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.

double price = roq::NaN

Price.

roq::Liquidity liquidity = {}

Liquidity indicator.

double commission_amount = roq::NaN

Funds (commission currency, optional)

roq::Currency commission_currency

Commission currency.

double base_amount = roq::NaN

Funds (base currency, internal)

double quote_amount = roq::NaN

Funds (quote currency, internal)

double profit_loss_amount = roq::NaN

P&L (settlement currency, internal)