orderbook-rs 0.6.2

A high-performance, lock-free price level implementation for limit order books in Rust. This library provides the building blocks for creating efficient trading systems with support for multiple order types and concurrent access patterns.
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27

use pricelevel::Side;
use serde::{Deserialize, Serialize};
use std::sync::Arc;

/// Event data for orderbook price level changes.
/// It is assumed that the listener is aware of the
/// order book context so we are not adding symbol here.
/// This event is sent on operations that update the order book price levels
/// e.g. adding, cancelling, updating or matching order
#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
pub struct PriceLevelChangedEvent {
    /// the order book side of the price level
    pub side: Side,

    /// price level price
    pub price: u128,

    /// latest visible quantity of the order book at this price level
    pub quantity: u64,
}

/// A thread-safe listener callback for price level change events.
///
/// This type alias represents a function that will be called whenever
/// a price level in the order book changes (e.g., order added, cancelled,
/// matched, or updated).
pub type PriceLevelChangedListener = Arc<dyn Fn(PriceLevelChangedEvent) + Send + Sync>;