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reconcile_fill_report

Function reconcile_fill_report 

Source
pub fn reconcile_fill_report(
    order: &OrderAny,
    report: &FillReport,
    instrument: &InstrumentAny,
    ts_now: UnixNanos,
    allow_overfills: bool,
) -> Option<OrderEventAny>
Expand description

Creates an OrderFilled event from a FillReport.

This is used during reconciliation when a fill report is received from the venue. Returns None if the fill is a duplicate or would cause an overfill.