nautilus-live 0.56.0

// -------------------------------------------------------------------------------------------------
//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
//  https://nautechsystems.io
//
//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
//  You may not use this file except in compliance with the License.
//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
//  Unless required by applicable law or agreed to in writing, software
//  distributed under the License is distributed on an "AS IS" BASIS,
//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
//  See the License for the specific language governing permissions and
//  limitations under the License.
// -------------------------------------------------------------------------------------------------

//! Execution state manager for live trading.
//!
//! This module provides the execution manager for reconciling execution state between
//! the local cache and connected venues, as well as purging old state during live trading.

use std::{cell::RefCell, fmt::Debug, rc::Rc, str::FromStr, sync::LazyLock};

use indexmap::{IndexMap, IndexSet};
use nautilus_common::{
    cache::Cache,
    clients::ExecutionClient,
    clock::Clock,
    enums::{LogColor, LogLevel},
    log_info,
    messages::{
        ExecutionReport,
        execution::{
            QueryOrder, TradingCommand,
            report::{GenerateOrderStatusReports, GeneratePositionStatusReports},
        },
    },
};
use nautilus_core::{
    UUID4, UnixNanos,
    datetime::{
        NANOSECONDS_IN_MILLISECOND, NANOSECONDS_IN_SECOND, mins_to_nanos, mins_to_secs,
        nanos_to_millis,
    },
};
use nautilus_execution::{
    engine::ExecutionEngine,
    reconciliation::{
        calculate_reconciliation_price, create_inferred_fill_for_qty,
        create_position_reconciliation_venue_order_id, create_reconciliation_rejected,
        create_reconciliation_triggered, generate_external_order_status_events,
        process_mass_status_for_reconciliation, reconcile_order_report,
        should_reconciliation_update,
    },
};
use nautilus_model::{
    enums::{OrderSide, OrderStatus, OrderType, TimeInForce},
    events::{OrderCanceled, OrderEventAny, OrderFilled, OrderInitialized},
    identifiers::{
        AccountId, ClientOrderId, InstrumentId, PositionId, StrategyId, TradeId, TraderId,
        VenueOrderId,
    },
    instruments::{Instrument, InstrumentAny},
    orders::{Order, OrderAny, TRIGGERABLE_ORDER_TYPES},
    position::Position,
    reports::{ExecutionMassStatus, FillReport, OrderStatusReport, PositionStatusReport},
    types::{Price, Quantity},
};
use rust_decimal::{Decimal, prelude::ToPrimitive};
use ustr::Ustr;

use crate::config::LiveExecEngineConfig;

/// Tag for orders originating from venue (external orders).
static TAG_VENUE: LazyLock<Ustr> = LazyLock::new(|| Ustr::from("VENUE"));

/// Tag for orders generated by reconciliation logic (synthetic orders).
static TAG_RECONCILIATION: LazyLock<Ustr> = LazyLock::new(|| Ustr::from("RECONCILIATION"));

/// Metadata for an external order that needs to be registered with the execution client.
#[derive(Debug, Clone)]
pub struct ExternalOrderMetadata {
    pub client_order_id: ClientOrderId,
    pub venue_order_id: VenueOrderId,
    pub instrument_id: InstrumentId,
    pub strategy_id: StrategyId,
    pub ts_init: UnixNanos,
}

/// Result of reconciliation containing events and external order metadata.
#[derive(Debug, Default)]
pub struct ReconciliationResult {
    /// Order events generated during reconciliation.
    pub events: Vec<OrderEventAny>,
    /// External orders that need to be registered with execution clients.
    pub external_orders: Vec<ExternalOrderMetadata>,
}

/// Result of inflight order checks containing terminal events and intermediate queries.
#[derive(Debug, Default)]
pub struct InflightCheckResult {
    /// Terminal events (rejection/cancellation) for orders that exceeded max retries.
    pub events: Vec<OrderEventAny>,
    /// Intermediate venue queries for orders still within retry budget.
    pub queries: Vec<TradingCommand>,
}

/// Configuration for execution manager.
#[derive(Debug, Clone)]
pub struct ExecutionManagerConfig {
    /// The trader ID for generated orders.
    pub trader_id: TraderId,
    /// If reconciliation is active at start-up.
    pub reconciliation: bool,
    /// Number of minutes to look back during reconciliation.
    pub lookback_mins: Option<u64>,
    /// Instrument IDs to include during reconciliation (empty => all).
    pub reconciliation_instrument_ids: IndexSet<InstrumentId>,
    /// Whether to filter unclaimed external orders.
    pub filter_unclaimed_external: bool,
    /// Whether to filter position status reports during reconciliation.
    pub filter_position_reports: bool,
    /// Client order IDs excluded from reconciliation.
    pub filtered_client_order_ids: IndexSet<ClientOrderId>,
    /// Whether to generate missing orders from reports.
    pub generate_missing_orders: bool,
    /// The interval (milliseconds) between checking whether in-flight orders have exceeded their threshold.
    pub inflight_check_interval_ms: u32,
    /// Threshold in milliseconds for inflight order checks.
    pub inflight_threshold_ms: u64,
    /// Maximum number of retries for inflight checks.
    pub inflight_max_retries: u32,
    /// The interval (seconds) between checks for open orders at the venue.
    pub open_check_interval_secs: Option<f64>,
    /// The lookback minutes for open order checks.
    pub open_check_lookback_mins: Option<u64>,
    /// Threshold in nanoseconds before acting on venue discrepancies for open orders.
    pub open_check_threshold_ns: u64,
    /// Maximum retries before resolving an open order missing at the venue.
    pub open_check_missing_retries: u32,
    /// Whether open-order polling should only request open orders from the venue.
    pub open_check_open_only: bool,
    /// The maximum number of single-order queries per consistency check cycle.
    pub max_single_order_queries_per_cycle: u32,
    /// The delay (milliseconds) between consecutive single-order queries.
    pub single_order_query_delay_ms: u32,
    /// The interval (seconds) between checks for open positions at the venue.
    pub position_check_interval_secs: Option<f64>,
    /// The lookback minutes for position consistency checks.
    pub position_check_lookback_mins: u64,
    /// Threshold in nanoseconds before acting on venue discrepancies for positions.
    pub position_check_threshold_ns: u64,
    /// Maximum retries before stopping position discrepancy reconciliation.
    pub position_check_retries: u32,
    /// The time buffer (minutes) before closed orders can be purged.
    pub purge_closed_orders_buffer_mins: Option<u32>,
    /// The time buffer (minutes) before closed positions can be purged.
    pub purge_closed_positions_buffer_mins: Option<u32>,
    /// The time buffer (minutes) before account events can be purged.
    pub purge_account_events_lookback_mins: Option<u32>,
    /// If purge operations should also delete from the backing database.
    pub purge_from_database: bool,
}

impl Default for ExecutionManagerConfig {
    fn default() -> Self {
        Self {
            trader_id: TraderId::default(),
            reconciliation: true,
            lookback_mins: Some(60),
            reconciliation_instrument_ids: IndexSet::new(),
            filter_unclaimed_external: false,
            filter_position_reports: false,
            filtered_client_order_ids: IndexSet::new(),
            generate_missing_orders: true,
            inflight_check_interval_ms: 2_000,
            inflight_threshold_ms: 5_000,
            inflight_max_retries: 5,
            open_check_interval_secs: None,
            open_check_lookback_mins: Some(60),
            open_check_threshold_ns: 5_000_000_000,
            open_check_missing_retries: 5,
            open_check_open_only: true,
            max_single_order_queries_per_cycle: 5,
            single_order_query_delay_ms: 100,
            position_check_interval_secs: None,
            position_check_lookback_mins: 60,
            position_check_threshold_ns: 60_000_000_000,
            position_check_retries: 3,
            purge_closed_orders_buffer_mins: None,
            purge_closed_positions_buffer_mins: None,
            purge_account_events_lookback_mins: None,
            purge_from_database: false,
        }
    }
}

impl From<&LiveExecEngineConfig> for ExecutionManagerConfig {
    fn from(config: &LiveExecEngineConfig) -> Self {
        let filtered_client_order_ids: IndexSet<ClientOrderId> = config
            .filtered_client_order_ids
            .clone()
            .unwrap_or_default()
            .into_iter()
            .map(|value| ClientOrderId::from(value.as_str()))
            .collect();

        let reconciliation_instrument_ids: IndexSet<InstrumentId> = config
            .reconciliation_instrument_ids
            .clone()
            .unwrap_or_default()
            .into_iter()
            .map(InstrumentId::from)
            .collect();

        let open_check_threshold_ns =
            (config.open_check_threshold_ms as u64) * NANOSECONDS_IN_MILLISECOND;
        let position_check_threshold_ns =
            (config.position_check_threshold_ms as u64) * NANOSECONDS_IN_MILLISECOND;

