[−][src]Struct tdb_core::postprocessing::orderbook::RebinnedOrderbook

pub struct RebinnedOrderbook {
    pub book: IndexMap<u64, Orderbook>,
    pub price_hist: Histogram,
}

Data structure for rebinning orderbooks

If you think of an order as a 2D image, rebinning is lowering the resolution For example, the raw orderbook is 1 nano second apart, you can "zoom out" to 1 second

Price rebinning is similar.

Fields

book: IndexMap<u64, Orderbook>

a map from time to orderbook

price_hist: Histogram

histogram of price

Methods

impl RebinnedOrderbook[src]

pub fn from(
    price_decimals: u8,
    ups: &[Update],
    step_bins: BinCount,
    tick_bins: BinCount,
    m: f64
) -> RebinnedOrderbook[src]

convert a list of updates to rebinned orderbook with fixed number of time steps bins and ticks bins

Trait Implementations

impl Debug for RebinnedOrderbook[src]

Auto Trait Implementations

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