Question about order quantity handling during price crossing in add_buy_order and add_sell_order

[EthanXHQ]

Hi,

I have a question about the order quantity handling in ROIVectorMarketDepth when price crossing occurs. I noticed that in both add_buy_order and add_sell_order, when a price crossing is detected, the code updates the best price on the opposite side:
add_buy_order
add_sell_order

However, in both cases, when a price crossing occurs and the best bid/ask prices are adjusted, the order quantity doesn't seem to be updated.

Is this intentional, or should the quantity be adjusted to reflect any potential fills that would occur during a crossing?

Thank you for your time and clarification!

[nkaz001]

Please use the Issues! add method at https://github.com/nkaz001/hftbacktest/blob/master/hftbacktest/src/depth/roivectormarketdepth.rs#L467 handles it.