        Self {
            trader_id: TraderId::default(), // Must be set separately via with_trader_id
            reconciliation: config.reconciliation,
            lookback_mins: config.reconciliation_lookback_mins.map(|m| m as u64),
            reconciliation_instrument_ids,
            filter_unclaimed_external: config.filter_unclaimed_external_orders,
            filter_position_reports: config.filter_position_reports,
            filtered_client_order_ids,
            generate_missing_orders: config.generate_missing_orders,
            inflight_check_interval_ms: config.inflight_check_interval_ms,
            inflight_threshold_ms: config.inflight_check_threshold_ms as u64,
            inflight_max_retries: config.inflight_check_retries,
            open_check_interval_secs: config.open_check_interval_secs,
            open_check_lookback_mins: config.open_check_lookback_mins.map(|m| m as u64),
            open_check_threshold_ns,
            open_check_missing_retries: config.open_check_missing_retries,
            open_check_open_only: config.open_check_open_only,
            max_single_order_queries_per_cycle: config.max_single_order_queries_per_cycle,
            single_order_query_delay_ms: config.single_order_query_delay_ms,
            position_check_interval_secs: config.position_check_interval_secs,
            position_check_lookback_mins: config.position_check_lookback_mins as u64,
            position_check_threshold_ns,
            position_check_retries: config.position_check_retries,
            purge_closed_orders_buffer_mins: config.purge_closed_orders_buffer_mins,
            purge_closed_positions_buffer_mins: config.purge_closed_positions_buffer_mins,
            purge_account_events_lookback_mins: config.purge_account_events_lookback_mins,
            purge_from_database: config.purge_from_database,
        }
    }
}

impl ExecutionManagerConfig {
    /// Sets the trader ID on the configuration.
    #[must_use]
    pub fn with_trader_id(mut self, trader_id: TraderId) -> Self {
        self.trader_id = trader_id;
        self
    }
}

/// Information about an inflight order check.
#[derive(Debug, Clone)]
struct InflightCheck {
    #[allow(dead_code)]
    pub client_order_id: ClientOrderId,
    pub ts_submitted: UnixNanos,
    pub retry_count: u32,
    pub last_query_ts: Option<UnixNanos>,
}

/// Manager for execution state.
///
/// The `ExecutionManager` handles:
/// - Startup reconciliation to align state on system start.
/// - Continuous reconciliation of inflight orders.
/// - External order discovery and claiming.
/// - Fill report processing and validation.
/// - Purging of old orders, positions, and account events.
///
/// # Thread Safety
///
/// This struct is **not thread-safe** and is designed for single-threaded use within
/// an async runtime. Internal state is managed using `IndexMap` without synchronization,
/// and the `clock` and `cache` use `Rc<RefCell<>>` which provide runtime borrow checking
/// but no thread-safety guarantees.
///
/// If concurrent access is required, this struct must be wrapped in `Arc<Mutex<>>` or
/// similar synchronization primitives. Alternatively, ensure that all methods are called
/// from the same thread/task in the async runtime.
///
/// **Warning:** Concurrent mutable access to internal IndexMaps or concurrent borrows
/// of `RefCell` contents will cause runtime panics.
#[derive(Clone)]
pub struct ExecutionManager {
    clock: Rc<RefCell<dyn Clock>>,
    cache: Rc<RefCell<Cache>>,
    config: ExecutionManagerConfig,
    inflight_checks: IndexMap<ClientOrderId, InflightCheck>,
    external_order_claims: IndexMap<InstrumentId, StrategyId>,
    processed_fills: IndexMap<TradeId, ClientOrderId>,
    recon_check_retries: IndexMap<ClientOrderId, u32>,
    ts_last_query: IndexMap<ClientOrderId, UnixNanos>,
    order_local_activity_ns: IndexMap<ClientOrderId, UnixNanos>,
    position_local_activity_ns: IndexMap<InstrumentId, UnixNanos>,
    position_recon_retries: IndexMap<InstrumentId, u32>,
    recent_fills_cache: IndexMap<TradeId, UnixNanos>,
}

impl Debug for ExecutionManager {
    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
        f.debug_struct(stringify!(ExecutionManager))
            .field("config", &self.config)
            .field("inflight_checks", &self.inflight_checks)
            .field("external_order_claims", &self.external_order_claims)
            .field("processed_fills", &self.processed_fills)
            .field("recon_check_retries", &self.recon_check_retries)
            .finish()
    }
}

impl ExecutionManager {
    /// Creates a new [`ExecutionManager`] instance.
    pub fn new(
        clock: Rc<RefCell<dyn Clock>>,
        cache: Rc<RefCell<Cache>>,
        config: ExecutionManagerConfig,
    ) -> Self {
        Self {
            clock,
            cache,
            config,
            inflight_checks: IndexMap::new(),
            external_order_claims: IndexMap::new(),
            processed_fills: IndexMap::new(),
            recon_check_retries: IndexMap::new(),
            ts_last_query: IndexMap::new(),
            order_local_activity_ns: IndexMap::new(),
            position_local_activity_ns: IndexMap::new(),
            position_recon_retries: IndexMap::new(),
            recent_fills_cache: IndexMap::new(),
        }
    }

    /// Returns the current clock timestamp in nanoseconds.
    #[must_use]
    pub fn generate_timestamp_ns(&self) -> UnixNanos {
        self.clock.borrow().timestamp_ns()
    }

    /// Reconciles orders and fills from a mass status report.
    ///
    /// Order events are collected, sorted globally by ts_event, then processed through
    /// the execution engine to ensure chronological ordering across all orders.
    /// Position events are processed after all order events to ensure fills are applied first.
    pub async fn reconcile_execution_mass_status(
        &mut self,
        mass_status: ExecutionMassStatus,
        exec_engine: Rc<RefCell<ExecutionEngine>>,
    ) -> ReconciliationResult {
        let venue = mass_status.venue;
        let order_count = mass_status.order_reports().len();
        let fill_count: usize = mass_status.fill_reports().values().map(|v| v.len()).sum();
        let position_count = mass_status.position_reports().len();

        log_info!(
            "Reconciling ExecutionMassStatus for {venue}",
            color = LogColor::Blue
        );
        log_info!(
            "Received {order_count} order(s), {fill_count} fill(s), {position_count} position(s)",
            color = LogColor::Blue
        );

        let (adjusted_order_reports, adjusted_fill_reports) =
            self.adjust_mass_status_fills(&mass_status);

        let mut events = Vec::new();
        let mut external_orders = Vec::new();
        let mut orders_reconciled = 0usize;
        let mut external_orders_created = 0usize;
        let mut open_orders_initialized = 0usize;
        let mut orders_skipped_no_instrument = 0usize;
        let mut orders_skipped_duplicate = 0usize;
        let mut fills_applied = 0usize;

        let fill_reports = &adjusted_fill_reports;
        let mut seen_trade_ids: IndexSet<TradeId> = IndexSet::new();

        for fills in fill_reports.values() {
            for fill in fills {
                if !seen_trade_ids.insert(fill.trade_id) {
                    log::warn!("Duplicate trade_id {} in mass status", fill.trade_id);
                }
            }
        }

        // Deduplicate reports by venue_order_id, keeping the most advanced state
        let order_reports = self.deduplicate_order_reports(adjusted_order_reports.values());
        let mut orders_skipped_filtered = 0usize;

        for report in order_reports.values() {
            if self.should_skip_order_report(report) {
                orders_skipped_filtered += 1;
                continue;
            }

            if let Some(client_order_id) = &report.client_order_id {
                if let Some(cached_order) = self.get_order(client_order_id)
                    && self.is_exact_order_match(&cached_order, report)
                {
                    log::debug!("Skipping order {client_order_id}: already in sync with venue");
                    orders_skipped_duplicate += 1;

                    // Still ensure venue_order_id is indexed even when skipping
                    if let Err(e) = self.cache.borrow_mut().add_venue_order_id(
                        client_order_id,
                        &report.venue_order_id,
                        false,
                    ) {
                        log::warn!("Failed to add venue order ID index: {e}");
                    }

                    continue;
                }

                // Skip closed reconciliation orders to prevent duplicate inferred fills on restart
                if let Some(cached_order) = self.get_order(client_order_id)
                    && cached_order.is_closed()
                    && cached_order
                        .tags()
                        .is_some_and(|tags| tags.contains(&*TAG_RECONCILIATION))
                {
                    log::debug!(
                        "Skipping closed reconciliation order {client_order_id}: \
                         synthetic position adjustment from previous session",
                    );
                    orders_skipped_duplicate += 1;
                    continue;
                }

                if let Some(order) = self.get_order(client_order_id) {
                    let instrument = self.get_instrument(&report.instrument_id);
                    log::info!(
                        color = LogColor::Blue as u8;
                        "Reconciling {} {} {} [{}] -> [{}]",
                        client_order_id,
                        report.venue_order_id,
                        report.instrument_id,
                        order.status(),
                        report.order_status,
                    );

                    let order_fills: Vec<&FillReport> = fill_reports
                        .get(&report.venue_order_id)
                        .map(|f| f.iter().collect())
                        .unwrap_or_default();
                    let order_events = self.reconcile_order_with_fills(
                        &order,
                        report,
                        &order_fills,
                        instrument.as_ref(),
                    );

                    if !order_events.is_empty() {
                        orders_reconciled += 1;
                        fills_applied += order_events
                            .iter()
                            .filter(|e| matches!(e, OrderEventAny::Filled(_)))
                            .count();
                        events.extend(order_events);
                    }

