OrderBookDepth10

OrderBookDepth10 represents a fixed-depth book update with up to 10 bid levels and 10 ask levels. It is useful 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`	`[BookOrder; 10]`	`list[BookOrder]`	Required	Exactly 10 bid levels.
`asks`	`[BookOrder; 10]`	`list[BookOrder]`	Required	Exactly 10 ask levels.
`bid_counts`	`[u32; 10]`	`list[int]`	Required	Number of bid orders at each level.
`ask_counts`	`[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 require exactly 10 bid levels, 10 ask levels, 10 bid counts, and 10 ask counts.
Use null or default book orders with zero counts for unavailable levels.
This type is not interchangeable with incremental OrderBookDelta streams.

Example

use nautilus_core::UnixNanos;
use nautilus_model::{
    data::{BookOrder, OrderBookDepth10, DEPTH10_LEN},
    enums::OrderSide,
    identifiers::InstrumentId,
    types::{Price, Quantity},
};

let mut bids = [BookOrder::default(); DEPTH10_LEN];
let mut asks = [BookOrder::default(); DEPTH10_LEN];
bids[0] = BookOrder::new(OrderSide::Buy, Price::from("2500.10"), Quantity::from("3.5"), 1);
asks[0] = BookOrder::new(OrderSide::Sell, Price::from("2500.20"), Quantity::from("2.0"), 2);

let depth = OrderBookDepth10::new(
    InstrumentId::from("ETHUSDT-PERP.BINANCE"),
    bids,
    asks,
    [1; DEPTH10_LEN],
    [1; DEPTH10_LEN],
    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.

OrderBookDepth10

Fields

Behavior

Example

Related guides

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