Expand description
Market data types for encoding different Databento Schema
s
and conversion functions.
Structs§
- A level.
- Consolidated market by price implementation with a known book depth of 1. The record of the
Cbbo
schema. - A price level consolidated from multiple venues.
- An error message from the Databento Live Subscription Gateway (LSG).
- An auction imbalance message.
- Definition of an instrument. The record of the
Definition
schema. - A market-by-order (MBO) tick message. The record of the
Mbo
schema. - Market by price implementation with a known book depth of 1. The record of the
Mbp1
schema. - Market by price implementation with a known book depth of 10. The record of the
Mbp10
schema. - Open, high, low, close, and volume. The record of the following schemas:
- Common data for all Databento records. Always found at the beginning of a record struct.
- A statistics message. A catchall for various data disseminated by publishers. The
stat_type
indicates the statistic contained in the message. - A trrading status update message. The record of the
Status
schema. - A symbol mapping message which maps a symbol of one
SType
to another. - A non-error message from the Databento Live Subscription Gateway (LSG). Also used for heartbeating.
- Market by price implementation with a book depth of 0. Equivalent to MBP-0. The record of the
Trades
schema. - Wrapper object for records that include the live gateway send timestamp (
ts_out
).
Traits§
- Used for polymorphism around types all beginning with a
RecordHeader
wherertype
is the discriminant used for indicating the type of record. - Used for polymorphism around mutable types beginning with a
RecordHeader
.
Functions§
- Tries to convert a slice of
c_char
s to a UTF-8str
. - Tries to convert a str slice to fixed-length null-terminated C char array.
- Provides a relatively safe method for converting a view on bytes into a a
RecordHeader
. Because it accepts a reference, the lifetime of the returned reference is tied to the input. - Provides a relatively safe method for converting a reference to a
RecordHeader
to a struct beginning with the header. Because it accepts a reference, the lifetime of the returned reference is tied to the input. - Provides a relatively safe method for converting a reference to
RecordHeader
to a struct beginning with the header. Because it accepts a reference, the lifetime of the returned reference is tied to the input. This function checksrtype
before casting to ensurebytes
contains aT
. - Provides a relatively safe method for converting a mut reference to a
RecordHeader
to a struct beginning with the header. Because it accepts a reference, the lifetime of the returned reference is tied to the input. - Parses a raw nanosecond-precision UNIX timestamp to an
OffsetDateTime
. ReturnsNone
ifts
contains the sentinel for a null timestamp.