Skip to main content

parse_execution_msg

nautilus_bitmex::websocket::parse

Function parse_execution_msg 

Source 
pub fn parse_execution_msg(
    msg: BitmexExecutionMsg,
    instrument: &InstrumentAny,
    ts_init: UnixNanos,
) -> Option<FillReport>
Expand description

Parse a BitMEX WebSocket execution message into a Nautilus FillReport.

Handles different execution types appropriately:

  • Trade: Normal trade execution → FillReport
  • Liquidation: Auto-deleveraging or liquidation → FillReport
  • Bankruptcy: Bankruptcy execution → FillReport (with warning)
  • Settlement, TrialFill: Non-obvious cases → None (with warning)
  • Funding, Insurance, Rebalance: Expected non-fills → None (debug log)
  • Order state changes (New, Canceled, etc.): → None (debug log)

§References

https://www.bitmex.com/app/wsAPI#Execution