Struct BboMsg 

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

Subsampled market by price with a known book depth of 1. The record of the Bbo1S and Bbo1M 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.

sequence: u32

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

levels: [BidAskPair; 1]

The top of the order book.

Implementations

impl BboMsg

pub fn default_for_schema(schema: Schema) -> Self

Creates a new default BboMsg for the given schema.

impl BboMsg

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 BboMsg

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

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

impl Clone for BboMsg

fn clone(&self) -> BboMsg

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for BboMsg

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for BboMsg

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl HasRType for BboMsg

fn has_rtype(rtype: u8) -> bool

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

impl Hash for BboMsg

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 BboMsg

Available on crate feature python only.

Convert bare BboMsg to Python by wrapping with UNDEF_TIMESTAMP for ts_out.

type Target = PyAny

The Python output type

type Output = Bound<'py, PyAny>

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::Output, Self::Error>

Performs the conversion.

impl PartialEq for BboMsg

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

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 Record for BboMsg

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 BboMsg

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 BboMsg

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 BboMsg

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 BboMsg

impl Eq for BboMsg

impl StructuralPartialEq for BboMsg