Struct ImbalanceMsg 

pub struct ImbalanceMsg {

    pub hd: RecordHeader,
    pub ts_recv: u64,
    pub ref_price: i64,
    pub auction_time: u64,
    pub cont_book_clr_price: i64,
    pub auct_interest_clr_price: i64,
    pub ssr_filling_price: i64,
    pub ind_match_price: i64,
    pub upper_collar: i64,
    pub lower_collar: i64,
    pub paired_qty: u32,
    pub total_imbalance_qty: u32,
    pub market_imbalance_qty: u32,
    pub unpaired_qty: u32,
    pub auction_type: c_char,
    pub side: c_char,
    pub auction_status: u8,
    pub freeze_status: u8,
    pub num_extensions: u8,
    pub unpaired_side: c_char,
    pub significant_imbalance: c_char,
    /* private fields */
}

An auction imbalance message.

Fields

hd: RecordHeader

The common header.

ts_recv: u64

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

See ts_recv.

ref_price: i64

The price at which the imbalance shares are calculated, where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. Will be UNDEF_PRICE when unused.

See Prices.

auction_time: u64

Projected auction timestamp expressed as the number of nanoseconds since the UNIX epoch. Will be UNDEF_TIMESTAMP when unused.

cont_book_clr_price: i64

The hypothetical auction-clearing price for both cross and continuous orders where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. Will be UNDEF_PRICE when unused.

See Prices.

auct_interest_clr_price: i64

The hypothetical auction-clearing price for cross orders only where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. Will be UNDEF_PRICE when unused.

See Prices.

ssr_filling_price: i64

The price at which sell short interest will be filed if a sell short restriction is in effect, where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. Will be UNDEF_PRICE when unused.

See Prices.

ind_match_price: i64

The price at which the highest number of shares would trade, subject to auction collars, where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. Will be UNDEF_PRICE when unused.

See Prices.

upper_collar: i64

Upper limit of the auction collar, where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. Will be UNDEF_PRICE when unused.

See Prices.

lower_collar: i64

Lower limit of the auction collar, where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. Will be UNDEF_PRICE when unused.

See Prices.

paired_qty: u32

The quantity of shares that are eligible to be matched at ref_price. Will be UNDEF_ORDER_SIZE when unused.

total_imbalance_qty: u32

The quantity of shares that are not paired at ref_price. Will be UNDEF_ORDER_SIZE when not used.

market_imbalance_qty: u32

The total market order imbalance quantity at the ref_price. Will be UNDEF_ORDER_SIZE when unused.

unpaired_qty: u32

During the Closing Auction, the number of unpaired shares priced at or better than the ref_price. Will be UNDEF_ORDER_SIZE when unused.

auction_type: c_char

Venue-specific character code indicating the auction type. Will be ~ when unused.

Refer to the venue-specific documentation.

side: c_char

The market side of the total_imbalance_qty. Can be Ask, Bid, or None.

See Side.

auction_status: u8

Venue-specific status code.

Refer to the venue-specific documentation.

freeze_status: u8

Venue-specific status code.

Refer to the venue-specific documentation.

num_extensions: u8

The number of times the halt period has been extended.

unpaired_side: c_char

The side of the unpaired_qty. Can be Ask, Bid, or None. Will be None when unused or not applicable.

See Side.

significant_imbalance: c_char

Venue-specific character code. For Nasdaq, contains the raw Price Variation Indicator.

Refer to the venue-specific documentation.

Implementations

impl ImbalanceMsg

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

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

pub fn ref_price_f64(&self) -> f64

Converts the ref price to a floating point.

UNDEF_PRICE will be converted to NaN.

This may introduce floating-point error.

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

Parses the auction time into a datetime. Returns None if auction_time contains the sentinel for a null timestamp.

pub fn cont_book_clr_price_f64(&self) -> f64

Converts the cont book clr price to a floating point.

UNDEF_PRICE will be converted to NaN.

This may introduce floating-point error.

pub fn auct_interest_clr_price_f64(&self) -> f64

Converts the auct interest clr price to a floating point.

UNDEF_PRICE will be converted to NaN.

This may introduce floating-point error.

pub fn ssr_filling_price_f64(&self) -> f64

Converts the ssr filling price to a floating point.

UNDEF_PRICE will be converted to NaN.

This may introduce floating-point error.

pub fn ind_match_price_f64(&self) -> f64

Converts the ind match price to a floating point.

UNDEF_PRICE will be converted to NaN.

This may introduce floating-point error.

pub fn upper_collar_f64(&self) -> f64

Converts the upper collar to a floating point.

UNDEF_PRICE will be converted to NaN.

This may introduce floating-point error.

pub fn lower_collar_f64(&self) -> f64

Converts the lower collar 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 into an enum.

Errors

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

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

Parses the unpaired side into an enum.

Errors

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

Trait Implementations

impl AsRef<[u8]> for ImbalanceMsg

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

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

impl Clone for ImbalanceMsg

fn clone(&self) -> ImbalanceMsg

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for ImbalanceMsg

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

Formats the value using the given formatter.

impl Default for ImbalanceMsg

fn default() -> Self

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for ImbalanceMsg

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 ImbalanceMsg> for RecordRefEnum<'a>

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

Converts to this type from the input type.

impl From<ImbalanceMsg> for RecordEnum

fn from(rec: ImbalanceMsg) -> Self

Converts to this type from the input type.

impl HasRType for ImbalanceMsg

fn has_rtype(rtype: u8) -> bool

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

impl Hash for ImbalanceMsg

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 ImbalanceMsg

type Target = ImbalanceMsg

The Python output type

type Output = Bound<'py, <ImbalanceMsg 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 ImbalanceMsg

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

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 ImbalanceMsg

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for ImbalanceMsg

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 = /// An auction imbalance message.

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<ImbalanceMsg>

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 ImbalanceMsg

Available on crate feature python only.

const TEXT_SIGNATURE: &'static str = "(publisher_id, instrument_id, ts_event, ts_recv, ref_price, auction_time, cont_book_clr_price, auct_interest_clr_price, paired_qty, total_imbalance_qty, auction_type, side, significant_imbalance, ssr_filling_price=..., ind_match_price=..., upper_collar=..., lower_collar=..., market_imbalance_qty=..., unpaired_qty=..., auction_status=0, freeze_status=0, num_extensions=0, unpaired_side=None)"

impl PyMethods<ImbalanceMsg> for PyClassImplCollector<ImbalanceMsg>

Available on crate feature python only.

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for ImbalanceMsg

const NAME: &'static str = "ImbalanceMsg"

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 ImbalanceMsg

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 ImbalanceMsg

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 ImbalanceMsg

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

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl WritePyRepr for ImbalanceMsg

Available on crate feature python only.

fn write_py_repr(&self, s: &mut String) -> Result

Writes a Python-style string representation to s.

const SHOULD_FLATTEN: bool = false

Whether this type’s fields should be flattened into the parent repr.

impl Copy for ImbalanceMsg

impl DerefToPyAny for ImbalanceMsg

impl Eq for ImbalanceMsg

impl ExtractPyClassWithClone for ImbalanceMsg

impl StructuralPartialEq for ImbalanceMsg