Function parse_book_depth_msg 

pub fn parse_book_depth_msg(
    msg: &OKXBookMsg,
    instrument_id: InstrumentId,
    price_precision: u8,
    size_precision: u8,
    ts_init: UnixNanos,
) -> Result<OrderBookDepth>

Parses an OKX book message into a Nautilus [OrderBookDepth].

Uses venue order counts for the snapshot’s non-empty price levels.

Errors

Returns an error if price, size, or order count fields cannot be parsed for any level.