Type Alias dbn::record::Cbbo1MMsg

source · 
pub type Cbbo1MMsg = CbboMsg;
Expand description

The record of the Cbbo1M schema.

Aliased Type§

struct Cbbo1MMsg {
    pub hd: RecordHeader,
    pub price: i64,
    pub size: u32,
    pub action: i8,
    pub side: i8,
    pub flags: FlagSet,
    pub ts_recv: u64,
    pub ts_in_delta: i32,
    pub sequence: u32,
    pub levels: [ConsolidatedBidAskPair; 1],
    /* private fields */
}

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: FlagSet

A bit field indicating event end, message characteristics, and data quality. See enums::flags for possible values.

§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: [ConsolidatedBidAskPair; 1]

The top of the order book.