Struct lobster::OrderBook

pub struct OrderBook { /* fields omitted */ }

An order book that executes orders serially through the execute method.

Implementations

impl OrderBook

pub fn new(
    arena_capacity: usize,
    queue_capacity: usize,
    track_stats: bool
) -> Self

Create an instance representing a single order book.

The arena_capacity parameter represents the number of orders that will be pre-allocated.

The queue_capacity parameter represents the capacity of each vector storing orders at the same price point.

The track_stats parameter indicates whether to enable volume and trades tracking (see last_trade and traded_volume).

pub fn min_ask(&self) -> Option<u64>

Return the lowest ask price, if present.

pub fn max_bid(&self) -> Option<u64>

Return the highest bid price, if present.

pub fn spread(&self) -> Option<u64>

Return the difference of the lowest ask and highest bid, if both are present.

pub fn last_trade(&self) -> Option<Trade>

Return the last trade recorded while stats tracking was active as a Trade object, if present.

pub fn traded_volume(&self) -> u64

Return the total traded volume for all the trades that occurred while the stats tracking was active.

pub fn depth(&self, levels: usize) -> BookDepth

Return the order book depth as a BookDepth struct, up to the specified level. Bids and offers at the same price level are merged in a single BookLevel struct.

pub fn track_stats(&mut self, track: bool)

Toggle the stats tracking on or off, depending on the track parameter.

pub fn execute(&mut self, event: OrderType) -> OrderEvent

Execute an order, returning immediately an event indicating the result.

Trait Implementations

impl Debug for OrderBook

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

Formats the value using the given formatter.

impl Default for OrderBook

fn default() -> Self

Create an instance representing a single order book, with stats tracking disabled, a default arena capacity of 10,000 and a default queue capacity of 10.