Module parse 

Conversion of CoinAPI WebSocket messages into Nautilus market data.

Instrument precisions come from CoinAPI data resolutions, which can lag the stream. A value with more decimal places than its instrument precision is rejected, except for bounded numeric tails in OHLCV volume.

Functions

bar_spec_to_period_id

Returns the CoinAPI streaming period_id for a last-price bar specification.

parse_aggressor_side

Maps an exchange taker side to the aggressor side.

parse_bar

Converts a completed OHLCV period into an external last-price bar closing at time_period_end.

parse_book_deltas

Converts a full L2 book snapshot or update into deltas, taking ts_event from time_exchange and ts_init from time_coinapi.

parse_book_depth

Converts a fixed-depth book5, book20, or book50 message into its best depth levels per side, taking ts_event from time_exchange and ts_init from time_coinapi.

parse_quote_tick

Converts a best bid and ask, taking ts_event from time_exchange and ts_init from time_coinapi.

parse_trade_tick

Converts a trade, taking ts_event from time_exchange and ts_init from time_coinapi.

period_id_to_bar_spec

Returns the last-price bar specification for a CoinAPI streaming period_id.