Struct OrderBookTracker 

pub struct OrderBookTracker {
    pub symbol: String,
    /* private fields */
}

Maintains a live orderbook from snapshot + delta stream.

Ordering

• bids: ascending DecimalKey → iterate in reverse for descending price order
• asks: ascending DecimalKey → iterate forward for ascending price order

Sequence gap detection

When a delta carries prev_update_id and the book has a known last_update_id, they must match. On mismatch OrderBookError::SequenceGap is returned and the book is left unchanged — the consumer should request a fresh snapshot.

Fields

symbol: String

Symbol this tracker was created for.

Implementations

impl OrderBookTracker

pub fn new(symbol: impl Into<String>) -> Self

Create a new empty tracker for the given symbol.

pub fn apply_snapshot( &mut self, snapshot: &OrderBook, ) -> Result<(), OrderBookError>

Replace the full book state with the given snapshot.

The snapshot.symbol is not checked (snapshots from OrderBook REST calls do not carry a symbol field — the caller is responsible for routing the right snapshot to the right tracker). Pass symbol explicitly via the second argument to verify.

Clears all previous bids/asks, then populates from the snapshot levels.

pub fn apply_delta( &mut self, delta: &OrderbookDelta, ) -> Result<(), OrderBookError>

Apply an incremental delta to the live book.

Rules:

• Returns OrderBookError::NoSnapshot if no snapshot has been applied.
• Checks prev_update_id against last_update_id when both are present.
• A level with size 0.0 removes that price level; otherwise upserts.

pub fn top_bids(&self, n: usize) -> Vec<(Decimal, Decimal)>

Top n bid levels, highest price first.

pub fn top_asks(&self, n: usize) -> Vec<(Decimal, Decimal)>

Top n ask levels, lowest price first.

pub fn bbo(&self) -> Option<(Decimal, Decimal)>

Best bid/ask pair (best_bid, best_ask). None if either side is empty.

pub fn mid(&self) -> Option<Decimal>

Mid price: (best_bid + best_ask) / 2. None if book is empty.

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

Spread: best_ask - best_bid. None if book is empty.

pub fn total_bid_volume(&self) -> Decimal

Sum of all bid quantities.

pub fn total_ask_volume(&self) -> Decimal

Sum of all ask quantities.

pub fn depth(&self) -> (usize, usize)

(bid_levels, ask_levels) — number of distinct price levels per side.

pub fn last_update_id(&self) -> Option<u64>

last_update_id from the most recent snapshot or delta.

pub fn last_timestamp_ms(&self) -> i64

Unix millisecond timestamp of the most recent update.

pub fn has_snapshot(&self) -> bool

Whether a snapshot has been applied.

pub fn reset(&mut self)

Reset the tracker to an empty state (keeps symbol).

Trait Implementations

impl Clone for OrderBookTracker

fn clone(&self) -> OrderBookTracker

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OrderBookTracker

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

Formats the value using the given formatter.