OrderBookDeltas

OrderBookDeltas groups a non‑empty batch of OrderBookDelta records from one logical book event. It reduces per‑message overhead when an adapter receives or produces several changes at once.

Fields

Field	Rust type	Python type	Required/default	Notes
`instrument_id`	`InstrumentId`	`InstrumentId`	Required	Instrument whose book is changing.
`deltas`	`Vec<OrderBookDelta>`	`list[OrderBookDelta]`	Required	Non‑empty batch of deltas.
`flags`	`u8`	`int`	From last delta	Last delta flags.
`sequence`	`u64`	`int`	From last delta	Last delta sequence number.
`ts_event`	`UnixNanos`	`int`	From last delta	Last delta event timestamp.
`ts_init`	`UnixNanos`	`int`	From last delta	Last delta initialization timestamp.

Behavior

The batch must contain at least one delta.
The batch metadata mirrors the final delta.
The final delta should carry F_LAST when it closes a logical event group.
Snapshot batches usually begin with a CLEAR delta and end with F_SNAPSHOT | F_LAST.

Example

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

let instrument_id = InstrumentId::from("ETHUSDT-PERP.BINANCE");
let bid = OrderBookDelta::new(
    instrument_id,
    BookAction::Add,
    BookOrder::new(OrderSide::Buy, Price::from("2500.10"), Quantity::from("3.5"), 1),
    0,
    41,
    UnixNanos::from(1_000_000_000),
    UnixNanos::from(1_000_000_100),
);
let ask = OrderBookDelta::new(
    instrument_id,
    BookAction::Add,
    BookOrder::new(OrderSide::Sell, Price::from("2500.20"), Quantity::from("2.0"), 2),
    RecordFlag::F_LAST as u8,
    42,
    UnixNanos::from(1_000_000_000),
    UnixNanos::from(1_000_000_100),
);

let deltas = OrderBookDeltas::new(instrument_id, vec![bid, ask]);

OrderBookDelta covers the contained update type.
Order books explains supported order book state.
Python API reference lists Python members.

OrderBookDeltas

Fields

Behavior

Example

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