Orderbook

Orderbook types reference

OrderbookSnapshot

Complete orderbook state at a point in time:

pub struct OrderbookSnapshot {
    pub symbol: String,
    pub timestamp: String,      // ISO 8601
    pub bids: Vec<Level>,       // Sorted high to low
    pub asks: Vec<Level>,       // Sorted low to high
    pub checksum: u32,          // CRC32 for validation
    pub state: OrderbookState,
}

Methods

impl OrderbookSnapshot {
    /// Best (highest) bid price
    pub fn best_bid(&self) -> Option<&Level>;

    /// Best (lowest) ask price
    pub fn best_ask(&self) -> Option<&Level>;

    /// Spread: best_ask - best_bid
    pub fn spread(&self) -> Option<Decimal>;

    /// Mid price: (best_bid + best_ask) / 2
    pub fn mid_price(&self) -> Option<Decimal>;
}

Usage

if let Some(snapshot) = client.orderbook("BTC/USD") {
    // Computed values
    let spread = snapshot.spread();
    let mid = snapshot.mid_price();

    // Raw levels
    for bid in snapshot.bids.iter().take(5) {
        println!("Bid: {} @ {}", bid.qty, bid.price);
    }

    // State check
    if snapshot.state == OrderbookState::Synced {
        // Data is valid
    }
}

Level

Single price level:

pub struct Level {
    pub price: Decimal,
    pub qty: Decimal,
}

OrderbookState

pub enum OrderbookState {
    /// No data received yet
    Uninitialized,

    /// Subscribed, waiting for snapshot
    AwaitingSnapshot,

    /// Receiving updates, data is valid
    Synced,

    /// Checksum failed, resyncing
    Desynchronized,
}

Depth

pub enum Depth {
    D10 = 10,
    D25 = 25,
    D100 = 100,
    D500 = 500,
    D1000 = 1000,
}

L3Book (Order-Level)

pub struct L3Book {
    // Internal implementation
}

impl L3Book {
    pub fn new(symbol: &str, capacity: usize) -> Self;

    pub fn add_order(&mut self, order: L3Order, side: L3Side);
    pub fn remove_order(&mut self, order_id: &str) -> Option<L3Order>;
    pub fn modify_order(&mut self, order_id: &str, new_qty: Decimal) -> Result<()>;

    pub fn best_bid(&self) -> Option<Decimal>;
    pub fn best_ask(&self) -> Option<Decimal>;
    pub fn spread(&self) -> Option<Decimal>;

    pub fn queue_position(&self, order_id: &str) -> Option<QueuePosition>;
    pub fn vwap(&self, side: L3Side, qty: Decimal) -> Option<Decimal>;

    pub fn aggregated_bids(&self) -> Vec<Level>;
    pub fn aggregated_asks(&self) -> Vec<Level>;
}

QueuePosition

pub struct QueuePosition {
    pub position: usize,        // 1-indexed
    pub total_orders: usize,
    pub volume_ahead: Decimal,
    pub fill_probability: f64,  // 0.0 - 1.0
}