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.

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

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)

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

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

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

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

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

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

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

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

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

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

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

pub fn has_bid(&self) -> bool

pub fn has_ask(&self) -> bool

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

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

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

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

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

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

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

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

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

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

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

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

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

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 HasPyGilRef for OrderBook

type AsRefTarget = PyCell<OrderBook>

Utility type to make Py::as_ref work.

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(py: Python<'_>) -> &PyType

👎Deprecated since 0.21.0: PyTypeInfo::type_object will be replaced by PyTypeInfo::type_object_bound in a future PyO3 version

Returns the safe abstraction over the type object.

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

Returns the safe abstraction over the type object.

fn is_type_of(object: &PyAny) -> bool

👎Deprecated since 0.21.0: PyTypeInfo::is_type_of will be replaced by PyTypeInfo::is_type_of_bound in a future PyO3 version

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

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(object: &PyAny) -> bool

👎Deprecated since 0.21.0: PyTypeInfo::is_exact_type_of will be replaced by PyTypeInfo::is_exact_type_of_bound in a future PyO3 version

Checks if object is an instance 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