Module parse 

Functions translating raw OKX WebSocket frames into Nautilus data types.

Structs

FillBaselineCache

Cumulative per-order baseline used to derive incremental fill values.

OrderStateSnapshot

Snapshot of order state for detecting updates.

Enums

ParsedOrderEvent

Represents the result of parsing an OKX order message into a specific event.

Functions

is_terminal_order_state

Returns whether the venue order state admits no further fills.

parse_algo_order_msg

Parses an OKX algo order message into a Nautilus execution report.

parse_algo_order_status_report

Parses an OKX algo order message into a Nautilus order status report.

parse_book_depth_msg

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

parse_book_depth_msg_vec

Parses vector of OKX book messages into Nautilus depth updates.

parse_book_msg

Parses an OKX book message into Nautilus order book deltas.

parse_book_msg_vec

Parses vector of OKX book messages into Nautilus order book deltas.

parse_candle_msg

Parses an OKX candle message into a Nautilus bar.

parse_candle_msg_vec

Parses vector of OKX candle messages into Nautilus bars.

parse_fill_report

Parses an OKX order message into a Nautilus fill report.

parse_funding_rate_msg_vec

Parses vector of OKX funding rate messages into Nautilus funding rate updates. Includes caching to filter out duplicate funding rates.

parse_index_price_msg

Parses an OKX index price message into a Nautilus index price update.

parse_index_price_msg_vec

Parses vector of OKX index price messages into Nautilus index price updates.

parse_mark_price_msg

Parses an OKX mark price message into a Nautilus mark price update.

parse_mark_price_msg_vec

Parses vector of OKX mark price messages into Nautilus mark price updates.

parse_option_summary_greeks

Parses an option summary payload into [OptionGreeks].

parse_order_event

Parses an OKX order message into a specific order event.

parse_order_msg

Parses a single OKX order message into an ExecutionReport.

parse_order_msg_vec

Parses vector of OKX order messages into Nautilus execution reports.

parse_order_status_report

Parses an OKX order message into a Nautilus order status report.

parse_quote_msg

Parses an OKX book message into a Nautilus quote tick.

parse_quote_msg_vec

Parses vector of OKX book messages into Nautilus quote ticks.

parse_rpi_book_msg

Parses an RPI book message into Nautilus order book deltas.

parse_rpi_book_msg_vec

Parses RPI book messages into Nautilus order book deltas.

parse_spread_order_event

Parses an OKX spread order message into a specific order event.

parse_spread_order_msg

Parses a single OKX spread order message into an ExecutionReport.

parse_ticker_msg

Parses an OKX ticker message into a Nautilus quote tick.

parse_ticker_msg_vec

Parses vector of OKX ticker messages into Nautilus quote ticks.

parse_trade_msg

Parses an OKX trade message into a Nautilus trade tick.

parse_trade_msg_vec

Parses vector of OKX trade messages into Nautilus trade ticks.

parse_ws_message_data

Parses OKX WebSocket message payloads into Nautilus data structures.

update_fee_fill_caches

Updates fee and fill caches from a raw OKX order message.

Type Aliases

FeeCache

Cumulative fee per venue order ID (ordId).

FilledQtyCache

Cumulative filled quantity per venue order ID (ordId).