Struct DepthColumn 

pub struct DepthColumn {
    pub time: DateTime<Utc>,
    pub span: TimeDelta,
    pub bids: Vec<(i64, f64)>,
    pub asks: Vec<(i64, f64)>,
    pub largest_bid_orders: Vec<f64>,
    pub largest_ask_orders: Vec<f64>,
}

The resting size at each price row of the book over [time, time + span), and the largest individual order in each row when the history samples individual orders.

Fields

time: DateTime<Utc>

Start of the column, on the cadence grid.

span: TimeDelta

Length of the column: a whole number of cadences. A sample spans more than one cadence when the book did not change for longer, and a merged column spans the two it merged.

bids: Vec<(i64, f64)>

Bid rows, best first, as (row, size): the row is the price in integer ticks of the instrument’s tick size divided by ticks_per_row, rounded down, and the size is the resting size of the row’s ticks, averaged over the span. A merged column keeps the rows of both columns, so its first row is the best bid of either.

asks: Vec<(i64, f64)>

Ask rows, best first, as in bids.

largest_bid_orders: Vec<f64>

For a column sampled from individual orders (see DepthHistoryConfig::orders), the size of the largest accepted order in each row of bids, in the same order, or 0 for a row in which no order is known. A merged column keeps the larger of the two at each row, so the value can exceed the row’s size averaged over the span. Empty for a column of aggregate depth, whose orders are not known.

largest_ask_orders: Vec<f64>

The largest accepted order in each row of asks, as in largest_bid_orders.

Trait Implementations

impl Clone for DepthColumn

fn clone(&self) -> DepthColumn

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for DepthColumn

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Default for DepthColumn

fn default() -> DepthColumn

Returns the “default value” for a type.

impl PartialEq for DepthColumn

fn eq(&self, other: &DepthColumn) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl StructuralPartialEq for DepthColumn