Struct OrderbookMicrostructure 

pub struct OrderbookMicrostructure {
    pub exchange_ts: Option<DateTime<Utc>>,
    pub openpx_ts: DateTime<Utc>,
    pub asset_id: String,
    pub depth_buckets: DepthBuckets,
    pub bid_slope: Option<f64>,
    pub ask_slope: Option<f64>,
    pub max_gap: MaxGap,
    pub level_count: LevelCount,
}

Microstructure signals for one orderbook.

Fields

exchange_ts: Option<DateTime<Utc>>

Upstream snapshot time in UTC; null when not provided.

openpx_ts: DateTime<Utc>

Wall-clock time OpenPX served the response (UTC).

asset_id: String

Orderable asset id (e.g. "KXBTCD-25APR1517").

depth_buckets: DepthBuckets

Cumulative depth at 10/50/100 bps from mid.

bid_slope: Option<f64>

OLS slope of cumulative bid size vs distance-from-mid (e.g. 12.5).

ask_slope: Option<f64>

OLS slope of cumulative ask size vs distance-from-mid (e.g. 12.5).

max_gap: MaxGap

Largest consecutive-level price gap on each side, in basis points.

level_count: LevelCount

Number of levels per side.

Trait Implementations

impl Clone for OrderbookMicrostructure

fn clone(&self) -> OrderbookMicrostructure

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OrderbookMicrostructure

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for OrderbookMicrostructure

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for OrderbookMicrostructure

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.