Struct CbboMsg 

pub struct CbboMsg {
    pub hd: RecordHeader,
    pub price: i64,
    pub size: u32,
    pub side: c_char,
    pub flags: FlagSet,
    pub ts_recv: u64,
    pub levels: [ConsolidatedBidAskPair; 1],
    /* private fields */
}

Subsampled consolidated market by price with a known book depth of 1. The record of the Cbbo1S and Cbbo1M schemas.

Fields

hd: RecordHeader

The common header.

price: i64

The last trade price 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 quantity of the last trade.

side: c_char

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.

See Side.

flags: FlagSet

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

ts_recv: u64

The end timestamp of the interval capture-server-received timestamp expressed as the number of nanoseconds since the UNIX epoch.

See ts_recv.

levels: [ConsolidatedBidAskPair; 1]

The top of the order book.

Implementations

impl CbboMsg

pub fn default_for_schema(schema: Schema) -> Self

Creates a new default CbboMsg for the given schema.

impl CbboMsg

pub fn price_f64(&self) -> f64

Converts the last trade price to a floating point.

UNDEF_PRICE will be converted to NaN.

This may introduce floating-point error.

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

Parses the side that initiated the last trade into an enum.

Errors

This function returns an error if the side field does not contain a valid Side.

pub fn ts_recv(&self) -> Option<OffsetDateTime>

Parses the end timestamp of the interval capture-server-received timestamp into a datetime. Returns None if ts_recv contains the sentinel for a null timestamp.

Trait Implementations

impl AsRef<[u8]> for CbboMsg

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

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

impl Clone for CbboMsg

fn clone(&self) -> CbboMsg

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for CbboMsg

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for CbboMsg

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 CbboMsg> for RecordRefEnum<'a>

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

Converts to this type from the input type.

impl From<CbboMsg> for RecordEnum

fn from(rec: CbboMsg) -> Self

Converts to this type from the input type.

impl HasRType for CbboMsg

fn has_rtype(rtype: u8) -> bool

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

impl Hash for CbboMsg

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<'py> IntoPyObject<'py> for CbboMsg

type Target = CbboMsg

The Python output type

type Output = Bound<'py, <CbboMsg as IntoPyObject<'py>>::Target>

The smart pointer type to use.

type Error = PyErr

The type returned in the event of a conversion error.

fn into_pyobject( self, py: Python<'py>, ) -> Result<<Self as IntoPyObject<'_>>::Output, <Self as IntoPyObject<'_>>::Error>

Performs the conversion.

impl PartialEq for CbboMsg

fn eq(&self, other: &CbboMsg) -> 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 CbboMsg

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 CbboMsg

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for CbboMsg

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)]

const IS_IMMUTABLE_TYPE: bool = false

#[pyclass(immutable_type)]

const RAW_DOC: &'static CStr = /// Subsampled consolidated market by price with a known book depth of 1. The record of the [`Cbbo1S`](crate::Schema::Cbbo1S) and [`Cbbo1M`](crate::Schema::Cbbo1M) schemas.

Docstring for the class provided on the struct or enum.

const DOC: &'static CStr

Fully rendered class doc, including the text_signature if a constructor is defined.

type BaseType = PyAny

Base class

type ThreadChecker = SendablePyClass<CbboMsg>

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

The closest native ancestor. This is PyAny by default, and when you declare #[pyclass(extends=PyDict)], it’s PyDict.

fn items_iter() -> PyClassItemsIter

fn dict_offset() -> Option<Py_ssize_t>

fn lazy_type_object() -> &'static LazyTypeObject<Self>

fn weaklist_offset() -> Option<isize>

impl PyClassNewTextSignature for CbboMsg

Available on crate feature python only.

const TEXT_SIGNATURE: &'static str = "(rtype, publisher_id, instrument_id, ts_event, price, size, side, ts_recv, flags=None, levels=None)"

impl<'a, 'holder, 'py> PyFunctionArgument<'a, 'holder, 'py, false> for &'holder CbboMsg

type Holder = Option<PyClassGuard<'a, CbboMsg>>

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

impl<'a, 'holder, 'py> PyFunctionArgument<'a, 'holder, 'py, false> for &'holder mut CbboMsg

type Holder = Option<PyClassGuardMut<'a, CbboMsg>>

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

impl PyMethods<CbboMsg> for PyClassImplCollector<CbboMsg>

Available on crate feature python only.

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for CbboMsg

const NAME: &'static str = "CBBOMsg"

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

Returns the safe abstraction over the type object.

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

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

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

Checks if object is an instance of this type.

impl Record for CbboMsg

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 CbboMsg

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 CbboMsg

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 CbboMsg

impl DerefToPyAny for CbboMsg

impl Eq for CbboMsg

impl StructuralPartialEq for CbboMsg