Fill

struct Fill

Represents a single fill (match) when an order is being partially or fully filled.

Public Members

std::chrono::nanoseconds exchange_time_utc = {}

Exchange timestamp, possibly from matching engine (UTC)

roq::ExternalTradeId external_trade_id

External trade identifier.

double quantity = roq::NaN

Quantity (base currency)

double price = roq::NaN

Price.

roq::Liquidity liquidity = {}

Liquidity indicator.

double quote_quantity = roq::NaN

Quantity (quote currency, optional)

double commission_quantity = roq::NaN

Quantity (commission currency, optional)

roq::Currency commission_currency

Commission currency.