Struct OrderBookDepth10

#[repr(C)]
pub struct OrderBookDepth10 {
    pub instrument_id: InstrumentId,
    pub bids: [BookOrder; 10],
    pub asks: [BookOrder; 10],
    pub bid_counts: [u32; 10],
    pub ask_counts: [u32; 10],
    pub flags: u8,
    pub sequence: u64,
    pub ts_event: UnixNanos,
    pub ts_init: UnixNanos,
}

Represents a aggregated order book update with a fixed depth of 10 levels per side.

This structure is specifically designed for scenarios where a snapshot of the top 10 bid and ask levels in an order book is needed. It differs from OrderBookDelta or OrderBookDeltas in its fixed-depth nature and is optimized for cases where a full depth representation is not required or practical.

Note: This type is not compatible with OrderBookDelta or OrderBookDeltas due to its specialized structure and limited depth use case.

Fields

instrument_id: InstrumentId

The instrument ID for the book.

bids: [BookOrder; 10]

The bid orders for the depth update.

asks: [BookOrder; 10]

The ask orders for the depth update.

bid_counts: [u32; 10]

The count of bid orders per level for the depth update.

ask_counts: [u32; 10]

The count of ask orders per level for the depth update.

flags: u8

The record flags bit field, indicating event end and data information.

sequence: u64

The message sequence number assigned at the venue.

ts_event: UnixNanos

UNIX timestamp (nanoseconds) when the book event occurred.

ts_init: UnixNanos

UNIX timestamp (nanoseconds) when the struct was initialized.

Implementations

impl OrderBookDepth10

pub fn new( instrument_id: InstrumentId, bids: [BookOrder; 10], asks: [BookOrder; 10], bid_counts: [u32; 10], ask_counts: [u32; 10], flags: u8, sequence: u64, ts_event: UnixNanos, ts_init: UnixNanos, ) -> Self

Creates a new OrderBookDepth10 instance.

pub fn get_metadata( instrument_id: &InstrumentId, price_precision: u8, size_precision: u8, ) -> HashMap<String, String>

Returns the metadata for the type, for use with serialization formats.

pub fn get_fields() -> IndexMap<String, String>

Returns the field map for the type, for use with Arrow schemas.

Trait Implementations

impl Clone for OrderBookDepth10

fn clone(&self) -> OrderBookDepth10

Returns a copy of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for OrderBookDepth10

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for OrderBookDepth10

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Display for OrderBookDepth10

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

Formats the value using the given formatter.

impl From<OrderBookDepth10> for Data

fn from(value: OrderBookDepth10) -> Self

Converts to this type from the input type.

impl GetTsInit for OrderBookDepth10

fn ts_init(&self) -> UnixNanos

impl Hash for OrderBookDepth10

fn hash<__H: Hasher>(&self, state: &mut __H)

Feeds this value into the given Hasher.

fn hash_slice<H>(data: &[Self], state: &mut H)

where H: Hasher, Self: Sized,

Feeds a slice of this type into the given Hasher.

impl IntoPy<Py<PyAny>> for OrderBookDepth10

fn into_py(self, py: Python<'_>) -> PyObject

Performs the conversion.

impl PartialEq for OrderBookDepth10

fn eq(&self, other: &OrderBookDepth10) -> 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 PyClass for OrderBookDepth10

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for OrderBookDepth10

const IS_BASETYPE: bool = false

#[pyclass(subclass)]

const IS_SUBCLASS: bool = false

#[pyclass(extends=…)]

const IS_MAPPING: bool = false

#[pyclass(mapping)]

const IS_SEQUENCE: bool = false

#[pyclass(sequence)]

type BaseType = PyAny

Base class

type ThreadChecker = SendablePyClass<OrderBookDepth10>

This handles following two situations:

type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::MutableChild

Immutable or mutable

type Dict = PyClassDummySlot

Specify this class has #[pyclass(dict)] or not.

type WeakRef = PyClassDummySlot

Specify this class has #[pyclass(weakref)] or not.

type BaseNativeType = PyAny

The closest native ancestor. This is PyAny by default, and when you declare #[pyclass(extends=PyDict)], it’s PyDict.

fn items_iter() -> PyClassItemsIter

fn doc(py: Python<'_>) -> PyResult<&'static CStr>

Rendered class doc

fn lazy_type_object() -> &'static LazyTypeObject<Self>

fn dict_offset() -> Option<isize>

fn weaklist_offset() -> Option<isize>

impl PyClassNewTextSignature<OrderBookDepth10> for PyClassImplCollector<OrderBookDepth10>

fn new_text_signature(self) -> Option<&'static str>

impl<'a, 'py> PyFunctionArgument<'a, 'py> for &'a OrderBookDepth10

type Holder = Option<PyRef<'py, OrderBookDepth10>>

fn extract( obj: &'a Bound<'py, PyAny>, holder: &'a mut Self::Holder, ) -> PyResult<Self>

impl<'a, 'py> PyFunctionArgument<'a, 'py> for &'a mut OrderBookDepth10

type Holder = Option<PyRefMut<'py, OrderBookDepth10>>

fn extract( obj: &'a Bound<'py, PyAny>, holder: &'a mut Self::Holder, ) -> PyResult<Self>

impl PyMethods<OrderBookDepth10> for PyClassImplCollector<OrderBookDepth10>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for OrderBookDepth10

const NAME: &'static str = "OrderBookDepth10"

Class name.

const MODULE: Option<&'static str> = _

Module name, if any.

fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject

Returns the PyTypeObject instance for this type.

fn type_object_bound(py: Python<'_>) -> Bound<'_, PyType>

Returns the safe abstraction over the type object.

fn is_type_of_bound(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type or a subclass of this type.

fn is_exact_type_of_bound(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.

impl Serializable for OrderBookDepth10

fn from_json_bytes(data: &[u8]) -> Result<Self, Error>

Deserialize an object from JSON encoded bytes.

fn from_msgpack_bytes(data: &[u8]) -> Result<Self, Error>

Deserialize an object from MsgPack encoded bytes.

fn as_json_bytes(&self) -> Result<Bytes, Error>

Serialize an object to JSON encoded bytes.

fn as_msgpack_bytes(&self) -> Result<Bytes, Error>

Serialize an object to MsgPack encoded bytes.

impl Serialize for OrderBookDepth10

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl Copy for OrderBookDepth10

impl DerefToPyAny for OrderBookDepth10

impl Eq for OrderBookDepth10

impl StructuralPartialEq for OrderBookDepth10