Type Alias dbn::record::Bbo1SMsg

pub type Bbo1SMsg = Mbp1Msg;

The record of the Bbo1S schema.

Aliased Type

struct Bbo1SMsg {
    pub hd: RecordHeader,
    pub price: i64,
    pub size: u32,
    pub action: i8,
    pub side: i8,
    pub flags: u8,
    pub depth: u8,
    pub ts_recv: u64,
    pub ts_in_delta: i32,
    pub sequence: u32,
    pub levels: [BidAskPair; 1],
}

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: i8

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

side: i8

The side that initiates the event. Can be Ask for a sell order (or sell aggressor in a trade), Bid for a buy order (or buy aggressor in a trade), or None where no side is specified by the original source.

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; 1]

The top of the order book.