Struct OrderBook 

pub struct OrderBook { /* private fields */ }

The complete order book.

Maintains both sides of the book plus a central index of all orders (active and historical) for O(1) lookup.

Implementations

impl OrderBook

pub fn new() -> Self

Create a new empty order book.

pub fn next_order_id(&mut self) -> OrderId

Generate the next order ID (monotonically increasing).

pub fn next_trade_id(&mut self) -> TradeId

Generate the next trade ID (monotonically increasing).

pub fn next_timestamp(&mut self) -> Timestamp

Generate the next timestamp (monotonically increasing).

pub fn peek_next_order_id(&self) -> OrderId

Peek at what the next order ID would be (without consuming it).

pub fn get_order(&self, order_id: OrderId) -> Option<&Order>

Get an order by ID (includes historical filled/cancelled orders).

pub fn get_order_mut(&mut self, order_id: OrderId) -> Option<&mut Order>

Get a mutable reference to an order by ID.

pub fn contains_order(&self, order_id: OrderId) -> bool

Check if an order exists.

pub fn order_count(&self) -> usize

Returns the total number of orders (including historical).

pub fn active_order_count(&self) -> usize

Returns the number of active orders (on the book).

pub fn bids(&self) -> &PriceLevels

Get the bids side (buy orders).

pub fn asks(&self) -> &PriceLevels

Get the asks side (sell orders).

pub fn bids_mut(&mut self) -> &mut PriceLevels

Get mutable access to bids.

pub fn asks_mut(&mut self) -> &mut PriceLevels

Get mutable access to asks.

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

Get the appropriate side for an order.

pub fn side_mut(&mut self, side: Side) -> &mut PriceLevels

Get mutable access to the appropriate side.

pub fn opposite_side(&self, side: Side) -> &PriceLevels

Get the opposite side (for matching).

pub fn opposite_side_mut(&mut self, side: Side) -> &mut PriceLevels

Get mutable access to the opposite side.

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

Get the best bid price (highest buy price).

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

Get the best ask price (lowest sell price).

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

Get both best bid and best ask.

pub fn spread(&self) -> Option<i64>

Get the spread (best ask - best bid), if both exist.

pub fn is_crossed(&self) -> bool

Check if the book is crossed (best bid >= best ask). This should never happen after matching is complete.

pub fn add_order(&mut self, order: Order)

Add a new order to the book.

The order must have a unique ID (typically from next_order_id()). The order is stored in the central index and added to the appropriate price level based on its side and price.

Panics

Panics if an order with the same ID already exists.

pub fn cancel_order(&mut self, order_id: OrderId) -> Option<Quantity>

Remove an order from the book (for cancellation).

Updates the order’s status to Cancelled and marks it as a tombstone in the price level queue for O(1) performance.

pub fn create_order( &mut self, side: Side, price: Price, quantity: Quantity, time_in_force: TimeInForce, ) -> Order

Create a new order with auto-generated ID and timestamp.

This is a convenience method that:

1. Generates the next order ID
2. Generates the next timestamp
3. Creates the Order struct

The order is NOT added to the book — use add_order() for that.

pub fn clear_history(&mut self) -> usize

Remove filled and cancelled orders from history to free memory.

Active orders (on the book) are preserved. Returns the number of orders removed.

Use this periodically for long-running instances to prevent unbounded memory growth.

pub fn compact(&mut self)

Remove all tombstones from the book.

impl OrderBook

pub fn match_order(&mut self, incoming: &mut Order) -> MatchResult

Match an incoming order against the book.

This is the core matching algorithm:

1. Find the best price on the opposite side
2. If prices cross, fill against resting orders (FIFO)
3. Continue until no more crosses or order is filled
4. Return trades and remaining quantity

Important: This method modifies both the incoming order and resting orders in the book. The incoming order is NOT added to the book — the caller decides whether to add it based on TIF.

pub fn available_to_fill(&self, side: Side, price: Price) -> Quantity

Calculate how much quantity is available at prices that would cross.

This is used for FOK (fill-or-kill) feasibility checks.

pub fn can_fully_fill( &self, side: Side, price: Price, quantity: Quantity, ) -> bool

Check if an order can be fully filled (for FOK orders).

impl OrderBook

pub fn snapshot(&self, depth: usize) -> BookSnapshot

Take a snapshot of the top N levels on each side.

pub fn full_snapshot(&self) -> BookSnapshot

Take a full snapshot of all levels.

Trait Implementations

impl Clone for OrderBook

fn clone(&self) -> OrderBook

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OrderBook

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

Formats the value using the given formatter.

impl Default for OrderBook

fn default() -> Self

Returns the “default value” for a type.