Struct Orderbook

pub struct Orderbook {
    pub symbol: Symbol,
    pub bids: BTreeMap<Decimal, Decimal>,
    pub asks: BTreeMap<Decimal, Decimal>,
}

Represents the current state of the orderbook, guaranteed to be accurate up to the best 100 bids and best 100 asks since the latest update. Supports efficient insertions, updates, and deletions via a BTreeMap.

Fields

symbol: Symbol

bids: BTreeMap<Decimal, Decimal>

asks: BTreeMap<Decimal, Decimal>

Implementations

impl Orderbook

pub fn new(symbol: Symbol) -> Orderbook

pub fn update(&mut self, data: &OrderbookData)

pub fn verify_checksum(&self, checksum: u32) -> bool

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

Returns the price of the best bid

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

Returns the price of the best ask

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

Returns the midpoint between the best bid price and best ask price. Output is not rounded to the smallest price increment.

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

Returns the price and quantity of the best bid (bid_price, bid_quantity)

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

Returns the price and quantity of the best ask (ask_price, ask_quantity)

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

Returns the price and quantity of the best bid and best ask ((bid_price, bid_quantity), (ask_price, ask_quantity))

pub fn quote(&self, side: Side, quantity: Decimal) -> Option<Decimal>

Returns the expected execution price of a market order given the current orders in the order book. Returns None if the order size exceeds the liquidity available on that side of the order book.

Trait Implementations

impl Debug for Orderbook

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for Orderbook

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for Orderbook

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

where __S: Serializer,

Serialize this value into the given Serde serializer.