                    // Always ensure venue_order_id is indexed after reconciliation
                    if let Err(e) = self.cache.borrow_mut().add_venue_order_id(
                        client_order_id,
                        &report.venue_order_id,
                        false,
                    ) {
                        log::warn!("Failed to add venue order ID index: {e}");
                    }
                } else if let Some(order) = self.get_order_by_venue_order_id(&report.venue_order_id)
                {
                    // Fallback: match by venue_order_id
                    let instrument = self.get_instrument(&report.instrument_id);

                    log::info!(
                        color = LogColor::Blue as u8;
                        "Reconciling {} (matched by venue_order_id {}) {} [{}] -> [{}]",
                        order.client_order_id(),
                        report.venue_order_id,
                        report.instrument_id,
                        order.status(),
                        report.order_status,
                    );

                    let order_fills: Vec<&FillReport> = fill_reports
                        .get(&report.venue_order_id)
                        .map(|f| f.iter().collect())
                        .unwrap_or_default();
                    let order_events = self.reconcile_order_with_fills(
                        &order,
                        report,
                        &order_fills,
                        instrument.as_ref(),
                    );

                    if !order_events.is_empty() {
                        orders_reconciled += 1;
                        fills_applied += order_events
                            .iter()
                            .filter(|e| matches!(e, OrderEventAny::Filled(_)))
                            .count();
                        events.extend(order_events);
                    }

                    if let Err(e) = self.cache.borrow_mut().add_venue_order_id(
                        &order.client_order_id(),
                        &report.venue_order_id,
                        false,
                    ) {
                        log::warn!("Failed to add venue order ID index: {e}");
                    }
                } else if !self.config.filter_unclaimed_external {
                    if let Some(instrument) = self.get_instrument(&report.instrument_id) {
                        let order_fills: Vec<&FillReport> = fill_reports
                            .get(&report.venue_order_id)
                            .map(|f| f.iter().collect())
                            .unwrap_or_default();
                        let (external_events, metadata) = self.handle_external_order(
                            report,
                            &mass_status.account_id,
                            &instrument,
                            &order_fills,
                            false, // Not synthetic (venue order)
                        );

                        if !external_events.is_empty() {
                            external_orders_created += 1;
                            fills_applied += external_events
                                .iter()
                                .filter(|e| matches!(e, OrderEventAny::Filled(_)))
                                .count();

                            if report.order_status.is_open() {
                                open_orders_initialized += 1;
                            }

                            events.extend(external_events);

                            if let Some(m) = metadata {
                                external_orders.push(m);
                            }
                        }
                    } else {
                        orders_skipped_no_instrument += 1;
                    }
                }
            } else if let Some(order) = self.get_order_by_venue_order_id(&report.venue_order_id) {
                // Fallback: match by venue_order_id
                let instrument = self.get_instrument(&report.instrument_id);
                log::info!(
                    color = LogColor::Blue as u8;
                    "Reconciling {} (matched by venue_order_id {}) {} [{}] -> [{}]",
                    order.client_order_id(),
                    report.venue_order_id,
                    report.instrument_id,
                    order.status(),
                    report.order_status,
                );

                let order_fills: Vec<&FillReport> = fill_reports
                    .get(&report.venue_order_id)
                    .map(|f| f.iter().collect())
                    .unwrap_or_default();
                let order_events = self.reconcile_order_with_fills(
                    &order,
                    report,
                    &order_fills,
                    instrument.as_ref(),
                );

                if !order_events.is_empty() {
                    orders_reconciled += 1;
                    fills_applied += order_events
                        .iter()
                        .filter(|e| matches!(e, OrderEventAny::Filled(_)))
                        .count();
                    events.extend(order_events);
                }

                if let Err(e) = self.cache.borrow_mut().add_venue_order_id(
                    &order.client_order_id(),
                    &report.venue_order_id,
                    false,
                ) {
                    log::warn!("Failed to add venue order ID index: {e}");
                }
            } else if let Some(instrument) = self.get_instrument(&report.instrument_id) {
                // Synthetic orders (S- prefix) are generated by reconciliation logic
                let is_synthetic = report.venue_order_id.as_str().starts_with("S-");

                let order_fills: Vec<&FillReport> = fill_reports
                    .get(&report.venue_order_id)
                    .map(|f| f.iter().collect())
                    .unwrap_or_default();
                let (external_events, metadata) = self.handle_external_order(
                    report,
                    &mass_status.account_id,
                    &instrument,
                    &order_fills,
                    is_synthetic,
                );

                if !external_events.is_empty() {
                    external_orders_created += 1;
                    fills_applied += external_events
                        .iter()
                        .filter(|e| matches!(e, OrderEventAny::Filled(_)))
                        .count();

                    if report.order_status.is_open() {
                        open_orders_initialized += 1;
                    }

                    events.extend(external_events);

                    if let Some(m) = metadata {
                        external_orders.push(m);
                    }
                }
            } else {
                orders_skipped_no_instrument += 1;
            }
        }

        // Process orphan fills (fills without matching order reports)
        let processed_venue_order_ids: IndexSet<VenueOrderId> =
            order_reports.keys().copied().collect();

        for (venue_order_id, fills) in fill_reports {
            if processed_venue_order_ids.contains(venue_order_id) {
                continue;
            }

            let Some(first_fill) = fills.first() else {
                continue;
            };

            if !self.should_reconcile_instrument(&first_fill.instrument_id) {
                log::debug!(
                    "Skipping orphan fills for {}: not in reconciliation_instrument_ids",
                    first_fill.instrument_id
                );
                continue;
            }

            // Skip if fill's client_order_id is in filtered list
            if let Some(client_order_id) = &first_fill.client_order_id
                && self
                    .config
                    .filtered_client_order_ids
                    .contains(client_order_id)
            {
                log::debug!(
                    "Skipping orphan fills for {client_order_id}: in filtered_client_order_ids"
                );
                continue;
            }

            let order = first_fill
                .client_order_id
                .as_ref()
                .and_then(|id| self.get_order(id))
                .or_else(|| self.get_order_by_venue_order_id(venue_order_id));

            // Skip if resolved order's client_order_id is filtered (venue_order_id lookup path)
            if let Some(ref order) = order
                && self
                    .config
                    .filtered_client_order_ids
                    .contains(&order.client_order_id())
            {
                log::debug!(
                    "Skipping orphan fills for {}: in filtered_client_order_ids",
                    order.client_order_id()
                );
                continue;
            }

            if let Some(order) = order {
                let instrument_id = order.instrument_id();
                if let Some(instrument) = self.get_instrument(&instrument_id) {
                    let mut sorted_fills: Vec<&FillReport> = fills.iter().collect();
                    sorted_fills.sort_by_key(|f| f.ts_event);

                    for fill in sorted_fills {
                        if let Some(event) = self.create_order_fill(&order, fill, &instrument) {
                            fills_applied += 1;
                            events.push(event);
                        }
                    }
                }
            }
        }

        events.sort_by_key(|e| e.ts_event());

        for event in &events {
            exec_engine.borrow_mut().process(event);
        }

        let mut positions_created = 0usize;

        if !self.config.filter_position_reports {
            // Collect instruments with fills that lack venue_position_id (can't attribute to
            // specific hedge position, so must skip all hedge reports for that instrument)
            let instruments_with_unattributed_fills: IndexSet<InstrumentId> = mass_status
                .fill_reports()
                .values()
                .flatten()
                .filter(|f| f.venue_position_id.is_none())
                .map(|f| f.instrument_id)
                .chain(
                    mass_status
                        .order_reports()
                        .values()
                        .filter(|r| !r.filled_qty.is_zero() && r.venue_position_id.is_none())
                        .map(|r| r.instrument_id),
                )
                .collect();

            let positions_with_fills: IndexSet<PositionId> = mass_status
                .fill_reports()
                .values()
                .flatten()
                .filter_map(|f| f.venue_position_id)
                .chain(
                    mass_status
                        .order_reports()
                        .values()
                        .filter(|r| !r.filled_qty.is_zero())
                        .filter_map(|r| r.venue_position_id),
                )
                .collect();

            for (instrument_id, reports) in mass_status.position_reports() {
                if !self.should_reconcile_instrument(&instrument_id) {
                    log::debug!(
                        "Skipping position reports for {instrument_id}: not in reconciliation_instrument_ids"
                    );
                    continue;
                }

                for report in reports {
                    if let Some(position_events) = self.reconcile_position_report(
                        &report,
                        &mass_status.account_id,
                        &instruments_with_unattributed_fills,
                        &positions_with_fills,
                    ) {
                        for event in position_events {
                            exec_engine.borrow_mut().process(&event);
                            events.push(event);
                        }
                        positions_created += 1;
                    }
                }
            }
        }

        if orders_skipped_no_instrument > 0 {
            log::warn!("{orders_skipped_no_instrument} orders skipped (instrument not in cache)");
        }

        if orders_skipped_duplicate > 0 {
            log::debug!("{orders_skipped_duplicate} orders skipped (already in sync)");
        }

        if orders_skipped_filtered > 0 {
            log::debug!("{orders_skipped_filtered} orders skipped (filtered by config)");
        }

        log::info!(
            color = LogColor::Blue as u8;
            "Reconciliation complete for {venue}: reconciled={orders_reconciled}, external={external_orders_created}, open={open_orders_initialized}, fills={fills_applied}, positions={positions_created}, skipped={orders_skipped_duplicate}, filtered={orders_skipped_filtered}",
        );

        ReconciliationResult {
            events,
            external_orders,
        }
    }

