fastmm::FillRecord Struct Reference

One execution. More...

#include <fastmm/core/record_stream.hpp>

Public Attributes
RecordHeader	hdr
ClientOrderId	cl_ord_id
	64
Price	price
	72
Qty	qty
	80 this execution, as the venue reported it
Qty	booked_qty
	88 what the position moved by (base-asset fees deducted)
Qty	cum_qty
	96
Qty	leaves_qty
	104
Notional	fee
	112 settlement currency, booked
Notional	fee_amount
	120 as reported, in fee_asset units
Qty	position_qty
	128 the instrument's position after this fill
Price	position_avg_px
	136
Notional	position_realized
	144
Notional	position_fees
	152
Side	side
	160
Liquidity	liquidity
	161
FeeAsset	fee_asset
	162
std::uint8_t	pad0_ [5]
	163 -> 168
VenueOrderId	venue_order_id
	168 -> 209
ExecId	exec_id
	209 -> 250
std::uint8_t	pad_ [6]
	-> 256

Detailed Description

One execution.

fee is the engine's booked fee in the instrument's settlement currency; fee_amount is what the venue reported, in units of fee_asset (a commission in a third asset is reported but not booked, so fee is then zero).

Member Data Documentation

hdr

RecordHeader fastmm::FillRecord::hdr

cl_ord_id

ClientOrderId fastmm::FillRecord::cl_ord_id

64

price

Price fastmm::FillRecord::price

72

qty

Qty fastmm::FillRecord::qty

80 this execution, as the venue reported it

booked_qty

Qty fastmm::FillRecord::booked_qty

88 what the position moved by (base-asset fees deducted)

cum_qty

Qty fastmm::FillRecord::cum_qty

96

leaves_qty

Qty fastmm::FillRecord::leaves_qty

104

fee

Notional fastmm::FillRecord::fee

112 settlement currency, booked

fee_amount

Notional fastmm::FillRecord::fee_amount

120 as reported, in fee_asset units

position_qty

Qty fastmm::FillRecord::position_qty

128 the instrument's position after this fill

position_avg_px

Price fastmm::FillRecord::position_avg_px

136

position_realized

Notional fastmm::FillRecord::position_realized

144

position_fees

Notional fastmm::FillRecord::position_fees

152

side

Side fastmm::FillRecord::side

160

liquidity

Liquidity fastmm::FillRecord::liquidity

161

fee_asset

FeeAsset fastmm::FillRecord::fee_asset

162

pad0_

std::uint8_t fastmm::FillRecord::pad0_[5]

163 -> 168

venue_order_id

VenueOrderId fastmm::FillRecord::venue_order_id

168 -> 209

exec_id

ExecId fastmm::FillRecord::exec_id

209 -> 250

pad_

std::uint8_t fastmm::FillRecord::pad_[6]

-> 256