Struct OrderBook 

pub struct OrderBook { /* private fields */ }

Normalised Barter OrderBook snapshot.

Equality

PartialEq/Eq is derived over all fields, including the OrderBookTimes timestamps. Because time_received is stamped per construction, two content-identical books observed at different instants compare unequal. For content comparison use the accessors (sequence()/bids()/asks()).

Implementations

impl OrderBook

pub fn new<IterBids, IterAsks, L>( sequence: u64, times: OrderBookTimes, 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 from_sides( sequence: u64, times: OrderBookTimes, bids: OrderBookSide<Bids>, asks: OrderBookSide<Asks>, ) -> Self

Construct an OrderBook from pre-sorted OrderBookSides.

Use this when you already have sorted sides to avoid re-sorting overhead. Caller must ensure sides are correctly sorted (bids descending, asks ascending).

pub fn sequence(&self) -> u64

Current u64 sequence number associated with the OrderBook.

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

Matching-engine time associated with the OrderBook ("T" on Binance futures).

None when the venue doesn’t supply matching-engine time (Binance spot, IBKR, …). This is for latency / engine audit — not a liveness signal; use OrderBook::time_exchange/OrderBook::time_received for staleness.

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

Venue event/broadcast time associated with the OrderBook ("E" on Binance, ts on Bybit).

Feed-lag-aware liveness where present: now - time_exchange catches data that is old despite being just received. None when the venue supplies no broadcast timestamp (IBKR; Binance spot REST seed before the first diff). None is a capability signal, not a defect — fall back to OrderBook::time_received.

Note the asymmetry with MarketEvent::time_exchange (non-Option, with a local fallback): here None means “the venue gave nothing”.

pub fn time_received(&self) -> DateTime<Utc>

Local ingestion wall-clock associated with the OrderBook.

The universal liveness floor — always present once a revision is applied, on every venue (including IBKR, where it is the only liveness signal). Skew-immune: now - time_received is a same-clock comparison. Prefer it as the fallback when OrderBook::time_exchange is None.

A default/pre-population book (OrderBook::default) reports the epoch (1970) here, so it reads as stale until the first revision — the intended liveness-floor behaviour.

pub fn times(&self) -> OrderBookTimes

All revision timestamps for this OrderBook as a single OrderBookTimes.

Convenience over the individual time_engine/time_exchange/ time_received accessors for forwarding the whole set in one (Copy) move — e.g. reconstructing a book that shares this revision’s times.

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

Generate a sorted OrderBook snapshot with a maximum depth.

The returned snapshot carries the same OrderBookTimes as the source book (timestamps are not reset).

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

Update the local OrderBook from a new OrderBookEvent.

Update advances the book’s OrderBookTimes wholesale (alongside upserting the changed levels); Snapshot replaces the book in its entirety, including its times.

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 Eq for OrderBook

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 StructuralPartialEq for OrderBook