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parse_orderbook_depth10

Function parse_orderbook_depth10 

Source
pub fn parse_orderbook_depth10(
    msg: &DeriveOrderbookMsg,
    price_precision: u8,
    size_precision: u8,
    ts_init: UnixNanos,
) -> Result<OrderBookDepth10>
Expand description

Parses an order book snapshot message into a fixed top-10 depth update.

Derive sends snapshots for the requested order book channel. Missing levels are filled with zero-size orders so the fixed arrays are always populated.

ยงErrors

Returns an error when a price, size, or timestamp cannot be converted.