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parse_ws_l2_snapshot

nautilus_coinbase::websocket::parse

Function parse_ws_l2_snapshot 

Source 
pub fn parse_ws_l2_snapshot(
    event: &WsL2DataEvent,
    instrument: &InstrumentAny,
    ts_event: UnixNanos,
    ts_init: UnixNanos,
) -> Result<OrderBookDeltas>
Expand description

Parses a WebSocket L2 snapshot event into [OrderBookDeltas].

All deltas in the batch share ts_event, which the caller derives from the message-level timestamp. Per-level event_time values are not monotonic across batches and would trigger out-of-order warnings in the managed book.