Struct OrderBook

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

Provides a high-performance, versatile order book.

Maintains buy (bid) and sell (ask) orders in price-time priority, supporting multiple market data formats:

• L3 (MBO): Market By Order - tracks individual orders with unique IDs.
• L2 (MBP): Market By Price - aggregates orders at each price level.
• L1 (MBP): Top-of-Book - maintains only the best bid and ask prices.

Fields

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

impl OrderBook

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

Creates a new OrderBook instance.

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.

impl OrderBook

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 Clone for OrderBook

fn clone(&self) -> OrderBook

Returns a copy 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 Display for OrderBook

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

Formats the value using the given formatter.

impl IntoPy<Py<PyAny>> for OrderBook

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

Performs the conversion.

impl PartialEq for OrderBook

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

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for OrderBook

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<OrderBook>

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<OrderBook> for PyClassImplCollector<OrderBook>

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

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

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

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

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

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

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

impl PyMethods<OrderBook> for PyClassImplCollector<OrderBook>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for OrderBook

const NAME: &'static str = "OrderBook"

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 DerefToPyAny for OrderBook

impl Eq for OrderBook