Struct OrderBookEvent 

pub struct OrderBookEvent {
    pub exchange: Exchange,
    pub symbol: Symbol,
    pub timestamp: i64,
    pub sequence: u64,
    pub is_snapshot: bool,
    pub bids: Vec<PriceLevel>,
    pub asks: Vec<PriceLevel>,
}

Order book snapshot or delta update

Fields

exchange: Exchange

Exchange that produced this order book

symbol: Symbol

Trading pair symbol

timestamp: i64

Event timestamp (Unix microseconds)

sequence: u64

Sequence number for ordering updates

is_snapshot: bool

Whether this is a snapshot (true) or delta (false)

bids: Vec<PriceLevel>

Bid levels (price, quantity)

asks: Vec<PriceLevel>

Ask levels (price, quantity)

Implementations

impl OrderBookEvent

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

Get the best bid price

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

Get the best ask price

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

Calculate the mid price

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

Calculate the spread

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

Calculate the spread in basis points

Trait Implementations

impl Clone for OrderBookEvent

fn clone(&self) -> OrderBookEvent

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OrderBookEvent

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for OrderBookEvent

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for OrderBookEvent

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

where __S: Serializer,

Serialize this value into the given Serde serializer.