Struct OrderBook 

pub struct OrderBook {
    pub ts: DateTime<Utc>,
    pub symbol: String,
    pub bids: Vec<OrderBookLevel>,
    pub asks: Vec<OrderBookLevel>,
}

Full depth-of-market order book snapshot (Level 2).

Contains all visible bid and ask price levels at a single point in time. Bids are sorted descending (best bid first), asks ascending (best ask first). Use imbalance_ratio to gauge buying vs. selling pressure.

Fields

ts: DateTime<Utc>

Ts of the snapshot

symbol: String

Symbol

bids: Vec<OrderBookLevel>

Bid levels (sorted descending by price)

asks: Vec<OrderBookLevel>

Ask levels (sorted ascending by price)

Implementations

impl OrderBook

pub fn best_bid(&self) -> Option<&OrderBookLevel>

Get best bid (highest bid price)

pub fn best_ask(&self) -> Option<&OrderBookLevel>

Get best ask (lowest ask price)

pub fn to_level1(&self) -> Option<Level1Quote>

Convert to Level 1 quote

pub fn total_bid_volume(&self) -> f64

Calculate total bid volume

pub fn total_ask_volume(&self) -> f64

Calculate total ask volume

pub fn imbalance_ratio(&self) -> f64

Calculate the order-book imbalance ratio (bid_volume / total_volume).

Returns a value in [0, 1]. Values above 0.5 indicate more resting bid volume (buying interest); values below 0.5 indicate more ask volume (selling interest). Returns 0.5 when the book is empty.

pub fn is_crossed(&self) -> bool

Whether the best bid is above the best ask. Bids and asks overlap during pre-open and auction phases, while a venue publishes an indicative opening price, and in books consolidated from several venues, so a crossed book is valid data: the chart keeps it as the feed sends it. A best bid equal to the best ask is locked, not crossed.

pub fn mid_price(&self) -> Option<f64>

Get mid price from best bid/ask

Trait Implementations

impl Clone for OrderBook

fn clone(&self) -> OrderBook

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OrderBook

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for OrderBook

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl PartialEq for OrderBook

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

Equality operator ==.

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

Inequality operator !=.

impl Serialize for OrderBook

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl StructuralPartialEq for OrderBook