Struct OrderBookL1 

pub struct OrderBookL1 {
    pub last_update_time: DateTime<Utc>,
    pub best_bid: Option<Level>,
    pub best_ask: Option<Level>,
}

Normalised Barter OrderBookL1 snapshot containing the latest best bid and ask.

Fields

last_update_time: DateTime<Utc>

best_bid: Option<Level>

best_ask: Option<Level>

Implementations

impl OrderBookL1

pub const fn new( last_update_time: DateTime<Utc>, best_bid: Option<Level>, best_ask: Option<Level>, ) -> OrderBookL1

impl OrderBookL1

pub fn mid_price(&self) -> Option<Decimal>

Calculate the mid-price by taking the average of the best bid and ask prices.

See Docs: https://www.quantstart.com/articles/high-frequency-trading-ii-limit-order-book

pub fn volume_weighed_mid_price(&self) -> Option<Decimal>

Calculate the volume weighted mid-price (micro-price), weighing the best bid and ask prices with their associated amount.

See Docs: https://www.quantstart.com/articles/high-frequency-trading-ii-limit-order-book

Trait Implementations

impl Clone for OrderBookL1

fn clone(&self) -> OrderBookL1

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OrderBookL1

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

Formats the value using the given formatter.

impl Default for OrderBookL1

fn default() -> OrderBookL1

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for OrderBookL1

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl From<OrderBookL1> for DataKind

fn from(value: OrderBookL1) -> Self

Converts to this type from the input type.

impl Hash for OrderBookL1

fn hash<__H: Hasher>(&self, state: &mut __H)

Feeds this value into the given Hasher.

fn hash_slice<H>(data: &[Self], state: &mut H)

where H: Hasher, Self: Sized,

Feeds a slice of this type into the given Hasher.

impl Ord for OrderBookL1

fn cmp(&self, other: &OrderBookL1) -> Ordering

This method returns an Ordering between self and other.

fn max(self, other: Self) -> Self

where Self: Sized,

Compares and returns the maximum of two values.

fn min(self, other: Self) -> Self

where Self: Sized,

Compares and returns the minimum of two values.

fn clamp(self, min: Self, max: Self) -> Self

where Self: Sized,

Restrict a value to a certain interval.

impl PartialEq for OrderBookL1

fn eq(&self, other: &OrderBookL1) -> bool

Tests for self and other values to be equal, and is used by ==.

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

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl PartialOrd for OrderBookL1

fn partial_cmp(&self, other: &OrderBookL1) -> Option<Ordering>

This method returns an ordering between self and other values if one exists.

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

Tests less than (for self and other) and is used by the < operator.

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

Tests less than or equal to (for self and other) and is used by the <= operator.

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

Tests greater than (for self and other) and is used by the > operator.

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

Tests greater than or equal to (for self and other) and is used by the >= operator.

impl Serialize for OrderBookL1

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl Eq for OrderBookL1

impl StructuralPartialEq for OrderBookL1