Struct MboMsg

#[repr(C)]
pub struct MboMsg {
    pub hd: RecordHeader,
    pub order_id: u64,
    pub price: i64,
    pub size: u32,
    pub flags: FlagSet,
    pub channel_id: u8,
    pub action: c_char,
    pub side: c_char,
    pub ts_recv: u64,
    pub ts_in_delta: i32,
    pub sequence: u32,
}

A market-by-order (MBO) tick message. The record of the Mbo schema.

Fields

hd: RecordHeader

The common header.

order_id: u64

The order ID assigned at the venue.

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.

flags: FlagSet

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

channel_id: u8

A channel ID within the venue.

action: c_char

The event action. Can be Add, Cancel, Modify, cleaR, Trade, Fill, or None.

side: c_char

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.

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.

Implementations

impl MboMsg

pub fn price_f64(&self) -> f64

Returns the price as a floating point.

UNDEF_PRICE will be converted to NaN.

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

Tries to convert the raw order 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 interval 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 MboMsg

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

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

impl Clone for MboMsg

fn clone(&self) -> MboMsg

Returns a copy of the value.

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

Performs copy-assignment from source.

impl Debug for MboMsg

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

Formats the value using the given formatter.

impl Default for MboMsg

fn default() -> Self

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for MboMsg

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

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

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

Converts to this type from the input type.

impl From<MboMsg> for RecordEnum

fn from(rec: MboMsg) -> Self

Converts to this type from the input type.

impl HasRType for MboMsg

fn has_rtype(rtype: u8) -> bool

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

impl Hash for MboMsg

fn hash<__H: Hasher>(&self, state: &mut __H)

Feeds this value into the given Hasher.

fn hash_slice<H>(data: &[Self], state: &mut H)

where H: Hasher, Self: Sized,

Feeds a slice of this type into the given Hasher.

impl IntoPy<Py<PyAny>> for MboMsg

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

Performs the conversion.

impl PartialEq for MboMsg

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

Tests for self and other values to be equal, and is used by ==.

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

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

impl PartialOrd for MboMsg

fn partial_cmp(&self, other: &Self) -> Option<Ordering>

This method returns an ordering between self and other values if one exists.

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

Tests less than (for self and other) and is used by the < operator.

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

Tests less than or equal to (for self and other) and is used by the <= operator.

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

Tests greater than (for self and other) and is used by the > operator.

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

Tests greater than or equal to (for self and other) and is used by the >= operator.

impl PyClass for MboMsg

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for MboMsg

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 BaseType = PyAny

Base class

type ThreadChecker = SendablePyClass<MboMsg>

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

Available on non-crate feature gil-refs only.

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<MboMsg> for PyClassImplCollector<MboMsg>

Available on crate feature python only.

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

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

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

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

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

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

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

impl PyMethods<MboMsg> for PyClassImplCollector<MboMsg>

Available on crate feature python only.

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for MboMsg

const NAME: &'static str = "MBOMsg"

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_bound(py: Python<'_>) -> Bound<'_, PyType>

Returns the safe abstraction over the type object.

fn is_type_of_bound(object: &Bound<'_, PyAny>) -> bool

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

fn is_exact_type_of_bound(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.

impl Record for MboMsg

fn header(&self) -> &RecordHeader

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

fn raw_index_ts(&self) -> u64

Returns the raw primary timestamp for the record.

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.

fn index_ts(&self) -> Option<OffsetDateTime>

Returns the primary timestamp for the record. Returns None if the primary timestamp contains the sentinel value for a null timestamp.

fn index_date(&self) -> Option<Date>

Returns the primary date for the record; the date component of the primary timestamp (index_ts()). Returns None if the primary timestamp contains the sentinel value for a null timestamp.

impl RecordMut for MboMsg

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

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

impl Serialize for MboMsg

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl Copy for MboMsg

impl DerefToPyAny for MboMsg

impl Eq for MboMsg

impl StructuralPartialEq for MboMsg