Type Alias MarketUpdate32

pub type MarketUpdate32 = MarketUpdate<32, 16>;

Type alias for a market update with 32 order book levels and 16 trade records capacity.

This provides a balanced configuration for market data processing with:

• 32 levels: Sufficient depth for most market analysis scenarios
• 16 trades: Adequate trade history for microstructure feature calculation

Aliased Type

pub struct MarketUpdate32 {
    pub timestamp_ns: u64,
    pub symbol: String,
    pub bid_prices: SmallVec<[Decimal; 32]>,
    pub bid_quantities: SmallVec<[Decimal; 32]>,
    pub ask_prices: SmallVec<[Decimal; 32]>,
    pub ask_quantities: SmallVec<[Decimal; 32]>,
    pub trades: SmallVec<[TradeUpdate; 16]>,
}

Fields

timestamp_ns: u64

Nanosecond timestamp of the update.

symbol: String

The trading symbol.

bid_prices: SmallVec<[Decimal; 32]>

A small vector of bid prices.

bid_quantities: SmallVec<[Decimal; 32]>

A small vector of bid quantities.

ask_prices: SmallVec<[Decimal; 32]>

A small vector of ask prices.

ask_quantities: SmallVec<[Decimal; 32]>

A small vector of ask quantities.

trades: SmallVec<[TradeUpdate; 16]>

A small vector of trades.