Struct OrderBookDepth 

pub struct OrderBookDepth {
    pub instrument_id: InstrumentId,
    pub bids: SmallVec<[BookOrder; 10]>,
    pub asks: SmallVec<[BookOrder; 10]>,
    pub bid_counts: SmallVec<[u32; 10]>,
    pub ask_counts: SmallVec<[u32; 10]>,
    pub flags: u8,
    pub sequence: u64,
    pub ts_event: UnixNanos,
    pub ts_init: UnixNanos,
}

Represents one aggregated order book snapshot with any number of levels per side.

The plural name denotes the many levels in one snapshot. In contrast, super::OrderBookDeltas is a container of multiple update events. Up to ten levels per side remain inline; deeper venue snapshots spill transparently without changing the data type.

Per-level BookOrder::order_id values are retained when supplied by the venue.

Fields

instrument_id: InstrumentId

The instrument ID for the book.

bids: SmallVec<[BookOrder; 10]>

The bid orders for the depth update.

asks: SmallVec<[BookOrder; 10]>

The ask orders for the depth update.

bid_counts: SmallVec<[u32; 10]>

The count of bid orders per level for the depth update.

ask_counts: SmallVec<[u32; 10]>

The count of ask orders per level for the depth update.

flags: u8

The record flags bit field, indicating event end and data information.

sequence: u64

The message sequence number assigned at the venue.

ts_event: UnixNanos

UNIX timestamp (nanoseconds) when the book event occurred.

ts_init: UnixNanos

UNIX timestamp (nanoseconds) when the instance was created.

Implementations

impl OrderBookDepth

pub fn new<B, A, BC, AC>( instrument_id: InstrumentId, bids: B, asks: A, bid_counts: BC, ask_counts: AC, flags: u8, sequence: u64, ts_event: UnixNanos, ts_init: UnixNanos, ) -> Self

where B: IntoIterator<Item = BookOrder>, A: IntoIterator<Item = BookOrder>, BC: IntoIterator<Item = u32>, AC: IntoIterator<Item = u32>,

Creates a new OrderBookDepth instance.

Panics

Panics if either order side and its count vector have different lengths.

pub fn new_checked<B, A, BC, AC>( instrument_id: InstrumentId, bids: B, asks: A, bid_counts: BC, ask_counts: AC, flags: u8, sequence: u64, ts_event: UnixNanos, ts_init: UnixNanos, ) -> Result<Self>

where B: IntoIterator<Item = BookOrder>, A: IntoIterator<Item = BookOrder>, BC: IntoIterator<Item = u32>, AC: IntoIterator<Item = u32>,

Creates a new OrderBookDepth instance after validating its levels.

Errors

Returns an error if an order side and its count vector have different lengths, or if a retained level has the wrong side. Levels with no side, a non-positive or undefined size, or an undefined or error price are omitted with their count entries.

pub fn get_metadata( instrument_id: &InstrumentId, price_precision: u8, size_precision: u8, ) -> HashMap<String, String>

Returns the metadata for the type, for use with serialization formats.

pub fn get_fields() -> IndexMap<String, String>

Returns the field map for the type, for use with Arrow schemas.

Trait Implementations

impl Clone for OrderBookDepth

fn clone(&self) -> Self

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OrderBookDepth

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

Formats the value using the given formatter.

impl DerefToPyAny for OrderBookDepth

impl<'de> Deserialize<'de> for OrderBookDepth

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Display for OrderBookDepth

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

Formats the value using the given formatter.

impl Eq for OrderBookDepth

impl From<OrderBookDepth10Ffi> for OrderBookDepth

fn from(value: OrderBookDepth10Ffi) -> Self

Converts to this type from the input type.

impl From<OrderBookDepth> for Data

fn from(value: OrderBookDepth) -> Self

Converts to this type from the input type.

impl FromDataBatch for OrderBookDepth

fn from_batch(batch: DataBatch) -> Result<Vec<Self>>

Unwraps a typed batch into owned values.

impl<'a, 'py> FromPyObject<'a, 'py> for OrderBookDepth

where Self: Clone,

type Error = PyClassGuardError<'a, 'py>

The type returned in the event of a conversion error.

fn extract( obj: Borrowed<'a, 'py, PyAny>, ) -> Result<Self, <Self as FromPyObject<'a, 'py>>::Error>

Extracts Self from the bound smart pointer obj.

impl HasTsInit for OrderBookDepth

fn ts_init(&self) -> UnixNanos

Returns the UNIX timestamp (nanoseconds) when the instance was created.

impl Hash for OrderBookDepth

fn hash<__H: Hasher>(&self, state: &mut __H)

Feeds this value into the given Hasher.

fn hash_slice<H>(data: &[Self], state: &mut H)

where H: Hasher, Self: Sized,

Feeds a slice of this type into the given Hasher.

impl IntoDataBatch for OrderBookDepth

fn into_batch(data: Vec<Self>) -> DataBatch

Wraps owned typed values in their DataBatch variant.

impl<'py> IntoPyObject<'py> for OrderBookDepth

type Target = OrderBookDepth

The Python output type

type Output = Bound<'py, <OrderBookDepth as IntoPyObject<'py>>::Target>

The smart pointer type to use.

type Error = PyErr

The type returned in the event of a conversion error.

fn into_pyobject( self, py: Python<'py>, ) -> Result<<Self as IntoPyObject<'_>>::Output, <Self as IntoPyObject<'_>>::Error>

Performs the conversion.

impl PartialEq for OrderBookDepth

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

Equality operator ==.

