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Compare performance between data types used for Price #10

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minicheddar opened this issue Jan 5, 2023 · 0 comments
Open

Compare performance between data types used for Price #10

minicheddar opened this issue Jan 5, 2023 · 0 comments
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enhancement New feature or request

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@minicheddar
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Rust does not allow ordering of f32/f64s as part of std. This prevents using f64 as a key in BTreeMap<f64, OrderbookLevel>.

For now, we should just use this (https://crates.io/crates/ordered-float), but I'm curious on the performance difference between.

  • Implementing PartialOrd for floats as above
  • Having serde deserialise 'float-like' data straight to Decimal
  • Having serde deserialise to f64, but converting to Decimal when returning MarketDataKind:L2Update/Snapshot
  • Storing prices as u64 with a mantissa on the number of floating points as a separate piece of metadata (like smart contracts)

This is definitely a low-priority premature micro-optimisation!
@minicheddar minicheddar added the enhancement New feature or request label Jan 5, 2023
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