fastmm::Fill Struct Reference

One execution as a strategy sees it (on_fill). More...

#include <fastmm/strategies/hooks.hpp>

Public Attributes
InstrumentId	instrument
	the order's instrument, else the fill message's
Side	side {}
	the order's side, else the fill message's
Price	price
	this execution
Qty	qty
Qty	position_delta
	signed change of the position; differs from qty when the commission is charged in the base asset
Notional	fee
	quote currency, as booked
bool	fee_converted = true
	false: commission in a third asset, not booked (counted in stats)
Liquidity	liquidity {}
bool	known = false
	the id matched an order, open or recently terminal (update->order)
bool	late = false
	the order was already terminal when the fill arrived
bool	order_done = false
	the order reached a terminal state with this fill
const OmsUpdate *	update = nullptr
	non-null when known
const OrderFillMsg *	msg = nullptr
	always set by the engine

Detailed Description

One execution as a strategy sees it (on_fill).

The engine builds it on its stack after the position and fees are updated. The pointers are valid only during the call; do not store them.

Member Data Documentation

instrument

InstrumentId fastmm::Fill::instrument

the order's instrument, else the fill message's

side

Side fastmm::Fill::side {}

the order's side, else the fill message's

price

Price fastmm::Fill::price

this execution

qty

Qty fastmm::Fill::qty

position_delta

Qty fastmm::Fill::position_delta

signed change of the position; differs from qty when the commission is charged in the base asset

fee

Notional fastmm::Fill::fee

quote currency, as booked

fee_converted

bool fastmm::Fill::fee_converted = true

false: commission in a third asset, not booked (counted in stats)

liquidity

Liquidity fastmm::Fill::liquidity {}

known

bool fastmm::Fill::known = false

the id matched an order, open or recently terminal (update->order)

late

bool fastmm::Fill::late = false

the order was already terminal when the fill arrived

order_done

bool fastmm::Fill::order_done = false

the order reached a terminal state with this fill

update

const OmsUpdate* fastmm::Fill::update = nullptr

non-null when known

msg

const OrderFillMsg* fastmm::Fill::msg = nullptr

always set by the engine