L3 Orderbook

Track individual orders with queue position

Overview

Level 3 orderbooks show individual orders, not just aggregated price levels. This enables queue position tracking and order flow analysis.

L3 data requires special approval from Kraken. Contact their support to enable access for your API key.

Setup

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

let mut book = L3Book::new("BTC/USD", 1000);

Adding Orders

// Add a bid order
let order = L3Order::new("order_abc", dec!(67000), dec!(1.5));
book.add_order(order, L3Side::Bid);

// Add multiple orders at same price
book.add_order(L3Order::new("order_def", dec!(67000), dec!(0.8)), L3Side::Bid);
book.add_order(L3Order::new("order_ghi", dec!(67000), dec!(0.7)), L3Side::Bid);

Queue Position

Track where your order sits in the queue:

if let Some(pos) = book.queue_position("order_abc") {
    println!("Position: {} of {}", pos.position, pos.total_orders);
    println!("Volume ahead: {} BTC", pos.volume_ahead);
    println!("Fill probability: {:.1}%", pos.fill_probability * 100.0);
}

QueuePosition Fields

Field	Type	Description
position	usize	1-indexed position in queue
total_orders	usize	Total orders at this price
volume_ahead	Decimal	Quantity that must fill before you
fill_probability	f64	Estimated fill chance (0.0 - 1.0)

VWAP Calculation

Calculate volume-weighted average price:

// VWAP to buy 1 BTC
let vwap_1 = book.vwap(L3Side::Ask, dec!(1.0));
println!("VWAP for 1 BTC: {:?}", vwap_1);

// VWAP to buy 10 BTC
let vwap_10 = book.vwap(L3Side::Ask, dec!(10.0));
println!("VWAP for 10 BTC: {:?}", vwap_10);

Order Updates

// Modify order quantity
book.modify_order("order_abc", dec!(2.0))?;

// Remove order
book.remove_order("order_abc")?;

Aggregated View

Get L2 view from L3 data:

// Get aggregated bids (L2 style)
let bids = book.aggregated_bids();
for level in bids.iter().take(5) {
    println!("Bid: {} @ {}", level.qty, level.price);
}

// Get aggregated asks
let asks = book.aggregated_asks();

Market Making Example

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

fn analyze_queue(book: &L3Book, my_order_id: &str) {
    if let Some(pos) = book.queue_position(my_order_id) {
        // Check if we're near the front
        if pos.position <= 3 {
            println!("Near front of queue - high fill probability");
        }

        // Check volume ahead
        if pos.volume_ahead > dec!(10.0) {
            println!("Warning: {} BTC ahead of us", pos.volume_ahead);
        }

        // Estimate fill probability
        if pos.fill_probability > 0.8 {
            println!("Good queue position - likely to fill");
        } else if pos.fill_probability < 0.2 {
            println!("Poor queue position - consider repricing");
        }
    }
}

Performance

Operation	Latency
Best bid/ask	1 ns
Queue position	~30 ns
VWAP (1 BTC)	28 ns
VWAP (10 BTC)	155 ns
Add order	~150 ns
Remove order	~200 ns