Struct OrderBookSide

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pub struct OrderBookSide { /* private fields */ }

Expand description

One side of a level 2 book.

Levels are kept best first — descending for bids, ascending for asks — so the best level, the n-th level and the depth cut are all index arithmetic.

Implementations§

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impl OrderBookSide

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pub fn len(&self) -> usize

The number of levels held.

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pub fn is_empty(&self) -> bool

Whether the side holds no levels.

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pub fn max_depth(&self) -> Option<usize>

The level cap this side was built with, or None when uncapped.

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pub fn iter(&self) -> Iter<'_, PriceAmount> ⓘ

Iterate every level, best first.

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pub fn find(&self, price: Dec) -> Option<&PriceAmount>

The level at exactly price, if the side holds one.

Keyed by price, where OrderBookSide::at is keyed by depth.

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pub fn best(&self) -> Option<&PriceAmount>

The best level: highest bid, lowest ask.

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pub fn best_price(&self) -> Option<Dec>

The price of the best level.

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pub fn worst(&self) -> Option<&PriceAmount>

The worst level held, which is the deepest one, not the worst possible.

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pub fn worst_price(&self) -> Option<Dec>

The price of the worst level held.

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pub fn at(&self, n: usize) -> Option<&PriceAmount>

The n-th level from the best, counting from zero.

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pub fn price_at(&self, n: usize) -> Option<Dec>

The price of the n-th level from the best.

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pub fn set(&mut self, entry: PriceAmount) -> Option<Dec>

Set a level, returning the amount it replaced. A zero amount removes it.

A level failing PriceAmount::is_valid is rejected and the book left untouched. None therefore covers four cases: the level was inserted, it was rejected as invalid, it was refused for sitting past max_depth, or a zero amount asked to remove a price that was absent.

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pub fn set_price_amount(&mut self, price: Dec, amount: Dec) -> Option<Dec>

OrderBookSide::set taking the price and amount separately.

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pub fn trim(&mut self, depth: usize)

Retain at most depth levels, dropping the worst ones beyond that.

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pub fn range(&self, low: Dec, high: Dec) -> Iter<'_, PriceAmount> ⓘ

Iterate levels within [low, high] in best-first order.

An empty iterator when no level falls inside, low above high included.

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pub fn volume_at(&self, level: usize) -> Option<Dec>

Get the volume up to a given level in the orderbook side

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pub fn price_for_quantity(&self, quantity: f64) -> Option<f64>

Volume weighted price paid to fill quantity, or None if the side is too thin.

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pub fn amount_mean(&self) -> Option<f64>

Mean level amount, or None when the side is empty.

Summed on demand rather than kept as a running total. A running one would have to be corrected on every set, which is the hot path, to save an addition per level here, which is not; and one non-finite amount would poison it for good, since the subtraction that removes the level cannot take a NaN back out again.

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pub fn amount_std_dev(&self) -> Option<f64>

Population standard deviation of the level amounts, or None when the side is empty.

Computed from the levels rather than from a running sum of squares. A running one drifts: adding and removing a level far larger than the rest cancels badly enough to report no dispersion at all on a book that has some, and the clamp that hid it turned corruption into a plausible number. The mean comes from the exact Dec total, so only the deviations are floating point, and their squares cannot go negative.

Two passes, then: the mean has to be known before a deviation can be measured against it, which is the same reason the one-pass form is the one that drifts.