Struct trade::order_book::OrderBook

pub struct OrderBook { /* fields omitted */ }

An order book. Internally uses two BTreeMap, one for the bid side and another one for the ask side.

Methods

impl OrderBook

pub fn new() -> Self

Return an empty OrderBook.

pub fn best_bid(&self) -> TickUnit

Return best bid price. If the bid side is empty, return 0.

Complexity

O(1).

pub fn best_ask(&self) -> TickUnit

Return best ask price. If the ask side is empty, return TickUnit::max_value().

Complexity

O(1).

pub fn update(&mut self, update: LimitUpdate)

Update the given limit with the given updated size.

Complexity

O(log(n)) where n is the number of limits at the given side.

pub fn size_at_limit(&self, side: Side, price: TickUnit) -> TickUnit

Retrieve the size at the given limit.

Complexity

O(log(n)) where n is the number of limits at the given side.

pub fn bid(     &self ) -> impl Iterator<Item = (&TickUnit, &TickUnit)>

Iterator over the limits at bid, sorted by descending key.

pub fn ask(     &self ) -> impl Iterator<Item = (&TickUnit, &TickUnit)>

Iterator over the limits at ask, sorted by ascending key.

pub fn diff(     &self,     other: &OrderBook ) -> impl Iterator<Item = LimitUpdate>

Return an iterator over the set of limit updates to apply to self in order to be equal to other.

Complexity

O(n + m) where n is self's length and m is other's length.

Example

for u in order_book1.diff(&order_book2) {
    order_book1.update(u);
}
assert_eq!(order_book1, order_book2);

Trait Implementations

impl Default for OrderBook

fn default() -> OrderBook

Returns the "default value" for a type.

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 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 Eq for OrderBook

impl Debug for OrderBook

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

Formats the value using the given formatter.

impl Display for OrderBook

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

Formats the value using the given formatter.