rusty_model::data::book_snapshot

Type Alias OrderBookSnapshot64

Source 
pub type OrderBookSnapshot64 = OrderBookSnapshot<64>;
Expand description

An order book snapshot with a capacity of 64.

Aliased Type§

#[repr(align(64))]
pub struct OrderBookSnapshot64 {
    pub instrument_id: InstrumentId,
    pub bids: SmallVec<[PriceLevel; 64]>,
    pub asks: SmallVec<[PriceLevel; 64]>,
    pub sequence_id: u64,
    pub timestamp_event: u64,
    pub timestamp_init: u64,
}

Fields§

§instrument_id: InstrumentId

Instrument identifier

§bids: SmallVec<[PriceLevel; 64]>

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

§asks: SmallVec<[PriceLevel; 64]>

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)