OrderBookDepth10

OrderBookDepth10 represents a fixed‑depth book update with up to 10 bid levels and 10 ask levels. Use it when a venue publishes a self‑contained depth snapshot rather than incremental deltas.

Fields

Field	Rust type	Python type	Required/default	Notes
instrument_id	InstrumentId	InstrumentId	Required	Instrument whose book is represented.
bids	[BookOrder; 10]	list[BookOrder]	Required	Exactly 10 bid levels.
asks	[BookOrder; 10]	list[BookOrder]	Required	Exactly 10 ask levels.
bid_counts	[u32; 10]	list[int]	Required	Number of bid orders at each level.
ask_counts	[u32; 10]	list[int]	Required	Number of ask orders at each level.
flags	u8	int	Required	RecordFlag bit field for event metadata.
sequence	u64	int	Required	Venue sequence number, or zero if absent.
ts_event	UnixNanos	int	Required	Event timestamp in nanoseconds.
ts_init	UnixNanos	int	Required	Initialization timestamp in nanoseconds.

Behavior

• Rust and PyO3 Python constructors require exactly 10 bid levels, 10 ask levels, 10 bid counts, and 10 ask counts.
• Use null or default book orders with zero counts for unavailable levels.
• This type is not interchangeable with incremental OrderBookDelta streams.

Example

use nautilus_core::UnixNanos;
use nautilus_model::{
    data::{BookOrder, OrderBookDepth10, DEPTH10_LEN},
    enums::OrderSide,
    identifiers::InstrumentId,
    types::{Price, Quantity},
};

let mut bids = [BookOrder::default(); DEPTH10_LEN];
let mut asks = [BookOrder::default(); DEPTH10_LEN];
bids[0] = BookOrder::new(OrderSide::Buy, Price::from("2500.10"), Quantity::from("3.5"), 1);
asks[0] = BookOrder::new(OrderSide::Sell, Price::from("2500.20"), Quantity::from("2.0"), 2);

let depth = OrderBookDepth10::new(
    InstrumentId::from("ETHUSDT-PERP.BINANCE"),
    bids,
    asks,
    [1; DEPTH10_LEN],
    [1; DEPTH10_LEN],
    0,
    42,
    UnixNanos::from(1_000_000_000),
    UnixNanos::from(1_000_000_100),
);

from nautilus_trader.model import InstrumentId
from nautilus_trader.model import Price
from nautilus_trader.model import Quantity
from nautilus_trader.model.data import BookOrder
from nautilus_trader.model.data import OrderBookDepth10
from nautilus_trader.model.enums import OrderSide

bids = [
    BookOrder(
        OrderSide.BUY,
        Price.from_str(f"{2500.10 - i * 0.10:.2f}"),
        Quantity.from_str("3.5"),
        i + 1,
    )
    for i in range(10)
]
asks = [
    BookOrder(
        OrderSide.SELL,
        Price.from_str(f"{2500.20 + i * 0.10:.2f}"),
        Quantity.from_str("2.0"),
        i + 11,
    )
    for i in range(10)
]

depth = OrderBookDepth10(
    instrument_id=InstrumentId.from_str("ETHUSDT-PERP.BINANCE"),
    bids=bids,
    asks=asks,
    bid_counts=[1] * 10,
    ask_counts=[1] * 10,
    flags=0,
    sequence=42,
    ts_event=1_000_000_000,
    ts_init=1_000_000_100,
)

Related guides

• QuoteTick covers top‑of‑book data derived from depth.
• Order books explains order book state.
• Python API reference lists Python members.