rusty_backtest::orderbook

Struct OrderBook

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pub struct OrderBook {
    pub symbol: SmartString,
    pub tick_size: Decimal,
    pub lot_size: Decimal,
    /* private fields */
}
Expand description

L2 Order Book maintaining bid/ask levels

Fields§

§symbol: SmartString

Symbol/asset identifier

§tick_size: Decimal

Tick size for price rounding

§lot_size: Decimal

Lot size for quantity rounding

Implementations§

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impl OrderBook

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pub fn new(symbol: SmartString, tick_size: Decimal, lot_size: Decimal) -> Self

Create a new L2 order book

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pub fn price_to_tick(&self, price: Decimal) -> i64

Convert price to tick

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pub fn tick_to_price(&self, tick: i64) -> Decimal

Convert tick to price

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pub fn round_quantity(&self, quantity: Decimal) -> Decimal

Round quantity to lot size

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pub fn update_bid( &self, price: Decimal, quantity: Decimal, order_count: u32, timestamp_ns: u64, )

Update a bid level

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pub fn update_ask( &self, price: Decimal, quantity: Decimal, order_count: u32, timestamp_ns: u64, )

Update an ask level

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pub fn best_bid(&self) -> Option<Level>

Get best bid

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pub fn best_ask(&self) -> Option<Level>

Get best ask

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pub fn bid_qty_at_tick(&self, tick: i64) -> Decimal

Get bid quantity at price tick

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pub fn ask_qty_at_tick(&self, tick: i64) -> Decimal

Get ask quantity at price tick

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pub fn top_bids(&self, n: usize) -> SmallVec<[Level; 10]>

Get top N bid levels

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pub fn top_asks(&self, n: usize) -> SmallVec<[Level; 10]>

Get top N ask levels

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pub fn mid_price(&self) -> Option<Decimal>

Get mid price

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pub fn spread(&self) -> Option<Decimal>

Get spread

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pub fn update_last_price(&self, price: Decimal, timestamp_ns: u64)

Update last trade price

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pub fn last_price(&self) -> Option<Decimal>

Get last trade price

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pub fn clear(&self)

Clear all levels

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pub fn bid_liquidity_within(&self, ticks: i64) -> Decimal

Get total bid liquidity within N ticks from best

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pub fn ask_liquidity_within(&self, ticks: i64) -> Decimal

Get total ask liquidity within N ticks from best

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pub fn impact_bid(&self, quantity: Decimal) -> Option<Decimal>

Calculate weighted average price for a market buy

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pub fn impact_ask(&self, quantity: Decimal) -> Option<Decimal>

Calculate weighted average price for a market sell

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pub fn imbalance(&self) -> f64

Get order book imbalance

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pub fn total_volume(&self) -> Decimal

Get total volume across all levels

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