Struct L2Book 

pub struct L2Book { /* private fields */ }

In-memory L2 order book keyed by price.

• Bids: highest price is best bid.
• Asks: lowest price is best ask.

Implementations

impl L2Book

pub fn new() -> L2Book

pub fn clear(&mut self)

pub fn apply_snapshot( &mut self, bids: &[(Decimal, Decimal)], asks: &[(Decimal, Decimal)], )

Replace both sides from a full snapshot.

Non-positive quantities are ignored.

pub fn apply_delta( &mut self, bids: &[(Decimal, Decimal)], asks: &[(Decimal, Decimal)], )

Apply incremental updates.

qty == 0 means delete level. Positive qty means upsert level.

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

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

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

pub fn bid_levels(&self) -> usize

pub fn ask_levels(&self) -> usize

pub fn fill_against_book( &mut self, side: Side, limit_price: Option<Decimal>, max_qty: Decimal, ) -> Option<FillResult>

Walk the book to fill up to max_qty at prices within limit_price.

For Side::Buy: walks asks (lowest first), consuming levels where ask_price <= limit_price. For Side::Sell: walks bids (highest first), consuming levels where bid_price >= limit_price.

If limit_price is None, walks the entire side (market order).

Mutates the book: consumed quantities are removed from levels. Zero-quantity levels are deleted.

Returns None if no liquidity is available within the limit.

Trait Implementations

impl Clone for L2Book

fn clone(&self) -> L2Book

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for L2Book

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

Formats the value using the given formatter.

impl Default for L2Book

fn default() -> L2Book

Returns the “default value” for a type.