nautilus_model::orderbook::book

Struct OrderBook

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pub struct OrderBook {
    pub instrument_id: InstrumentId,
    pub book_type: BookType,
    pub sequence: u64,
    pub ts_last: UnixNanos,
    pub count: u64,
    /* private fields */
}
Expand description

Provides a high-performance, versatile order book.

Capable of handling various levels of data granularity:

  • MBO (market by order) / L3
  • MBP (market by price) / L2 aggregated order per level
  • MBP (market by price) / L1 top-of-book only

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§instrument_id: InstrumentId

The instrument ID for the order book.

§book_type: BookType

The order book type (MBP types will aggregate orders).

§sequence: u64

The last event sequence number for the order book.

§ts_last: UnixNanos

The timestamp of the last event applied to the order book.

§count: u64

The current count of events applied to the order book.

Implementations§

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impl OrderBook

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pub fn new(instrument_id: InstrumentId, book_type: BookType) -> Self

Creates a new OrderBook instance.

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pub fn reset(&mut self)

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

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

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

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

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

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

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

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

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

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pub fn bids(&self) -> impl Iterator<Item = &Level>

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pub fn asks(&self) -> impl Iterator<Item = &Level>

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pub fn has_bid(&self) -> bool

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pub fn has_ask(&self) -> bool

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

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

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

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

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

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

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

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

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

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

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

Return a String representation of the order book in a human-readable table format.

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

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

Trait Implementations§

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impl Clone for OrderBook

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fn clone(&self) -> OrderBook

Returns a copy of the value. Read more
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fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more
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impl Debug for OrderBook

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

Formats the value using the given formatter. Read more
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impl Display for OrderBook

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

Formats the value using the given formatter. Read more
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impl IntoPy<Py<PyAny>> for OrderBook

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

Performs the conversion.
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impl PartialEq for OrderBook

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

Tests for self and other values to be equal, and is used by ==.
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fn ne(&self, other: &Rhs) -> bool

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

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type Frozen = False

Whether the pyclass is frozen. Read more
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impl PyClassImpl for OrderBook

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const IS_BASETYPE: bool = false

#[pyclass(subclass)]
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const IS_SUBCLASS: bool = false

#[pyclass(extends=…)]
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const IS_MAPPING: bool = false

#[pyclass(mapping)]
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const IS_SEQUENCE: bool = false

#[pyclass(sequence)]
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type BaseType = PyAny

Base class
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type ThreadChecker = SendablePyClass<OrderBook>

This handles following two situations: Read more
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type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::MutableChild

Immutable or mutable
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type Dict = PyClassDummySlot

Specify this class has #[pyclass(dict)] or not.
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type WeakRef = PyClassDummySlot

Specify this class has #[pyclass(weakref)] or not.
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type BaseNativeType = PyAny

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

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

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

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fn dict_offset() -> Option<isize>

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fn weaklist_offset() -> Option<isize>

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impl PyClassNewTextSignature<OrderBook> for PyClassImplCollector<OrderBook>

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

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

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

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

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

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

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

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impl PyMethods<OrderBook> for PyClassImplCollector<OrderBook>

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fn py_methods(self) -> &'static PyClassItems

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impl PyTypeInfo for OrderBook

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const NAME: &'static str = "OrderBook"

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

Module name, if any.
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fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject

Returns the PyTypeObject instance for this type.
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Returns the safe abstraction over the type object.
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fn is_type_of_bound(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type or a subclass of this type.
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fn is_exact_type_of_bound(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.
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impl DerefToPyAny for OrderBook

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impl Eq for OrderBook

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