Struct MarketUpdate

pub struct MarketUpdate<const N: usize = 32, const T: usize = 16> {
    pub timestamp_ns: u64,
    pub symbol: String,
    pub bid_prices: SmallVec<[Decimal; N]>,
    pub bid_quantities: SmallVec<[Decimal; N]>,
    pub ask_prices: SmallVec<[Decimal; N]>,
    pub ask_quantities: SmallVec<[Decimal; N]>,
    pub trades: SmallVec<[TradeUpdate; T]>,
}

Market data for incremental calculation

This struct represents a single market update containing order book data and trades. It uses const generics to allow compile-time optimization of buffer sizes.

Type Parameters

• N - The capacity for bid/ask price and quantity vectors (default: 32)

  • Controls the maximum number of order book levels that can be stored
  • Uses SmallVec to avoid heap allocation for typical order book depths
  • Common values: 5-10 for top-of-book strategies, 20-50 for market making, 100+ for full depth analysis

• T - The capacity for the trades buffer (default: 16)

  • Controls the maximum number of trades that can be stored per update
  • Uses SmallVec to avoid heap allocation for typical trade bursts
  • Common values: 8-16 for normal markets, 32-64 for high-volume periods, 128+ for extremely liquid assets

Performance Considerations

• Values up to the specified capacity are stored inline (stack allocated)
• Exceeding capacity will cause heap allocation, impacting performance
• Choose capacities based on your specific use case and market characteristics
• Monitor actual usage to optimize these parameters

Examples

// Default configuration suitable for most use cases
let update: MarketUpdate = MarketUpdate {
    timestamp_ns: 1_000_000_000,
    symbol: "BTC-USD".to_string(),
    bid_prices: smallvec![/* ... */],
    // ... other fields
};

// High-frequency market maker needing more order book levels
let update: MarketUpdate<64, 32> = MarketUpdate {
    // Can store up to 64 order book levels and 32 trades inline
    // ... fields
};

// Lightweight strategy only caring about top of book
let update: MarketUpdate<5, 8> = MarketUpdate {
    // Only stores top 5 levels and up to 8 trades inline
    // ... fields
};

Fields

timestamp_ns: u64

Nanosecond timestamp of the update.

symbol: String

The trading symbol.

bid_prices: SmallVec<[Decimal; N]>

A small vector of bid prices.

bid_quantities: SmallVec<[Decimal; N]>

A small vector of bid quantities.

ask_prices: SmallVec<[Decimal; N]>

A small vector of ask prices.

ask_quantities: SmallVec<[Decimal; N]>

A small vector of ask quantities.

trades: SmallVec<[TradeUpdate; T]>

A small vector of trades.

Trait Implementations

impl<const N: usize, const T: usize> Clone for MarketUpdate<N, T>

fn clone(&self) -> MarketUpdate<N, T>

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl<const N: usize, const T: usize> Debug for MarketUpdate<N, T>

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

Formats the value using the given formatter.