Struct LimitBook 

pub struct LimitBook<const LEVELS_INITIAL_CAPACITY: usize = 2048> { /* private fields */ }

Limit order book that manages limit orders and price levels

Implementations

impl LimitBook

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

Get the best bid price and size, if exists

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

Get the best ask price and size, if exists

pub fn best_bid_price(&self) -> Option<Price>

Get the best bid price, if exists

pub fn best_ask_price(&self) -> Option<Price>

Get the best ask price, if exists

pub fn best_bid_size(&self) -> Option<Quantity>

Get the best bid size, if exists

pub fn best_ask_size(&self) -> Option<Quantity>

Get the best ask size, if exists

pub fn is_side_empty(&self, side: Side) -> bool

Check if the side is empty

pub fn has_crossable_order(&self, taker_side: Side, limit_price: Price) -> bool

Check if there is a crossable order at the given limit price

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

Get the spread (difference between best bid and best ask)

pub fn mid_price(&self) -> Option<f64>

Get the mid price (average of best bid and best ask)

pub fn micro_price(&self) -> Option<f64>

Calculate the micro price, which weights the best bid and ask by the opposite side’s liquidity

pub fn bid_size(&self, n_levels: usize) -> Quantity

Get the bid size for the first N price levels

pub fn ask_size(&self, n_levels: usize) -> Quantity

Get the ask size for the first N price levels

pub fn is_thin_book(&self, threshold: Quantity, n_levels: usize) -> bool

Check if the order book is thin at the given threshold and number of levels

pub fn order_book_imbalance(&self, n_levels: usize) -> f64

Calculate the order book imbalance ratio for the top N levels

pub fn depth_statistics(&self, side: Side, n_levels: usize) -> DepthStatistics

Compute the depth statistics of price levels (0 n_levels means all levels)

impl<const LEVELS_INITIAL_CAPACITY: usize> LimitBook<LEVELS_INITIAL_CAPACITY>

pub fn new() -> Self

Create a new limit order book

impl LimitBook

pub fn orders(&self) -> &HashMap<OrderId, RestingLimitOrder>

Get the limit orders indexed by order ID

pub fn levels(&self) -> &Slab<PriceLevel>

Get the price levels

pub fn bids(&self) -> &BTreeMap<Price, usize>

Get the bid side price levels

pub fn asks(&self) -> &BTreeMap<Price, usize>

Get the ask side price levels

pub fn expiration_queue(&self) -> &BinaryHeap<Reverse<(Timestamp, OrderId)>>

Get the queue of limit order IDs to be expired

pub fn get_bid_level(&self, price: Price) -> Option<&PriceLevel>

pub fn get_ask_level(&self, price: Price) -> Option<&PriceLevel>

Trait Implementations

impl<const LEVELS_INITIAL_CAPACITY: usize> Clone for LimitBook<LEVELS_INITIAL_CAPACITY>

fn clone(&self) -> LimitBook<LEVELS_INITIAL_CAPACITY>

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl<const LEVELS_INITIAL_CAPACITY: usize> Debug for LimitBook<LEVELS_INITIAL_CAPACITY>

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

Formats the value using the given formatter.

impl<const LEVELS_INITIAL_CAPACITY: usize> Default for LimitBook<LEVELS_INITIAL_CAPACITY>

fn default() -> LimitBook<LEVELS_INITIAL_CAPACITY>

Returns the “default value” for a type.

impl<'de, const LEVELS_INITIAL_CAPACITY: usize> Deserialize<'de> for LimitBook<LEVELS_INITIAL_CAPACITY>

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl<const LEVELS_INITIAL_CAPACITY: usize> Serialize for LimitBook<LEVELS_INITIAL_CAPACITY>

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

where __S: Serializer,

Serialize this value into the given Serde serializer.