Implement a limit volume tracker

Implement the limit volume tracker that keeps track of the limit
volumes and emits change events that can be used by clients to
update their copy of the order book

lib/rex/book.rb

@@ -5,6 +5,7 @@ require_relative "book/trade"
 require_relative "book/order"
 require_relative "book/limit_order_book"
 require_relative "book/matcher"
+require_relative "book/limit_volume_tracker"
 
 module Rex
   module Book

lib/rex/book/limit_volume_tracker.rb

@@ -0,0 +1,63 @@
+module Rex
+  module Book
+    class LimitVolumeTracker
+      LimitVolumeChange = Struct.new(:side, :price, :new_volume)
+
+      attr_reader :volumes
+
+      def initialize
+        @volumes = Hash.new { 0 }
+      end
+
+      def add_order(order)
+        volumes[[order.is_buy, order.price]] += order.remaining_quantity
+
+        [
+          LimitVolumeChange.new(
+            side(order),
+            order.price,
+            volumes[[order.is_buy, order.price]]
+          )
+        ]
+      end
+
+      def remove_order(order)
+        volumes[[order.is_buy, order.price]] -= order.remaining_quantity
+
+        [
+          LimitVolumeChange.new(
+            side(order),
+            order.price,
+            volumes[[order.is_buy, order.price]]
+          )
+        ]
+      end
+
+      def process_trade(trade)
+        buy_order = trade.buy_order
+        sell_order = trade.sell_order
+
+        volumes[[buy_order.is_buy, buy_order.price]] -= trade.quantity
+        volumes[[sell_order.is_buy, sell_order.price]] -= trade.quantity
+        [
+          LimitVolumeChange.new(
+            :buy,
+            buy_order.price,
+            volumes[[buy_order.is_buy, buy_order.price]]
+          ),
+          LimitVolumeChange.new(
+            :sell,
+            sell_order.price,
+            volumes[[sell_order.is_buy, sell_order.price]]
+          )
+        ]
+      end
+
+      private
+
+      def side(order)
+        order.is_buy ? :buy : :sell
+      end
+    end
+  end
+end

spec/book/limit_volume_tracker_spec.rb

@@ -0,0 +1,71 @@
+# frozen_string_literal: true
+
+RSpec.describe Rex::Book::LimitVolumeTracker do
+  let(:instance) { described_class.new }
+  let(:sell_order) { build(:order, is_buy: false, price: 100, quantity: 250) }
+  let(:buy_order) { build(:order, is_buy: true, price: 100, quantity: 200) }
+
+  describe "#add_order" do
+    it "adds the quantity to the limit volume" do
+      expect { instance.add_order(sell_order) }.to(
+        change { instance.volumes[[false, 100]] }.to(250)
+      )
+    end
+
+    it "returns the changes limit volumes as a struct" do
+      expect(instance.add_order(sell_order)).to eq([
+        Rex::Book::LimitVolumeTracker::LimitVolumeChange.new(:sell, 100, 250)
+      ])
+    end
+  end
+
+  describe "#remove_order" do
+    before do
+      instance.add_order(sell_order)
+    end
+
+    it "removes the quantity from the limit volume" do
+      expect { instance.remove_order(sell_order) }.to(
+        change { instance.volumes[[false, 100]] }.from(250).to(0)
+      )
+    end
+
+    it "returns the changes limit volumes as a struct" do
+      expect(instance.remove_order(sell_order)).to eq([
+        Rex::Book::LimitVolumeTracker::LimitVolumeChange.new(:sell, 100, 0)
+      ])
+    end
+  end
+
+  describe "#process_trade" do
+    let(:trade) do
+      Rex::Book::Trade.new(
+        buy_order: buy_order,
+        sell_order: sell_order,
+        price: 100,
+        quantity: 200
+      )
+    end
+
+    before do
+      instance.add_order(sell_order)
+      instance.add_order(buy_order)
+    end
+
+    it "adjusts the volumes of the involved limits" do
+      expect { instance.process_trade(trade) }.to(
+        change { instance.volumes[[false, 100]] }.from(250).to(50)
+        .and(
+          change { instance.volumes[[true, 100]] }.from(200).to(0)
+        )
+      )
+    end
+
+    it "returns the changes limit volumes as a struct" do
+      expect(instance.process_trade(trade)).to eq([
+        Rex::Book::LimitVolumeTracker::LimitVolumeChange.new(:buy, 100, 0),
+        Rex::Book::LimitVolumeTracker::LimitVolumeChange.new(:sell, 100, 50)
+      ])
+    end
+  end
+end