Struct RPIOrderbookUpdate 

pub struct RPIOrderbookUpdate {
    pub topic: String,
    pub event_type: String,
    pub timestamp: u64,
    pub data: RPIOrderbook,
    pub cts: u64,
}

Structure for WebSocket RPI (Real-time Price Improvement) order book update events.

Contains real-time updates to the RPI order book for a trading pair, including bids, asks, RPI sizes, and sequence numbers. RPI orders can provide price improvement for takers. Bots use this for market depth analysis with RPI information and liquidity monitoring.

Fields

topic: String

The WebSocket topic for the event (e.g., “orderbook.rpi.BTCUSDT”).

Specifies the data stream for the RPI order book update, including depth and symbol. Bots use this to verify the correct market and RPI depth level.

event_type: String

The event type (e.g., “snapshot”, “delta”).

Indicates whether the update is a full snapshot or incremental delta. Bots use this to initialize or update their RPI order book state.

timestamp: u64

The timestamp of the event in milliseconds.

Indicates when the RPI order book update was generated. Bots use this to ensure data freshness and align with other market data.

data: RPIOrderbook

The RPI order book data.

Contains the bids, asks with RPI information, and sequence numbers for the order book. Bots use this to update their internal RPI order book representation.

cts: u64

The creation timestamp in milliseconds.

Indicates when the RPI order book update was created by Bybit’s matching engine. Bots use this to measure latency and ensure data consistency.

Implementations

impl RPIOrderbookUpdate

pub fn symbol_from_topic(&self) -> Option<&str>

Returns the symbol from the topic.

Extracts the trading pair symbol from the WebSocket topic. Example: “orderbook.rpi.BTCUSDT” -> “BTCUSDT”

pub fn is_snapshot(&self) -> bool

Returns true if this is a snapshot update.

Snapshot updates contain the full order book state and should replace the local order book.

pub fn is_delta(&self) -> bool

Returns true if this is a delta update.

Delta updates contain incremental changes and should be applied to the local order book.

pub fn processing_latency_ms(&self) -> i64

Returns the processing latency in milliseconds.

Calculates the difference between the matching engine timestamp (cts) and the system generation timestamp (ts).

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

Returns the timestamp as a chrono DateTime.

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

Returns the creation timestamp as a chrono DateTime.

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 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 liquidity_score_with_rpi(&self) -> f64

Returns the liquidity score considering RPI availability.

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

Returns the expected price improvement for takers.

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 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.

Trait Implementations

impl Clone for RPIOrderbookUpdate

fn clone(&self) -> RPIOrderbookUpdate

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for RPIOrderbookUpdate

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for RPIOrderbookUpdate

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for RPIOrderbookUpdate

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

where __S: Serializer,

Serialize this value into the given Serde serializer.