Struct OrderBook 

pub struct OrderBook {
    pub bids: OrderBookSide,
    pub asks: OrderBookSide,
}

A level 2 order book.

Designed to be efficient for high-frequency trading scenarios.

Fields

bids: OrderBookSide

The bids side of the order book.

asks: OrderBookSide

The asks side of the order book.

Implementations

impl OrderBook

pub fn new(max_depth: Option<usize>) -> Self

An empty book, each side capped at max_depth levels, or uncapped on None.

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

The level cap both sides were built with.

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

O(1) operation to get the mid price of the order book.

Returns None if either the bid or ask side is empty.

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

Best ask less best bid, or None if either side is empty.

Negative when the book is crossed, which a feed can produce.

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

Order book imbalance at the top: the pressure the best bid and the best ask exert against each other.

(bid - ask) / (bid + ask) over the two best amounts, which lands in [-1, 1]: 1 when only bids stand at the touch, -1 when only asks do, and zero when they match. Positive is buying pressure.

None when either side is empty, or when both best amounts are zero and there is no pressure to take a ratio of.

Exact rather than floating point. The amounts are exact, the sums are exact, and only the division rounds, at the scale everything else here carries.

pub fn range_imbalance(&self, from: usize, to: usize) -> Option<Dec>

OrderBook::imbalance over a band of the book rather than the touch.

The range is half open, from..to, counted in levels from the best on each side, so range_imbalance(0, 5) weighs the top five levels of one side against the top five of the other. A to past the end of a side takes what that side holds, so an unevenly deep book still answers.

None when either side holds no level in the range, when the amounts on both sides of it are zero, or when the range is empty — to at or below from, which includes an inverted one, is a band with no levels rather than a band read backwards.

Reading deeper than the touch is the point: the best level alone is the easiest part of a book to move, and an imbalance measured there is the easiest to manufacture.

pub fn apply_diff(&mut self, diff: &OrderBookDiff)

Apply every level in diff, each as OrderBookSide::set does.

Trait Implementations

impl Clone for OrderBook

fn clone(&self) -> OrderBook

Returns a duplicate 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 Default for OrderBook

fn default() -> Self

Returns the “default value” for a type.

impl From<OrderBookTop> for OrderBook

fn from(top: OrderBookTop) -> Self

Converts to this type from the input type.