    /// Checks inflight orders and returns terminal events and intermediate venue queries.
    ///
    /// For retries below `inflight_max_retries`, generates `QueryOrder` commands to poll
    /// the venue for the order's current status. At max retries, generates terminal events
    /// (rejection or cancellation) based on the order's status.
    pub fn check_inflight_orders(&mut self) -> InflightCheckResult {
        let mut result = InflightCheckResult::default();
        let current_time = self.clock.borrow().timestamp_ns();
        let threshold_ns = self.config.inflight_threshold_ms * NANOSECONDS_IN_MILLISECOND;

        let mut to_check = Vec::new();

        for (client_order_id, check) in &self.inflight_checks {
            if current_time - check.ts_submitted > threshold_ns {
                to_check.push(*client_order_id);
            }
        }

        for client_order_id in to_check {
            if self
                .config
                .filtered_client_order_ids
                .contains(&client_order_id)
            {
                continue;
            }

            if let Some(check) = self.inflight_checks.get_mut(&client_order_id) {
                if let Some(last_query_ts) = check.last_query_ts
                    && current_time - last_query_ts < threshold_ns
                {
                    continue;
                }

                check.retry_count += 1;
                check.last_query_ts = Some(current_time);
                self.ts_last_query.insert(client_order_id, current_time);
                self.recon_check_retries
                    .insert(client_order_id, check.retry_count);

                if check.retry_count >= self.config.inflight_max_retries {
                    let ts_now = self.clock.borrow().timestamp_ns();

                    if let Some(order) = self.get_order(&client_order_id) {
                        match order.status() {
                            OrderStatus::Submitted => {
                                // Generate rejection for submitted orders that never got accepted
                                if let Some(event) = create_reconciliation_rejected(
                                    &order,
                                    Some("INFLIGHT_TIMEOUT"),
                                    ts_now,
                                ) {
                                    result.events.push(event);
                                }
                            }
                            OrderStatus::PendingUpdate | OrderStatus::PendingCancel => {
                                // Generate cancellation for orders stuck in pending modify/cancel
                                let event = OrderEventAny::Canceled(OrderCanceled::new(
                                    order.trader_id(),
                                    order.strategy_id(),
                                    order.instrument_id(),
                                    order.client_order_id(),
                                    UUID4::new(),
                                    ts_now,
                                    ts_now,
                                    true, // reconciliation
                                    order.venue_order_id(),
                                    order.account_id(),
                                ));
                                result.events.push(event);
                            }
                            _ => {
                                // Order already resolved, just clear tracking
                            }
                        }
                    }
                    // Remove from inflight checks regardless of whether order exists
                    self.clear_recon_tracking(&client_order_id, true);
                } else if let Some(order) = self.get_order(&client_order_id) {
                    // Intermediate retry: query the venue for current order status
                    let client_id = self.cache.borrow().client_id(&client_order_id).copied();
                    let query = TradingCommand::QueryOrder(QueryOrder::new(
                        order.trader_id(),
                        client_id,
                        order.strategy_id(),
                        order.instrument_id(),
                        order.client_order_id(),
                        order.venue_order_id(),
                        UUID4::new(),
                        current_time,
                        None,
                    ));
                    result.queries.push(query);
                }
            }
        }

        result
    }

    /// Checks open orders consistency between cache and venue.
    ///
    /// This method validates that open orders in the cache match the venue's state,
    /// comparing order status and filled quantities, and generating reconciliation
    /// events for any discrepancies detected.
    ///
    /// # Returns
    ///
    /// A vector of order events generated to reconcile discrepancies.
    pub async fn check_open_orders(
        &mut self,
        clients: &[&dyn ExecutionClient],
    ) -> Vec<OrderEventAny> {
        log::debug!("Checking order consistency between cached-state and venues");

        let filtered_orders: Vec<OrderAny> = {
            let cache = self.cache.borrow();
            let mut orders = cache.orders_open(None, None, None, None, None);
            orders.extend(cache.orders_inflight(None, None, None, None, None));

            if self.config.reconciliation_instrument_ids.is_empty() {
                orders.iter().map(|o| (*o).clone()).collect()
            } else {
                orders
                    .iter()
                    .filter(|o| {
                        self.config
                            .reconciliation_instrument_ids
                            .contains(&o.instrument_id())
                    })
                    .map(|o| (*o).clone())
                    .collect()
            }
        };

        log::debug!(
            "Found {} order{} open in cache",
            filtered_orders.len(),
            if filtered_orders.len() == 1 { "" } else { "s" }
        );

        let mut all_reports = Vec::new();
        let mut venue_reported_ids = IndexSet::new();

        let ts_now = self.clock.borrow().timestamp_ns();
        let start = self.config.open_check_lookback_mins.map(|mins| {
            let lookback_ns = mins_to_nanos(mins);
            UnixNanos::from(ts_now.as_u64().saturating_sub(lookback_ns))
        });

        for client in clients {
            let mut cmd = GenerateOrderStatusReports::new(
                UUID4::new(),
                ts_now,
                self.config.open_check_open_only,
                None, // instrument_id - query all
                start,
                None, // end
                None, // params
                None, // correlation_id
            );
            cmd.log_receipt_level = LogLevel::Debug;

            match client.generate_order_status_reports(&cmd).await {
                Ok(reports) => {
                    for report in reports {
                        if let Some(client_order_id) = &report.client_order_id {
                            venue_reported_ids.insert(*client_order_id);
                        }
                        all_reports.push(report);
                    }
                }
                Err(e) => {
                    log::error!(
                        "Failed to query order reports from {}: {e}",
                        client.client_id()
                    );
                }
            }
        }

        // Reconcile reports against cached orders
        let ts_now = self.clock.borrow().timestamp_ns();
        let mut events = Vec::new();

        for report in all_reports {
            if let Some(client_order_id) = &report.client_order_id
                && let Some(order) = self.get_order(client_order_id)
            {
                // Check for recent local activity to avoid race conditions with in-flight fills
                if let Some(&last_activity) = self.order_local_activity_ns.get(client_order_id)
                    && (ts_now - last_activity) < self.config.open_check_threshold_ns
                {
                    let elapsed_ms = nanos_to_millis((ts_now - last_activity).as_u64());
                    let threshold_ms = nanos_to_millis(self.config.open_check_threshold_ns);
                    log::info!(
                        "Deferring reconciliation for {client_order_id}: recent local activity ({elapsed_ms}ms < threshold={threshold_ms}ms)",
                    );
                    continue;
                }

                let instrument = self.get_instrument(&report.instrument_id);

                if let Some(event) =
                    self.reconcile_order_report(&order, &report, instrument.as_ref())
                {
                    events.push(event);
                }
            }
        }

        // Handle orders missing at venue (skip in open_only mode where the
        // venue response may omit recently closed orders). When a lookback
        // window is set, only consider orders within that window so older
        // GTC orders outside the query range are not falsely marked missing.
        if !self.config.open_check_open_only {
            let candidates: Vec<&OrderAny> = if let Some(cutoff) = start {
                filtered_orders
                    .iter()
                    .filter(|o| o.ts_last() >= cutoff)
                    .collect()
            } else {
                filtered_orders.iter().collect()
            };
            let cached_ids: IndexSet<ClientOrderId> =
                candidates.iter().map(|o| o.client_order_id()).collect();
            let missing_at_venue: IndexSet<ClientOrderId> = cached_ids
                .difference(&venue_reported_ids)
                .copied()
                .collect();

            for client_order_id in missing_at_venue {
                events.extend(self.handle_missing_order(client_order_id));
            }
        }

        events
    }

    /// Checks position consistency between cache and venue.
    ///
    /// This method validates that positions in the cache match the venue's state,
    /// detecting position drift and querying for missing fills when discrepancies
    /// are found.
    ///
    /// # Returns
    ///
    /// A vector of fill events generated to reconcile position discrepancies.
    pub async fn check_positions_consistency(
        &mut self,
        clients: &[&dyn ExecutionClient],
    ) -> Vec<OrderEventAny> {
        log::debug!("Checking position consistency between cached-state and venues");

        let open_positions = {
            let cache = self.cache.borrow();
            let positions = cache.positions_open(None, None, None, None, None);

            if self.config.reconciliation_instrument_ids.is_empty() {
                positions.iter().map(|p| (*p).clone()).collect()
            } else {
                positions
                    .iter()
                    .filter(|p| {
                        self.config
                            .reconciliation_instrument_ids
                            .contains(&p.instrument_id)
                    })
                    .map(|p| (*p).clone())
                    .collect::<Vec<_>>()
            }
        };

        log::debug!(
            "Found {} position{} to check",
            open_positions.len(),
            if open_positions.len() == 1 { "" } else { "s" }
        );

        // Query venue for position reports
        let mut venue_positions = IndexMap::new();

        for client in clients {
            let mut cmd = GeneratePositionStatusReports::new(
                UUID4::new(),
                self.clock.borrow().timestamp_ns(),
                None, // instrument_id - query all
                None, // start
                None, // end
                None, // params
                None, // correlation_id
            );
            cmd.log_receipt_level = LogLevel::Debug;

            match client.generate_position_status_reports(&cmd).await {
                Ok(reports) => {
                    for report in reports {
                        venue_positions.insert(report.instrument_id, report);
                    }
                }
                Err(e) => {
                    log::error!(
                        "Failed to query position reports from {}: {e}",
                        client.client_id()
                    );
                }
            }
        }

        // Check for discrepancies (one check per instrument per cycle to avoid
        // burning multiple retries for hedging positions on the same instrument)
        let mut events = Vec::new();
        let mut checked_instruments = IndexSet::new();

        for position in &open_positions {
            if !checked_instruments.insert(position.instrument_id) {
                continue;
            }

            // Skip if not in filter
            if !self.config.reconciliation_instrument_ids.is_empty()
                && !self
                    .config
                    .reconciliation_instrument_ids
                    .contains(&position.instrument_id)
            {
                continue;
            }

            let venue_report = venue_positions.get(&position.instrument_id);

            if let Some(discrepancy_events) =
                self.check_position_discrepancy(position, venue_report)
            {
                events.extend(discrepancy_events);
            }
        }

