OrderBookDelta

OrderBookDelta represents one change to an order book. It is the most granular built-in book data type and supports the book types Nautilus uses for incremental book updates:

L3_MBO: Level 3 market-by-order (MBO) data.
L2_MBP: Level 2 market-by-price (MBP) data.
L1_MBP: Level 1 market-by-price (MBP) top-of-book data.

The source feed and target BookType determine which granularity a delta carries.

Use it when a venue or data provider publishes incremental book changes and Nautilus should maintain the book state locally.

Fields

Field	Rust type	Python type	Required/default	Notes
`instrument_id`	`InstrumentId`	`InstrumentId`	Required	Instrument whose book is changing.
`action`	`BookAction`	`BookAction`	Required	`ADD`, `UPDATE`, `DELETE`, or `CLEAR`.
`order`	`BookOrder`	`BookOrder`	Required	Price, size, side, and order ID payload.
`flags`	`u8`	`int`	Required	`RecordFlag` bit field for event metadata.
`sequence`	`u64`	`int`	Required	Venue sequence number, or zero if absent.
`ts_event`	`UnixNanos`	`int`	Required	Event timestamp in nanoseconds.
`ts_init`	`UnixNanos`	`int`	Required	Initialization timestamp in nanoseconds.

BookOrder fields

The order field contains the BookOrder payload for the delta.

Field	Rust type	Python type	Notes
`side`	`OrderSide`	`OrderSide`	Order side.
`price`	`Price`	`Price`	Order price.
`size`	`Quantity`	`Quantity`	Order size.
`order_id`	`OrderId` (`u64`)	`int`	Order ID carried by the source feed.

The null/default order uses NO_ORDER_SIDE, zero price, zero size, and order_id zero.

BookAction variants

Rust variant	Python variant	Value	Meaning
`BookAction::Add`	`ADD`	`1`	Adds an order to the book.
`BookAction::Update`	`UPDATE`	`2`	Updates an existing order in the book.
`BookAction::Delete`	`DELETE`	`3`	Deletes an existing order in the book.
`BookAction::Clear`	`CLEAR`	`4`	Clears the order book state.

Behavior

ADD and UPDATE deltas require a positive order size.
CLEAR deltas reset book state and use a null book order.
flags carries event boundary and snapshot metadata. See Delta flags and event boundaries.
Rust provides OrderBookDelta::clear(...); Python users construct clear deltas with BookAction.CLEAR and a null or default book order.

Example

use nautilus_core::UnixNanos;
use nautilus_model::{
    data::{BookOrder, OrderBookDelta},
    enums::{BookAction, OrderSide, RecordFlag},
    identifiers::InstrumentId,
    types::{Price, Quantity},
};

let delta = OrderBookDelta::new(
    InstrumentId::from("ETHUSDT-PERP.BINANCE"),
    BookAction::Add,
    BookOrder::new(
        OrderSide::Buy,
        Price::from("2500.10"),
        Quantity::from("3.5"),
        12_345,
    ),
    RecordFlag::F_LAST as u8,
    42,
    UnixNanos::from(1_000_000_000),
    UnixNanos::from(1_000_000_100),
);

OrderBookDeltas covers batching deltas.
Order books explains book types and local book state.
Python API Reference lists Python members.