option-chain-orderbook

Option Chain Order Book - Options Market Making Infrastructure

A high-performance Rust library for options market making infrastructure, providing a complete Option Chain Order Book system built on top of OrderBook-rs, PriceLevel, and OptionStratLib.

Key Features

• Lock-Free Architecture: Built on OrderBook-rs's lock-free data structures for maximum throughput in high-frequency trading scenarios.

• Hierarchical Order Book Structure: Multi-level organization from underlying assets down to individual option contracts.

• Multi-Expiration Option Chain Management: Handle hundreds of options across multiple strikes and expirations simultaneously.

• Real-Time Order Book per Option: Individual order books for each option contract with full depth, powered by OrderBook-rs.

• Thread-Safe Concurrent Access: Uses DashMap for concurrent access to order books across multiple threads.

• OptionStratLib Integration: Use Greeks calculation, ExpirationDate, OptionStyle, and pricing models directly from OptionStratLib.

• Result-Based Error Handling: All fallible operations return Result<T, Error> with descriptive error types.

Architecture

The library follows a hierarchical structure for option chain management:

UnderlyingOrderBookManager (manages all underlyings: BTC, ETH, SPX, etc.)
  └── UnderlyingOrderBook (per underlying, all expirations for one asset)
        └── ExpirationOrderBookManager (manages all expirations for underlying)
              └── ExpirationOrderBook (per expiry date)
                    └── OptionChainOrderBook (per expiration, option chain)
                          └── StrikeOrderBookManager (manages all strikes)
                                └── StrikeOrderBook (per strike price, call/put pair)
                                      └── OptionOrderBook (call or put)
                                            └── OrderBook<T> (from OrderBook-rs)

This architecture enables:

• Efficient aggregation of Greeks and positions at any level
• Fast lookup of specific option contracts
• Scalable management of large option chains
• ATM strike lookup at any level
• Statistics aggregation across the hierarchy

Module Structure

Core Components

Order Book Hierarchy ([orderbook])

• [orderbook::UnderlyingOrderBookManager]: Top-level manager for all underlyings
• [orderbook::UnderlyingOrderBook]: All expirations for a single underlying
• [orderbook::ExpirationOrderBookManager]: Manages expirations for an underlying
• [orderbook::ExpirationOrderBook]: All strikes for a single expiration
• [orderbook::OptionChainOrderBook]: Option chain with strike management
• [orderbook::StrikeOrderBookManager]: Manages strikes for an expiration
• [orderbook::StrikeOrderBook]: Call/put pair at a strike price
• [orderbook::OptionOrderBook]: Single option order book
• [orderbook::Quote]: Two-sided market representation
• [orderbook::QuoteUpdate]: Quote change tracking

Example Usage

Creating a Hierarchical Order Book

use option_chain_orderbook::orderbook::UnderlyingOrderBookManager;
use optionstratlib::prelude::pos_or_panic;
use optionstratlib::ExpirationDate;
use orderbook_rs::{OrderId, Side};

let manager = UnderlyingOrderBookManager::new();
let exp_date = ExpirationDate::Days(pos_or_panic!(30.0));

// Create BTC option chain (use block to drop guards)
{
    let btc = manager.get_or_create("BTC");
    let exp = btc.get_or_create_expiration(exp_date);
    let strike = exp.get_or_create_strike(50000);

    // Add orders to call
    strike.call().add_limit_order(OrderId::new(), Side::Buy, 100, 10).unwrap();
    strike.call().add_limit_order(OrderId::new(), Side::Sell, 105, 5).unwrap();

    // Get quote
    let quote = strike.call().best_quote();
    assert!(quote.is_two_sided());
}

// Get statistics
let stats = manager.stats();

Creating a Single Option Order Book

use option_chain_orderbook::orderbook::OptionOrderBook;
use optionstratlib::OptionStyle;
use orderbook_rs::{OrderId, Side};

// Create an order book for a specific option
let book = OptionOrderBook::new("BTC-20240329-50000-C", OptionStyle::Call);

// Add limit orders
book.add_limit_order(OrderId::new(), Side::Buy, 500, 10).unwrap();
book.add_limit_order(OrderId::new(), Side::Sell, 520, 5).unwrap();

// Get the best quote
let quote = book.best_quote();
assert!(quote.is_two_sided());

