Struct L2Book 

#[repr(C)]
pub struct L2Book {
    pub bids: [Level; 20],
    pub asks: [Level; 20],
    pub bid_ct: u8,
    pub ask_ct: u8,
    pub symbol_id: u16,
    pub _pad: u32,
    pub recv_ns: u64,
}

L2 order book with up to 20 levels per side. Total size: 688 bytes (fits in L1 cache).

Fields

bids: [Level; 20]

asks: [Level; 20]

bid_ct: u8

ask_ct: u8

symbol_id: u16

_pad: u32

recv_ns: u64

Implementations

impl L2Book

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

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

pub fn mid_px_1e9(&self) -> u64

pub fn spread_1e9(&self) -> u64

Raw unsigned spread in 1e9 price units. Returns 0 for crossed books (ask < bid) due to saturating_sub. Use spread_signed_1e9() or is_crossed() for proper handling.

pub fn spread_signed_1e9(&self) -> i64

Signed spread in 1e9 price units. Negative = crossed book.

pub fn spread_bps(&self) -> u32

Spread in integer basis points (truncated). WARNING: Returns 0 for sub-bps spreads common on liquid assets (BTC, ETH). Use spread_bps_x1000() for milli-bps precision on liquid markets.

pub fn spread_bps_x1000(&self) -> i32

Spread in milli-basis-points (1 bps = 1000 milli-bps), signed. Handles sub-bps precision for liquid markets and negative values for crossed books. Uses u128 intermediate to avoid overflow on high-priced assets.

pub fn is_crossed(&self) -> bool

Whether the book is crossed (best bid > best ask). Common in consolidated NBBO when different venues have different prices.

pub fn bid_depth_1e8(&self, levels: usize) -> u64

pub fn ask_depth_1e8(&self, levels: usize) -> u64

pub fn imbalance_bps(&self, levels: usize) -> i32

Trait Implementations

impl Clone for L2Book

fn clone(&self) -> L2Book

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Default for L2Book

fn default() -> Self

Returns the “default value” for a type.

impl Copy for L2Book