dbn::record

Type Alias Bbo1SMsg

Source 
pub type Bbo1SMsg = BboMsg;
Expand description

The record of the Bbo1S schema.

Aliased Type§

#[repr(C)]
pub struct Bbo1SMsg {
    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 last trade price 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.

See Prices.

§size: u32

The last trade quantity.

§side: i8

The side that initiated the last trade. Can be Ask for a sell aggressor, Bid for a buy aggressor, or None where no side is specified.

See Side.

§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, clamped to the second/minute boundary, expressed as the number of nanoseconds since the UNIX epoch.

§sequence: u32

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

§levels: [BidAskPair; 1]

The top of the order book.