Struct TardisL2Event

pub struct TardisL2Event {
    pub symbol: String,
    pub timestamp_us: u64,
    pub bids: Vec<(Decimal, Decimal)>,
    pub asks: Vec<(Decimal, Decimal)>,
    pub local_timestamp_us: Option<u64>,
}

Tardis L2 event structure for Binance 25-level orderbook data

Tardis provides orderbook snapshots with up to 25 price levels on each side (bid/ask) with microsecond timestamps.

Fields

symbol: String

Symbol (e.g., “BTC-USDT”)

timestamp_us: u64

Exchange timestamp in microseconds

bids: Vec<(Decimal, Decimal)>

Bid levels (price, quantity) - up to 25 levels

asks: Vec<(Decimal, Decimal)>

Ask levels (price, quantity) - up to 25 levels

local_timestamp_us: Option<u64>

Local timestamp when data was received (microseconds)

Implementations

impl TardisL2Event

pub fn to_snapshot(self) -> OrderBookSnapshot

Convert to OrderBookSnapshot with nanosecond precision

pub fn from_csv_lines(lines: &[&str]) -> Result<Self, ParseError>

Parse from Tardis CSV line format

Expected format: timestamp_us,symbol,side,price,quantity,local_timestamp_us Multiple lines represent different levels, grouped by timestamp

Trait Implementations

impl Clone for TardisL2Event

fn clone(&self) -> TardisL2Event

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for TardisL2Event

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

Formats the value using the given formatter.