Struct OwnOrderBook

pub struct OwnOrderBook {
    pub instrument_id: InstrumentId,
    pub ts_last: UnixNanos,
    pub update_count: u64,
    /* private fields */
}

Fields

instrument_id: InstrumentId

The instrument ID for the order book.

ts_last: UnixNanos

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

update_count: u64

The current count of updates applied to the order book.

Implementations

impl OwnOrderBook

pub fn new(instrument_id: InstrumentId) -> Self

Creates a new OwnOrderBook instance.

pub fn reset(&mut self)

Resets the order book to its initial empty state.

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

Adds an own order to the book.

pub fn update(&mut self, order: OwnBookOrder) -> Result<()>

Updates an existing own order in the book.

Errors

Returns an error if the order is not found.

pub fn delete(&mut self, order: OwnBookOrder) -> Result<()>

Deletes an own order from the book.

Errors

Returns an error if the order is not found.

pub fn clear(&mut self)

Clears all orders from both sides of the book.

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

Returns an iterator over bid price levels.

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

Returns an iterator over ask price levels.

pub fn bid_client_order_ids(&self) -> Vec<ClientOrderId>

Returns the client order IDs currently on the bid side.

pub fn ask_client_order_ids(&self) -> Vec<ClientOrderId>

Returns the client order IDs currently on the ask side.

pub fn is_order_in_book(&self, client_order_id: &ClientOrderId) -> bool

Return whether the given client order ID is in the own book.

pub fn bids_as_map( &self, status: Option<HashSet<OrderStatus>>, accepted_buffer_ns: Option<u64>, ts_now: Option<u64>, ) -> IndexMap<Decimal, Vec<OwnBookOrder>>

Maps bid price levels to their own orders, excluding empty levels after filtering.

Filters by status if provided. With accepted_buffer_ns, only includes orders accepted at least that many nanoseconds before ts_now (defaults to now).

pub fn asks_as_map( &self, status: Option<HashSet<OrderStatus>>, accepted_buffer_ns: Option<u64>, ts_now: Option<u64>, ) -> IndexMap<Decimal, Vec<OwnBookOrder>>

Maps ask price levels to their own orders, excluding empty levels after filtering.

Filters by status if provided. With accepted_buffer_ns, only includes orders accepted at least that many nanoseconds before ts_now (defaults to now).

pub fn bid_quantity( &self, status: Option<HashSet<OrderStatus>>, accepted_buffer_ns: Option<u64>, ts_now: Option<u64>, ) -> IndexMap<Decimal, Decimal>

Aggregates own bid quantities per price level, omitting zero-quantity levels.

Filters by status if provided, including only matching orders. With accepted_buffer_ns, only includes orders accepted at least that many nanoseconds before ts_now (defaults to now).

pub fn ask_quantity( &self, status: Option<HashSet<OrderStatus>>, accepted_buffer_ns: Option<u64>, ts_now: Option<u64>, ) -> IndexMap<Decimal, Decimal>

Aggregates own ask quantities per price level, omitting zero-quantity levels.

Filters by status if provided, including only matching orders. With accepted_buffer_ns, only includes orders accepted at least that many nanoseconds before ts_now (defaults to now).

pub fn group_bids( &self, group_size: Decimal, depth: Option<usize>, status: Option<HashSet<OrderStatus>>, accepted_buffer_ns: Option<u64>, ts_now: Option<u64>, ) -> IndexMap<Decimal, Decimal>

Groups own bid quantities by price into buckets, truncating to a maximum depth.

Filters by status if provided. With accepted_buffer_ns, only includes orders accepted at least that many nanoseconds before ts_now (defaults to now).

pub fn group_asks( &self, group_size: Decimal, depth: Option<usize>, status: Option<HashSet<OrderStatus>>, accepted_buffer_ns: Option<u64>, ts_now: Option<u64>, ) -> IndexMap<Decimal, Decimal>

Groups own ask quantities by price into buckets, truncating to a maximum depth.

Filters by status if provided. With accepted_buffer_ns, only includes orders accepted at least that many nanoseconds before ts_now (defaults to now).

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

Return a formatted string representation of the order book.

pub fn audit_open_orders(&mut self, open_order_ids: &HashSet<ClientOrderId>)

impl OwnOrderBook

pub fn py_bid_client_order_ids(&self) -> Vec<ClientOrderId>

pub fn py_ask_client_order_ids(&self) -> Vec<ClientOrderId>

pub fn py_is_order_in_book(&self, client_order_id: &ClientOrderId) -> bool

Trait Implementations

impl Debug for OwnOrderBook

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

Formats the value using the given formatter.

impl Display for OwnOrderBook

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

Formats the value using the given formatter.

impl IntoPy<Py<PyAny>> for OwnOrderBook

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

👎Deprecated since 0.23.0: IntoPy is going to be replaced by IntoPyObject. See the migration guide (https://pyo3.rs/v0.23.0/migration) for more information.

Performs the conversion.

impl<'py> IntoPyObject<'py> for OwnOrderBook

type Target = OwnOrderBook

The Python output type

type Output = Bound<'py, <OwnOrderBook as IntoPyObject<'py>>::Target>

The smart pointer type to use.

type Error = PyErr

The type returned in the event of a conversion error.

fn into_pyobject( self, py: Python<'py>, ) -> Result<<Self as IntoPyObject<'_>>::Output, <Self as IntoPyObject<'_>>::Error>

Performs the conversion.

impl PartialEq for OwnOrderBook

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 OwnOrderBook

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for OwnOrderBook

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<OwnOrderBook>

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<OwnOrderBook> for PyClassImplCollector<OwnOrderBook>

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

impl<'a, 'py> PyFunctionArgument<'a, 'py, false> for &'a OwnOrderBook

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

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

impl<'a, 'py> PyFunctionArgument<'a, 'py, false> for &'a mut OwnOrderBook

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

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

impl PyMethods<OwnOrderBook> for PyClassImplCollector<OwnOrderBook>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for OwnOrderBook

const NAME: &'static str = "OwnOrderBook"

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<'_>) -> Bound<'_, PyType>

Returns the safe abstraction over the type object.

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

👎Deprecated since 0.23.0: renamed to PyTypeInfo::type_object

Deprecated name for [PyTypeInfo::type_object].

fn is_type_of(object: &Bound<'_, PyAny>) -> bool

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

fn is_type_of_bound(object: &Bound<'_, PyAny>) -> bool

👎Deprecated since 0.23.0: renamed to PyTypeInfo::is_type_of

Deprecated name for [PyTypeInfo::is_type_of].

fn is_exact_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.

fn is_exact_type_of_bound(object: &Bound<'_, PyAny>) -> bool

👎Deprecated since 0.23.0: renamed to PyTypeInfo::is_exact_type_of

Deprecated name for [PyTypeInfo::is_exact_type_of].

impl DerefToPyAny for OwnOrderBook