Struct OrderBook 

pub struct OrderBook {
    pub bids: Vec<Level>,
    pub asks: Vec<Level>,
}

An order-book depth snapshot.

Bids are stored best-first (strictly descending price); asks are stored best-first (strictly ascending price). A valid book is non-empty on both sides and uncrossed (best_bid < best_ask).

Fields

bids: Vec<Level>

Bid levels, best (highest price) first.

asks: Vec<Level>

Ask levels, best (lowest price) first.

Implementations

impl OrderBook

pub fn new(bids: Vec<Level>, asks: Vec<Level>) -> Result<Self>

Construct an order book, validating the level and ordering invariants.

Errors

Returns Error::InvalidOrderBook if either side is empty, any level has a non-finite/non-positive price or non-finite/negative size, the bids are not strictly descending in price, the asks are not strictly ascending in price, or the book is crossed/locked (best_bid >= best_ask).

pub const fn new_unchecked(bids: Vec<Level>, asks: Vec<Level>) -> Self

Construct an order book without validation. The caller asserts that all level and ordering invariants hold.

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

The best (highest-price) bid level, or None if the bid side is empty.

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

The best (lowest-price) ask level, or None if the ask side is empty.

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

The mid price (best_bid + best_ask) / 2, or None if either side is empty.

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 PartialEq for OrderBook

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

Tests for self and other values to be equal, and is used by ==.

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

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl StructuralPartialEq for OrderBook