Struct Orderbook

#[repr(align(64))]
pub struct Orderbook {
    pub code: String,
    pub timestamp_ns: u64,
    pub local_time_ns: u64,
    pub best_ask_price: Decimal,
    pub best_bid_price: Decimal,
    pub asks: SmallVec<[PriceLevel; 20]>,
    pub bids: SmallVec<[PriceLevel; 20]>,
}

Processed orderbook with additional information

Fields

code: String

Market code (e.g., “KRW-BTC”)

timestamp_ns: u64

Timestamp in nanoseconds

local_time_ns: u64

Local timestamp when processed (nanoseconds)

best_ask_price: Decimal

Best ask price

best_bid_price: Decimal

Best bid price

asks: SmallVec<[PriceLevel; 20]>

Ask levels (using SmallVec to avoid heap allocations)

bids: SmallVec<[PriceLevel; 20]>

Bid levels (using SmallVec to avoid heap allocations)

Implementations

impl Orderbook

pub fn from_orderbook_message( msg: &OrderbookMessage, local_time_ns: u64, ) -> Self

Create a new orderbook from a raw message

pub fn spread(&self) -> Decimal

Calculate spread (difference between best ask and best bid)

pub fn mid_price(&self) -> Decimal

Calculate mid price (average of best ask and best bid)

Trait Implementations

impl Clone for Orderbook

fn clone(&self) -> Orderbook

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Orderbook

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

Formats the value using the given formatter.