add get_avg_px_qty_for_exposure rust function with test

[elementace]

Pull Request

Added get_avg_px_qty_for_exposure rust function for Order books rust object

get_avg_px_for_quantity Currently exists, to estimate the average price for a
required quantity in an Order book side.;
Often traders want to know the level they need to pay for a set 'exposure' or 'notional' amount.
This value is different to get_avg_px_for_quantity. Furthermore, it will provide both a price and a qty,
as opposed to just a price.

I am unclear on how best to implement into the c headers, as it returns a tuple of doubles; It might require
a new struct object; I'll leave that design decision up to @cjdsellers

Type of change

• New feature (non-breaking change which adds functionality)

How has this change been tested?

I've added a basic 0 test, but not a specific value test as I don't have a full test setup.

[CLAassistant]

All committers have signed the CLA.

[filipmacek]

Looks good to me. But I would like to see some not-zero test cases, with simple numbers, just so that we are sure

[cjdsellers]

Hey @elementace

Thanks for the contribution!

You're correct that we'd need a struct to return the two doubles in C (I don't think the alternative of CVec or pointers is a good idea) under the hood in Cython. Then we can return a tuple of two doubles up to Python using tuple[double, double]. I can handle this though as there's some hurdles on the cbindgen and Cython side.

So I can merge this in if we just cover off two things:

• Confirming you've signed the CLA? (I think there's an issue on their end where the badge doesn't update even after signing)
• I agree with @filipmacek that we probably need a couple more non-zero value tests, which also aids understanding the calculation too

[cjdsellers]

Hi @elementace

Looks like we'll need a struct after all:

error: `extern` fn uses type `(f64, f64, f64)`, which is not FFI-safe
Error:    --> model/src/ffi/orderbook/book.rs:249:6
    |
249 | ) -> (f64, f64, f64) {
    |      ^^^^^^^^^^^^^^^ not FFI-safe
    |
    = help: consider using a struct instead
    = note: tuples have unspecified layout
    = note: `-D improper-ctypes-definitions` implied by `-D warnings`
    = help: to override `-D warnings` add `#[allow(improper_ctypes_definitions)]`

As above, I'm happy to take this part on if you just add a couple of Rust tests with non-zero values.