Struct BookLevel

pub struct BookLevel {
    pub price: BookPrice,
    pub orders: BTreeMap<OrderId, BookOrder>,
    /* private fields */
}

Represents a discrete price level in an order book.

The level maintains a collection of orders as well as tracking insertion order to preserve FIFO queue dynamics.

Fields

price: BookPrice

orders: BTreeMap<OrderId, BookOrder>

Implementations

impl BookLevel

pub fn new(price: BookPrice) -> Self

Creates a new [Level] instance.

pub fn from_order(order: BookOrder) -> Self

Creates a new price level from an order, using the order’s price and side.

pub fn len(&self) -> usize

Returns the number of orders at this price level.

pub fn is_empty(&self) -> bool

Returns true if this price level has no orders.

pub fn first(&self) -> Option<&BookOrder>

Returns a reference to the first order at this price level in FIFO order.

pub fn get_orders(&self) -> Vec<BookOrder>

Returns all orders at this price level in FIFO insertion order.

pub fn size(&self) -> f64

Returns the total size of all orders at this price level as a float.

pub fn size_raw(&self) -> u64

Returns the total size of all orders at this price level as raw integer units.

pub fn size_decimal(&self) -> Decimal

Returns the total size of all orders at this price level as a decimal.

pub fn exposure(&self) -> f64

Returns the total exposure (price * size) of all orders at this price level as a float.

pub fn exposure_raw(&self) -> u64

Returns the total exposure (price * size) of all orders at this price level as raw integer units.

pub fn add_bulk(&mut self, orders: Vec<BookOrder>)

Adds multiple orders to this price level in FIFO order. Orders must match the level’s price.

pub fn add(&mut self, order: BookOrder)

Adds an order to this price level. Order must match the level’s price.

pub fn update(&mut self, order: BookOrder)

Updates an existing order at this price level. Updated order must match the level’s price. Removes the order if size becomes zero.

pub fn delete(&mut self, order: &BookOrder)

Deletes an order from this price level.

pub fn remove_by_id( &mut self, order_id: OrderId, sequence: u64, ts_event: UnixNanos, )

Removes an order by its ID. Panics if the order doesn’t exist.

Trait Implementations

impl Clone for BookLevel

fn clone(&self) -> BookLevel

Returns a copy of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for BookLevel

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

Formats the value using the given formatter.

impl IntoPy<Py<PyAny>> for BookLevel

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

Performs the conversion.

impl Ord for BookLevel

fn cmp(&self, other: &Self) -> Ordering

This method returns an Ordering between self and other.

fn max(self, other: Self) -> Self

where Self: Sized,

Compares and returns the maximum of two values.

fn min(self, other: Self) -> Self

where Self: Sized,

Compares and returns the minimum of two values.

fn clamp(self, min: Self, max: Self) -> Self

where Self: Sized,

Restrict a value to a certain interval.

impl PartialEq for BookLevel

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 PartialOrd for BookLevel

fn partial_cmp(&self, other: &Self) -> Option<Ordering>

This method returns an ordering between self and other values if one exists.

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

Tests less than (for self and other) and is used by the < operator.

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

Tests less than or equal to (for self and other) and is used by the <= operator.

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

Tests greater than (for self and other) and is used by the > operator.

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

Tests greater than or equal to (for self and other) and is used by the >= operator.

impl PyClass for BookLevel

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for BookLevel

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<BookLevel>

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<'a, 'py> PyFunctionArgument<'a, 'py> for &'a BookLevel

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

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

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

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

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

impl PyMethods<BookLevel> for PyClassImplCollector<BookLevel>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for BookLevel

const NAME: &'static str = "BookLevel"

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 BookLevel

impl Eq for BookLevel