Struct tdb_core::postprocessing::orderbook::Orderbook

pub struct Orderbook {
    pub price_decimals: u8,
    pub bids: BTreeMap<u64, f64>,
    pub asks: BTreeMap<u64, f64>,
}

data structure for orderbook

Fields

price_decimals: u8

precision of price

bids: BTreeMap<u64, f64>

bids side of the orderbook

asks: BTreeMap<u64, f64>

asks side of the orderbook

Methods

impl Orderbook

pub fn discretize(&self, p: f32) -> u64

convert price from f32 to u64

pub fn undiscretize(&self, p: u64) -> f32

convert price from u64 to f32

pub fn with_precision(price_decimals: u8) -> Orderbook

Create empty orderbook

pub fn process_update(&mut self, up: &Update)

process depth update and clear empty price levels

pub fn clear(&mut self)

reset orderbook

pub fn clean(&mut self)

Remove zero levels from books

pub fn top(&self) -> Option<((f32, f64), (f32, f64))>

get top of the book, max bid, min ask

pub fn best_bid_raw(&self) -> Option<u64>

get discretized best bid price

pub fn best_ask_raw(&self) -> Option<u64>

get discretized best ask price

pub fn midprice_raw(&self) -> Option<u64>

get discretized best ask price

pub fn best_bid(&self) -> Option<f32>

get undiscretized best bid price

pub fn best_ask(&self) -> Option<f32>

get undiscretized best ask price

pub fn midprice(&self) -> Option<f32>

get midprice which is (bb + ba)/2

Trait Implementations

impl Clone for Orderbook

fn clone(&self) -> Orderbook

Returns a copy of the value.

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

Performs copy-assignment from source.

impl Debug for Orderbook

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for Orderbook

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error> where
    __D: Deserializer<'de>, 

Deserialize this value from the given Serde deserializer.

impl PartialEq<Orderbook> for Orderbook

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

This method tests for self and other values to be equal, and is used by ==.

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

This method tests for !=.

impl Serialize for Orderbook

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 Orderbook