Struct RPIOrderbook 

pub struct RPIOrderbook {
    pub symbol: String,
    pub asks: Vec<RPIOrderbookLevel>,
    pub bids: Vec<RPIOrderbookLevel>,
    pub timestamp: u64,
    pub update_id: u64,
    pub sequence: u64,
    pub matching_engine_timestamp: u64,
}

Represents the RPI (Real-time Price Improvement) order book for a trading pair.

Contains the current bid and ask levels with RPI information, along with metadata. RPI order books show both regular orders and RPI orders, which can provide price improvement.

Fields

symbol: String

The trading pair symbol (e.g., “BTCUSDT”).

asks: Vec<RPIOrderbookLevel>

A list of ask (sell) orders with RPI information.

Each element is an array of [price, non-RPI size, RPI size]. Sorted by price in ascending order.

bids: Vec<RPIOrderbookLevel>

A list of bid (buy) orders with RPI information.

Each element is an array of [price, non-RPI size, RPI size]. Sorted by price in descending order.

timestamp: u64

The timestamp (ms) that the system generates the data.

update_id: u64

Update ID, is always in sequence corresponds to u in the 50-level WebSocket RPI orderbook stream.

sequence: u64

Cross sequence.

You can use this field to compare different levels orderbook data, and for the smaller seq, then it means the data is generated earlier.

matching_engine_timestamp: u64

The timestamp from the matching engine when this orderbook data is produced. It can be correlated with T from public trade channel.

Implementations

impl RPIOrderbook

pub fn best_ask(&self) -> Option<f64>

Returns the best ask price (lowest ask).

pub fn best_bid(&self) -> Option<f64>

Returns the best bid price (highest bid).

pub fn best_ask_with_rpi(&self) -> Option<&RPIOrderbookLevel>

Returns the best ask with RPI information.

pub fn best_bid_with_rpi(&self) -> Option<&RPIOrderbookLevel>

Returns the best bid with RPI information.

pub fn spread(&self) -> Option<f64>

Returns the bid-ask spread.

pub fn mid_price(&self) -> Option<f64>

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

pub fn spread_percentage(&self) -> Option<f64>

Returns the spread as a percentage of mid price.

pub fn total_ask_rpi_size(&self) -> f64

Returns the total RPI size on the ask side.

pub fn total_ask_non_rpi_size(&self) -> f64

Returns the total non-RPI size on the ask side.

pub fn total_bid_rpi_size(&self) -> f64

Returns the total RPI size on the bid side.

pub fn total_bid_non_rpi_size(&self) -> f64

Returns the total non-RPI size on the bid side.

pub fn total_ask_size(&self) -> f64

Returns the total size (RPI + non-RPI) on the ask side.

pub fn total_bid_size(&self) -> f64

Returns the total size (RPI + non-RPI) on the bid side.

pub fn total_ask_notional(&self) -> f64

Returns the total notional value on the ask side.

pub fn total_bid_notional(&self) -> f64

Returns the total notional value on the bid side.

pub fn average_ask_rpi_ratio(&self) -> f64

Returns the average RPI ratio on the ask side.

pub fn average_bid_rpi_ratio(&self) -> f64

Returns the average RPI ratio on the bid side.

pub fn rpi_ratio_imbalance(&self) -> f64

Returns the bid-ask RPI ratio difference.

pub fn order_book_imbalance_with_rpi(&self) -> f64

Returns the order book imbalance considering RPI sizes.

pub fn weighted_average_ask_price_with_rpi( &self, target_quantity: f64, ) -> Option<f64>

Returns the weighted average ask price considering RPI improvement.

pub fn weighted_average_bid_price_with_rpi( &self, target_quantity: f64, ) -> Option<f64>

Returns the weighted average bid price considering RPI improvement.

pub fn ask_price_impact_with_rpi(&self, quantity: f64) -> Option<f64>

Returns the price impact for a given quantity considering RPI.

pub fn bid_price_impact_with_rpi(&self, quantity: f64) -> Option<f64>

Returns the price impact for a given quantity considering RPI.

pub fn expected_taker_improvement( &self, is_buy: bool, quantity: f64, ) -> Option<f64>

Returns the expected price improvement for takers.

pub fn liquidity_score_with_rpi(&self) -> f64

Returns the liquidity score considering RPI availability.

pub fn timestamp_datetime(&self) -> DateTime<Utc>

Returns the timestamp as a DateTime.

pub fn matching_engine_timestamp_datetime(&self) -> DateTime<Utc>

Returns the matching engine timestamp as a DateTime.

pub fn processing_latency_ms(&self) -> i64

Returns the processing latency.

Trait Implementations

impl Clone for RPIOrderbook

fn clone(&self) -> RPIOrderbook

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for RPIOrderbook

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for RPIOrderbook

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for RPIOrderbook

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

where __S: Serializer,

Serialize this value into the given Serde serializer.