Struct OrderBook 

pub struct OrderBook { /* private fields */ }

L3 order book with intrusive linked lists.

Orders are stored in a HashMap keyed by OrderId, with each price level maintaining a doubly-linked list of orders in FIFO (time-priority) order. Provides both L2 (aggregated price levels) and L3 (individual orders) views.

Implementations

impl OrderBook

pub fn asks(&self) -> &BTreeMap<UD64, BookLevel>

Asks sorted away from the spread.

pub fn bids(&self) -> &BTreeMap<Reverse<UD64>, BookLevel>

Bids sorted away from the spread.

pub fn best_ask(&self) -> Option<(UD64, UD64)>

Best ask price/size.

pub fn best_bid(&self) -> Option<(UD64, UD64)>

Best bid price/size.

pub fn ask_impact(&self, want_size: UD64) -> Option<(UD64, UD64, UD64)>

Ask impact price for the requested size, along with the fillable size and size-averaged price.

pub fn bid_impact(&self, want_size: UD64) -> Option<(UD64, UD64, UD64)>

Bid impact price for the requested size, along with the fillable size and size-averaged price.

pub fn ask_impact_notional( &self, want_notional: UD128, ) -> Option<(UD64, UD64, UD64, UD128)>

Ask impact price for the requested notional amount, along with the fillable size, size-averaged price, and filled notional. CAREFUL: See impact_notional for partial-fill semantics.

pub fn bid_impact_notional( &self, want_notional: UD128, ) -> Option<(UD64, UD64, UD64, UD128)>

Bid impact price for the requested notional amount, along with the fillable size, size-averaged price, and filled notional. CAREFUL: See impact_notional for partial-fill semantics.

pub fn ask_level(&self, price: UD64) -> Option<&BookLevel>

Get L3 level at a specific ask price.

pub fn bid_level(&self, price: UD64) -> Option<&BookLevel>

Get L3 level at a specific bid price.

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

Get a specific order by ID (O(1) via HashMap lookup).

pub fn get_order_by_client_id( &self, account_id: AccountId, client_id: RequestId, ) -> Option<&BookOrder>

Get a specific order by client order ID (O(1) via HashMap lookup).

pub fn ask_orders(&self) -> impl Iterator<Item = &BookOrder>

Iterator over all L3 orders on the ask side in price-time priority.

pub fn bid_orders(&self) -> impl Iterator<Item = &BookOrder>

Iterator over all L3 orders on the bid side in price-time priority.

pub fn total_orders(&self) -> usize

Total number of orders in the book.

pub fn all_orders(&self) -> &HashMap<OrderId, BookOrder>

Access to all orders in the book keyed by order ID.

pub fn view<'a>( &'a self, depth: Option<usize>, orders_per_level: Option<usize>, show_expired: bool, ) -> OrderBookView<'a>

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() -> OrderBook

Returns the “default value” for a type.

impl Display for OrderBook

Available on crate feature display only.

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

Formats the value using the given formatter.