Struct RPIOrderbookLevel 

pub struct RPIOrderbookLevel {
    pub price: f64,
    pub non_rpi_size: f64,
    pub rpi_size: f64,
}

Represents a single RPI (Real-time Price Improvement) order book level.

Each level contains the price, non-RPI size, and RPI size for either bids or asks. RPI orders are special orders that can improve prices for takers.

Fields

price: f64

The price level.

non_rpi_size: f64

The non-RPI size at this price level.

This represents the regular order quantity at this price. When delta data has size=0, it means all quotations for this price have been filled or cancelled.

rpi_size: f64

The RPI size at this price level.

This represents the RPI (Real-time Price Improvement) order quantity at this price. When a bid RPI order crosses with a non-RPI ask price, the quantity of the bid RPI becomes invalid and is hidden. When an ask RPI order crosses with a non-RPI bid price, the quantity of the ask RPI becomes invalid and is hidden.

Implementations

impl RPIOrderbookLevel

pub fn new(price: f64, non_rpi_size: f64, rpi_size: f64) -> Self

Constructs a new RPIOrderbookLevel with specified price, non-RPI size, and RPI size.

pub fn total_size(&self) -> f64

Returns the total size (non-RPI + RPI) at this price level.

pub fn has_rpi(&self) -> bool

Returns true if this level has any RPI size.

pub fn has_non_rpi(&self) -> bool

Returns true if this level has any non-RPI size.

pub fn notional_value(&self) -> f64

Returns the notional value (price × total size).

pub fn rpi_ratio(&self) -> f64

Returns the RPI ratio (RPI size / total size).

pub fn non_rpi_ratio(&self) -> f64

Returns the non-RPI ratio (non-RPI size / total size).

pub fn effective_taker_price(&self, is_buy: bool) -> f64

Returns the effective price for takers (considering RPI improvement).

pub fn price_impact(&self, reference_price: f64) -> f64

Returns the price impact if this level were consumed.

pub fn provides_price_improvement( &self, reference_price: f64, is_buy: bool, ) -> bool

Returns whether this level provides price improvement over a reference price.

pub fn improvement_amount(&self, reference_price: f64, is_buy: bool) -> f64

Returns the improvement amount over a reference price.

pub fn improvement_percentage(&self, reference_price: f64, is_buy: bool) -> f64

Returns the improvement percentage over a reference price.

pub fn scaled(&self, factor: f64) -> Self

Returns a scaled version of this level.

pub fn is_valid(&self) -> bool

Returns whether this level is valid (positive price and at least one size > 0).

pub fn weighted_price_with_rpi_probability( &self, rpi_execution_probability: f64, ) -> f64

Returns the weighted average price considering RPI probability.

Trait Implementations

impl Clone for RPIOrderbookLevel

fn clone(&self) -> RPIOrderbookLevel

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for RPIOrderbookLevel

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for RPIOrderbookLevel

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

where D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for RPIOrderbookLevel

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

where S: Serializer,

Serialize this value into the given Serde serializer.