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parse_option_summary_msg

nautilus_tardis::machine::parse

Function parse_option_summary_msg 

Source 
pub fn parse_option_summary_msg(
    msg: &OptionSummaryMsg,
    instrument_id: InstrumentId,
) -> OptionGreeks
Expand description

Parses a Tardis option summary message into a Nautilus OptionGreeks.

Greeks absent from the exchange feed default to 0.0 (matching the existing exchange-greeks producers); implied volatilities, underlying price and open interest stay None when the exchange does not provide them.