        // Prune retry counters for instruments no longer actively tracked,
        // excluding flat venue reports which shouldn't protect stale counters
        let active_instruments: IndexSet<InstrumentId> = open_positions
            .iter()
            .map(|p| p.instrument_id)
            .chain(
                venue_positions
                    .iter()
                    .filter(|(_, r)| r.signed_decimal_qty != Decimal::ZERO)
                    .map(|(id, _)| *id),
            )
            .collect();
        self.position_recon_retries
            .retain(|iid, _| active_instruments.contains(iid));

        events
    }

    /// Registers an order as inflight for tracking.
    pub fn register_inflight(&mut self, client_order_id: ClientOrderId) {
        let ts_submitted = self.clock.borrow().timestamp_ns();
        self.inflight_checks.insert(
            client_order_id,
            InflightCheck {
                client_order_id,
                ts_submitted,
                retry_count: 0,
                last_query_ts: None,
            },
        );
        self.recon_check_retries.insert(client_order_id, 0);
        self.ts_last_query.shift_remove(&client_order_id);
        self.order_local_activity_ns.shift_remove(&client_order_id);
    }

    /// Records local activity for the specified order.
    ///
    /// Uses the current clock time (receipt time) instead of venue time to accurately
    /// track when we last processed activity for this order. This avoids race conditions
    /// where network/queue latency makes events appear "old" even though they just arrived.
    pub fn record_local_activity(&mut self, client_order_id: ClientOrderId) {
        let ts_now = self.clock.borrow().timestamp_ns();
        self.order_local_activity_ns.insert(client_order_id, ts_now);
    }

    /// Clears reconciliation tracking state for an order.
    pub fn clear_recon_tracking(&mut self, client_order_id: &ClientOrderId, drop_last_query: bool) {
        self.inflight_checks.shift_remove(client_order_id);
        self.recon_check_retries.shift_remove(client_order_id);

        if drop_last_query {
            self.ts_last_query.shift_remove(client_order_id);
        }
        self.order_local_activity_ns.shift_remove(client_order_id);
    }

    /// Claims external orders for a specific strategy and instrument.
    pub fn claim_external_orders(&mut self, instrument_id: InstrumentId, strategy_id: StrategyId) {
        self.external_order_claims
            .insert(instrument_id, strategy_id);
    }

    /// Records position activity for reconciliation tracking.
    pub fn record_position_activity(&mut self, instrument_id: InstrumentId, ts_event: UnixNanos) {
        self.position_local_activity_ns
            .insert(instrument_id, ts_event);
    }

    /// Observes an incoming execution report and updates tracking state.
    ///
    /// This should be called **before** the report is dispatched to the execution
    /// engine, so that the manager's state is current when periodic checks run.
    ///
    /// Updates performed per report variant:
    /// - `Order`: clears inflight tracking and records local activity
    /// - `Fill`: marks fill as processed, records order and position activity
    /// - `OrderWithFills`: clears inflight tracking, records local activity, records position activity per fill
    /// - `Position`: records position activity
    /// - `MassStatus`: no-op (handled separately via startup reconciliation)
    pub fn observe_execution_report(&mut self, report: &ExecutionReport) {
        match report {
            ExecutionReport::Order(order_report) => {
                if let Some(client_order_id) = &order_report.client_order_id {
                    // Only clear inflight tracking for non-pending states.
                    // Pending reports (PendingUpdate, PendingCancel) are interim
                    // acknowledgements; the order is still inflight until the
                    // venue confirms the final state.
                    if !matches!(
                        order_report.order_status,
                        OrderStatus::PendingUpdate | OrderStatus::PendingCancel
                    ) {
                        self.clear_recon_tracking(client_order_id, true);
                    }
                    self.record_local_activity(*client_order_id);
                }
            }
            ExecutionReport::Fill(fill_report) => {
                let client_order_id = fill_report.client_order_id.or_else(|| {
                    self.cache
                        .borrow()
                        .client_order_id(&fill_report.venue_order_id)
                        .copied()
                });

                if let Some(coid) = client_order_id {
                    self.record_local_activity(coid);
                }
                self.record_position_activity(fill_report.instrument_id, fill_report.ts_event);
            }
            ExecutionReport::OrderWithFills(order_report, fills) => {
                if let Some(client_order_id) = &order_report.client_order_id
                    && !matches!(
                        order_report.order_status,
                        OrderStatus::PendingUpdate | OrderStatus::PendingCancel
                    )
                {
                    self.clear_recon_tracking(client_order_id, true);
                    self.record_local_activity(*client_order_id);
                }

                for fill_report in fills {
                    self.record_position_activity(fill_report.instrument_id, fill_report.ts_event);
                }
            }
            ExecutionReport::Position(position_report) => {
                self.record_position_activity(
                    position_report.instrument_id,
                    position_report.ts_last,
                );
            }
            ExecutionReport::MassStatus(_) => {
                // Handled separately via reconcile_execution_mass_status
            }
        }
    }

    /// Checks if a fill has been recently processed (for deduplication).
    pub fn is_fill_recently_processed(&self, trade_id: &TradeId) -> bool {
        self.recent_fills_cache.contains_key(trade_id)
    }

    /// Marks a fill as recently processed with current timestamp.
    pub fn mark_fill_processed(&mut self, trade_id: TradeId) {
        let ts_now = self.clock.borrow().timestamp_ns();
        self.recent_fills_cache.insert(trade_id, ts_now);
    }

    /// Prunes expired fills from the recent fills cache.
    ///
    /// Default TTL is 60 seconds.
    pub fn prune_recent_fills_cache(&mut self, ttl_secs: f64) {
        let ts_now = self.clock.borrow().timestamp_ns();
        let ttl_ns = (ttl_secs * NANOSECONDS_IN_SECOND as f64) as u64;

        self.recent_fills_cache
            .retain(|_, &mut ts_cached| ts_now - ts_cached <= ttl_ns);
    }

    /// Purges closed orders from the cache that are older than the configured buffer.
    pub fn purge_closed_orders(&mut self) {
        let Some(buffer_mins) = self.config.purge_closed_orders_buffer_mins else {
            return;
        };

        let ts_now = self.clock.borrow().timestamp_ns();
        let buffer_secs = mins_to_secs(buffer_mins as u64);

        self.cache
            .borrow_mut()
            .purge_closed_orders(ts_now, buffer_secs);
    }

    /// Purges closed positions from the cache that are older than the configured buffer.
    pub fn purge_closed_positions(&mut self) {
        let Some(buffer_mins) = self.config.purge_closed_positions_buffer_mins else {
            return;
        };

        let ts_now = self.clock.borrow().timestamp_ns();
        let buffer_secs = mins_to_secs(buffer_mins as u64);

        self.cache
            .borrow_mut()
            .purge_closed_positions(ts_now, buffer_secs);
    }

    /// Purges old account events from the cache based on the configured lookback.
    pub fn purge_account_events(&mut self) {
        let Some(lookback_mins) = self.config.purge_account_events_lookback_mins else {
            return;
        };

        let ts_now = self.clock.borrow().timestamp_ns();
        let lookback_secs = mins_to_secs(lookback_mins as u64);

        self.cache
            .borrow_mut()
            .purge_account_events(ts_now, lookback_secs);
    }

    // Private helper methods

    fn get_order(&self, client_order_id: &ClientOrderId) -> Option<OrderAny> {
        self.cache.borrow().order(client_order_id).cloned()
    }

    fn get_order_by_venue_order_id(&self, venue_order_id: &VenueOrderId) -> Option<OrderAny> {
        let cache = self.cache.borrow();
        cache
            .client_order_id(venue_order_id)
            .and_then(|client_order_id| cache.order(client_order_id).cloned())
    }

    fn get_instrument(&self, instrument_id: &InstrumentId) -> Option<InstrumentAny> {
        self.cache.borrow().instrument(instrument_id).cloned()
    }

    fn should_skip_order_report(&self, report: &OrderStatusReport) -> bool {
        if let Some(client_order_id) = &report.client_order_id
            && self
                .config
                .filtered_client_order_ids
                .contains(client_order_id)
        {
            log::debug!(
                "Skipping order report {client_order_id}: in filtered_client_order_ids list"
            );
            return true;
        }

        if !self.should_reconcile_instrument(&report.instrument_id) {
            log::debug!(
                "Skipping order report for {}: not in reconciliation_instrument_ids",
                report.instrument_id
            );
            return true;
        }

        false
    }

    fn should_reconcile_instrument(&self, instrument_id: &InstrumentId) -> bool {
        self.config.reconciliation_instrument_ids.is_empty()
            || self
                .config
                .reconciliation_instrument_ids
                .contains(instrument_id)
    }

    fn handle_missing_order(&mut self, client_order_id: ClientOrderId) -> Vec<OrderEventAny> {
        let mut events = Vec::new();

        let Some(order) = self.get_order(&client_order_id) else {
            return events;
        };

        let ts_now = self.clock.borrow().timestamp_ns();
        let ts_last = order.ts_last();

        // Check if order is too recent
        if (ts_now - ts_last) < self.config.open_check_threshold_ns {
            return events;
        }

        // Check local activity threshold
        if let Some(&last_activity) = self.order_local_activity_ns.get(&client_order_id)
            && (ts_now - last_activity) < self.config.open_check_threshold_ns
        {
            return events;
        }

        // Increment retry counter
        let retries = self.recon_check_retries.entry(client_order_id).or_insert(0);
        *retries += 1;

