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parse_bbo_event

Function parse_bbo_event 

Source
pub fn parse_bbo_event(
    event: &BestBidAskStreamEvent,
    instrument: &InstrumentAny,
    ts_init: UnixNanos,
) -> Result<QuoteTick>
Expand description

Parses a best bid/ask event into a QuoteTick using the supplied adapter initialization timestamp.

ยงErrors

Returns an error if:

  • A price is out of range or a reserved sentinel value.
  • A quantity is negative or out of range.