Struct SimdOrderBook

pub struct SimdOrderBook<const N: usize = 64> {
    pub symbol: String,
    pub exchange_timestamp_ns: u64,
    pub system_timestamp_ns: u64,
    pub bids: SimdPriceLevels<N>,
    pub asks: SimdPriceLevels<N>,
}

SIMD-aligned order book for high-performance processing with const generic capacity

Fields

symbol: String

Trading symbol for the order book (e.g., “BTC-USDT”)

exchange_timestamp_ns: u64

Exchange-provided timestamp in nanoseconds

system_timestamp_ns: u64

System timestamp in nanoseconds for latency measurement

bids: SimdPriceLevels<N>

SIMD-aligned bid levels for high-performance analytics

asks: SimdPriceLevels<N>

SIMD-aligned ask levels for high-performance analytics

Implementations

impl<const N: usize> SimdOrderBook<N>

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

Create from regular OrderBook

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

Calculate mid price using SIMD operations

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

Calculate spread

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

Calculate order book imbalance

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

Calculate volume-weighted average price (VWAP) for a given side

pub fn bids(&self) -> SmallVec<[PriceLevel; N]>

Get bid levels as PriceLevel slice (compatibility method)

pub fn asks(&self) -> SmallVec<[PriceLevel; N]>

Get ask levels as PriceLevel slice (compatibility method)

pub fn apply_snapshot<const M: usize>(&mut self, snapshot: OrderBookSnapshot<M>)

Apply a snapshot to the SIMD order book (compatibility method)

Trait Implementations

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

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

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

Formats the value using the given formatter.