        // If max retries exceeded, generate rejection event
        if *retries >= self.config.open_check_missing_retries {
            log::warn!(
                "Order {client_order_id} not found at venue after {retries} retries, marking as REJECTED"
            );

            let ts_now = self.clock.borrow().timestamp_ns();

            if let Some(rejected) =
                create_reconciliation_rejected(&order, Some("NOT_FOUND_AT_VENUE"), ts_now)
            {
                events.push(rejected);
            }

            self.clear_recon_tracking(&client_order_id, true);
        } else {
            log::debug!(
                "Order {} not found at venue, retry {}/{}",
                client_order_id,
                retries,
                self.config.open_check_missing_retries
            );
        }

        events
    }

    fn check_position_discrepancy(
        &mut self,
        position: &Position,
        venue_report: Option<&PositionStatusReport>,
    ) -> Option<Vec<OrderEventAny>> {
        // Use signed quantities to detect both magnitude and side discrepancies
        let cached_signed_qty = position.signed_decimal_qty();
        let venue_signed_qty = venue_report.map_or(Decimal::ZERO, |r| r.signed_decimal_qty);

        let tolerance = Decimal::from_str("0.00000001").unwrap();
        if (cached_signed_qty - venue_signed_qty).abs() <= tolerance {
            self.position_recon_retries
                .shift_remove(&position.instrument_id);
            return None; // No discrepancy
        }

        // Check activity threshold
        let ts_now = self.clock.borrow().timestamp_ns();

        if let Some(&last_activity) = self.position_local_activity_ns.get(&position.instrument_id)
            && (ts_now - last_activity) < self.config.position_check_threshold_ns
        {
            log::debug!(
                "Skipping position reconciliation for {}: recent activity within threshold",
                position.instrument_id
            );
            return None;
        }

        let retries = *self
            .position_recon_retries
            .get(&position.instrument_id)
            .unwrap_or(&0);

        if retries >= self.config.position_check_retries {
            return None;
        }

        log::warn!(
            "Position discrepancy detected for {}: cached_signed_qty={}, venue_signed_qty={}",
            position.instrument_id,
            cached_signed_qty,
            venue_signed_qty
        );

        let account_id = position.account_id;
        let instrument_id = position.instrument_id;

        let Some(instrument) = self.cache.borrow().instrument(&instrument_id).cloned() else {
            log::debug!("Cannot reconcile position for {instrument_id}: instrument not in cache");
            let new_retries = retries + 1;
            self.position_recon_retries
                .insert(instrument_id, new_retries);
            if new_retries >= self.config.position_check_retries {
                log::error!(
                    "Position discrepancy for {instrument_id} unresolved after {} attempts \
                     (cached_qty={cached_signed_qty}, venue_qty={venue_signed_qty}); \
                     no further reconciliation attempts will be made",
                    self.config.position_check_retries,
                );
            }
            return None;
        };

        let cached_avg_px = if position.avg_px_open > 0.0 {
            Decimal::from_str(&position.avg_px_open.to_string()).ok()
        } else {
            None
        };
        let venue_avg_px = venue_report.and_then(|r| r.avg_px_open);

        // Check if position crosses zero (flips side)
        let crosses_zero = (cached_signed_qty > Decimal::ZERO && venue_signed_qty < Decimal::ZERO)
            || (cached_signed_qty < Decimal::ZERO && venue_signed_qty > Decimal::ZERO);

        let result = if crosses_zero {
            // Split into two fills: close existing position, then open new position
            let venue_ts_last = venue_report.map_or(ts_now, |r| r.ts_last);
            self.reconcile_cross_zero_position(
                &instrument,
                account_id,
                instrument_id,
                cached_signed_qty,
                cached_avg_px,
                venue_signed_qty,
                venue_avg_px,
                ts_now,
                venue_ts_last,
            )
        } else {
            let qty_diff = venue_signed_qty - cached_signed_qty;
            let order_side = if qty_diff > Decimal::ZERO {
                OrderSide::Buy
            } else {
                OrderSide::Sell
            };

            let reconciliation_px = calculate_reconciliation_price(
                cached_signed_qty,
                cached_avg_px,
                venue_signed_qty,
                venue_avg_px,
            );

            match reconciliation_px.or(venue_avg_px).or(cached_avg_px) {
                Some(fill_px) => {
                    let fill_qty = qty_diff.abs();
                    let venue_position_id = venue_report.and_then(|r| r.venue_position_id);
                    let venue_ts_last = venue_report.map_or(ts_now, |r| r.ts_last);

                    Quantity::from_decimal_dp(fill_qty, instrument.size_precision())
                        .ok()
                        .and_then(|order_qty| {
                            let fill_price =
                                Price::from_decimal_dp(fill_px, instrument.price_precision()).ok();
                            let venue_order_id = create_position_reconciliation_venue_order_id(
                                account_id,
                                instrument_id,
                                order_side,
                                OrderType::Market,
                                order_qty,
                                fill_price,
                                venue_position_id,
                                None,
                                venue_ts_last,
                            );

                            OrderStatusReport::new(
                                account_id,
                                instrument_id,
                                None,
                                venue_order_id,
                                order_side,
                                OrderType::Market,
                                TimeInForce::Gtc,
                                OrderStatus::Filled,
                                order_qty,
                                order_qty,
                                ts_now,
                                ts_now,
                                ts_now,
                                None,
                            )
                            .with_avg_px(fill_px.to_f64().unwrap_or(0.0))
                            .ok()
                        })
                        .map(|order_report| {
                            log::info!(
                                color = LogColor::Blue as u8;
                                "Generating synthetic fill for position reconciliation {instrument_id}: side={order_side:?}, qty={}, px={fill_px}", qty_diff.abs(),
                            );

                            let (events, _) = self.handle_external_order(
                                &order_report,
                                &account_id,
                                &instrument,
                                &[],
                                true,
                            );
                            events
                        })
                }
                None => None,
            }
        };

        // Track retries when reconciliation didn't produce events
        if result.is_none() || result.as_ref().is_some_and(|e| e.is_empty()) {
            let new_retries = retries + 1;
            self.position_recon_retries
                .insert(instrument_id, new_retries);
            if new_retries >= self.config.position_check_retries {
                log::error!(
                    "Position discrepancy for {} unresolved after {} attempts \
                     (cached_qty={}, venue_qty={}); \
                     no further reconciliation attempts will be made",
                    instrument_id,
                    self.config.position_check_retries,
                    cached_signed_qty,
                    venue_signed_qty,
                );
            }
        } else {
            self.position_recon_retries.shift_remove(&instrument_id);
        }

        result
    }

    /// Handles position reconciliation when position flips sign, splitting into two
    /// fills: close existing position then open new position in opposite direction.
    #[expect(clippy::too_many_arguments)]
    fn reconcile_cross_zero_position(
        &mut self,
        instrument: &InstrumentAny,
        account_id: AccountId,
        instrument_id: InstrumentId,
        cached_signed_qty: Decimal,
        cached_avg_px: Option<Decimal>,
        venue_signed_qty: Decimal,
        venue_avg_px: Option<Decimal>,
        ts_now: UnixNanos,
        venue_ts_last: UnixNanos,
    ) -> Option<Vec<OrderEventAny>> {
        log::info!(
            color = LogColor::Blue as u8;
            "Position crosses zero for {instrument_id}: cached={cached_signed_qty}, venue={venue_signed_qty}. Splitting into two fills",
        );

        let mut all_events = Vec::new();

        // Close existing position first
        let close_qty = cached_signed_qty.abs();
        let close_side = if cached_signed_qty < Decimal::ZERO {
            OrderSide::Buy // Close short by buying
        } else {
            OrderSide::Sell // Close long by selling
        };

        if let Some(close_px) = cached_avg_px {
            let close_order_qty =
                Quantity::from_decimal_dp(close_qty, instrument.size_precision()).ok()?;
            let close_fill_price =
                Price::from_decimal_dp(close_px, instrument.price_precision()).ok();
            let close_venue_order_id = create_position_reconciliation_venue_order_id(
                account_id,
                instrument_id,
                close_side,
                OrderType::Market,
                close_order_qty,
                close_fill_price,
                None,
                Some("CLOSE"),
                venue_ts_last,
            );

            let close_report = OrderStatusReport::new(
                account_id,
                instrument_id,
                None,
                close_venue_order_id,
                close_side,
                OrderType::Market,
                TimeInForce::Gtc,
                OrderStatus::Filled,
                close_order_qty,
                close_order_qty,
                ts_now,
                ts_now,
                ts_now,
                None,
            )
            .with_avg_px(close_px.to_f64().unwrap_or(0.0))
            .ok()?;

            log::info!(
                color = LogColor::Blue as u8;
                "Generating close fill for cross-zero {instrument_id}: side={close_side:?}, qty={close_qty}, px={close_px}",
            );

            let (close_events, _) =
                self.handle_external_order(&close_report, &account_id, instrument, &[], true);
            all_events.extend(close_events);
        } else {
            log::warn!("Cannot close position for {instrument_id}: no cached average price");
            return None;
        }

