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 = std::numeric_limits<double>::quiet_NaN()#

Quantity (base currency)

double price = std::numeric_limits<double>::quiet_NaN()#

Price.

roq::Liquidity liquidity = {}#

Liquidity indicator.

double quote_quantity = std::numeric_limits<double>::quiet_NaN()#

Quantity (quote currency, optional)

double commission_quantity = std::numeric_limits<double>::quiet_NaN()#

Quantity (commission currency, optional)

roq::Currency commission_currency#

Commission currency.