Struct OrderBook 

pub struct OrderBook { /* private fields */ }

Live order book for a single symbol.

Implementations

impl OrderBook

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

pub fn apply(&mut self, delta: BookDelta) -> Result<(), StreamError>

Apply an incremental delta. quantity == 0 removes the level.

pub fn reset( &mut self, bids: Vec<PriceLevel>, asks: Vec<PriceLevel>, ) -> Result<(), StreamError>

Reset the book from a full snapshot.

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

Best bid (highest).

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

Best ask (lowest).

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

Mid price.

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

Spread.

pub fn bid_depth(&self) -> usize

Number of bid levels.

pub fn ask_depth(&self) -> usize

Number of ask levels.

pub fn symbol(&self) -> &str

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

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

Top N bids (descending by price).

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

Top N asks (ascending by price).