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parse_quote_tick

nautilus_interactive_brokers::data::parse

Function parse_quote_tick 

Source 
pub fn parse_quote_tick(
    instrument_id: InstrumentId,
    bid_price: Option<f64>,
    ask_price: Option<f64>,
    bid_size: Option<f64>,
    ask_size: Option<f64>,
    price_precision: u8,
    size_precision: u8,
    ts_event: UnixNanos,
    ts_init: UnixNanos,
) -> Result<QuoteTick>
Expand description

Parse IB tick price and size data into a QuoteTick.

This builds a quote from individual tick updates. You typically need to accumulate bid/ask prices and sizes from multiple tick updates before creating a QuoteTick.

§Arguments

  • instrument_id - The instrument identifier
  • bid_price - Bid price (if available)
  • ask_price - Ask price (if available)
  • bid_size - Bid size (if available)
  • ask_size - Ask size (if available)
  • price_precision - Price precision for the instrument
  • size_precision - Size precision for the instrument
  • ts_event - Event timestamp
  • ts_init - Initialization timestamp

§Errors

Returns an error if price or size conversion fails.