Struct FastOrderDelta 

pub struct FastOrderDelta {
    pub token_id_hash: u64,
    pub timestamp: DateTime<Utc>,
    pub side: Side,
    pub price: Price,
    pub size: Qty,
    pub sequence: u64,
}

Order book delta for streaming updates - INTERNAL HOT PATH VERSION

This is what we use internally for processing order book updates. Converting to this format on ingress gives us massive performance gains.

Why the performance matters:

• We might process 10,000+ deltas per second in active markets
• Each delta triggers multiple calculations (spread, impact, etc.)
• Using integers instead of Decimal can make the difference between keeping up with the market feed vs falling behind

Fields

token_id_hash: u64

timestamp: DateTime<Utc>

side: Side

price: Price

size: Qty

sequence: u64

Implementations

impl FastOrderDelta

pub fn from_order_delta( delta: &OrderDelta, tick_size: Option<Decimal>, ) -> Result<Self, &'static str>

Create from external OrderDelta with validation and tick alignment

This is where we enforce tick alignment - if the incoming price doesn’t align to valid ticks, we either reject it or round it. This prevents bad data from corrupting our order book.

pub fn to_order_delta(self, token_id: String) -> OrderDelta

Convert back to external OrderDelta (for API responses) We need the original token_id since we only store the hash

pub fn is_removal(self) -> bool

Check if this delta removes a level (size is zero)

Trait Implementations

impl Clone for FastOrderDelta

fn clone(&self) -> FastOrderDelta

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for FastOrderDelta

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

Formats the value using the given formatter.

impl PartialEq for FastOrderDelta

fn eq(&self, other: &FastOrderDelta) -> 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 Copy for FastOrderDelta

impl Eq for FastOrderDelta

impl StructuralPartialEq for FastOrderDelta