Struct OrderBook 

pub struct OrderBook {
    pub instrument_id: InstrumentId,
    pub book_type: BookType,
    pub sequence: u64,
    pub ts_last: UnixNanos,
    pub update_count: u64,
    /* private fields */
}

Provides a high-performance, versatile order book.

Maintains buy (bid) and sell (ask) orders in price-time priority, supporting multiple market data formats:

• L3 (MBO): Market By Order - tracks individual orders with unique IDs.
• L2 (MBP): Market By Price - aggregates orders at each price level.
• L1 (MBP): Top-of-Book - maintains only the best bid and ask prices.

Fields

instrument_id: InstrumentId

The instrument ID for the order book.

book_type: BookType

The order book type (MBP types will aggregate orders).

sequence: u64

The last event sequence number 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 OrderBook

pub fn new(instrument_id: InstrumentId, book_type: BookType) -> Self

Creates a new OrderBook instance.

pub fn reset(&mut self)

Resets the order book to its initial empty state.

pub fn add( &mut self, order: BookOrder, flags: u8, sequence: u64, ts_event: UnixNanos, )

Adds an order to the book after preprocessing based on book type.

pub fn update( &mut self, order: BookOrder, flags: u8, sequence: u64, ts_event: UnixNanos, )

Updates an existing order in the book after preprocessing based on book type.

pub fn delete( &mut self, order: BookOrder, flags: u8, sequence: u64, ts_event: UnixNanos, )

Deletes an order from the book after preprocessing based on book type.

pub fn clear(&mut self, sequence: u64, ts_event: UnixNanos)

Clears all orders from both sides of the book.

pub fn clear_bids(&mut self, sequence: u64, ts_event: UnixNanos)

Clears all bid orders from the book.

pub fn clear_asks(&mut self, sequence: u64, ts_event: UnixNanos)

Clears all ask orders from the book.

pub fn clear_stale_levels( &mut self, side: Option<OrderSide>, ) -> Option<Vec<BookLevel>>

Removes overlapped bid/ask levels when the book is strictly crossed (best bid > best ask)

• Acts only when both sides exist and the book is crossed.
• Deletes by removing whole price levels via the ladder API to preserve invariants.
• side=None or NoOrderSide clears both overlapped ranges (conservative, may widen spread).
• side=Buy clears crossed bids only; side=Sell clears crossed asks only.
• Returns removed price levels (crossed bids first, then crossed asks), or None if nothing removed.

pub fn apply_delta( &mut self, delta: &OrderBookDelta, ) -> Result<(), BookIntegrityError>

Applies a single order book delta operation.

Errors

Returns an error if:

• An Add is given with NoOrderSide (either explicitly or because the cache lookup failed).
• After resolution the delta still has NoOrderSide but its action is not Clear.

pub fn apply_deltas( &mut self, deltas: &OrderBookDeltas, ) -> Result<(), BookIntegrityError>

Applies multiple order book delta operations.

Errors

Returns the first error encountered when applying deltas.

pub fn apply_depth(&mut self, depth: &OrderBookDepth10)

Replaces current book state with a depth snapshot.

pub fn bids(&self, depth: Option<usize>) -> impl Iterator<Item = &BookLevel>

Returns an iterator over bid price levels.

pub fn asks(&self, depth: Option<usize>) -> impl Iterator<Item = &BookLevel>

Returns an iterator over ask price levels.

pub fn bids_as_map(&self, depth: Option<usize>) -> IndexMap<Decimal, Decimal>

Returns bid price levels as a map of price to size.

pub fn asks_as_map(&self, depth: Option<usize>) -> IndexMap<Decimal, Decimal>

Returns ask price levels as a map of price to size.

pub fn group_bids( &self, group_size: Decimal, depth: Option<usize>, ) -> IndexMap<Decimal, Decimal>

Groups bid quantities by price into buckets, limited by depth.

pub fn group_asks( &self, group_size: Decimal, depth: Option<usize>, ) -> IndexMap<Decimal, Decimal>

Groups ask quantities by price into buckets, limited by depth.

pub fn bids_filtered_as_map( &self, depth: Option<usize>, own_book: Option<&OwnOrderBook>, status: Option<HashSet<OrderStatus>>, accepted_buffer_ns: Option<u64>, now: Option<u64>, ) -> IndexMap<Decimal, Decimal>

Maps bid prices to total public size per level, excluding own orders up to a depth limit.

With own_book, subtracts own order sizes, filtered by status if provided. Uses accepted_buffer_ns to include only orders accepted at least that many nanoseconds before now (defaults to now).

pub fn asks_filtered_as_map( &self, depth: Option<usize>, own_book: Option<&OwnOrderBook>, status: Option<HashSet<OrderStatus>>, accepted_buffer_ns: Option<u64>, now: Option<u64>, ) -> IndexMap<Decimal, Decimal>

Maps ask prices to total public size per level, excluding own orders up to a depth limit.

