OrderBookDeltas

OrderBookDeltas groups a non-empty batch of OrderBookDelta records that belong to the same logical book event. It reduces per-message overhead when adapters receive or produce multiple book 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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