Struct OrderBook_API

#[repr(C)]
pub struct OrderBook_API(/* private fields */);

C compatible Foreign Function Interface (FFI) for an underlying OrderBook.

This struct wraps OrderBook in a way that makes it compatible with C function calls, enabling interaction with OrderBook in a C environment.

It implements the Deref trait, allowing instances of OrderBook_API to be dereferenced to OrderBook, providing access to OrderBook’s methods without having to manually access the underlying OrderBook instance.

Methods from Deref<Target = OrderBook>

pub fn reset(&mut self)

Resets the order book to its initial empty state.

pub fn add( &mut self, order: BookOrder, flags: u8, sequence: u64, ts_event: UnixNanos, )

Adds an order to the book after preprocessing based on book type.

pub fn update( &mut self, order: BookOrder, flags: u8, sequence: u64, ts_event: UnixNanos, )

Updates an existing order in the book after preprocessing based on book type.

pub fn delete( &mut self, order: BookOrder, flags: u8, sequence: u64, ts_event: UnixNanos, )

Deletes an order from the book after preprocessing based on book type.

pub fn clear(&mut self, sequence: u64, ts_event: UnixNanos)

Clears all orders from both sides of the book.

pub fn clear_bids(&mut self, sequence: u64, ts_event: UnixNanos)

Clears all bid orders from the book.

pub fn clear_asks(&mut self, sequence: u64, ts_event: UnixNanos)

Clears all ask orders from the book.

pub fn apply_delta(&mut self, delta: &OrderBookDelta)

Applies a single order book delta operation.

pub fn apply_deltas(&mut self, deltas: &OrderBookDeltas)

Applies multiple order book delta operations.

pub fn apply_depth(&mut self, depth: &OrderBookDepth10)

Replaces current book state with a depth snapshot.

pub fn bids(&self, depth: Option<usize>) -> impl Iterator<Item = &BookLevel>

Returns an iterator over bid price levels.

pub fn asks(&self, depth: Option<usize>) -> impl Iterator<Item = &BookLevel>

Returns an iterator over ask price levels.

pub fn bids_as_map(&self, depth: Option<usize>) -> IndexMap<Decimal, Decimal>

Returns bid price levels as a map of price to size.

pub fn asks_as_map(&self, depth: Option<usize>) -> IndexMap<Decimal, Decimal>

Returns ask price levels as a map of price to size.

pub fn group_bids( &self, group_size: Decimal, depth: Option<usize>, ) -> IndexMap<Decimal, Decimal>

Groups bid levels by price, up to specified depth.

pub fn group_asks( &self, group_size: Decimal, depth: Option<usize>, ) -> IndexMap<Decimal, Decimal>

Groups ask levels by price, up to specified depth.

pub fn has_bid(&self) -> bool

Returns true if the book has any bid orders.

pub fn has_ask(&self) -> bool

Returns true if the book has any ask orders.

pub fn best_bid_price(&self) -> Option<Price>

Returns the best bid price if available.

pub fn best_ask_price(&self) -> Option<Price>

Returns the best ask price if available.

pub fn best_bid_size(&self) -> Option<Quantity>

Returns the size at the best bid price if available.

pub fn best_ask_size(&self) -> Option<Quantity>

Returns the size at the best ask price if available.

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

Returns the spread between best ask and bid prices if both exist.

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

Returns the midpoint between best ask and bid prices if both exist.

pub fn get_avg_px_for_quantity( &self, qty: Quantity, order_side: OrderSide, ) -> f64

Calculates the average price to fill the specified quantity.

pub fn get_avg_px_qty_for_exposure( &self, target_exposure: Quantity, order_side: OrderSide, ) -> (f64, f64, f64)

Calculates average price and quantity for target exposure. Returns (price, quantity, executed_exposure).

pub fn get_quantity_for_price(&self, price: Price, order_side: OrderSide) -> f64

Returns the total quantity available at specified price level.

pub fn simulate_fills(&self, order: &BookOrder) -> Vec<(Price, Quantity)>

Simulates fills for an order, returning list of (price, quantity) tuples.

pub fn pprint(&self, num_levels: usize) -> String

Return a formatted string representation of the order book.

pub fn update_quote_tick( &mut self, quote: &QuoteTick, ) -> Result<(), InvalidBookOperation>

Updates L1 book state from a quote tick. Only valid for L1_MBP book type.

pub fn update_trade_tick( &mut self, trade: &TradeTick, ) -> Result<(), InvalidBookOperation>

Updates L1 book state from a trade tick. Only valid for L1_MBP book type.

pub fn py_group_bids( &self, group_size: Decimal, depth: Option<usize>, ) -> IndexMap<Decimal, Decimal>

pub fn py_group_asks( &self, group_size: Decimal, depth: Option<usize>, ) -> IndexMap<Decimal, Decimal>

Trait Implementations

impl Deref for OrderBook_API

type Target = OrderBook

The resulting type after dereferencing.

fn deref(&self) -> &Self::Target

Dereferences the value.

impl DerefMut for OrderBook_API

fn deref_mut(&mut self) -> &mut Self::Target

Mutably dereferences the value.