Struct OrderBook 

pub struct OrderBook {
    pub symbol_id: u32,
    pub bids: BTreeMap<Price, PriceLevel>,
    pub asks: BTreeMap<Price, PriceLevel>,
    pub last_price: Option<Price>,
    pub volume_24h: Quantity,
}

Order book for a single symbol.

Fields

symbol_id: u32

Symbol ID.

bids: BTreeMap<Price, PriceLevel>

Bid levels (price -> level), sorted descending by price.

asks: BTreeMap<Price, PriceLevel>

Ask levels (price -> level), sorted ascending by price.

last_price: Option<Price>

Last trade price.

volume_24h: Quantity

24h volume.

Implementations

impl OrderBook

pub fn new(symbol_id: u32) -> Self

Create a new order book.

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

Get best bid price.

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

Get best ask price.

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

Get spread.

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

Get mid price.

pub fn bid_depth(&self) -> Quantity

Get total bid depth.

pub fn ask_depth(&self) -> Quantity

Get total ask depth.

pub fn depth_at_levels(&self, n: usize) -> (Quantity, Quantity)

Get depth at N levels.

Trait Implementations

impl Clone for OrderBook

fn clone(&self) -> OrderBook

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OrderBook

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for OrderBook

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for OrderBook

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

where __S: Serializer,

Serialize this value into the given Serde serializer.