Struct SharedSimdOrderBook

pub struct SharedSimdOrderBook<const N: usize = 64>(/* private fields */);

Thread-safe shared SIMD order book with read/write methods

Provides the same interface as SharedOrderBook but with SIMD-optimized order book operations for better performance in HFT applications.

Implementations

impl<const N: usize> SharedSimdOrderBook<N>

pub fn new(order_book: SimdOrderBook<N>) -> Self

Create a new shared SIMD order book

pub fn from_orderbook<const M: usize>(order_book: &OrderBook<M>) -> Self

Create from a regular OrderBook

pub fn from_shared_orderbook<const M: usize>( shared_book: &SharedOrderBook<M>, ) -> Self

Create from a SharedOrderBook by converting the inner OrderBook

pub fn read<R, F>(&self, f: F) -> R

where F: FnOnce(&SimdOrderBook<N>) -> R,

Read the order book using closure-based API

Panics

Panics if the internal RwLock is poisoned (due to a panic in another thread)

pub fn write<R, F>(&self, f: F) -> R

where F: FnOnce(&mut SimdOrderBook<N>) -> R,

Write to the order book using closure-based API

Panics

Panics if the internal RwLock is poisoned (due to a panic in another thread)

pub fn symbol(&self) -> String

Get the symbol for this order book

pub fn exchange_timestamp_ns(&self) -> u64

Get the exchange timestamp

pub fn system_timestamp_ns(&self) -> u64

Get the system timestamp

pub fn mid_price(&self) -> Option<f64>

Calculate mid price using SIMD operations

pub fn spread(&self) -> Option<f64>

Calculate spread using SIMD operations

pub fn imbalance(&self) -> Option<f64>

Calculate order book imbalance using SIMD operations

pub fn side_vwap(&self, is_bid: bool, target_volume: f64) -> Option<f64>

Calculate VWAP for a given side and target volume

pub fn total_bid_volume(&self) -> f64

Get total bid volume using SIMD

pub fn total_ask_volume(&self) -> f64

Get total ask volume using SIMD

pub fn update_from_orderbook<const M: usize>(&self, book: &OrderBook<M>)

Update the order book from a regular OrderBook This is useful for maintaining compatibility with existing feeder systems

Trait Implementations

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

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

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

Formats the value using the given formatter.