Level

Price level types

Level

A single price level in the orderbook:

pub struct Level {
    /// Price at this level
    pub price: Decimal,

    /// Total quantity at this price
    pub qty: Decimal,
}

Usage

use kraken_types::Level;
use rust_decimal_macros::dec;

let level = Level {
    price: dec!(67432.50),
    qty: dec!(1.5),
};

println!("Price: {}", level.price);
println!("Quantity: {}", level.qty);

In Orderbook

// Bids are sorted highest to lowest
for bid in snapshot.bids.iter() {
    println!("{} BTC @ ${}", bid.qty, bid.price);
}

// Asks are sorted lowest to highest
for ask in snapshot.asks.iter() {
    println!("{} BTC @ ${}", ask.qty, ask.price);
}

L3Order

Individual order (Level 3):

pub struct L3Order {
    pub order_id: String,
    pub price: Decimal,
    pub qty: Decimal,
    pub timestamp: String,
}

impl L3Order {
    pub fn new(order_id: &str, price: Decimal, qty: Decimal) -> Self;
}

Usage

use kraken_book::l3::{L3Order, L3Book, L3Side};
use rust_decimal_macros::dec;

let order = L3Order::new("order_123", dec!(67000), dec!(0.5));

let mut book = L3Book::new("BTC/USD", 1000);
book.add_order(order, L3Side::Bid);

L3Side

pub enum L3Side {
    Bid,
    Ask,
}

Decimal Precision

All prices and quantities use rust_decimal::Decimal:

use rust_decimal::Decimal;
use rust_decimal_macros::dec;

// Compile-time decimal
let price = dec!(67432.50);

// Runtime parsing
let price = Decimal::from_str("67432.50")?;

// Arithmetic is exact
let total = price * dec!(1.5);  // 101148.75 exactly

Never use f64 for financial calculations. Floating-point arithmetic causes rounding errors that compound over time.