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parse_book_l3_deltas

nautilus_architect_ax::websocket::data::parse

Function parse_book_l3_deltas 

Source 
pub fn parse_book_l3_deltas(
    book: &AxMdBookL3,
    instrument: &InstrumentAny,
    sequence: u64,
    ts_init: UnixNanos,
) -> Result<OrderBookDeltas>
Expand description

Parses an Ax L3 book message into [OrderBookDeltas].

L3 contains individual order quantities at each price level. Each message is treated as a snapshot that clears the book and adds all orders.

ยงErrors

Returns an error if price or quantity parsing fails.