Type Alias Bbo1MMsg

pub type Bbo1MMsg = BboMsg;

The record of the Bbo1M schema.

Aliased Type

struct Bbo1MMsg {
    pub hd: RecordHeader,
    pub price: i64,
    pub size: u32,
    pub side: i8,
    pub flags: FlagSet,
    pub ts_recv: u64,
    pub sequence: u32,
    pub levels: [BidAskPair; 1],
    /* private fields */
}

Fields

hd: RecordHeader

The common header.

price: i64

The price of the last trade expressed as a signed integer where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. Will be UNDEF_PRICE if there was no last trade in the session.

size: u32

The last trade quantity.

side: i8

The side that initiated the last trade. 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 or if there was no last trade.

flags: FlagSet

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

ts_recv: u64

The end timestamp of the interval as the number of nanoseconds since the UNIX epoch. Clamped to the 1-second or 1-minute boundary.

sequence: u32

The sequence number assigned at the venue of the last update.

levels: [BidAskPair; 1]

The top of the order book.