Module orderbook

Source
Expand description

Order book data structures and parsers

Structs§

Level2Snapshot
Coinbase WebSocket Level2 snapshot message
Level2Update
Coinbase WebSocket Level2 update message
ParsedLevel2Snapshot
Parsed Level2 snapshot for efficient processing
ParsedLevel2Update
Parsed Level2 update for efficient processing

Type Aliases§

Level2Change
Level2 change entry - [side, price, size]