algotradelib::runner::Fill Struct Reference

One execution of an order the strategy placed, delivered to on_fill. More...

#include <algotradelib/src/strategy/event.hpp>

Collaboration diagram for algotradelib::runner::Fill:

Public Attributes
std::string	order_id_
	The broker's order id.
InstrumentId	instrument_
	The instrument traded.
OrderSide	side_ {OrderSide::BUY}
	The side of the order.
Decimal64	quantity_
	The quantity of this execution, not the order's running total.
Decimal64	price_
	The execution price.
std::string	tag_
	The tag of the intent that produced the order.
std::chrono::system_clock::time_point	at_ {}
	When the execution happened.

Detailed Description

One execution of an order the strategy placed, delivered to on_fill.

Each execution is its own event, so a partial fill arrives as several; quantity_ is this execution's quantity, and the order's running total is in the portfolio. order_id_ names the order by the broker's id where the source states one; a replay's fills leave it empty, and live, on_fill does not fire (Runner::on_fill_never_fires). Look orders up in ctx.portfolio().

Warning

A backtest delivers fills, but the shipped live loop never does: no broker inquiry produces a Fill. A strategy that reacts to fills in on_fill (for example, to set a stop) does nothing live. Live, executions show up through on_order_update and the portfolio.

Definition at line 407 of file event.hpp.

Member Data Documentation

at_

std::chrono::system_clock::time_point algotradelib::strategy::Fill::at_ {}

When the execution happened.

Definition at line 421 of file event.hpp.

instrument_

InstrumentId algotradelib::strategy::Fill::instrument_

The instrument traded.

Definition at line 411 of file event.hpp.

order_id_

std::string algotradelib::strategy::Fill::order_id_

The broker's order id.

Definition at line 409 of file event.hpp.

price_

Decimal64 algotradelib::strategy::Fill::price_

The execution price.

Definition at line 417 of file event.hpp.

quantity_

Decimal64 algotradelib::strategy::Fill::quantity_

The quantity of this execution, not the order's running total.

Definition at line 415 of file event.hpp.

side_

OrderSide algotradelib::strategy::Fill::side_ {OrderSide::BUY}

The side of the order.

Definition at line 413 of file event.hpp.

tag_

std::string algotradelib::strategy::Fill::tag_

The tag of the intent that produced the order.

Definition at line 419 of file event.hpp.

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The documentation for this struct was generated from the following file:

• algotradelib/src/strategy/event.hpp