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parse_book_l2_deltas

nautilus_architect_ax::websocket::data::parse

Function parse_book_l2_deltas 

Source 
pub fn parse_book_l2_deltas(
    book: &AxMdBookL2,
    instrument: &InstrumentAny,
    sequence: u64,
    ts_init: UnixNanos,
) -> Result<OrderBookDeltas>
Expand description

Parses an Ax L2 book message into [OrderBookDeltas].

L2 contains aggregated price levels. Each message is treated as a snapshot that clears the book and adds all levels.

ยงErrors

Returns an error if price or quantity parsing fails.