Struct HistoricalDepth 

pub struct HistoricalDepth {
    pub aggr_time: u64,
    /* private fields */
}

Fields

aggr_time: u64

Implementations

impl HistoricalDepth

pub fn new( min_order_qty: MinQtySize, tick_size: PriceStep, basis: Basis, ) -> Self

pub fn insert_latest_depth(&mut self, depth: &Depth, time: u64)

pub fn is_empty(&self) -> bool

pub fn iter_time_filtered( &self, earliest: u64, latest: u64, highest: Price, lowest: Price, ) -> impl Iterator<Item = (&Price, &Vec<OrderRun>)>

pub fn latest_order_runs( &self, highest: Price, lowest: Price, latest_timestamp: u64, ) -> impl Iterator<Item = (&Price, &OrderRun)>

pub fn cleanup_old_price_levels(&mut self, oldest_time: u64)

pub fn coalesced_runs( &self, earliest: u64, latest: u64, highest: Price, lowest: Price, market_type: MarketKind, order_size_filter: f32, coalesce_kind: CoalesceKind, ) -> Vec<(Price, OrderRun)>

pub fn query_grid_qtys( &self, center_time: u64, center_price: Price, time_interval_offsets: &[i64], price_tick_offsets: &[i64], market_type: MarketKind, order_size_filter: f32, coalesce_kind: Option<CoalesceKind>, ) -> FxHashMap<(u64, Price), (Qty, bool)>

pub fn max_qty_in_range_raw( &self, earliest: u64, latest: u64, highest: Price, lowest: Price, ) -> Qty

pub fn max_depth_qty_in_range( &self, earliest: u64, latest: u64, highest: Price, lowest: Price, market_type: MarketKind, order_size_filter: f32, ) -> Qty

Trait Implementations

impl Clone for HistoricalDepth

fn clone(&self) -> HistoricalDepth

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for HistoricalDepth

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

Formats the value using the given formatter.

impl PartialEq for HistoricalDepth

fn eq(&self, other: &HistoricalDepth) -> 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 StructuralPartialEq for HistoricalDepth