Module books 

OrderBook related types, and utilities for initialising and maintaining a collection of sorted local Instrument OrderBooks

Modules

manager

Provides a OrderBookL2Manager for maintaining a set of local L2 OrderBooks.

map

Provides an abstract collection of cheaply cloneable shared-state OrderBook.

Structs

Asks

Unit type to tag an OrderBookSide as the ask Side (ie/ sellers) of an OrderBook.

Bids

Unit type to tag an OrderBookSide as the bid Side (ie/ buyers) of an OrderBook.

Level

Normalised Barter OrderBook Level.

OrderBook

Normalised Barter OrderBook snapshot.

OrderBookSide

Normalised Barter Levels for one Side of the OrderBook.

Functions

mid_price

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

volume_weighted_mid_price

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