Struct BestBidAsk

pub struct BestBidAsk {
    pub instrument_id: InstrumentId,
    pub bid_price: Decimal,
    pub bid_size: Decimal,
    pub ask_price: Decimal,
    pub ask_size: Decimal,
    pub exchange_timestamp_ns: u64,
    pub local_timestamp_ns: u64,
}

Best bid and ask prices (top-of-book quote)

Represents the current best bid and ask prices available in the market. This is the most basic market data structure, showing the tightest spread.

Fields

instrument_id: InstrumentId

The instrument this quote is for

bid_price: Decimal

Best bid price (highest buy price)

bid_size: Decimal

Best bid size

ask_price: Decimal

Best ask price (lowest sell price)

ask_size: Decimal

Best ask size

exchange_timestamp_ns: u64

Exchange timestamp (nanoseconds)

local_timestamp_ns: u64

Local receive timestamp (nanoseconds)

Implementations

impl BestBidAsk

pub const fn new( instrument_id: InstrumentId, bid_price: Decimal, bid_size: Decimal, ask_price: Decimal, ask_size: Decimal, exchange_timestamp_ns: u64, local_timestamp_ns: u64, ) -> Self

Create a new best bid/ask quote

pub fn spread(&self) -> Decimal

Calculate the spread (ask - bid)

pub fn mid_price(&self) -> Decimal

Calculate the mid price ((ask + bid) / 2)

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

Calculate the spread as a percentage of mid price

Trait Implementations

impl Clone for BestBidAsk

fn clone(&self) -> BestBidAsk

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for BestBidAsk

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

Formats the value using the given formatter.

impl Hash for BestBidAsk

fn hash<__H: Hasher>(&self, state: &mut __H)

Feeds this value into the given Hasher.

fn hash_slice<H>(data: &[Self], state: &mut H)

where H: Hasher, Self: Sized,

Feeds a slice of this type into the given Hasher.

impl PartialEq for BestBidAsk

fn eq(&self, other: &BestBidAsk) -> bool

Tests for self and other values to be equal, and is used by ==.

fn ne(&self, other: &Rhs) -> bool

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl Eq for BestBidAsk

impl StructuralPartialEq for BestBidAsk