Using OptionStratLib for Greeks

use optionstratlib::prelude::pos_or_panic;
use optionstratlib::{Options, ExpirationDate};
use optionstratlib::model::types::{OptionStyle, OptionType, Side};
use optionstratlib::greeks::{delta, gamma, theta, vega, rho};
use rust_decimal_macros::dec;

let option = Options {
    option_type: OptionType::European,
    side: Side::Long,
    underlying_symbol: "BTC".to_string(),
    strike_price: pos_or_panic!(50000.0),
    expiration_date: ExpirationDate::Days(pos_or_panic!(30.0)),
    implied_volatility: pos_or_panic!(0.6),
    quantity: pos_or_panic!(1.0),
    underlying_price: pos_or_panic!(48000.0),
    risk_free_rate: dec!(0.05),
    option_style: OptionStyle::Call,
    dividend_yield: pos_or_panic!(0.0),
    exotic_params: None,
};

let delta_value = delta(&option).unwrap();
let gamma_value = gamma(&option).unwrap();

Examples

The library includes comprehensive examples demonstrating each level of the hierarchy:

Run examples with:

cargo run --example 01_option_orderbook
cargo run --example 06_full_hierarchy

Benchmarks

Comprehensive benchmarks are available for all components:

• orderbook_bench: Single option order book operations
• strike_bench: Strike order book and manager operations
• chain_bench: Option chain order book operations
• expiration_bench: Expiration order book operations
• underlying_bench: Underlying order book operations
• hierarchy_bench: Full hierarchy traversal and trading scenarios

Run benchmarks with:

cargo bench
cargo bench -- orderbook_benches
cargo bench -- hierarchy_benches

Performance Characteristics

Built on OrderBook-rs's lock-free architecture:

• Order Operations: O(log N) for add/cancel operations
• Best Quote Lookup: O(1) with caching
• Thread Safety: Lock-free operations for concurrent access
• Hierarchy Traversal: O(1) access via DashMap

Dependencies

• orderbook-rs (0.4): Lock-free order book engine

• optionstratlib (0.13): Options pricing, Greeks, and strategy analysis

• dashmap (6.1): Concurrent hash map for thread-safe access

• rust_decimal (1.39): Precise decimal arithmetic

• thiserror (2.0): Error handling

• serde (1.0): Serialization support

🛠 Makefile Commands

This project includes a Makefile with common tasks to simplify development. Here's a list of useful commands:

🔧 Build & Run

make build         # Compile the project
make release       # Build in release mode
make run           # Run the main binary

🧪 Test & Quality

make test          # Run all tests
make fmt           # Format code
make fmt-check     # Check formatting without applying
make lint          # Run clippy with warnings as errors
make lint-fix      # Auto-fix lint issues
make fix           # Auto-fix Rust compiler suggestions
make check         # Run fmt-check + lint + test

📦 Packaging & Docs

make doc           # Check for missing docs via clippy
make doc-open      # Build and open Rust documentation
make create-doc    # Generate internal docs
make readme        # Regenerate README using cargo-readme
make publish       # Prepare and publish crate to crates.io

📈 Coverage & Benchmarks

make coverage            # Generate code coverage report (XML)
make coverage-html       # Generate HTML coverage report
make open-coverage       # Open HTML report
make bench               # Run benchmarks using Criterion
make bench-show          # Open benchmark report
make bench-save          # Save benchmark history snapshot
make bench-compare       # Compare benchmark runs
make bench-json          # Output benchmarks in JSON
make bench-clean         # Remove benchmark data

🧪 Git & Workflow Helpers

make git-log             # Show commits on current branch vs main
make check-spanish       # Check for Spanish words in code
make zip                 # Create zip without target/ and temp files
make tree                # Visualize project tree (excludes common clutter)

🤖 GitHub Actions (via act)

make workflow-build      # Simulate build workflow
make workflow-lint       # Simulate lint workflow
make workflow-test       # Simulate test workflow
make workflow-coverage   # Simulate coverage workflow
make workflow            # Run all workflows

ℹ️ Requires act for local workflow simulation and cargo-tarpaulin for coverage.

Contribution and Contact

We welcome contributions to this project! If you would like to contribute, please follow these steps:

1. Fork the repository.
2. Create a new branch for your feature or bug fix.
3. Make your changes and ensure that the project still builds and all tests pass.
4. Commit your changes and push your branch to your forked repository.
5. Submit a pull request to the main repository.

If you have any questions, issues, or would like to provide feedback, please feel free to contact the project maintainer:

Contact Information

• Author: Joaquín Béjar García

• Email: jb@taunais.com

• Telegram: @joaquin_bejar

• Repository: https://github.com/joaquinbejar/Option-Chain-OrderBook

• Documentation: https://docs.rs/option-chain-orderbook

We appreciate your interest and look forward to your contributions!

License: MIT