Struct OrderBook 

pub struct OrderBook { /* private fields */ }

Normalised Barter OrderBook snapshot.

Implementations

impl OrderBook

pub fn new<IterBids, IterAsks, L>( sequence: u64, time_engine: Option<DateTime<Utc>>, bids: IterBids, asks: IterAsks, ) -> Self

where IterBids: IntoIterator<Item = L>, IterAsks: IntoIterator<Item = L>, L: Into<Level>,

Construct a new sorted OrderBook.

Note that the passed bid and asks levels do not need to be pre-sorted.

pub fn sequence(&self) -> u64

Current u64 sequence number associated with the OrderBook.

pub fn time_engine(&self) -> Option<DateTime<Utc>>

Current engine time associated with the OrderBook.

pub fn snapshot(&self, depth: usize) -> Self

Generate a sorted OrderBook snapshot with a maximum depth.

pub fn update(&mut self, event: &OrderBookEvent)

Update the local OrderBook from a new OrderBookEvent.

pub fn bids(&self) -> &OrderBookSide<Bids>

Return a reference to this OrderBooks bids.

pub fn asks(&self) -> &OrderBookSide<Asks>

Return a reference to this OrderBooks asks.

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 OrderBook

fn clone(&self) -> OrderBook

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OrderBook

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

Formats the value using the given formatter.

impl Default for OrderBook

fn default() -> OrderBook

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for OrderBook

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl PartialEq for OrderBook

fn eq(&self, other: &OrderBook) -> 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 Serialize for OrderBook

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 OrderBook

impl StructuralPartialEq for OrderBook