Struct OrderBook

#[repr(align(64))]
pub struct OrderBook<const N: usize = 64> {
    pub symbol: String,
    pub exchange_timestamp_ns: u64,
    pub system_timestamp_ns: u64,
    pub bids: SmallVec<[PriceLevel; N]>,
    pub asks: SmallVec<[PriceLevel; N]>,
}

Order book data structure with const generic capacity

Fields

symbol: String

The trading symbol.

exchange_timestamp_ns: u64

Nanosecond precision from exchange.

system_timestamp_ns: u64

Nanosecond precision local time.

bids: SmallVec<[PriceLevel; N]>

Must be initiated as sorted for binary search optimizations!

asks: SmallVec<[PriceLevel; N]>

Must be initiated as sorted for binary search optimizations!

Implementations

impl<const N: usize> OrderBook<N>

pub fn new( symbol: impl AsRef<str>, exchange_timestamp_ns: u64, system_timestamp_ns: u64, bids: SmallVec<[PriceLevel; N]>, asks: SmallVec<[PriceLevel; N]>, ) -> Self

Create a new order book

pub fn from_iters<B, A>( symbol: impl AsRef<str>, exchange_timestamp_ns: u64, system_timestamp_ns: u64, bids: B, asks: A, ) -> Self

where B: IntoIterator<Item = PriceLevel>, A: IntoIterator<Item = PriceLevel>,

Create a new order book from iterators (for compatibility and zero-copy)

pub fn new_empty(instrument_id: InstrumentId) -> Self

Create an empty order book from instrument ID

pub fn bids(&self) -> &[PriceLevel]

Get the bid levels

pub fn asks(&self) -> &[PriceLevel]

Get the ask levels

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

Get the best bid price

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

Get the best ask price

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

Get the spread

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

Add a bid level

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

Add an ask level

pub fn remove_bid(&mut self, price: Decimal)

Remove a bid level

pub fn remove_ask(&mut self, price: Decimal)

Remove an ask level

pub fn apply_snapshot(&mut self, snapshot: OrderBookSnapshot<N>)

Apply a snapshot to the order book This replaces the current state with the snapshot data

Trait Implementations

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

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

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

Formats the value using the given formatter.