        // Then open new position in opposite direction
        let open_qty = venue_signed_qty.abs();
        let open_side = if venue_signed_qty > Decimal::ZERO {
            OrderSide::Buy // Open long
        } else {
            OrderSide::Sell // Open short
        };

        if let Some(open_px) = venue_avg_px {
            let open_order_qty =
                Quantity::from_decimal_dp(open_qty, instrument.size_precision()).ok()?;
            let open_fill_price =
                Price::from_decimal_dp(open_px, instrument.price_precision()).ok();
            let open_venue_order_id = create_position_reconciliation_venue_order_id(
                account_id,
                instrument_id,
                open_side,
                OrderType::Market,
                open_order_qty,
                open_fill_price,
                None,
                Some("OPEN"),
                venue_ts_last,
            );

            let open_report = OrderStatusReport::new(
                account_id,
                instrument_id,
                None,
                open_venue_order_id,
                open_side,
                OrderType::Market,
                TimeInForce::Gtc,
                OrderStatus::Filled,
                open_order_qty,
                open_order_qty,
                ts_now,
                ts_now,
                ts_now,
                None,
            )
            .with_avg_px(open_px.to_f64().unwrap_or(0.0))
            .ok()?;

            log::info!(
                color = LogColor::Blue as u8;
                "Generating open fill for cross-zero {instrument_id}: side={open_side:?}, qty={open_qty}, px={open_px}",
            );

            let (open_events, _) =
                self.handle_external_order(&open_report, &account_id, instrument, &[], true);
            all_events.extend(open_events);
        } else {
            log::warn!("Cannot open new position for {instrument_id}: no venue average price");
            return Some(all_events);
        }

        Some(all_events)
    }

    /// Creates a position from a venue position report when no orders/fills exist.
    ///
    /// This handles the case where the venue reports an open position but there are
    /// no order or fill reports to create it from (e.g., orders are already closed).
    fn create_position_from_report(
        &mut self,
        report: &PositionStatusReport,
        account_id: &AccountId,
        instrument: &InstrumentAny,
    ) -> Option<Vec<OrderEventAny>> {
        let instrument_id = report.instrument_id;
        let venue_signed_qty = report.signed_decimal_qty;

        if venue_signed_qty == Decimal::ZERO {
            return None;
        }

        let order_side = if venue_signed_qty > Decimal::ZERO {
            OrderSide::Buy
        } else {
            OrderSide::Sell
        };

        let qty_abs = venue_signed_qty.abs();
        let venue_avg_px = report.avg_px_open?;

        let ts_now = self.clock.borrow().timestamp_ns();
        let order_qty = Quantity::from_decimal_dp(qty_abs, instrument.size_precision()).ok()?;
        let fill_price = Price::from_decimal_dp(venue_avg_px, instrument.price_precision()).ok();
        let venue_order_id = create_position_reconciliation_venue_order_id(
            *account_id,
            instrument_id,
            order_side,
            OrderType::Market,
            order_qty,
            fill_price,
            report.venue_position_id,
            None,
            report.ts_last,
        );

        let mut order_report = OrderStatusReport::new(
            *account_id,
            instrument_id,
            None,
            venue_order_id,
            order_side,
            OrderType::Market,
            TimeInForce::Gtc,
            OrderStatus::Filled,
            order_qty,
            order_qty,
            ts_now,
            ts_now,
            ts_now,
            None,
        )
        .with_avg_px(venue_avg_px.to_f64().unwrap_or(0.0))
        .ok()?;

        // Preserve venue_position_id for hedging mode
        if let Some(venue_position_id) = report.venue_position_id {
            order_report = order_report.with_venue_position_id(venue_position_id);
        }

        log::info!(
            color = LogColor::Blue as u8;
            "Creating position from venue report for {instrument_id}: side={order_side:?}, qty={qty_abs}, avg_px={venue_avg_px}",
        );

        let (events, _) =
            self.handle_external_order(&order_report, account_id, instrument, &[], true);
        Some(events)
    }

    fn reconcile_position_report(
        &mut self,
        report: &PositionStatusReport,
        account_id: &AccountId,
        instruments_with_unattributed_fills: &IndexSet<InstrumentId>,
        positions_with_fills: &IndexSet<PositionId>,
    ) -> Option<Vec<OrderEventAny>> {
        if report.venue_position_id.is_some() {
            self.reconcile_position_report_hedging(
                report,
                account_id,
                instruments_with_unattributed_fills,
                positions_with_fills,
            )
        } else {
            self.reconcile_position_report_netting(report, account_id)
        }
    }

    fn reconcile_position_report_hedging(
        &mut self,
        report: &PositionStatusReport,
        account_id: &AccountId,
        instruments_with_unattributed_fills: &IndexSet<InstrumentId>,
        positions_with_fills: &IndexSet<PositionId>,
    ) -> Option<Vec<OrderEventAny>> {
        let venue_position_id = report.venue_position_id?;

        // Skip if batch already has fills for this position (will be created from fills)
        if positions_with_fills.contains(&venue_position_id) {
            log::debug!(
                "Skipping hedge position {venue_position_id} reconciliation: fills already in batch"
            );
            return None;
        }

        // Skip if fills exist for this instrument but lack venue_position_id
        // (can't determine which hedge position they belong to)
        if instruments_with_unattributed_fills.contains(&report.instrument_id) {
            log::debug!(
                "Skipping hedge position {venue_position_id} reconciliation: unattributed fills in batch"
            );
            return None;
        }

        log::debug!(
            "Reconciling HEDGE position for {}, venue_position_id={}",
            report.instrument_id,
            venue_position_id
        );

        let position = {
            let cache = self.cache.borrow();
            cache.position(&venue_position_id).cloned()
        };

        match position {
            Some(position) => {
                let cached_signed_qty = position.signed_decimal_qty();
                let venue_signed_qty = report.signed_decimal_qty;

                if cached_signed_qty == venue_signed_qty {
                    log::debug!(
                        "Hedge position {venue_position_id} matches venue: qty={cached_signed_qty}"
                    );
                    return None;
                }

                if venue_signed_qty == Decimal::ZERO && cached_signed_qty == Decimal::ZERO {
                    return None;
                }

                if !self.config.generate_missing_orders {
                    log::error!(
                        "Cannot reconcile {} {}: position net qty {} != reported net qty {} \
                         and `generate_missing_orders` is disabled",
                        report.instrument_id,
                        venue_position_id,
                        cached_signed_qty,
                        venue_signed_qty
                    );
                    return None;
                }

                self.reconcile_hedge_position_discrepancy(
                    report,
                    account_id,
                    &position,
                    cached_signed_qty,
                )
            }
            None => {
                if report.signed_decimal_qty == Decimal::ZERO {
                    return None;
                }

                if !self.config.generate_missing_orders {
                    log::error!(
                        "Cannot reconcile position: {venue_position_id} not found and `generate_missing_orders` is disabled"
                    );
                    return None;
                }

                self.reconcile_missing_hedge_position(report, account_id)
            }
        }
    }

    fn reconcile_hedge_position_discrepancy(
        &mut self,
        report: &PositionStatusReport,
        account_id: &AccountId,
        position: &Position,
        cached_signed_qty: Decimal,
    ) -> Option<Vec<OrderEventAny>> {
        let instrument = self.get_instrument(&report.instrument_id)?;
        let venue_signed_qty = report.signed_decimal_qty;

        let diff = (cached_signed_qty - venue_signed_qty).abs();
        let diff_qty = Quantity::from_decimal_dp(diff, instrument.size_precision()).ok()?;

        if diff_qty.is_zero() {
            log::debug!(
                "Difference quantity rounds to zero for {}, skipping",
                instrument.id()
            );
            return None;
        }

        let venue_position_id = report.venue_position_id?;
        log::warn!(
            "Hedge position discrepancy for {} {}: cached={}, venue={}, generating reconciliation order",
            report.instrument_id,
            venue_position_id,
            cached_signed_qty,
            venue_signed_qty
        );

        let current_avg_px = if position.avg_px_open > 0.0 {
            Decimal::from_str(&position.avg_px_open.to_string()).ok()
        } else {
            None
        };

        self.create_position_reconciliation_order(
            report,
            account_id,
            &instrument,
            cached_signed_qty,
            diff_qty,
            current_avg_px,
        )
    }

    fn reconcile_missing_hedge_position(
        &mut self,
        report: &PositionStatusReport,
        account_id: &AccountId,
    ) -> Option<Vec<OrderEventAny>> {
        let instrument = self.get_instrument(&report.instrument_id)?;
        let venue_signed_qty = report.signed_decimal_qty;

        let qty = venue_signed_qty.abs();
        let diff_qty = Quantity::from_decimal_dp(qty, instrument.size_precision()).ok()?;

        if diff_qty.is_zero() {
            return None;
        }

        let venue_position_id = report.venue_position_id?;
        log::warn!(
            "Missing hedge position for {} {}: venue reports {}, generating reconciliation order",
            report.instrument_id,
            venue_position_id,
            venue_signed_qty
        );

        self.create_position_reconciliation_order(
            report,
            account_id,
            &instrument,
            Decimal::ZERO,
            diff_qty,
            None,
        )
    }

    fn reconcile_position_report_netting(
        &mut self,
        report: &PositionStatusReport,
        account_id: &AccountId,
    ) -> Option<Vec<OrderEventAny>> {
        let instrument_id = report.instrument_id;

        log::debug!("Reconciling NET position for {instrument_id}");

        let instrument = self.get_instrument(&instrument_id)?;

        let (cached_signed_qty, cached_avg_px) = {
            let cache = self.cache.borrow();
            let positions =
                cache.positions_open(None, Some(&instrument_id), None, Some(account_id), None);

            if positions.is_empty() {
                (Decimal::ZERO, None)
            } else {
                let mut total_signed_qty = Decimal::ZERO;
                let mut total_value = Decimal::ZERO;
                let mut total_qty = Decimal::ZERO;

                for pos in positions {
                    total_signed_qty += pos.signed_decimal_qty();
                    let qty = pos.signed_decimal_qty().abs();
                    if pos.avg_px_open > 0.0
                        && qty > Decimal::ZERO
                        && let Ok(avg_px) = Decimal::from_str(&pos.avg_px_open.to_string())
                    {
                        total_value += avg_px * qty;
                        total_qty += qty;
                    }
                }

                let avg_px = if total_qty > Decimal::ZERO {
                    Some(total_value / total_qty)
                } else {
                    None
                };

