Module lots 

Lots. T-Bank counts orders, order book levels, trades and candle volumes in LOTS, the library counts in units of the instrument (see [Qty]). This module is the bridge: the lot size of each instrument, learned from the directory once and remembered, and the conversions both ways.

The lot size is Instrument.lot of GetInstrumentBy, and lot_size of an order state message of the order stream. A connector looks it up before the first order or subscription on an instrument (one GetInstrumentBy, against the quota of that method) and never again.

Examples

use brokapi_core::Qty;
use brokapi_tbank::lots::{lots_to_qty, pieces_to_lots};

// A lot of SBER is 10 shares: 30 shares are 3 lots, 3 lots are 30 shares.
assert_eq!(pieces_to_lots(Qty::from(30), 10)?, 3);
assert_eq!(lots_to_qty(3, 10), Qty::from(30));
// Not a whole number of lots: refused, never rounded.
assert!(pieces_to_lots(Qty::from(25), 10).is_err());

Structs

LotBook

The lot sizes of the instruments this connector has met. Cheap to share behind an Arc.

Functions

event_instrument

The instrument a market data event is about, if it has one.

lots_to_qty

Lots to units.

pieces_to_lots

Units to lots: the quantity must be a whole number of lots, at least one.

scale_book

The levels of a book, in units.

scale_candle

The volume of a candle, in units.

scale_event

Multiplies the quantities of a market data event by the lot size: the levels of a book, the best levels of a quote, the quantity of a trade, the volume of a candle. Other events stay as they are.

scale_trade

The quantity of a trade, in units.