pub fn decode_tcbbo_msg(
msg: &CbboMsg,
instrument_id: InstrumentId,
price_precision: u8,
ts_init: Option<UnixNanos>,
) -> Result<(Option<QuoteTick>, TradeTick)>Expand description
Decodes a Databento TCBBO (Consolidated Top of Book with Trade) message.
Returns None for the quote if either bid or ask price is undefined (i64::MAX).
The trade is always returned.
ยงErrors
Returns an error if decoding the TCBBO message fails.