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.
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//! OrderBook implementation for managing multiple price levels and order matching.

pub mod book;
pub mod error;
/// Implied volatility calculation from order book prices.
pub mod implied_volatility;
/// Functional-style iterators for order book analysis.
pub mod iterators;
/// Multi-book management with centralized trade event routing.
pub mod manager;
/// Market impact simulation and liquidity analysis.
pub mod market_impact;
pub mod matching;
/// Aggregate statistics for order book analysis.
pub mod statistics;

/// Self-Trade Prevention (STP) types and logic.
pub mod stp;

/// Price level change events for real-time order book updates.
pub mod book_change_event;
mod cache;
/// Contains the core logic for modifying the order book state, such as adding, canceling, or updating orders.
pub mod modifications;
pub mod operations;
mod pool;
mod private;
pub mod snapshot;
mod tests;
/// Enhanced trade result that includes symbol information
pub mod trade;

/// Fee schedule implementation for trading fees
pub mod fees;

/// Mass cancel operations for bulk order removal.
pub mod mass_cancel;

/// Order state machine for explicit lifecycle tracking.
pub mod order_state;

/// Pluggable event serialization for NATS publishers and consumers.
pub mod serialization;

/// NATS JetStream trade event publisher.
#[cfg(feature = "nats")]
pub mod nats;

/// NATS JetStream order book change publisher with batching and throttling.
#[cfg(feature = "nats")]
pub mod nats_book_change;

/// Re-pricing logic for special order types (PeggedOrder and TrailingStop).
#[cfg(feature = "special_orders")]
pub mod repricing;

/// Sequencer subsystem: types, journal trait, and file-based journal.
pub mod sequencer;

pub use book::OrderBook;
pub use error::{ManagerError, OrderBookError};
pub use fees::FeeSchedule;
pub use implied_volatility::{
    BlackScholes, IVConfig, IVError, IVParams, IVQuality, IVResult, OptionType, PriceSource,
    SolverConfig,
};
pub use iterators::LevelInfo;
pub use market_impact::{MarketImpact, OrderSimulation};
pub use mass_cancel::MassCancelResult;
#[cfg(feature = "nats")]
pub use nats::NatsTradePublisher;
#[cfg(feature = "nats")]
pub use nats_book_change::{BookChangeBatch, BookChangeEntry, NatsBookChangePublisher};
pub use order_state::{CancelReason, OrderStateListener, OrderStateTracker, OrderStatus};
#[cfg(feature = "special_orders")]
pub use repricing::{RepricingOperations, RepricingResult, SpecialOrderTracker};
#[cfg(feature = "journal")]
pub use sequencer::FileJournal;
pub use sequencer::journal::{Journal, JournalEntry};
pub use sequencer::{JournalError, SequencerCommand, SequencerEvent, SequencerResult};
#[cfg(feature = "bincode")]
pub use serialization::BincodeEventSerializer;
pub use serialization::{EventSerializer, JsonEventSerializer, SerializationError};
pub use snapshot::{
    EnrichedSnapshot, MetricFlags, ORDERBOOK_SNAPSHOT_FORMAT_VERSION, OrderBookSnapshot,
    OrderBookSnapshotPackage,
};
pub use statistics::{DepthStats, DistributionBin};