pub type TbboMsg = Mbp1Msg;
Expand description
The record of the Tbbo
schema.
Aliased Type§
struct TbboMsg {
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.