Struct MarketDepth 

pub struct MarketDepth { /* private fields */ }

A price-aggregated (L2) snapshot of one instrument’s book: bids best (highest) first, asks best (lowest) first. Validated on construction — sorted sides, positive finite sizes, uncrossed top — so consumers can walk it without re-checking.

Implementations

impl MarketDepth

pub fn new(bids: Vec<DepthLevel>, asks: Vec<DepthLevel>) -> Result<Self>

Build a validated book. Either side may be empty (a one-sided market); a crossed top (best_bid > best_ask) is rejected.

pub fn bids(&self) -> &[DepthLevel]

pub fn asks(&self) -> &[DepthLevel]

pub fn best_bid(&self) -> Option<DepthLevel>

pub fn best_ask(&self) -> Option<DepthLevel>

pub fn mid(&self) -> Option<f64>

Top-of-book midpoint, when both sides exist.

pub fn vwap_for_size(&self, side: Transection, quantity: f64) -> Option<f64>

Volume-weighted average execution price for quantity, walking the book: a Buy lifts asks, a Sell hits bids. None when the displayed depth cannot fill the quantity (or it is not positive) — the honest answer, not an extrapolation.

pub fn slippage_for_size(&self, side: Transection, quantity: f64) -> Option<f64>

Slippage of filling quantity versus marking at mid: vwap - mid for a buy, mid - vwap for a sell (so it is a cost when positive).

pub fn to_quote(&self) -> Option<Quote>

Collapse to the pricing observable: a sized top-of-book Quote, when both sides exist. This is the snapshot-boundary conversion a trading adapter runs to feed the pricing layer.

Trait Implementations

impl Clone for MarketDepth

fn clone(&self) -> MarketDepth

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for MarketDepth

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl PartialEq for MarketDepth

fn eq(&self, other: &MarketDepth) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl StructuralPartialEq for MarketDepth