Struct WsOrderBook 

pub struct WsOrderBook {
    pub symbol: String,
    pub asks: Vec<Ask>,
    pub bids: Vec<Bid>,
    pub update_id: u64,
    pub seq: u64,
}

Structure for WebSocket order book data.

Contains the bids, asks, and sequence numbers for a trading pair’s order book. Bots use this to maintain an up-to-date view of market depth and liquidity.

Fields

symbol: String

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

Identifies the perpetual futures contract for the order book. Bots use this to verify the correct market.

asks: Vec<Ask>

A list of ask prices and quantities.

Contains the current ask levels in the order book, sorted by price. Bots use this to assess selling pressure and liquidity on the ask side.

bids: Vec<Bid>

A list of bid prices and quantities.

Contains the current bid levels in the order book, sorted by price. Bots use this to assess buying pressure and liquidity on the bid side.

update_id: u64

The update ID for the order book.

A unique identifier for the order book update. Bots use this to ensure updates are processed in the correct order.

seq: u64

The sequence number for the update.

A monotonically increasing number for ordering updates. Bots use this to detect missing or out-of-order updates and maintain order book consistency.

Implementations

impl WsOrderBook

pub fn new( symbol: &str, asks: Vec<Ask>, bids: Vec<Bid>, update_id: u64, seq: u64, ) -> Self

Creates a new WsOrderBook instance.

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

Returns the best ask price (lowest ask).

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

Returns the best ask quantity.

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

Returns the best bid price (highest bid).

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

Returns the best bid quantity.

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

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

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

Returns the bid-ask spread.

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

Returns the spread as a percentage of the mid price.

pub fn total_ask_quantity(&self) -> f64

Returns the total quantity available at the ask side.

pub fn total_bid_quantity(&self) -> f64

Returns the total quantity available at the bid side.

pub fn total_ask_value(&self) -> f64

Returns the total value available at the ask side.

pub fn total_bid_value(&self) -> f64

Returns the total value available at the bid side.

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

Returns the order book imbalance. Positive values indicate more buying pressure, negative values indicate more selling pressure.

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

Returns the volume-weighted average price (VWAP) for asks.

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

Returns the volume-weighted average price (VWAP) for bids.

pub fn depth_at_price(&self, price: f64, tolerance: f64) -> (f64, f64)

Returns the market depth at a given price level. Returns (bid_quantity, ask_quantity) at the specified price level.

pub fn cumulative_depth(&self, price_limit: f64, side: OrderBookSide) -> f64

Returns the cumulative order book quantities up to a given price level.

pub fn price_levels_in_range( &self, percentage_range: f64, ) -> (Vec<&Ask>, Vec<&Bid>)

Returns the price levels within a given percentage range from the mid price.

pub fn liquidity_in_range(&self, min_price: f64, max_price: f64) -> (f64, f64)

Returns the order book liquidity in a given price range.

pub fn price_impact(&self, trade_size: f64, side: TradeSide) -> Option<f64>

Returns the price impact for a given trade size. Estimates how much the price would move if a trade of the given size were executed.

pub fn depth_profile(&self, num_buckets: usize) -> DepthProfile

Returns the market depth profile. Groups order book levels into price buckets for analysis.

pub fn price_range(&self) -> (f64, f64)

Returns the order book’s price range.

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

Returns the order book’s quantity-weighted average spread.

pub fn resilience(&self) -> f64

Returns the order book’s resilience. Measures how quickly the order book recovers after a trade.

pub fn toxicity(&self) -> f64

Returns the order book’s toxicity. Measures the likelihood of adverse selection.

pub fn is_valid(&self) -> bool

Returns true if the order book is valid for trading.

pub fn to_summary_string(&self) -> String

Returns a summary string for this order book.

pub fn to_json(&self) -> String

Returns the order book snapshot as a JSON string.

pub fn merge(&mut self, update: &WsOrderBook) -> bool

Merges this order book with another order book update. Used for incremental updates.

pub fn age(&self, current_seq: u64) -> u64

Returns the order book age based on sequence numbers.

pub fn is_stale(&self, current_seq: u64, max_age: u64) -> bool

Returns true if the order book is stale.

pub fn market_quality_score(&self) -> f64

Returns the order book’s market quality score. Higher scores indicate better market quality (more liquidity, tighter spreads).

pub fn estimated_transaction_cost(&self, trade_size: f64) -> Option<f64>

Returns the order book’s estimated transaction cost. This includes both the spread and potential price impact.

pub fn optimal_trade_size(&self, max_price_impact: f64) -> Option<f64>

Returns the optimal trade size based on market conditions. Considers price impact and available liquidity.

pub fn support_resistance_levels( &self, threshold_multiplier: f64, ) -> (Vec<f64>, Vec<f64>)

Returns the order book’s support and resistance levels. Based on significant accumulation of orders.

pub fn momentum_indicator(&self) -> f64

Returns the order book’s momentum indicator. Positive values indicate buying pressure, negative values indicate selling pressure.

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

Returns the order book’s volatility estimate. Based on the density of orders around the mid price.

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

Returns the order book’s efficiency metric. Measures how well the order book facilitates trading.

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

Returns the order book’s fair value estimate. Based on volume-weighted average prices and order book imbalance.

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

Returns the order book’s arbitrage opportunity. Difference between fair value and mid price as percentage.

pub fn market_impact_profile( &self, max_trade_size: f64, steps: usize, ) -> Vec<(f64, f64)>

Returns the order book’s market impact profile. Shows how price impact changes with trade size.

pub fn snapshot(&self) -> OrderBookSnapshot

Returns the order book’s snapshot for persistence.

pub fn analysis_report(&self) -> String

Returns a comprehensive analysis report.

Trait Implementations

impl Clone for WsOrderBook

fn clone(&self) -> WsOrderBook

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for WsOrderBook

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for WsOrderBook

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for WsOrderBook

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

where __S: Serializer,

Serialize this value into the given Serde serializer.