Struct Level2 

pub struct Level2 { /* private fields */ }

Represents the level 1 market data of the order book

Implementations

impl Level2

pub fn bid_levels(&self) -> &Vec<(Price, Quantity)>

Get the bid side price levels, stored in a sorted vector from the best bid (highest price) to the worst bid (lowest price)

pub fn ask_levels(&self) -> &Vec<(Price, Quantity)>

Get the ask side price levels, stored in a sorted vector from the best ask (lowest price) to the worst ask (highest price)

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 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 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

Trait Implementations

impl Clone for Level2

fn clone(&self) -> Level2

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Level2

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for Level2

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Display for Level2

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

Formats the value using the given formatter.

impl From<&OrderBook> for Level2

fn from(book: &OrderBook) -> Self

Converts to this type from the input type.

impl PartialEq for Level2

fn eq(&self, other: &Level2) -> 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 Serialize for Level2

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

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl Eq for Level2

impl StructuralPartialEq for Level2