Add WebSocket order book delta validation tests (#4)

go.work

@@ -0,0 +1,3 @@
+go 1.26
+
+use ./market

market/matching/delta_validation_test.go

@@ -0,0 +1,161 @@
+package matching
+
+import (
+	"strings"
+	"testing"
+
+	"github.com/shopspring/decimal"
+	"github.com/tent-of-trials/market/orderbook"
+	"github.com/tent-of-trials/market/types"
+)
+
+func TestMatchingOwnedBookRejectsInvalidDeltaWithoutMutation(t *testing.T) {
+	engine := newDeltaTestEngine()
+	book := engine.books[types.Symbol("BTC-USD")]
+	seedMatchingBook(t, book)
+
+	beforeBids := matchingSnapshotLevels(book.GetBids())
+	beforeAsks := matchingSnapshotLevels(book.GetAsks())
+	beforeSequence := book.Sequence()
+
+	err := book.ApplyDelta(orderbook.DeltaUpdate{
+		Symbol:           types.Symbol("BTC-USD"),
+		PreviousSequence: beforeSequence,
+		Sequence:         beforeSequence + 1,
+		Levels: []orderbook.LevelUpdate{{
+			Side:     orderbook.SideAsk,
+			Price:    matchingDec("101.00"),
+			Quantity: matchingDec("-0.25"),
+		}},
+	})
+	if err == nil || !strings.Contains(err.Error(), "quantity") {
+		t.Fatalf("ApplyDelta error = %v, want quantity validation error", err)
+	}
+
+	assertMatchingBookState(t, book, beforeSequence, beforeBids, beforeAsks)
+}
+
+func TestMatchingOwnedBookRejectsOutOfOrderDeltaWithoutMutation(t *testing.T) {
+	engine := newDeltaTestEngine()
+	book := engine.books[types.Symbol("BTC-USD")]
+	seedMatchingBook(t, book)
+
+	beforeBids := matchingSnapshotLevels(book.GetBids())
+	beforeAsks := matchingSnapshotLevels(book.GetAsks())
+	beforeSequence := book.Sequence()
+
+	err := book.ApplyDelta(orderbook.DeltaUpdate{
+		Symbol:           types.Symbol("BTC-USD"),
+		PreviousSequence: beforeSequence - 1,
+		Sequence:         beforeSequence + 1,
+		Levels: []orderbook.LevelUpdate{{
+			Side:     orderbook.SideBid,
+			Price:    matchingDec("100.00"),
+			Quantity: matchingDec("2.00"),
+		}},
+	})
+	if err == nil || !strings.Contains(err.Error(), "previous_sequence") {
+		t.Fatalf("ApplyDelta error = %v, want previous_sequence validation error", err)
+	}
+
+	assertMatchingBookState(t, book, beforeSequence, beforeBids, beforeAsks)
+}
+
+func TestMatchingOwnedBookAcceptsSnapshotThenDeltaPath(t *testing.T) {
+	engine := newDeltaTestEngine()
+	book := engine.books[types.Symbol("BTC-USD")]
+
+	bids := []types.Level{matchingLevel("100.00", "1.00")}
+	asks := []types.Level{matchingLevel("101.00", "1.00")}
+	snapshot := orderbook.SnapshotUpdate{
+		Symbol:   types.Symbol("BTC-USD"),
+		Sequence: 42,
+		Bids:     bids,
+		Asks:     asks,
+	}
+	snapshot.Checksum = orderbook.ComputeBookChecksum(snapshot.Symbol, snapshot.Sequence, bids, asks)
+	if err := book.ApplySnapshot(snapshot); err != nil {
+		t.Fatalf("ApplySnapshot error = %v", err)
+	}
+
+	wantBids := []types.Level{matchingLevel("100.00", "1.50")}
+	wantAsks := []types.Level{matchingLevel("102.00", "0.75")}
+	delta := orderbook.DeltaUpdate{
+		Symbol:           types.Symbol("BTC-USD"),
+		PreviousSequence: 42,
+		Sequence:         43,
+		Levels: []orderbook.LevelUpdate{
+			{Side: orderbook.SideBid, Price: matchingDec("100.00"), Quantity: matchingDec("1.50")},
+			{Side: orderbook.SideAsk, Price: matchingDec("101.00"), Quantity: decimal.Zero},
+			{Side: orderbook.SideAsk, Price: matchingDec("102.00"), Quantity: matchingDec("0.75")},
+		},
+	}
+	delta.Checksum = orderbook.ComputeBookChecksum(delta.Symbol, delta.Sequence, wantBids, wantAsks)
+	if err := book.ApplyDelta(delta); err != nil {
+		t.Fatalf("ApplyDelta error = %v", err)
+	}
+
+	assertMatchingBookState(t, book, 43, wantBids, wantAsks)
+}
+
+func newDeltaTestEngine() *MatchingEngine {
+	config := orderbook.Config{MaxDepth: 10, PriceDecimals: 8, VolumeDecimals: 8}
+	return NewMatchingEngine(EngineConfig{EnableShorting: true}, map[types.Symbol]*orderbook.OrderBook{
+		types.Symbol("BTC-USD"): orderbook.NewOrderBook(types.Symbol("BTC-USD"), config),
+	})
+}
+
+func seedMatchingBook(t *testing.T, book *orderbook.OrderBook) {
+	t.Helper()
+	bids := []types.Level{matchingLevel("100.00", "1.00")}
+	asks := []types.Level{matchingLevel("101.00", "1.00")}
+	snapshot := orderbook.SnapshotUpdate{
+		Symbol:   types.Symbol("BTC-USD"),
+		Sequence: 10,
+		Bids:     bids,
+		Asks:     asks,
+	}
+	snapshot.Checksum = orderbook.ComputeBookChecksum(snapshot.Symbol, snapshot.Sequence, bids, asks)
+	if err := book.ApplySnapshot(snapshot); err != nil {
+		t.Fatalf("ApplySnapshot error = %v", err)
+	}
+}
+
+func assertMatchingBookState(t *testing.T, book *orderbook.OrderBook, wantSequence uint64, wantBids, wantAsks []types.Level) {
+	t.Helper()
+	if got := book.Sequence(); got != wantSequence {
+		t.Fatalf("sequence = %d, want %d", got, wantSequence)
+	}
+	assertMatchingLevels(t, "bids", matchingSnapshotLevels(book.GetBids()), wantBids)
+	assertMatchingLevels(t, "asks", matchingSnapshotLevels(book.GetAsks()), wantAsks)
+}
+
+func assertMatchingLevels(t *testing.T, name string, got, want []types.Level) {
+	t.Helper()
+	if len(got) != len(want) {
+		t.Fatalf("%s length = %d, want %d: got %#v", name, len(got), len(want), got)
+	}
+	for i := range want {
+		if !got[i].Price.Equal(want[i].Price) || !got[i].Quantity.Equal(want[i].Quantity) || got[i].Count != want[i].Count {
+			t.Fatalf("%s[%d] = %#v, want %#v", name, i, got[i], want[i])
+		}
+	}
+}
+
+func matchingSnapshotLevels(levels []*types.Level) []types.Level {
+	result := make([]types.Level, 0, len(levels))
+	for _, level := range levels {
+		if level != nil {
+			result = append(result, *level)
+		}
+	}
+	return result
+}
+
+func matchingLevel(price, quantity string) types.Level {
+	return types.Level{Price: matchingDec(price), Quantity: matchingDec(quantity), Count: 1}
+}
+
+func matchingDec(value string) decimal.Decimal {
+	return decimal.RequireFromString(value)
+}