Struct OrderBook

pub struct OrderBook {
    pub instrument_name: String,
    pub timestamp: i64,
    pub bids: Vec<OrderBookEntry>,
    pub asks: Vec<OrderBookEntry>,
    pub change_id: u64,
    pub prev_change_id: Option<u64>,
}

Order book data

Fields

instrument_name: String

Instrument name

timestamp: i64

Timestamp of the order book

bids: Vec<OrderBookEntry>

Bid levels (sorted by price descending)

asks: Vec<OrderBookEntry>

Ask levels (sorted by price ascending)

change_id: u64

Change ID for incremental updates

prev_change_id: Option<u64>

Previous change ID

Implementations

impl OrderBook

pub fn new(instrument_name: String, timestamp: i64, change_id: u64) -> OrderBook

Create a new empty order book

pub fn best_bid(&self) -> Option<f64>

Get best bid price

pub fn best_ask(&self) -> Option<f64>

Get best ask price

pub fn spread(&self) -> Option<f64>

Get bid-ask spread

pub fn mid_price(&self) -> Option<f64>

Get mid price

pub fn total_bid_volume(&self) -> f64

Calculate total bid volume

pub fn total_ask_volume(&self) -> f64

Calculate total ask volume

pub fn volume_at_price(&self, price: f64, is_bid: bool) -> f64

Get volume at specific price level

Trait Implementations

impl Clone for OrderBook

fn clone(&self) -> OrderBook

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OrderBook

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for OrderBook

fn deserialize<__D>( __deserializer: __D, ) -> Result<OrderBook, <__D as Deserializer<'de>>::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Display for OrderBook

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

Formats the value using the given formatter.

impl Serialize for OrderBook

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

where __S: Serializer,

Serialize this value into the given Serde serializer.