Struct DepthAggregator 

pub struct DepthAggregator { /* private fields */ }

Aggregates IB market depth updates into OrderBook snapshots.

Maintains local order book state and emits updates on each depth event. Uses pre-sorted OrderBookSides internally to avoid per-tick sorting.

Implementations

impl DepthAggregator

pub fn new() -> Self

Create a new aggregator.

pub fn update( &mut self, depth: &MarketDepths, time_received: DateTime<Utc>, ) -> Option<OrderBookEvent>

Process a depth update and emit an OrderBookEvent.

Returns Some(OrderBookEvent) for actual depth updates, None for MarketDepthL2 updates (which include market maker attribution that we don’t track — we aggregate into a simple anonymous book).

MarketDepths::Reset (IB code 317) empties the book through Self::on_venue_reset and returns the emptied snapshot, which the caller must forward at once: see that method for why.

time_received is the local ingestion wall-clock; it is threaded in from the caller so the emitted book’s time_received matches the MarketEvent’s. IB market-depth carries no venue timestamp, so it is the only liveness signal on IBKR (time_engine/time_exchange are None).

pub fn on_venue_reset(&mut self, time_received: DateTime<Utc>) -> OrderBookEvent

Drop every level in response to MarketDepths::Reset and emit the emptied book.

TWS sends the reset (IB code 317, “Market depth data has been RESET”) when it discards the book on its side, and the subscription stays open. Every level held locally is stale from that moment, so continuing to apply updates to them produces a book that looks live and is not — the one failure mode worse than no book at all.

Unlike Self::clear this preserves the sequence counter, which is what makes it correct mid-stream: a consumer ordering by sequence would read a snapshot renumbered to 0 as older than the stale book it replaces, and keep the stale one. The counter is advanced rather than merely kept, so the emptied book is strictly newer than everything before it.

Returns the emptied snapshot so the caller can forward it. Emitting it immediately, rather than waiting for the next depth row, is what closes the window in which a downstream consumer still holds levels the venue has already thrown away.

pub fn clear(&mut self)

Clear all book state.

Useful for reconnection scenarios where stale book state should be discarded before receiving fresh depth updates. Note: sequence resets to 0, so this is for a fresh subscription, not a mid-stream venue reset — use Self::on_venue_reset for the latter.

Trait Implementations

impl Debug for DepthAggregator

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

Formats the value using the given formatter.

impl Default for DepthAggregator

fn default() -> Self

Returns the “default value” for a type.