Struct PriceLevel 

pub struct PriceLevel { /* private fields */ }

A lock-free implementation of a price level in a limit order book

Implementations

impl PriceLevel

pub fn new(price: u64) -> Self

Create a new price level

pub fn price(&self) -> u64

Get the price of this level

pub fn visible_quantity(&self) -> u64

Get the visible quantity

pub fn hidden_quantity(&self) -> u64

Get the hidden quantity

pub fn total_quantity(&self) -> u64

Get the total quantity (visible + hidden)

pub fn order_count(&self) -> usize

Get the number of orders

pub fn stats(&self) -> Arc<PriceLevelStatistics>

Get the statistics for this price level

pub fn add_order(&self, order: OrderType<()>) -> Arc<OrderType<()>>

Add an order to this price level

pub fn iter_orders(&self) -> Vec<Arc<OrderType<()>>>

Creates an iterator over the orders in the price level.

pub fn match_order( &self, incoming_quantity: u64, taker_order_id: OrderId, transaction_id_generator: &UuidGenerator, ) -> MatchResult

Matches an incoming order against existing orders at this price level.

This function attempts to match the incoming order quantity against the orders present in the OrderQueue. It iterates through the queue, matching orders until the incoming quantity is fully filled or the queue is exhausted. Transactions are generated for each successful match, and filled orders are removed from the queue. The function also updates the visible and hidden quantity counters and records statistics for each execution.

Arguments

• incoming_quantity: The quantity of the incoming order to be matched.
• taker_order_id: The ID of the incoming order (the “taker” order).
• transaction_id_generator: An atomic counter used to generate unique transaction IDs.

Returns

A MatchResult object containing the results of the matching operation, including a list of generated transactions, the remaining unmatched quantity, a flag indicating whether the incoming order was completely filled, and a list of IDs of orders that were completely filled during the matching process.

pub fn snapshot(&self) -> PriceLevelSnapshot

Create a snapshot of the current price level state

impl PriceLevel

pub fn update_order( &self, update: OrderUpdate, ) -> Result<Option<Arc<OrderType<()>>>, PriceLevelError>

Apply an update to an existing order at this price level

Trait Implementations

impl Debug for PriceLevel

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for PriceLevel

fn deserialize<D>(deserializer: D) -> Result<Self, D::Error>

where D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Display for PriceLevel

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

Formats the value using the given formatter.

impl From<&PriceLevel> for PriceLevelData

fn from(price_level: &PriceLevel) -> Self

Converts to this type from the input type.

impl FromStr for PriceLevel

type Err = PriceLevelError

The associated error which can be returned from parsing.

fn from_str(s: &str) -> Result<Self, Self::Err>

Parses a string s to return a value of this type.

impl Ord for PriceLevel

fn cmp(&self, other: &Self) -> Ordering

This method returns an Ordering between self and other.

fn max(self, other: Self) -> Self

where Self: Sized,

Compares and returns the maximum of two values.

fn min(self, other: Self) -> Self

where Self: Sized,

Compares and returns the minimum of two values.

fn clamp(self, min: Self, max: Self) -> Self

where Self: Sized,

Restrict a value to a certain interval.

impl PartialEq for PriceLevel

fn eq(&self, other: &Self) -> 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 PartialOrd for PriceLevel

fn partial_cmp(&self, other: &Self) -> Option<Ordering>

This method returns an ordering between self and other values if one exists.

fn lt(&self, other: &Rhs) -> bool

Tests less than (for self and other) and is used by the < operator.

fn le(&self, other: &Rhs) -> bool

Tests less than or equal to (for self and other) and is used by the <= operator.

fn gt(&self, other: &Rhs) -> bool

Tests greater than (for self and other) and is used by the > operator.

fn ge(&self, other: &Rhs) -> bool

Tests greater than or equal to (for self and other) and is used by the >= operator.

impl Serialize for PriceLevel

fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>

where S: Serializer,

Serialize this value into the given Serde serializer.

impl TryFrom<PriceLevelData> for PriceLevel

type Error = PriceLevelError

The type returned in the event of a conversion error.

fn try_from(data: PriceLevelData) -> Result<Self, Self::Error>

Performs the conversion.

impl Eq for PriceLevel