Struct OrderBookDelta

#[repr(C)]
pub struct OrderBookDelta {
    pub instrument_id: InstrumentId,
    pub action: BookAction,
    pub order: BookOrder,
    pub flags: u8,
    pub sequence: u64,
    pub ts_event: UnixNanos,
    pub ts_init: UnixNanos,
}

Represents a single change/delta in an order book.

Fields

instrument_id: InstrumentId

The instrument ID for the book.

action: BookAction

The order book delta action.

order: BookOrder

The order to apply.

flags: u8

The record flags bit field indicating event end and data information.

sequence: u64

The message sequence number assigned at the venue.

ts_event: UnixNanos

UNIX timestamp (nanoseconds) when the book event occurred.

ts_init: UnixNanos

UNIX timestamp (nanoseconds) when the struct was initialized.

Implementations

impl OrderBookDelta

pub fn new_checked( instrument_id: InstrumentId, action: BookAction, order: BookOrder, flags: u8, sequence: u64, ts_event: UnixNanos, ts_init: UnixNanos, ) -> Result<Self>

Creates a new OrderBookDelta instance with correctness checking.

Errors

This function returns an error:

• If action is BookAction::Add or BookAction::Update and size is not positive (> 0).

Notes

PyO3 requires a Result type for proper error handling and stacktrace printing in Python.

pub fn new( instrument_id: InstrumentId, action: BookAction, order: BookOrder, flags: u8, sequence: u64, ts_event: UnixNanos, ts_init: UnixNanos, ) -> Self

Creates a new OrderBookDelta instance.

Panics

This function panics:

• If action is BookAction::Add or BookAction::Update and size is not positive (> 0).

pub fn clear( instrument_id: InstrumentId, sequence: u64, ts_event: UnixNanos, ts_init: UnixNanos, ) -> Self

Creates a new OrderBookDelta instance with a Clear action and and NULL order.

pub fn get_metadata( instrument_id: &InstrumentId, price_precision: u8, size_precision: u8, ) -> HashMap<String, String>

Returns the metadata for the type, for use with serialization formats.

pub fn get_fields() -> IndexMap<String, String>

Returns the field map for the type, for use with Arrow schemas.

impl OrderBookDelta

pub fn from_pyobject(obj: &Bound<'_, PyAny>) -> PyResult<Self>

Create a new OrderBookDelta extracted from the given [PyAny].

Trait Implementations

impl Clone for OrderBookDelta

fn clone(&self) -> OrderBookDelta

Returns a copy of the value.

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

Performs copy-assignment from source.

impl Debug for OrderBookDelta

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for OrderBookDelta

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Display for OrderBookDelta

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

Formats the value using the given formatter.

impl From<OrderBookDelta> for Data

fn from(value: OrderBookDelta) -> Self

Converts to this type from the input type.

impl GetTsInit for OrderBookDelta

fn ts_init(&self) -> UnixNanos

impl Hash for OrderBookDelta

fn hash<__H: Hasher>(&self, state: &mut __H)

Feeds this value into the given Hasher.

fn hash_slice<H>(data: &[Self], state: &mut H)

where H: Hasher, Self: Sized,

Feeds a slice of this type into the given Hasher.

impl IntoPy<Py<PyAny>> for OrderBookDelta

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

Performs the conversion.

impl PartialEq for OrderBookDelta

fn eq(&self, other: &OrderBookDelta) -> 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 OrderBookDelta

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for OrderBookDelta

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<OrderBookDelta>

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<OrderBookDelta> for PyClassImplCollector<OrderBookDelta>

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

impl<'a, 'py> PyFunctionArgument<'a, 'py> for &'a OrderBookDelta

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

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

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

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

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

impl PyMethods<OrderBookDelta> for PyClassImplCollector<OrderBookDelta>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for OrderBookDelta

const NAME: &'static str = "OrderBookDelta"

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 Serializable for OrderBookDelta

fn from_json_bytes(data: &[u8]) -> Result<Self, Error>

Deserialize an object from JSON encoded bytes.

fn from_msgpack_bytes(data: &[u8]) -> Result<Self, Error>

Deserialize an object from MsgPack encoded bytes.

fn as_json_bytes(&self) -> Result<Bytes, Error>

Serialize an object to JSON encoded bytes.

fn as_msgpack_bytes(&self) -> Result<Bytes, Error>

Serialize an object to MsgPack encoded bytes.

impl Serialize for OrderBookDelta

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl TryFrom<Data> for OrderBookDelta

type Error = ()

The type returned in the event of a conversion error.

fn try_from(value: Data) -> Result<Self, Self::Error>

Performs the conversion.

impl Copy for OrderBookDelta

impl DerefToPyAny for OrderBookDelta

impl Eq for OrderBookDelta

impl StructuralPartialEq for OrderBookDelta