Struct Orderbook

pub struct Orderbook { /* private fields */ }

A orderbook order book that handles updates and snapshots.

This struct wraps the core InnerOrderbook and manages pending updates before a snapshot is applied.

Implementations

impl Orderbook

pub fn new(depth: usize) -> Self

Create a new orderbook with the given depth.

pub const fn last_update_id(&self) -> u64

Returns the last update id applied to the current orderbook.

pub const fn next_update_id(&self) -> u64

Returns the next update id & increment the state of the inner Orderbook.

pub const fn snapshot_was_applied(&self) -> bool

Returns true if a snapshot has been applied to the current orderbook, else false.

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

Returns the current best_bid - if any.

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

Returns the current best_ask - if any.

pub fn mid_price(&self) -> Option<BigDecimal>

Get the mid price (average of best bid and ask).

pub fn depth(&self, percentage: f64) -> Option<DepthLevel>

Compute depth at a given percentage.

pub fn apply_update( &mut self, bids: Vec<(f64, f64)>, asks: Vec<(f64, f64)>, update_id: u64, ) -> Result<(), OrderbookError>

Applies an update to the order book.

Before a snapshot, updates are merged into pending_updates. After a snapshot, updates are applied directly if their update_id is newer than the current last_update_id.

pub fn apply_snapshot( &mut self, bids: Vec<(f64, f64)>, asks: Vec<(f64, f64)>, update_id: u64, ) -> Result<(), OrderbookError>

Applies a snapshot, replacing the current order book state.

After applying the snapshot, any pending updates with a higher update_id are applied.

Trait Implementations

impl Clone for Orderbook

fn clone(&self) -> Orderbook

Returns a copy 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.