OrderBookDepth

OrderBookDepth represents a snapshot with a variable number of bid and ask levels. Use it when a venue publishes a self-contained depth snapshot rather than incremental deltas.

Fields

Field	Rust type	Python type	Required/default	Notes
`instrument_id`	`InstrumentId`	`InstrumentId`	Required	Instrument whose book is represented.
`bids`	`SmallVec<[BookOrder; 10]>`	`list[BookOrder]`	Required	Bid levels in book order.
`asks`	`SmallVec<[BookOrder; 10]>`	`list[BookOrder]`	Required	Ask levels in book order.
`bid_counts`	`SmallVec<[u32; 10]>`	`list[int]`	Required	Number of bid orders at each level.
`ask_counts`	`SmallVec<[u32; 10]>`	`list[int]`	Required	Number of ask orders at each level.
`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.

Behavior

Rust and PyO3 Python constructors accept variable-length sides. Each side requires one count per order; bid and ask sides can have different lengths.
Empty sides use empty sequences. The inline capacity is ten; larger snapshots allocate as needed.
This type is not interchangeable with incremental OrderBookDelta streams.

The former OrderBookDepth10 type name is gone. Catalog directories named order_book_depth10 still migrate, and Arrow files that stored that type in schema metadata still transcode. The legacy C FFI and the fixed-depth SBE encoding require exactly ten levels per side.

Example

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

let bids = vec![BookOrder::new(OrderSide::Buy, Price::from("2500.10"), Quantity::from("3.5"), 1)];
let asks = vec![BookOrder::new(OrderSide::Sell, Price::from("2500.20"), Quantity::from("2.0"), 2)];

let depth = OrderBookDepth::new(
    InstrumentId::from("ETHUSDT-PERP.BINANCE"),
    bids,
    asks,
    vec![1],
    vec![1],
    0,
    42,
    UnixNanos::from(1_000_000_000),
    UnixNanos::from(1_000_000_100),
);

QuoteTick covers top-of-book data derived from depth.
Order books explains order book state.
Python API reference lists Python members.

OrderBookDepth

Fields

Behavior

Example

Related guides

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