Expand description
Order book components which can handle L1/L2/L3 data.
Re-exports§
pub use crate::orderbook::book::OrderBook;pub use crate::orderbook::error::BookIntegrityError;pub use crate::orderbook::error::InvalidBookOperation;pub use crate::orderbook::ladder::BookPrice;pub use crate::orderbook::level::BookLevel;pub use crate::orderbook::own::OwnBookOrder;
Modules§
- aggregation
- Functions related to normalizing and processing top-of-book events.
- analysis
- Functions related to order book analysis.
- book
- A performant, generic, multi-purpose order book.
- display
- Functions related to order book display.
- error
- Errors associated with order book operations and integrity.
- ladder
- Represents a ladder of price levels for one side of an order book.
- level
- Represents a discrete price level in an order book.
- own
- An
OwnBookOrderfor use with tracking own/user orders in L3 order books. It organizes orders into bid and ask ladders, maintains timestamps for state changes, and provides various methods for adding, updating, deleting, and querying orders.