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

Inequality operator !=.

impl PyClass for OrderBookDepth

const NAME: &str = "OrderBookDepth"

Name of the class.

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for OrderBookDepth

const MODULE: Option<&str>

Module which the class will be associated with.

const IS_BASETYPE: bool = false

#[pyclass(subclass)]

const IS_SUBCLASS: bool = false

#[pyclass(extends=…)]

const IS_MAPPING: bool = false

#[pyclass(mapping)]

const IS_SEQUENCE: bool = false

#[pyclass(sequence)]

const IS_IMMUTABLE_TYPE: bool = false

#[pyclass(immutable_type)]

const RAW_DOC: &'static CStr = /// Represents one aggregated order book snapshot with any number of levels per side. /// /// The plural name denotes the many levels in one snapshot. In contrast, [`super::OrderBookDeltas`] /// is a container of multiple update events. Up to ten levels per side remain inline; deeper venue /// snapshots spill transparently without changing the data type. /// /// Per-level [`BookOrder::order_id`] values are retained when supplied by the venue.

Docstring for the class provided on the struct or enum.

const DOC: &'static CStr

Fully rendered class doc, including the text_signature if a constructor is defined.

type Layout = <<OrderBookDepth as PyClassImpl>::BaseNativeType as PyClassBaseType>::Layout<OrderBookDepth>

Description of how this class is laid out in memory

type BaseType = PyAny

Base class

type ThreadChecker = NoopThreadChecker

This handles following two situations:

type Inventory = Pyo3MethodsInventoryForOrderBookDepth

type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::MutableChild

Immutable or mutable

type Dict = PyClassDummySlot

Specify this class has #[pyclass(dict)] or not.

type WeakRef = PyClassDummySlot

Specify this class has #[pyclass(weakref)] or not.

type BaseNativeType = PyAny

The closest native ancestor. This is PyAny by default, and when you declare #[pyclass(extends=PyDict)], it’s PyDict.

fn items_iter() -> PyClassItemsIter

fn lazy_type_object() -> &'static LazyTypeObject<Self>

fn dict_offset() -> Option<PyObjectOffset>

Used to provide the dictoffset slot (equivalent to tp_dictoffset)

fn weaklist_offset() -> Option<PyObjectOffset>

Used to provide the weaklistoffset slot (equivalent to tp_weaklistoffset

impl PyClassNewTextSignature for OrderBookDepth

const TEXT_SIGNATURE: &'static str = "(instrument_id, bids, asks, bid_counts, ask_counts, flags, sequence, ts_event, ts_init)"

impl PyStubType for OrderBookDepth

fn type_output() -> TypeInfo

The type to be used in the output signature, i.e. return type of the Python function or methods.

fn type_input() -> TypeInfo

The type to be used in the input signature, i.e. the arguments of the Python function or methods.

impl PyTypeInfo for OrderBookDepth

const NAME: &str = <Self as ::pyo3::PyClass>::NAME

👎Deprecated since 0.28.0:

prefer using ::type_object(py).name() to get the correct runtime value

Class name.

const MODULE: Option<&str> = <Self as ::pyo3::impl_::pyclass::PyClassImpl>::MODULE

👎Deprecated since 0.28.0:

prefer using ::type_object(py).module() to get the correct runtime value

Module name, if any.

fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject

Returns the PyTypeObject instance for this type.

fn type_object(py: Python<'_>) -> Bound<'_, PyType>

Returns the safe abstraction over the type object.

fn is_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type or a subclass of this type.

fn is_exact_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.

impl Serializable for OrderBookDepth

fn from_json_bytes(data: &[u8]) -> Result<Self, Error>

Deserialize an object from JSON encoded bytes.

fn to_json_bytes(&self) -> Result<Bytes, Error>

Serialize an object to JSON encoded bytes.

impl Serialize for OrderBookDepth

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 OrderBookDepth

impl TryFrom<Data> for OrderBookDepth

type Error = ()

The type returned in the event of a conversion error.

fn try_from(value: Data) -> Result<Self, Self::Error>

Performs the conversion.

impl TryFrom<OrderBookDepth> for OrderBookDepth10Ffi

type Error = Error

The type returned in the event of a conversion error.

fn try_from(value: OrderBookDepth) -> Result<Self, Self::Error>

Performs the conversion.