Struct MarketSnapshot 

pub struct MarketSnapshot {
    pub best_bid: Option<Decimal>,
    pub best_ask: Option<Decimal>,
    pub last_price: Option<Decimal>,
}

Market state for a single instrument at a single instant.

Two things consume this type, and they meet at the simulated venue:

• RequestOpen::market carries it as the market its sender observed at the moment it decided to open the order.
• FillModel::fill_price prices a fill from it.

Every field is optional, and absence is ordinary

A feed supplies what it has. An instrument subscribed to trades alone has a last_price and no book; one subscribed to an L1 book has both sides and no trade price until the first print; one that has received nothing yet has neither, which is what the first ticks of any backtest look like. Each FillModel implementation documents which fields it reads and what it falls back to, and returns None when it cannot price the order at all — see MockExchange, which turns that None into a rejection naming the instrument rather than a panic.

This is a snapshot, not a book

It holds best bid and best ask prices only — no sizes, no depth. A fill model can therefore model the spread but not market impact or partial fills against resting size. Modelling those needs the venue to own a real book, which is a larger change than this type.

Fields

best_bid: Option<Decimal>

Best bid price, if the instrument’s feed supplies a book.

best_ask: Option<Decimal>

Best ask price, if the instrument’s feed supplies a book.

last_price: Option<Decimal>

Most recent trade price, if one has been seen.

Implementations

impl MarketSnapshot

pub fn new( best_bid: Option<Decimal>, best_ask: Option<Decimal>, last_price: Option<Decimal>, ) -> Self

Construct a MarketSnapshot from its three optional prices.

pub fn from_last_price(last_price: Option<Decimal>) -> Self

Construct a MarketSnapshot carrying only a last traded price.

This is what a price-only instrument state can honestly report: a price, and no claim about either side of a book.

pub fn is_empty(&self) -> bool

Whether this snapshot carries no price at all.

True for an instrument that has received no market data yet — distinct from no snapshot having been taken, which RequestOpen::market represents as None.

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

Mid-price, when both sides of the book are present.

Trait Implementations

impl Clone for MarketSnapshot

fn clone(&self) -> Self

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for MarketSnapshot

impl Debug for MarketSnapshot

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

Formats the value using the given formatter.

impl Default for MarketSnapshot

fn default() -> Self

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for MarketSnapshot

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Eq for MarketSnapshot

impl Hash for MarketSnapshot

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 MarketSnapshot

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 MarketSnapshot

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

Equality operator ==.

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

Inequality operator !=.

impl PartialOrd for MarketSnapshot

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 MarketSnapshot

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 MarketSnapshot