#include <fastmm/core/messages.hpp>

Public Attributes
EventHeader	hdr

ClientOrderId	cl_ord_id

VenueOrderId	venue_order_id

ExecId	exec_id
	dedupe key

std::uint8_t	pad0_ [6]

Price	price

Qty	qty
	this execution

Qty	cum_qty
	cumulative after this execution (0 with kReplayed: the venue did not say)

Qty	leaves_qty

Notional	fee
	>= 0 paid, < 0 rebate; in units of fee_asset

Side	side

Liquidity	liquidity

FeeAsset	fee_asset
	Quote: `fee` is a quote amount; Base: base units; Other: not convertible.

std::uint8_t	flags
	kReplayed, kUnresolved

std::uint8_t	pad_ [52]

Static Public Attributes
static constexpr std::uint8_t	kReplayed = 1U << 0
	The execution comes from the venue's trade history (Venue::request_executions), not from the private stream: it may already have been booked, so cum_qty and leaves_qty are not reported and the OMS works out how much of it is new (Oms::on_fill, OmsUpdate::corrected_qty).

static constexpr std::uint8_t	kUnresolved = 1U << 1
	A replayed execution naming no order whose order the connector could not look up yet and will ask for again (ReplayScheduler): a later copy with the same exec_id names it, or, once the connector gives up, a last copy without this flag says it never will.

Member Data Documentation

◆ kReplayed

constexpr std::uint8_t fastmm::OrderFillMsg::kReplayed = 1U << 0

staticconstexpr

The execution comes from the venue's trade history (Venue::request_executions), not from the private stream: it may already have been booked, so cum_qty and leaves_qty are not reported and the OMS works out how much of it is new (Oms::on_fill, OmsUpdate::corrected_qty).

◆ kUnresolved

constexpr std::uint8_t fastmm::OrderFillMsg::kUnresolved = 1U << 1

staticconstexpr

A replayed execution naming no order whose order the connector could not look up yet and will ask for again (ReplayScheduler): a later copy with the same exec_id names it, or, once the connector gives up, a last copy without this flag says it never will.

fastmm-gateway holds it back from every strategy until then; an engine books it as any fill naming no order.

◆ hdr

EventHeader fastmm::OrderFillMsg::hdr

◆ cl_ord_id

ClientOrderId fastmm::OrderFillMsg::cl_ord_id

◆ venue_order_id

VenueOrderId fastmm::OrderFillMsg::venue_order_id

◆ exec_id

ExecId fastmm::OrderFillMsg::exec_id

dedupe key

◆ pad0_

std::uint8_t fastmm::OrderFillMsg::pad0_[6]

◆ price

Price fastmm::OrderFillMsg::price

◆ qty

Qty fastmm::OrderFillMsg::qty

this execution

◆ cum_qty

Qty fastmm::OrderFillMsg::cum_qty

cumulative after this execution (0 with kReplayed: the venue did not say)

◆ leaves_qty

Qty fastmm::OrderFillMsg::leaves_qty

◆ fee

Notional fastmm::OrderFillMsg::fee

>= 0 paid, < 0 rebate; in units of fee_asset

◆ side

Side fastmm::OrderFillMsg::side

◆ liquidity

Liquidity fastmm::OrderFillMsg::liquidity

◆ fee_asset

FeeAsset fastmm::OrderFillMsg::fee_asset

Quote: fee is a quote amount; Base: base units; Other: not convertible.

◆ flags

std::uint8_t fastmm::OrderFillMsg::flags

kReplayed, kUnresolved

◆ pad_

std::uint8_t fastmm::OrderFillMsg::pad_[52]

Public Attributes

Static Public Attributes