Struct DepthHistoryConfig 

pub struct DepthHistoryConfig {
    pub cadence: TimeDelta,
    pub rows: usize,
    pub ticks_per_row: u32,
    pub columns: usize,
    pub orders: Option<OrderFilter>,
}

How a DepthHistory samples the order book.

A column holds at most rows rows per side of 16 bytes each, 24 when it samples individual orders, and the history at most columns * 8 columns: about 15 MB with the defaults, or 23 MB sampling individual orders, which span at least 42 hours.

Fields

cadence: TimeDelta

Length of a column. The book is sampled at the end of every period of this length counted from the Unix epoch, and the sample stands for the whole period. At least a millisecond; one second by default.

rows: usize

Price rows kept per side of each column, those nearest the best bid and ask. 100 by default.

ticks_per_row: u32

Ticks of the instrument’s tick size grouped into one price row, their sizes summed. 1 by default.

columns: usize

Columns kept at each of 8 resolutions. The newest columns columns are samples; when there are more, the two oldest merge into one, and the merged columns overflow into the next resolution in the same way. At least 2; 600 by default.

orders: Option<OrderFilter>

Sample the individual resting orders this filter accepts, summed into rows, instead of the aggregate prices the feed sends, and record the largest of them in each row (see DepthColumn::largest_bid_orders); Some(OrderFilter::default()) samples every order. Needs a feed that sends order events, see Sink::push_order_event: with aggregate depth only no column is sampled, and a period in which the filter cannot be applied (see OrderFilterUnavailable) has no column. None samples the aggregate book.

Trait Implementations

impl Clone for DepthHistoryConfig

fn clone(&self) -> DepthHistoryConfig

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for DepthHistoryConfig

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

Formats the value using the given formatter.

impl Default for DepthHistoryConfig

fn default() -> Self

Returns the “default value” for a type.

impl PartialEq for DepthHistoryConfig

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

Equality operator ==.

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

Inequality operator !=.

impl StructuralPartialEq for DepthHistoryConfig