> ## Documentation Index
> Fetch the complete documentation index at: https://miny.mintlify.app/llms.txt
> Use this file to discover all available pages before exploring further.

# 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.

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

## Setup

```rust theme={null}
use kraken_book::l3::{L3Book, L3Order, L3Side};
use rust_decimal_macros::dec;

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

## Adding Orders

```rust theme={null}
// 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:

```rust theme={null}
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:

```rust theme={null}
// 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

```rust theme={null}
// 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:

```rust theme={null}
// 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

```rust theme={null}
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 |