Optimize own order books auditing

Author: cjdsellers

crates/model/src/python/orderbook/own.rs

@@ -227,6 +227,20 @@ impl OwnOrderBook {
         self.is_order_in_book(client_order_id)
     }
 
+    #[pyo3(name = "orders_to_list")]
+    fn py_orders_to_list(&self) -> Vec<OwnBookOrder> {
+        let total_orders = self.bids.cache.len() + self.asks.cache.len();
+        let mut all_orders = Vec::with_capacity(total_orders);
+
+        all_orders.extend(
+            self.bids()
+                .flat_map(|level| level.orders.values().cloned())
+                .chain(self.asks().flat_map(|level| level.orders.values().cloned())),
+        );
+
+        all_orders
+    }
+
     #[pyo3(name = "bids_to_list")]
     fn py_bids_to_list(&self) -> Vec<OwnBookOrder> {
         self.bids()

nautilus_trader/cache/cache.pyx

@@ -4523,16 +4523,18 @@ cdef class Cache(CacheFacade):
         Logs all failures as errors.
 
         """
-        cdef Order order
-        cdef ClientOrderId client_order_id
-
         self._log.debug("Starting own book audit", LogColor.MAGENTA)
         cdef double start_us = time.time() * 1_000_000
 
+        cdef:
+            list[object] own_book_orders
+            ClientOrderId client_order_id
+            Order order
+
         for own_book in self._own_order_books.values():
             self._log.debug(f"Auditing {own_book} ", LogColor.MAGENTA)
 
-            own_book_orders = own_book.bids_to_list() + own_book.asks_to_list()
+            own_book_orders = own_book.orders_to_list()
             if own_book_orders:
                 self._log.debug(
                     f"Auditing {len(own_book_orders)} own book orders", LogColor.MAGENTA,
@@ -4546,11 +4548,10 @@ cdef class Cache(CacheFacade):
                         f"Audit error - {client_order_id!r} in own book was not in cache",
                     )
                     continue
-                order_status_pyo3 = order_status_to_pyo3(<OrderStatus>order._fsm.state)
-                if order_status_pyo3 != own_book_order.status:
+                if own_book_order.status.value != <OrderStatus>order._fsm.state:
                     self._log.error(
                         f"Audit error - {client_order_id!r} own book status {own_book_order.status} "
-                        f"did not match cached order status {order_status_pyo3}"
+                        f"did not match cached order status {order.status_string_c()}"
                     )
                     own_book_order = order.to_own_book_order()
                     own_book.update(own_book_order)

nautilus_trader/core/nautilus_pyo3.pyi

@@ -3259,6 +3259,7 @@ class OwnOrderBook:
     def bid_client_order_ids(self) -> list[ClientOrderId]: ...
     def ask_client_order_ids(self) -> list[ClientOrderId]: ...
     def is_order_in_book(self, client_order_id: ClientOrderId) -> bool:...
+    def orders_to_list(self) -> list[OwnBookOrder]: ...
     def bids_to_list(self) -> list[OwnBookOrder]: ...
     def asks_to_list(self) -> list[OwnBookOrder]: ...
     def bids_to_dict(