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parse_depth_snapshot

nautilus_binance::spot::websocket::public_json::parse

Function parse_depth_snapshot 

Source 
pub fn parse_depth_snapshot(
    msg: &BinanceSpotPartialDepthMsg,
    instrument: &InstrumentAny,
    ts_init: UnixNanos,
) -> OrderBookDeltas
Expand description

Parses a partial depth snapshot message into OrderBookDeltas.

Skips unparsable levels; a snapshot without usable levels clears the book.