With own_book, subtracts own order sizes, filtered by status if provided. Uses accepted_buffer_ns to include only orders accepted at least that many nanoseconds before now (defaults to now).

pub fn group_bids_filtered( &self, group_size: Decimal, depth: Option<usize>, own_book: Option<&OwnOrderBook>, status: Option<HashSet<OrderStatus>>, accepted_buffer_ns: Option<u64>, now: Option<u64>, ) -> IndexMap<Decimal, Decimal>

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

With own_book, subtracts own order sizes, filtered by status if provided. Uses accepted_buffer_ns to include only orders accepted at least that many nanoseconds before now (defaults to now).

pub fn group_asks_filtered( &self, group_size: Decimal, depth: Option<usize>, own_book: Option<&OwnOrderBook>, status: Option<HashSet<OrderStatus>>, accepted_buffer_ns: Option<u64>, now: Option<u64>, ) -> IndexMap<Decimal, Decimal>

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

With own_book, subtracts own order sizes, filtered by status if provided. Uses accepted_buffer_ns to include only orders accepted at least that many nanoseconds before now (defaults to now).

pub fn has_bid(&self) -> bool

Returns true if the book has any bid orders.

pub fn has_ask(&self) -> bool

Returns true if the book has any ask orders.

pub fn best_bid_price(&self) -> Option<Price>

Returns the best bid price if available.

pub fn best_ask_price(&self) -> Option<Price>

Returns the best ask price if available.

pub fn best_bid_size(&self) -> Option<Quantity>

Returns the size at the best bid price if available.

pub fn best_ask_size(&self) -> Option<Quantity>

Returns the size at the best ask price if available.

pub fn spread(&self) -> Option<f64>

Returns the spread between best ask and bid prices if both exist.

pub fn midpoint(&self) -> Option<f64>

Returns the midpoint between best ask and bid prices if both exist.

pub fn get_avg_px_for_quantity( &self, qty: Quantity, order_side: OrderSide, ) -> f64

Calculates the average price to fill the specified quantity.

pub fn get_avg_px_qty_for_exposure( &self, target_exposure: Quantity, order_side: OrderSide, ) -> (f64, f64, f64)

Calculates average price and quantity for target exposure. Returns (price, quantity, executed_exposure).

pub fn get_quantity_for_price(&self, price: Price, order_side: OrderSide) -> f64

Returns the total quantity available at specified price level.

pub fn simulate_fills(&self, order: &BookOrder) -> Vec<(Price, Quantity)>

Simulates fills for an order, returning list of (price, quantity) tuples.

pub fn pprint(&self, num_levels: usize, group_size: Option<Decimal>) -> String

Return a formatted string representation of the order book.

pub fn update_quote_tick( &mut self, quote: &QuoteTick, ) -> Result<(), InvalidBookOperation>

Updates L1 book state from a quote tick. Only valid for L1_MBP book type.

Errors

Returns an error if the book type is not L1_MBP (operation is invalid).

pub fn update_trade_tick( &mut self, trade: &TradeTick, ) -> Result<(), InvalidBookOperation>

Updates L1 book state from a trade tick. Only valid for L1_MBP book type.

Errors

Returns an error if the book type is not L1_MBP (operation is invalid).

impl OrderBook

pub fn py_group_bids( &self, group_size: Decimal, depth: Option<usize>, ) -> IndexMap<Decimal, Decimal>

pub fn py_group_asks( &self, group_size: Decimal, depth: Option<usize>, ) -> IndexMap<Decimal, Decimal>

Trait Implementations

impl Clone for OrderBook

fn clone(&self) -> OrderBook

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OrderBook

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

Formats the value using the given formatter.

impl Display for OrderBook

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

Formats the value using the given formatter.

impl<'py> IntoPyObject<'py> for OrderBook

type Target = OrderBook

The Python output type

type Output = Bound<'py, <OrderBook 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 OrderBook

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 OrderBook

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for OrderBook

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)]

const IS_IMMUTABLE_TYPE: bool = false

#[pyclass(immutable_type)]

const RAW_DOC: &'static CStr = /// Provides a high-performance, versatile order book. /// /// Maintains buy (bid) and sell (ask) orders in price-time priority, supporting multiple /// market data formats: /// - L3 (MBO): Market By Order - tracks individual orders with unique IDs. /// - L2 (MBP): Market By Price - aggregates orders at each price level. /// - L1 (MBP): Top-of-Book - maintains only the best bid and ask prices.

Docstring for the class provided on the struct or enum.

const DOC: &'static CStr

Fully rendered class doc, including the text_signature if a constructor is defined.

type BaseType = PyAny

Base class

type ThreadChecker = SendablePyClass<OrderBook>

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 lazy_type_object() -> &'static LazyTypeObject<Self>

fn dict_offset() -> Option<isize>

fn weaklist_offset() -> Option<isize>

impl PyClassNewTextSignature for OrderBook

const TEXT_SIGNATURE: &'static str = "(instrument_id, book_type)"

impl PyMethods<OrderBook> for PyClassImplCollector<OrderBook>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for OrderBook

const NAME: &'static str = "OrderBook"

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

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

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

Checks if object is an instance of this type.

impl DerefToPyAny for OrderBook

impl Eq for OrderBook

impl ExtractPyClassWithClone for OrderBook