Struct DepthDiffStreamEvent

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pub struct DepthDiffStreamEvent {
    pub event_time_us: i64,
    pub first_book_update_id: i64,
    pub last_book_update_id: i64,
    pub price_exponent: i8,
    pub qty_exponent: i8,
    pub bids: Vec<PriceLevel>,
    pub asks: Vec<PriceLevel>,
    pub symbol: String,
}

Expand description

Depth diff stream event (incremental order book updates).

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§event_time_us: i64

Event timestamp in microseconds.

§first_book_update_id: i64

First book update ID in this diff.

§last_book_update_id: i64

Last book update ID in this diff.

§price_exponent: i8

Price exponent (prices = mantissa * 10^exponent).

§qty_exponent: i8

Quantity exponent (quantities = mantissa * 10^exponent).

§bids: Vec<PriceLevel>

Bid level updates (qty=0 means remove level).

§asks: Vec<PriceLevel>

Ask level updates (qty=0 means remove level).

§symbol: String

Trading symbol.

Implementations§

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impl DepthDiffStreamEvent

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pub const BLOCK_LENGTH: usize = 26usize

Fixed block length (excluding header, groups, and variable-length data).

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pub fn decode(buf: &[u8]) -> Result<Self, StreamDecodeError>

Decode from SBE buffer (including 8-byte header).

§Errors

Returns error if buffer is too short, group size exceeds limits, or data is otherwise invalid.

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pub fn level_price(&self, level: &PriceLevel) -> f64

Get price as f64 for a level.

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pub fn level_qty(&self, level: &PriceLevel) -> f64

Get quantity as f64 for a level.

Trait Implementations§

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impl Clone for DepthDiffStreamEvent

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fn clone(&self) -> DepthDiffStreamEvent

Returns a duplicate of the value. Read more

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

Performs copy-assignment from source. Read more

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impl Debug for DepthDiffStreamEvent

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

Formats the value using the given formatter. Read more

Auto Trait Implementations§

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impl UnwindSafe for DepthDiffStreamEvent

Blanket Implementations§

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impl<T> Any for T
where T: 'static + ?Sized,

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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

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impl<T> BorrowMut<T> for T
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fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

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impl<T> CloneToUninit for T
where T: Clone,

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unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)

Performs copy-assignment from self to dest. Read more

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impl<T> From<T> for T

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fn from(t: T) -> T

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impl<T> Instrument for T

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fn instrument(self, span: Span) -> Instrumented<Self>

Instruments this type with the provided [Span], returning an Instrumented wrapper. Read more

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Calls U::from(self).

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Converts self into a Left variant of Either<Self, Self> if into_left is true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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