Struct OrderBookL1 

pub struct OrderBookL1 {
    pub last_update_time: DateTime<Utc>,
    pub best_bid: Option<Level>,
    pub best_ask: Option<Level>,
}

Normalised Barter OrderBookL1 snapshot containing the latest best bid and ask.

Fields

last_update_time: DateTime<Utc>

The instant this book state describes — the venue’s own, where the venue publishes one.

Producer obligation

A producer must set this to the same instant it puts in the wrapping MarketEvent::time_exchange, and it should come from the venue rather than from a local or aggregator clock.

Downstream state orders L1 updates on this field, not on the event’s, so the two must not disagree. A producer that lets them diverge gets no error and no log: a staleness guard keyed on this field can reject legitimately newer updates and freeze the held book.

Not every in-tree producer has a venue instant to use

The “should” above is not a “must”, because some venues publish no book timestamp:

• Binance Spot bookTicker carries {u, s, b, B, a, A} and no time field, so BinanceOrderBookL1 falls back to the host clock at deserialisation. (Binance USD-M futures does send T, and that path uses it.)
• IBKR quotes are assembled from separate bid/ask/size ticks, which carry no per-tick venue instant, so exchange::ibkr (behind the ibkr feature, hence no link) stamps the assembly time.

Both fill the field from a local clock, and both keep it consistent with time_exchange as required above. Consumers must therefore not rank this field against a tick timestamp from another source — a trade’s time_exchange, say — since the gap between them is milliseconds and the comparison would be decided by skew rather than by the market. Ranking it against a coarser instant, such as a candle’s close_time, is sound while the gap stays well above the skew. DefaultInstrumentMarketData::price in the rustrade crate does exactly that, and documents where the margin runs out.

best_bid: Option<Level>

best_ask: Option<Level>

Implementations

impl OrderBookL1

pub const fn new( last_update_time: DateTime<Utc>, best_bid: Option<Level>, best_ask: Option<Level>, ) -> OrderBookL1

impl OrderBookL1

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

Calculate the mid-price by taking the average of the best bid and ask prices.

See Docs: https://www.quantstart.com/articles/high-frequency-trading-ii-limit-order-book

pub fn volume_weighed_mid_price(&self) -> Option<Decimal>

Calculate the volume weighted mid-price (micro-price), weighing the best bid and ask prices with their associated amount.

None when either side is absent, and when both sides carry a zero amount — a feed that publishes prices without sizes produces exactly that book, and the weighting is undefined for it. Fall back to mid_price when a price is needed regardless of size.

See Docs: https://www.quantstart.com/articles/high-frequency-trading-ii-limit-order-book

Trait Implementations

impl Clone for OrderBookL1

fn clone(&self) -> Self

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OrderBookL1

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

Formats the value using the given formatter.

impl Default for OrderBookL1

fn default() -> Self

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for OrderBookL1

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Eq for OrderBookL1

impl From<AlpacaQuote> for OrderBookL1

The quote as a top-of-book, stamped with the quote’s own time.

The book is the feed’s, not the market’s: IEX quotes are IEX’s own top of book, SIP quotes are the NBBO, and crypto quotes are Alpaca’s crypto venue.

A zero price is absent

Every Alpaca quote carries a price for both sides, so a side with nothing quoted on it can only arrive as a zero price. A zero-priced level would assert someone will trade at zero, and a mid-price averaged against it is wrong in a way nothing downstream can detect. So a zero price maps to None, the rule the Binance and London Strategic Edge L1 decoders follow. A zero size at a real price is kept: the price is still a quote.

fn from(quote: AlpacaQuote) -> Self

Converts to this type from the input type.

impl From<OrderBookL1> for DataKind

fn from(value: OrderBookL1) -> Self

Converts to this type from the input type.

impl Hash for OrderBookL1

fn hash<__H: Hasher>(&self, state: &mut __H)

Feeds this value into the given Hasher.

fn hash_slice<H>(data: &[Self], state: &mut H)

where H: Hasher, Self: Sized,

Feeds a slice of this type into the given Hasher.

impl Ord for OrderBookL1

fn cmp(&self, other: &Self) -> Ordering

This method returns an Ordering between self and other.

fn max(self, other: Self) -> Self

where Self: Sized,

Compares and returns the maximum of two values.

fn min(self, other: Self) -> Self

where Self: Sized,

Compares and returns the minimum of two values.

fn clamp(self, min: Self, max: Self) -> Self

where Self: Sized,

Restrict a value to a certain interval.

fn clamp_to<R>(self, range: R) -> Self

where Self: Sized, R: ClampBounds<Self>,

🔬This is a nightly-only experimental API. (clamp_to)

Restrict a value to a certain range.

impl PartialEq for OrderBookL1

fn eq(&self, other: &Self) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl PartialOrd for OrderBookL1

fn partial_cmp(&self, other: &Self) -> Option<Ordering>

This method returns an ordering between self and other values if one exists.

fn lt(&self, other: &Rhs) -> bool

Tests less than (for self and other) and is used by the < operator.

fn le(&self, other: &Rhs) -> bool

Tests less than or equal to (for self and other) and is used by the <= operator.

fn gt(&self, other: &Rhs) -> bool

Tests greater than (for self and other) and is used by the > operator.

fn ge(&self, other: &Rhs) -> bool

Tests greater than or equal to (for self and other) and is used by the >= operator.

impl Serialize for OrderBookL1

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

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl StructuralPartialEq for OrderBookL1