Struct IbPriceConverter 

pub struct IbPriceConverter { /* private fields */ }

Converts the prices IB reports for an instrument into the instrument’s prices.

IB reports a magnified contract’s prices in a sub-unit of its currency (CBOT grains in cents, LSE stocks in pence), so these are divided by the contract’s price magnifier. IB also reports an FX pair’s prices in steps finer than the pair’s price increment, its order tick, so these are rounded to the increment: a bid down, an ask up, and any other price to the nearest, ties to the even multiple. A quote then never locks or crosses unless IB’s did, and an ask is never below IB’s ask.

Implementations

impl IbPriceConverter

pub const fn new(precision: u8) -> Self

Creates a converter that applies the precision only, with no magnifier and no rounding to an increment.

pub const fn with_price_magnifier(self, magnifier: i32) -> Self

Returns the converter with the contract’s price magnifier, where a value below 1 means 1.

pub fn for_instrument(instrument: &InstrumentAny, price_magnifier: i32) -> Self

Creates the converter for instrument and its contract’s price_magnifier, rounding to the price increment for FX pairs.

pub const fn precision(&self) -> u8

Returns the price precision.

pub fn is_sentinel(&self, ib_price: f64, size: Option<f64>) -> bool

Returns whether ib_price is IB’s no-quote value for a side: -1 without a size, which IB reports multiplied by the price magnifier for a magnified contract (-100 for a ZC option on delayed data).

pub fn price(&self, ib_price: f64) -> Result<Price>

Converts a price reported by IB into the instrument’s price, rounding to the nearest multiple of the price increment, ties to the even multiple.

Use this for a trade, midpoint, last, or index price. A quote’s bid and ask use Self::bid_price and Self::ask_price.

Errors

Returns an error if the price is not finite or cannot be represented at the converter’s precision.

pub fn bid_price(&self, ib_price: f64) -> Result<Price>

Converts a bid price reported by IB, rounding down to a multiple of the price increment.

A published bid is never above IB’s bid.

Errors

Returns an error if the price is not finite or cannot be represented at the converter’s precision.

pub fn ask_price(&self, ib_price: f64) -> Result<Price>

Converts an ask price reported by IB, rounding up to a multiple of the price increment.

A published ask is never below IB’s ask, so a limit order priced at it can fill, and the published bid stays below the published ask whenever IB’s does.

Errors

Returns an error if the price is not finite or cannot be represented at the converter’s precision.

pub fn bar_price(&self, price_type: PriceType, ib_price: f64) -> Result<Price>

Converts a price of a bar of price_type: a bid bar rounds down, an ask bar rounds up, and any other bar to the nearest multiple of the price increment.

Errors

Returns an error if the price is not finite or cannot be represented at the converter’s precision.

Trait Implementations

impl Clone for IbPriceConverter

fn clone(&self) -> Self

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Copy for IbPriceConverter

impl Debug for IbPriceConverter

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Eq for IbPriceConverter

impl PartialEq for IbPriceConverter

fn eq(&self, other: &Self) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl StructuralPartialEq for IbPriceConverter