Struct OrderBook 

pub struct OrderBook<const PRICE_LEVELS_INITIAL_CAPACITY: usize = 2048> { /* private fields */ }

Order book that manages all kinds of orders and levels

Implementations

impl OrderBook

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)

pub fn buy_sell_pressure(&self) -> (Quantity, Quantity)

Compute the buy and sell pressure of the order book

pub fn price_at_depth(&self, side: Side, depth: Quantity) -> Option<Price>

Find the price where cumulative depth reaches the target quantity Return None if the target depth cannot be reached

pub fn vwap(&self, taker_side: Side, quantity: Quantity) -> Option<f64>

Calculate the volume-weighted average price (VWAP) for a given quantity Return None if the given quantity is zero or cannot be filled

pub fn market_impact( &self, taker_side: Side, quantity: Quantity, ) -> MarketImpact

Compute the market impact of a market order

impl OrderBook

pub fn execute(&mut self, cmd: &Command) -> CommandOutcome

Execute a command against the order book Returns the execution report for the command

impl OrderBook

pub fn new(symbol: &str) -> Self

Create a new order book

pub fn symbol(&self) -> &str

Get the symbol for this order book

pub fn last_sequence_number(&self) -> Option<SequenceNumber>

Get the last sequence number of the order book, None if no command has been processed yet.

pub fn last_seen_timestamp(&self) -> Option<Timestamp>

Get the last seen timestamp of the order book, None if no command has been processed yet.

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

Get the last trade price, None if no trade has occurred yet

pub fn limit(&self) -> &LimitBook

Get the limit order book

pub fn pegged(&self) -> &PeggedBook

Get the pegged order book

Trait Implementations

impl<const PRICE_LEVELS_INITIAL_CAPACITY: usize> Clone for OrderBook<PRICE_LEVELS_INITIAL_CAPACITY>

fn clone(&self) -> OrderBook<PRICE_LEVELS_INITIAL_CAPACITY>

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl<const PRICE_LEVELS_INITIAL_CAPACITY: usize> Debug for OrderBook<PRICE_LEVELS_INITIAL_CAPACITY>

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

Formats the value using the given formatter.

impl<'de, const PRICE_LEVELS_INITIAL_CAPACITY: usize> Deserialize<'de> for OrderBook<PRICE_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 From<&OrderBook> for Level1

fn from(book: &OrderBook) -> Self

Converts to this type from the input type.

impl From<&OrderBook> for Level2

fn from(book: &OrderBook) -> Self

Converts to this type from the input type.

impl<const PRICE_LEVELS_INITIAL_CAPACITY: usize> Serialize for OrderBook<PRICE_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.