rusty_ems::exchanges::coinbase::models

Struct L2Update

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pub struct L2Update {
    pub product_id: String,
    pub time: String,
    pub changes: Vec<[String; 3]>,
}
Expand description

Level 2 (L2) order book update from Coinbase Advanced Trading API.

This structure represents incremental changes to the order book that should be applied to maintain a real-time view of the market depth. Updates can include new orders, order cancellations, or order modifications.

§WebSocket Channel

This data is received via the level2 channel subscription.

§Update Processing

Changes should be applied in sequence order to maintain book integrity. A size of “0” indicates the price level should be removed from the book.

Fields§

§product_id: String

The trading pair identifier (e.g., “BTC-USD”, “ETH-USD”)

§time: String

ISO 8601 timestamp when the update occurred

§changes: Vec<[String; 3]>

Array of changes as [side, price, size] tuples

  • side: “buy” or “sell” indicating bid or ask side
  • price: The price level being updated
  • size: The new size at this price level (“0” means remove the level)

Trait Implementations§

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impl Debug for L2Update

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

Formats the value using the given formatter. Read more
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impl<'de> Deserialize<'de> for L2Update

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fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>
where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer. Read more

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