Struct DepthCache 

pub struct DepthCache {
    pub symbol: String,
    pub last_update_id: u64,
    pub update_time: Option<u64>,
    /* private fields */
}

A local order book cache that maintains bid/ask levels.

This struct provides efficient access to order book data with sorted bids (highest first) and asks (lowest first).

Fields

symbol: String

Trading pair symbol.

last_update_id: u64

Last update ID from the exchange.

update_time: Option<u64>

Last update time.

Implementations

impl DepthCache

pub fn new(symbol: &str) -> Self

Create a new depth cache for a symbol.

pub fn initialize_from_snapshot(&mut self, order_book: &OrderBook)

Initialize the cache from a REST API order book snapshot.

pub fn apply_update(&mut self, event: &DepthEvent) -> bool

Apply a depth update event to the cache.

Returns true if the update was applied, false if it was skipped (e.g., due to sequence issues).

pub fn best_bid(&self) -> Option<(f64, f64)>

Get the best bid (highest bid price and quantity).

pub fn best_ask(&self) -> Option<(f64, f64)>

Get the best ask (lowest ask price and quantity).

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

Get the bid-ask spread.

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

Get the mid price.

pub fn get_bids(&self) -> Vec<(f64, f64)>

Get all bids sorted by price (highest first).

pub fn get_asks(&self) -> Vec<(f64, f64)>

Get all asks sorted by price (lowest first).

pub fn get_top_bids(&self, n: usize) -> Vec<(f64, f64)>

Get the top N bids.

pub fn get_top_asks(&self, n: usize) -> Vec<(f64, f64)>

Get the top N asks.

pub fn total_bid_volume(&self) -> f64

Get the total bid volume.

pub fn total_ask_volume(&self) -> f64

Get the total ask volume.

Trait Implementations

impl Clone for DepthCache

fn clone(&self) -> DepthCache

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for DepthCache

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

Formats the value using the given formatter.