Function book_snapshot 

pub fn book_snapshot(
    instrument: &InstrumentId,
    bids: &[Order],
    asks: &[Order],
    depth: usize,
    broker_ts: Option<&Timestamp>,
    now: Instant,
) -> OrderBook

An order book snapshot from the two sides of a broker message, cut to depth levels.

Quantities are in lots, as the broker sends them (the connector multiplies by the lot size). The time is the broker’s orderbook_ts when given.