Fix Binance Futures QuoteTick parsing

nautechsystems · Jan 17, 2024 · 2f08599 · 2f08599
1 parent 81fba28
commit 2f08599
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diff --git a/RELEASES.md b/RELEASES.md
@@ -12,6 +12,7 @@ None
 ### Fixes
 - Fixed memory leak for catalog queries (#1430), thanks @twitu
 - Fixed `LoggingConfig` parsing of `WARNING` log level (was not being recognized), thanks for reporting @davidsblom
+- Fixed Binance Futures `QuoteTick` parsing to capture event time for `ts_event`, thanks for reporting @x-zho14
 
 ---
 

diff --git a/nautilus_trader/adapters/binance/common/schemas/market.py b/nautilus_trader/adapters/binance/common/schemas/market.py
@@ -472,6 +472,7 @@ class BinanceQuoteData(msgspec.Struct, frozen=True):
     B: str  # best bid qty
     a: str  # best ask price
     A: str  # best ask qty
+    T: int | None  # event time
 
     def parse_to_quote_tick(
         self,
@@ -484,7 +485,7 @@ def parse_to_quote_tick(
             ask_price=Price.from_str(self.a),
             bid_size=Quantity.from_str(self.B),
             ask_size=Quantity.from_str(self.A),
-            ts_event=ts_init,
+            ts_event=millis_to_nanos(self.T) if self.T else ts_init,
             ts_init=ts_init,
         )