Struct OrderBookSnapshot

#[repr(align(64))]
pub struct OrderBookSnapshot<const N: usize = 64> {
    pub instrument_id: InstrumentId,
    pub bids: SmallVec<[PriceLevel; N]>,
    pub asks: SmallVec<[PriceLevel; N]>,
    pub sequence_id: u64,
    pub timestamp_event: u64,
    pub timestamp_init: u64,
}

Full order book snapshot containing multiple price levels with const generic capacity

Optimized for HFT with cache-line alignment and SmallVec to avoid heap allocations. This represents a complete snapshot of an order book at a specific point in time, typically used for initial state or periodic full updates.

Fields

instrument_id: InstrumentId

Instrument identifier

bids: SmallVec<[PriceLevel; N]>

Top bid levels (sorted by price descending) Uses SmallVec to avoid heap allocations for normal sized order books

asks: SmallVec<[PriceLevel; N]>

Top ask levels (sorted by price ascending) Uses SmallVec to avoid heap allocations for normal sized order books

sequence_id: u64

Order book sequence ID

timestamp_event: u64

Unix timestamp (nanoseconds) - Order book published time (server side)

timestamp_init: u64

Unix timestamp (nanoseconds) - Order book initialized time (client side)

Implementations

impl<const N: usize> OrderBookSnapshot<N>

pub const fn new( instrument_id: InstrumentId, bids: SmallVec<[PriceLevel; N]>, asks: SmallVec<[PriceLevel; N]>, sequence_id: u64, timestamp_event: u64, timestamp_init: u64, ) -> Self

Create a new optimized order book depth

pub fn new_empty( instrument_id: InstrumentId, timestamp_init: u64, sequence_id: u64, ) -> Self

Create a new optimized order book depth with empty bids and asks

pub fn from_arrays( instrument_id: InstrumentId, bids: &[(Decimal, Decimal)], asks: &[(Decimal, Decimal)], sequence_id: u64, timestamp_event: u64, timestamp_init: u64, ) -> Self

Create an order book from arrays of price/size tuples

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

Get the best bid (highest bid price)

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

Get the best ask (lowest ask price)

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

Get the mid price ((best bid + best ask) / 2)

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

Get the spread (best ask - best bid)

pub const fn latency(&self) -> u64

Calculate the latency between event time and init time (in nanoseconds)

pub fn add_bid(&mut self, price: Decimal, size: Decimal)

Add a bid price level

pub fn add_ask(&mut self, price: Decimal, size: Decimal)

Add an ask price level

Trait Implementations

impl<const N: usize> Clone for OrderBookSnapshot<N>

fn clone(&self) -> OrderBookSnapshot<N>

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl<const N: usize> Debug for OrderBookSnapshot<N>

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

Formats the value using the given formatter.

impl<const N: usize> Display for OrderBookSnapshot<N>

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

Formats the value using the given formatter.