order_position = db.load_index_order_position()?;
let order_position = db.load_index_order_position()?;
self.index.order_position = self.sanitize_order_position_index(order_position);
self.index.order_client = db.load_index_order_client()?;
}

Expand All @@ -2454,6 +2456,23 @@ impl Cache {
Ok(())
}

fn sanitize_order_position_index(
&self,
mut order_position: AHashMap<ClientOrderId, PositionId>,
) -> AHashMap<ClientOrderId, PositionId> {
let original_len = order_position.len();
order_position.retain(|client_order_id, _| self.orders.contains_key(client_order_id));
let removed = original_len - order_position.len();

if removed > 0 {
log::warn!(
"Filtered {removed} stale order-position index entries without backing orders during cache load"
);
}

order_position
}

/// Clears and reloads the position cache from the database.
///
/// # Errors
Expand Down Expand Up @@ -2644,25 +2663,32 @@ impl Cache {
.insert(*position_id, position.strategy_id);

// 3: Build index.position_orders -> {PositionId, {ClientOrderId}}
self.index
.position_orders
.entry(*position_id)
.or_default()
.extend(position.client_order_ids());
let position_orders = self.index.position_orders.entry(*position_id).or_default();
position_orders.extend(
position
.client_order_ids()
.into_iter()
.filter(|client_order_id| self.orders.contains_key(client_order_id)),
);

// 4: Build index.instrument_positions -> {InstrumentId, {PositionId}}
self.index
.instrument_positions
.entry(instrument_id)
.or_default()
.insert(*position_id);
self.index
.instrument_orders
.entry(instrument_id)
.or_default();

// 5: Build index.strategy_positions -> {StrategyId, {PositionId}}
self.index
.strategy_positions
.entry(strategy_id)
.or_default()
.insert(*position_id);
self.index.strategy_orders.entry(strategy_id).or_default();

// 6: Build index.account_positions -> {AccountId, {PositionId}}
self.index
Expand Down Expand Up @@ -4632,18 +4658,30 @@ impl Cache {
database.index_order_position(*client_order_id, *position_id)?;
}

// Index: PositionId -> StrategyId
self.index
.position_strategy
.insert(*position_id, *strategy_id);

// Index: PositionId -> set[ClientOrderId]
self.index_position(position_id, venue, strategy_id);
self.index
.position_orders
.entry(*position_id)
.or_default()
.insert(*client_order_id);

Ok(())
}

fn index_position(
&mut self,
position_id: &PositionId,
venue: &Venue,
strategy_id: &StrategyId,
) {
// Index: PositionId -> StrategyId
self.index
.position_strategy
.insert(*position_id, *strategy_id);

// Every position has a reverse-order bucket, including orderless positions.
self.index.position_orders.entry(*position_id).or_default();

// Index: StrategyId -> set[PositionId]
self.index
.strategy_positions
Expand All @@ -4657,8 +4695,6 @@ impl Cache {
.entry(*venue)
.or_default()
.insert(*position_id);

Ok(())
}

// Propagates parent OTO `position_id` to contingent children that are missing one.
Expand Down Expand Up @@ -4722,21 +4758,56 @@ impl Cache {
///
/// Returns an error if persisting the position to the backing database fails.
pub fn add_position(&mut self, position: &Position, oms_type: OmsType) -> anyhow::Result<()> {
self.add_position_inner(position, oms_type, true)
}

/// Adds a position whose opening fill intentionally has no backing order.
///
/// # Errors
///
/// Returns an error if persisting the position to the backing database fails.
pub fn add_position_without_order(
&mut self,
position: &Position,
oms_type: OmsType,
) -> anyhow::Result<()> {
self.add_position_inner(position, oms_type, false)
}

fn add_position_inner(
&mut self,
position: &Position,
oms_type: OmsType,
index_order: bool,
) -> anyhow::Result<()> {
self.positions
.insert(position.id, SharedCell::new(position.clone()));
self.index.position_oms.insert(position.id, oms_type);
self.index.positions.insert(position.id);
self.index.positions_open.insert(position.id);
self.index.positions_closed.remove(&position.id); // Cleanup for NETTING reopen
self.index.strategies.insert(position.strategy_id);
self.index
.strategy_orders
.entry(position.strategy_id)
.or_default();

log::debug!("Adding {position}");

self.add_position_id(
&position.id,
&position.instrument_id.venue,
&position.opening_order_id,
&position.strategy_id,
)?;
if index_order {
self.add_position_id(
&position.id,
&position.instrument_id.venue,
&position.opening_order_id,
&position.strategy_id,
)?;
} else {
self.index_position(
&position.id,
&position.instrument_id.venue,
&position.strategy_id,
);
}

let venue = position.instrument_id.venue;
let venue_positions = self.index.venue_positions.entry(venue).or_default();
Expand All @@ -4750,6 +4821,10 @@ impl Cache {
.entry(instrument_id)
.or_default();
instrument_positions.insert(position.id);
self.index
.instrument_orders
.entry(instrument_id)
.or_default();

// Index: AccountId -> AHashSet<PositionId>
self.index
Expand Down
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