[Orderbook/Proto] rework protocol v1

[wlvchandler]

• Scope book, status, trades, and cancel by instrument
• send amounts as fixed-point decimal
• add batch place/cancel
• streaming market-data RPCs

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Note

High Risk
High risk because it changes the gRPC protocol (field types, enum values, and request shapes) and rewires core orderbook RPC behavior around instrument-scoped lanes, which can break compatibility across gateway/CLI/OB if any client/server stubs aren’t regenerated and updated consistently.

Overview
Reworks the orderbook gRPC protocol to be instrument-scoped and fixed-point: price/quantity fields move from strings to DecimalValue, enums gain explicit *_UNSPECIFIED values (shifting numeric values), and requests for cancel_order, get_order_book, get_order_status, and get_trade_history now require instrument_id.

Adds new RPCs and batching semantics: introduces cancel_orders batch RPC, streaming RPCs for order book and trades, and updates place_orders to return per-item results (OrderBatchItemResult) with structured ErrorDetail and BatchMode (PARTIAL_OK vs ALL_OR_NONE).

Updates implementations and clients: the Rust orderbook service routes work by instrument/lane (no cross-lane scans), adds cancel idempotency caching, and implements polling-based streaming responses; the Elixir gateway and Python CLI switch to the new decimal/instrument-aware request/response shapes (including updated parsing/formatting and a CLI --instrument flag), with the gateway explicitly marking streaming RPCs as unimplemented for now.

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[cursor]

Cursor Bugbot has reviewed your changes and found 4 potential issues.

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[cursor]

Stream trade history skips first trade each cycle

High Severity

In stream_trade_history, the trade history index is incremented before accessing the response vector. This causes the newest trade (resp[0]) to be skipped on the first emission and subsequently delivered out of order in the stream.

 

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[cursor]

AllOrNone batch doesn't rollback placed orders

High Severity

In place_orders, BatchMode::AllOrNone processes orders sequentially. If an order fails, previously successful orders are not rolled back, leaving the matching engine in a partially updated state and violating the "all or none" atomicity guarantee.

 

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[cursor]

Gateway batch response uses outdated proto field

High Severity

The place_orders handler constructs Orderbook.OrderBatchResponse with an orders field containing OrderResponse items. The updated proto definition now uses a results field with OrderBatchItemResult items. This creates an incompatible wire format and will break once the Elixir proto module is regenerated.

 

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[cursor]

Decimal mantissa silently truncated from i128 to i64

Medium Severity

The decimal_to_proto function converts the i128 mantissa to i64 using a direct as cast. This silently truncates values exceeding the i64 range, which can corrupt financial data like prices and quantities in the wire representation.

 

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