Struct dbn::record::Mbp10Msg

#[repr(C)]
pub struct Mbp10Msg {
    pub hd: RecordHeader,
    pub price: i64,
    pub size: u32,
    pub action: c_char,
    pub side: c_char,
    pub flags: u8,
    pub depth: u8,
    pub ts_recv: u64,
    pub ts_in_delta: i32,
    pub sequence: u32,
    pub levels: [BidAskPair; 10],
}

Market by price implementation with a known book depth of 10. The record of the Mbp10 schema.

Fields

hd: RecordHeader

The common header.

price: i64

The order price expressed as a signed integer where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001.

size: u32

The order quantity.

action: c_char

The event action. Can be Add, Cancel, Modify, cleaR, or Trade.

side: c_char

The order side. Can be Ask, Bid or None.

flags: u8

A combination of packet end with matching engine status. See enums::flags for possible values.

depth: u8

The depth of actual book change.

ts_recv: u64

The capture-server-received timestamp expressed as number of nanoseconds since the UNIX epoch.

ts_in_delta: i32

The delta of ts_recv - ts_exchange_send, max 2 seconds.

sequence: u32

The message sequence number assigned at the venue.

levels: [BidAskPair; 10]

The top 10 levels of the order book.

Implementations

impl Mbp10Msg

pub fn side(&self) -> Result<Side>

Tries to convert the raw side to an enum.

Errors

This function returns an error if the side field does not contain a valid Side.

pub fn action(&self) -> Result<Action>

Tries to convert the raw event action to an enum.

Errors

This function returns an error if the action field does not contain a valid Action.

pub fn ts_recv(&self) -> Option<OffsetDateTime>

Parses the raw capture-server-received timestamp into a datetime. Returns None if ts_recv contains the sentinel for a null timestamp.

pub fn ts_in_delta(&self) -> Duration

Parses the raw ts_in_delta—the delta of ts_recv - ts_exchange_send—into a duration.

Trait Implementations

impl AsRef<[u8]> for Mbp10Msg

fn as_ref(&self) -> &[u8]

Converts this type into a shared reference of the (usually inferred) input type.

impl Clone for Mbp10Msg

fn clone(&self) -> Mbp10Msg

Returns a copy of the value.

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

Performs copy-assignment from source.

impl Debug for Mbp10Msg

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

Formats the value using the given formatter.

impl<'a> From<&'a Mbp10Msg> for RecordRefEnum<'a>

fn from(rec: &'a Mbp10Msg) -> Self

Converts to this type from the input type.

impl From<Mbp10Msg> for RecordEnum

fn from(rec: Mbp10Msg) -> Self

Converts to this type from the input type.

impl HasRType for Mbp10Msg

fn has_rtype(rtype: u8) -> bool

Returns true if rtype matches the value associated with the implementing type.

fn header(&self) -> &RecordHeader

Returns a reference to the RecordHeader that comes at the beginning of all record types.

fn header_mut(&mut self) -> &mut RecordHeader

Returns a mutable reference to the RecordHeader that comes at the beginning of all record types.

fn record_size(&self) -> usize

Returns the size of the record in bytes.

fn rtype(&self) -> Result<RType>

Tries to convert the raw record type into an enum which is useful for exhaustive pattern matching.

fn publisher(&self) -> Result<Publisher>

Tries to convert the raw publisher_id into an enum which is useful for exhaustive pattern matching.

impl IntoPy<Py<PyAny>> for Mbp10Msg

fn into_py(self, py: Python<'_>) -> PyObject

Performs the conversion.

impl PartialEq for Mbp10Msg

fn eq(&self, other: &Mbp10Msg) -> bool

This method tests for self and other values to be equal, and is used by ==.

fn ne(&self, other: &Rhs) -> bool

This method tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl PyClass for Mbp10Msg

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for Mbp10Msg

const IS_BASETYPE: bool = false

#[pyclass(subclass)]

const IS_SUBCLASS: bool = false

#[pyclass(extends=…)]

const IS_MAPPING: bool = false

#[pyclass(mapping)]

const IS_SEQUENCE: bool = false

#[pyclass(sequence)]

type Layout = PyCell<Mbp10Msg>

Layout

type BaseType = PyAny

Base class

type ThreadChecker = ThreadCheckerStub<Mbp10Msg>

This handles following two situations:

type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::MutableChild

Immutable or mutable

type Dict = PyClassDictSlot

Specify this class has #[pyclass(dict)] or not.

type WeakRef = PyClassDummySlot

Specify this class has #[pyclass(weakref)] or not.

type BaseNativeType = PyAny

The closest native ancestor. This is PyAny by default, and when you declare #[pyclass(extends=PyDict)], it’s PyDict.

fn items_iter() -> PyClassItemsIter

fn doc(py: Python<'_>) -> PyResult<&'static CStr>

Rendered class doc

fn dict_offset() -> Option<Py_ssize_t>

fn lazy_type_object() -> &'static LazyTypeObject<Self>

fn weaklist_offset() -> Option<isize>

impl PyClassNewTextSignature<Mbp10Msg> for PyClassImplCollector<Mbp10Msg>

Available on crate feature python only.

fn new_text_signature(self) -> Option<&'static str>

impl<'a, 'py> PyFunctionArgument<'a, 'py> for &'a Mbp10Msg

type Holder = Option<PyRef<'py, Mbp10Msg>>

fn extract(obj: &'py PyAny, holder: &'a mut Self::Holder) -> PyResult<Self>

impl<'a, 'py> PyFunctionArgument<'a, 'py> for &'a mut Mbp10Msg

type Holder = Option<PyRefMut<'py, Mbp10Msg>>

fn extract(obj: &'py PyAny, holder: &'a mut Self::Holder) -> PyResult<Self>

impl PyMethods<Mbp10Msg> for PyClassImplCollector<Mbp10Msg>

Available on crate feature python only.

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for Mbp10Msg

type AsRefTarget = PyCell<Mbp10Msg>

Utility type to make Py::as_ref work.

const NAME: &'static str = "MBP10Msg"

Class name.

const MODULE: Option<&'static str> = _

Module name, if any.

fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject

Returns the PyTypeObject instance for this type.

fn type_object(py: Python<'_>) -> &PyType

Returns the safe abstraction over the type object.

fn is_type_of(object: &PyAny) -> bool

Checks if object is an instance of this type or a subclass of this type.

fn is_exact_type_of(object: &PyAny) -> bool

Checks if object is an instance of this type.

impl Copy for Mbp10Msg

impl Eq for Mbp10Msg

impl StructuralEq for Mbp10Msg

impl StructuralPartialEq for Mbp10Msg