fastmm::ReconcileMsg Struct Reference

Control thread injects the venue's view after a reconnect (5.8). More...

#include <fastmm/core/messages.hpp>

Public Types
enum class	Kind : std::uint8_t { Begin = 0 , OpenOrder = 1 , Position = 2 , End = 3 }

Public Attributes
EventHeader	hdr
Kind	kind
Side	side
OrderState	state
std::uint8_t	pad0_ [5]
ClientOrderId	cl_ord_id
VenueOrderId	venue_order_id
std::uint8_t	pad1_ [7]
Price	price
Qty	orig_qty
Qty	cum_qty
Qty	position_qty
	Kind::Position.
Price	avg_px
	Kind::Position.
ClientOrderId	sent_watermark
	Kind::Begin, valid with kSentWatermark.
std::uint8_t	flags
	Kind::Begin: kSentWatermark.
std::uint8_t	pad_ [15]

Static Public Attributes
static constexpr std::uint8_t	kSentWatermark = 1U << 0
static constexpr std::uint8_t	kExecutionsExact = 1U << 1
	Begin: every execution the venue made since the last one the engine booked was replayed before this snapshot (Venue::request_executions succeeded), so the snapshot's quantities are the venue's own and nothing in it has to be guessed at.

Detailed Description

Control thread injects the venue's view after a reconnect (5.8).

A reconciliation is a Begin, N OpenOrder / Position records, then End.

Begin with kSentWatermark set carries the highest client order id (New or Replace) the venue had taken from the outbound ring when it requested the snapshot. Orders with a higher id were not yet sent, so the snapshot cannot contain them and End must not mark them cancelled. Without the flag every order of the venue missing from the snapshot is cancelled.

Member Enumeration Documentation

Kind

enum class fastmm::ReconcileMsg::Kind : std::uint8_t

strong

Enumerator
Begin
OpenOrder
Position
End

Member Data Documentation

kSentWatermark

constexpr std::uint8_t fastmm::ReconcileMsg::kSentWatermark = 1U << 0

staticconstexpr

kExecutionsExact

constexpr std::uint8_t fastmm::ReconcileMsg::kExecutionsExact = 1U << 1

staticconstexpr

Begin: every execution the venue made since the last one the engine booked was replayed before this snapshot (Venue::request_executions succeeded), so the snapshot's quantities are the venue's own and nothing in it has to be guessed at.

Without it the connector could not ask, and a quantity the snapshot reports that no fill covered is an estimate: see Engine::book_missed_fill and Oms::reconcile_end.

hdr

EventHeader fastmm::ReconcileMsg::hdr

kind

Kind fastmm::ReconcileMsg::kind

side

Side fastmm::ReconcileMsg::side

state

OrderState fastmm::ReconcileMsg::state

pad0_

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

cl_ord_id

ClientOrderId fastmm::ReconcileMsg::cl_ord_id

venue_order_id

VenueOrderId fastmm::ReconcileMsg::venue_order_id

pad1_

std::uint8_t fastmm::ReconcileMsg::pad1_[7]

price

Price fastmm::ReconcileMsg::price

orig_qty

Qty fastmm::ReconcileMsg::orig_qty

cum_qty

Qty fastmm::ReconcileMsg::cum_qty

position_qty

Qty fastmm::ReconcileMsg::position_qty

Kind::Position.

avg_px

Price fastmm::ReconcileMsg::avg_px

Kind::Position.

sent_watermark

ClientOrderId fastmm::ReconcileMsg::sent_watermark

Kind::Begin, valid with kSentWatermark.

flags

std::uint8_t fastmm::ReconcileMsg::flags

Kind::Begin: kSentWatermark.

pad_

std::uint8_t fastmm::ReconcileMsg::pad_[15]