Module book

Structs

OrderBook_API

C compatible Foreign Function Interface (FFI) for an underlying OrderBook.

Functions

orderbook_add

orderbook_apply_delta

orderbook_apply_deltas

orderbook_apply_depth

orderbook_asks

orderbook_best_ask_price

orderbook_best_ask_size

orderbook_best_bid_price

orderbook_best_bid_size

orderbook_bids

orderbook_book_type

orderbook_check_integrity

orderbook_clear

orderbook_clear_asks

orderbook_clear_bids

orderbook_count

orderbook_delete

orderbook_drop

orderbook_get_avg_px_for_quantity

orderbook_get_quantity_for_price

orderbook_has_ask

orderbook_has_bid

orderbook_instrument_id

orderbook_midpoint

orderbook_new

orderbook_pprint_to_cstr

Returns a pretty printed OrderBook number of levels per side, as a C string pointer.

orderbook_reset

orderbook_sequence

orderbook_simulate_fills

orderbook_spread

orderbook_ts_last

orderbook_update

orderbook_update_quote_tick

Updates the order book with a quote tick.

orderbook_update_trade_tick

Updates the order book with a trade tick.

vec_fills_drop