fastmm::OmsUpdate Struct Reference

#include <fastmm/core/oms.hpp>

Public Attributes
Order	order {}
	snapshot after the transition; for a recently terminal id only the terminal record's fields (id, instrument, venue, side, state, price, qty, cum_qty); empty if unknown
Handle< Order >	handle {}
	invalid once terminal (slot freed) or unknown
OrderState	prev = OrderState::PendingNew
OmsAction	action = OmsAction::None
bool	known = false
	the id mapped to an order (open or recently terminal)
bool	changed = false
	state or quantities changed
bool	terminal = false
	the order reached a terminal state in this update
Qty	fill_qty {}
	for fills
Price	fill_px {}
Qty	missed_qty {}
	Quantity the venue reports as filled that we never saw a fill message for (a private-stream outage covered by a cancel ack, an expiry or a reconciliation snapshot).
ClientOrderId	replaced_cl_ord_id {}
	A cancel-replace to a new id completed: the order carries on under order.cl_ord_id and this one is gone.
Qty	unresolved_qty {}
	Quantity that was still working when a reconciliation snapshot failed to mention the order.
Qty	corrected_qty {}
	Part of a replayed execution (OrderFillMsg::kReplayed) whose quantity a synthetic fill already put in the position: the execution names what it was, so its price and its fee replace the estimate rather than the quantity being counted twice.
Price	synthetic_px {}
OrderTimes	times {}
	The order's times (Oms::times), and the pool slot it had: set on every update of an open order, the terminal one included (handle is invalid then, the slot already free).
Handle< Order >	slot {}

Member Data Documentation

order

Order fastmm::OmsUpdate::order {}

snapshot after the transition; for a recently terminal id only the terminal record's fields (id, instrument, venue, side, state, price, qty, cum_qty); empty if unknown

handle

Handle<Order> fastmm::OmsUpdate::handle {}

invalid once terminal (slot freed) or unknown

prev

OrderState fastmm::OmsUpdate::prev = OrderState::PendingNew

action

OmsAction fastmm::OmsUpdate::action = OmsAction::None

known

bool fastmm::OmsUpdate::known = false

the id mapped to an order (open or recently terminal)

changed

bool fastmm::OmsUpdate::changed = false

state or quantities changed

terminal

bool fastmm::OmsUpdate::terminal = false

the order reached a terminal state in this update

fill_qty

Qty fastmm::OmsUpdate::fill_qty {}

for fills

fill_px

Price fastmm::OmsUpdate::fill_px {}

missed_qty

Qty fastmm::OmsUpdate::missed_qty {}

Quantity the venue reports as filled that we never saw a fill message for (a private-stream outage covered by a cancel ack, an expiry or a reconciliation snapshot).

The engine books it as a synthetic fill at the order's own price; see Engine::book_missed_fill.

replaced_cl_ord_id

ClientOrderId fastmm::OmsUpdate::replaced_cl_ord_id {}

A cancel-replace to a new id completed: the order carries on under order.cl_ord_id and this one is gone.

It never produces an update of its own (the OMS renames the record in place), so anything that tracks orders by id closes it here.

unresolved_qty

Qty fastmm::OmsUpdate::unresolved_qty {}

Quantity that was still working when a reconciliation snapshot failed to mention the order.

The venue does not say whether it was cancelled or filled, so nothing can be booked; it is reported so the engine can say the position may be wrong instead of assuming it is not.

corrected_qty

Qty fastmm::OmsUpdate::corrected_qty {}

Part of a replayed execution (OrderFillMsg::kReplayed) whose quantity a synthetic fill already put in the position: the execution names what it was, so its price and its fee replace the estimate rather than the quantity being counted twice.

synthetic_px is the price the estimate used. See Engine::on_fill and PositionTracker::correct_fill.

synthetic_px

Price fastmm::OmsUpdate::synthetic_px {}

times

OrderTimes fastmm::OmsUpdate::times {}

The order's times (Oms::times), and the pool slot it had: set on every update of an open order, the terminal one included (handle is invalid then, the slot already free).

slot

Handle<Order> fastmm::OmsUpdate::slot {}