QuoteTick

QuoteTick represents the top-of-book bid and ask for one instrument. It carries the best available bid price and size, and the best available ask price and size, at a specific event time.

Fields

Field	Rust type	Python type	Required/default	Notes
`instrument_id`	`InstrumentId`	`InstrumentId`	Required	Instrument for the quote.
`bid_price`	`Price`	`Price`	Required	Best bid price.
`ask_price`	`Price`	`Price`	Required	Best ask price.
`bid_size`	`Quantity`	`Quantity`	Required	Quantity available at the best bid.
`ask_size`	`Quantity`	`Quantity`	Required	Quantity available at the best ask.
`ts_event`	`UnixNanos`	`int`	Required	Event timestamp in nanoseconds.
`ts_init`	`UnixNanos`	`int`	Required	Initialization timestamp in nanoseconds.

Behavior

Bid and ask prices must use the same precision.
Bid and ask sizes must use the same precision.
extract_price(PriceType.BID | ASK | MID) returns the requested price basis.
Quote bars can use BID, ASK, or MID price types.

Example

use nautilus_core::UnixNanos;
use nautilus_model::{
    data::QuoteTick,
    identifiers::InstrumentId,
    types::{Price, Quantity},
};

let quote = QuoteTick::new(
    InstrumentId::from("AUD/USD.SIM"),
    Price::from("0.65000"),
    Price::from("0.65002"),
    Quantity::from("1000000"),
    Quantity::from("1200000"),
    UnixNanos::from(1_000_000_000),
    UnixNanos::from(1_000_000_100),
);

OrderBookDepth10 covers fixed-depth snapshots with top levels.
Bars and aggregation covers quote-to-bar aggregation.
Python API Reference lists Python members.

QuoteTick

Fields

Behavior

Example

Related guides

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