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
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§
Source§impl OrderBook
impl OrderBook
Sourcepub fn new(instrument_id: InstrumentId, book_type: BookType) -> Self
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_avg_px_qty_for_exposure( &self, target_exposure: Quantity, order_side: OrderSide, ) -> (f64, f64, f64)
pub fn get_quantity_for_price(&self, price: Price, order_side: OrderSide) -> f64
pub fn simulate_fills(&self, order: &BookOrder) -> Vec<(Price, Quantity)>
Sourcepub fn pprint(&self, num_levels: usize) -> String
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§
Source§impl PyClassImpl for OrderBook
impl PyClassImpl for OrderBook
Source§const IS_BASETYPE: bool = false
const IS_BASETYPE: bool = false
#[pyclass(subclass)]
Source§const IS_SUBCLASS: bool = false
const IS_SUBCLASS: bool = false
#[pyclass(extends=…)]
Source§const IS_MAPPING: bool = false
const IS_MAPPING: bool = false
#[pyclass(mapping)]
Source§const IS_SEQUENCE: bool = false
const IS_SEQUENCE: bool = false
#[pyclass(sequence)]
Source§type ThreadChecker = SendablePyClass<OrderBook>
type ThreadChecker = SendablePyClass<OrderBook>
This handles following two situations: Read more
Source§type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::MutableChild
type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::MutableChild
Immutable or mutable
Source§type BaseNativeType = PyAny
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 lazy_type_object() -> &'static LazyTypeObject<Self>
fn dict_offset() -> Option<isize>
fn weaklist_offset() -> Option<isize>
Source§impl PyClassNewTextSignature<OrderBook> for PyClassImplCollector<OrderBook>
impl PyClassNewTextSignature<OrderBook> for PyClassImplCollector<OrderBook>
fn new_text_signature(self) -> Option<&'static str>
Source§impl PyMethods<OrderBook> for PyClassImplCollector<OrderBook>
impl PyMethods<OrderBook> for PyClassImplCollector<OrderBook>
fn py_methods(self) -> &'static PyClassItems
Source§impl PyTypeInfo for OrderBook
impl PyTypeInfo for OrderBook
Source§fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject
fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject
Returns the PyTypeObject instance for this type.
§fn type_object_bound(py: Python<'_>) -> Bound<'_, PyType>
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
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
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
Auto Trait Implementations§
impl Freeze for OrderBook
impl RefUnwindSafe for OrderBook
impl Send for OrderBook
impl Sync for OrderBook
impl Unpin for OrderBook
impl UnwindSafe for OrderBook
Blanket Implementations§
Source§impl<T> BorrowMut<T> for Twhere
T: ?Sized,
impl<T> BorrowMut<T> for Twhere
T: ?Sized,
Source§fn borrow_mut(&mut self) -> &mut T
fn borrow_mut(&mut self) -> &mut T
Mutably borrows from an owned value. Read more
Source§impl<T> CloneToUninit for Twhere
T: Clone,
impl<T> CloneToUninit for Twhere
T: Clone,
§impl<Q, K> Equivalent<K> for Q
impl<Q, K> Equivalent<K> for Q
§fn equivalent(&self, key: &K) -> bool
fn equivalent(&self, key: &K) -> bool
Checks if this value is equivalent to the given key. Read more
§impl<Q, K> Equivalent<K> for Q
impl<Q, K> Equivalent<K> for Q
§fn equivalent(&self, key: &K) -> bool
fn equivalent(&self, key: &K) -> bool
Compare self to
key
and return true
if they are equal.§impl<T> FromPyObject<'_> for Twhere
T: PyClass + Clone,
impl<T> FromPyObject<'_> for Twhere
T: PyClass + Clone,
§fn extract_bound(obj: &Bound<'_, PyAny>) -> Result<T, PyErr>
fn extract_bound(obj: &Bound<'_, PyAny>) -> Result<T, PyErr>
§impl<'py, T> FromPyObjectBound<'_, 'py> for Twhere
T: FromPyObject<'py>,
impl<'py, T> FromPyObjectBound<'_, 'py> for Twhere
T: FromPyObject<'py>,
§fn from_py_object_bound(ob: Borrowed<'_, 'py, PyAny>) -> Result<T, PyErr>
fn from_py_object_bound(ob: Borrowed<'_, 'py, PyAny>) -> Result<T, PyErr>
§impl<T> PyErrArguments for T
impl<T> PyErrArguments for T
§impl<T> PyTypeCheck for Twhere
T: PyTypeInfo,
impl<T> PyTypeCheck for Twhere
T: PyTypeInfo,
Source§impl<T> Separable for Twhere
T: Display,
impl<T> Separable for Twhere
T: Display,
Source§fn separate_by_policy(&self, policy: SeparatorPolicy<'_>) -> String
fn separate_by_policy(&self, policy: SeparatorPolicy<'_>) -> String
Adds separators according to the given
SeparatorPolicy
. Read moreSource§fn separate_with_commas(&self) -> String
fn separate_with_commas(&self) -> String
Inserts a comma every three digits from the right. Read more
Source§fn separate_with_spaces(&self) -> String
fn separate_with_spaces(&self) -> String
Inserts a space every three digits from the right. Read more
Source§fn separate_with_dots(&self) -> String
fn separate_with_dots(&self) -> String
Inserts a period every three digits from the right. Read more
Source§fn separate_with_underscores(&self) -> String
fn separate_with_underscores(&self) -> String
Inserts an underscore every three digits from the right. Read more