                (total_signed_qty, avg_px)
            }
        };

        let venue_signed_qty = report.signed_decimal_qty;

        log::debug!("venue_signed_qty={venue_signed_qty}, cached_signed_qty={cached_signed_qty}");

        let tolerance = Decimal::from_str("0.00000001").unwrap_or(Decimal::ZERO);
        if (cached_signed_qty - venue_signed_qty).abs() <= tolerance {
            log::debug!("Position quantities match for {instrument_id}, no reconciliation needed");
            return None;
        }

        if !self.config.generate_missing_orders {
            log::warn!(
                "Discrepancy for {instrument_id} position when `generate_missing_orders` disabled, skipping"
            );
            return None;
        }

        let diff = (cached_signed_qty - venue_signed_qty).abs();
        let diff_qty = Quantity::from_decimal_dp(diff, instrument.size_precision()).ok()?;

        if diff_qty.is_zero() {
            log::debug!(
                "Difference quantity rounds to zero for {instrument_id}, skipping order generation"
            );
            return None;
        }

        let crosses_zero = cached_signed_qty != Decimal::ZERO
            && venue_signed_qty != Decimal::ZERO
            && ((cached_signed_qty > Decimal::ZERO && venue_signed_qty < Decimal::ZERO)
                || (cached_signed_qty < Decimal::ZERO && venue_signed_qty > Decimal::ZERO));

        if crosses_zero {
            let ts_now = self.clock.borrow().timestamp_ns();
            return self.reconcile_cross_zero_position(
                &instrument,
                *account_id,
                instrument_id,
                cached_signed_qty,
                cached_avg_px,
                venue_signed_qty,
                report.avg_px_open,
                ts_now,
                report.ts_last,
            );
        }

        if cached_signed_qty == Decimal::ZERO {
            return self.create_position_from_report(report, account_id, &instrument);
        }

        self.create_position_reconciliation_order(
            report,
            account_id,
            &instrument,
            cached_signed_qty,
            diff_qty,
            cached_avg_px,
        )
    }

    fn create_position_reconciliation_order(
        &mut self,
        report: &PositionStatusReport,
        account_id: &AccountId,
        instrument: &InstrumentAny,
        cached_signed_qty: Decimal,
        diff_qty: Quantity,
        current_avg_px: Option<Decimal>,
    ) -> Option<Vec<OrderEventAny>> {
        let venue_signed_qty = report.signed_decimal_qty;
        let instrument_id = report.instrument_id;

        let order_side = if venue_signed_qty > cached_signed_qty {
            OrderSide::Buy
        } else {
            OrderSide::Sell
        };

        let reconciliation_px = calculate_reconciliation_price(
            cached_signed_qty,
            current_avg_px,
            venue_signed_qty,
            report.avg_px_open,
        );

        let fill_px = reconciliation_px
            .or(report.avg_px_open)
            .or(current_avg_px)?;

        let ts_now = self.clock.borrow().timestamp_ns();
        let fill_price = Price::from_decimal_dp(fill_px, instrument.price_precision()).ok();
        let venue_order_id = create_position_reconciliation_venue_order_id(
            *account_id,
            instrument_id,
            order_side,
            OrderType::Market,
            diff_qty,
            fill_price,
            report.venue_position_id,
            None,
            report.ts_last,
        );

        let mut order_report = OrderStatusReport::new(
            *account_id,
            instrument_id,
            None,
            venue_order_id,
            order_side,
            OrderType::Market,
            TimeInForce::Gtc,
            OrderStatus::Filled,
            diff_qty,
            diff_qty,
            ts_now,
            ts_now,
            ts_now,
            None,
        )
        .with_avg_px(fill_px.to_f64().unwrap_or(0.0))
        .ok()?;

        if let Some(venue_position_id) = report.venue_position_id {
            order_report = order_report.with_venue_position_id(venue_position_id);
        }

        log::info!(
            color = LogColor::Blue as u8;
            "Generating reconciliation order for {instrument_id}: side={order_side:?}, qty={diff_qty}, px={fill_px}",
        );

        let (events, _) =
            self.handle_external_order(&order_report, account_id, instrument, &[], true);
        Some(events)
    }

    fn reconcile_order_report(
        &self,
        order: &OrderAny,
        report: &OrderStatusReport,
        instrument: Option<&InstrumentAny>,
    ) -> Option<OrderEventAny> {
        let ts_now = self.clock.borrow().timestamp_ns();
        reconcile_order_report(order, report, instrument, ts_now)
    }

    /// Reconciles an order with its associated fills atomically.
    ///
    /// For terminal statuses (Canceled), fills are applied BEFORE the terminal event
    /// to ensure correct state transitions (matching Python behavior).
    fn reconcile_order_with_fills(
        &mut self,
        order: &OrderAny,
        report: &OrderStatusReport,
        fills: &[&FillReport],
        instrument: Option<&InstrumentAny>,
    ) -> Vec<OrderEventAny> {
        let mut events = Vec::new();
        let mut sorted_fills: Vec<&FillReport> = fills.to_vec();
        sorted_fills.sort_by_key(|f| f.ts_event);

        let ts_now = self.clock.borrow().timestamp_ns();

        match report.order_status {
            OrderStatus::Canceled => {
                if report.ts_triggered.is_some()
                    && order.status() != OrderStatus::Triggered
                    && TRIGGERABLE_ORDER_TYPES.contains(&order.order_type())
                {
                    events.push(create_reconciliation_triggered(order, report, ts_now));
                }

                // Apply fills before Canceled event regardless of current state,
                // as the order may have partial fills we haven't seen yet
                if let Some(inst) = instrument {
                    for fill in &sorted_fills {
                        if let Some(event) = self.create_order_fill(order, fill, inst) {
                            events.push(event);
                        }
                    }
                }

                if let Some(event) = self.reconcile_order_report(order, report, instrument) {
                    events.push(event);
                }
            }
            OrderStatus::Expired => {
                if report.ts_triggered.is_some()
                    && order.status() != OrderStatus::Triggered
                    && TRIGGERABLE_ORDER_TYPES.contains(&order.order_type())
                {
                    events.push(create_reconciliation_triggered(order, report, ts_now));
                }

                // Apply fills before Expired event (same as Canceled)
                if let Some(inst) = instrument {
                    for fill in &sorted_fills {
                        if let Some(event) = self.create_order_fill(order, fill, inst) {
                            events.push(event);
                        }
                    }
                }

                if let Some(event) = self.reconcile_order_report(order, report, instrument) {
                    events.push(event);
                }
            }
            _ => {
                if let Some(event) = self.reconcile_order_report(order, report, instrument) {
                    events.push(event);
                }

                if let Some(inst) = instrument {
                    for fill in &sorted_fills {
                        if let Some(event) = self.create_order_fill(order, fill, inst) {
                            events.push(event);
                        }
                    }
                }
            }
        }

        events
    }

    fn handle_external_order(
        &mut self,
        report: &OrderStatusReport,
        account_id: &AccountId,
        instrument: &InstrumentAny,
        fills: &[&FillReport],
        is_synthetic: bool,
    ) -> (Vec<OrderEventAny>, Option<ExternalOrderMetadata>) {
        let (strategy_id, tags) =
            if let Some(claimed_strategy) = self.external_order_claims.get(&report.instrument_id) {
                let order_id = report
                    .client_order_id
                    .map_or_else(|| report.venue_order_id.to_string(), |id| id.to_string());
                log::info!(
                    color = LogColor::Blue as u8;
                    "External order {} for {} claimed by strategy {}",
                    order_id,
                    report.instrument_id,
                    claimed_strategy,
                );
                (*claimed_strategy, None)
            } else {
                // Unclaimed orders use EXTERNAL strategy ID with tag distinguishing source
                let tag = if is_synthetic {
                    *TAG_RECONCILIATION
                } else {
                    *TAG_VENUE
                };
                (StrategyId::from("EXTERNAL"), Some(vec![tag]))
            };

        // Filter unclaimed venue orders (but not synthetic reconciliation orders)
        if self.config.filter_unclaimed_external && !is_synthetic {
            return (Vec::new(), None);
        }

        let client_order_id = report
            .client_order_id
            .unwrap_or_else(|| ClientOrderId::from(report.venue_order_id.as_str()));

        if !report.quantity.is_positive() {
            log::error!(
                "Skipping external order {} ({}) for {}: non-positive quantity in report {:?}",
                client_order_id,
                report.venue_order_id,
                report.instrument_id,
                report,
            );
            return (Vec::new(), None);
        }

        let ts_now = self.clock.borrow().timestamp_ns();

        let initialized = OrderInitialized::new(
            self.config.trader_id,
            strategy_id,
            report.instrument_id,
            client_order_id,
            report.order_side,
            report.order_type,
            report.quantity,
            report.time_in_force,
            report.post_only,
            report.reduce_only,
            false, // quote_quantity
            true,  // reconciliation
            UUID4::new(),
            ts_now,
            ts_now,
            report.price,
            report.trigger_price,
            report.trigger_type,
            report.limit_offset,
            report.trailing_offset,
            Some(report.trailing_offset_type),
            report.expire_time,
            report.display_qty,
            None, // emulation_trigger
            None, // trigger_instrument_id
            Some(report.contingency_type),
            report.order_list_id,
            report.linked_order_ids.clone(),
            report.parent_order_id,
            None, // exec_algorithm_id
            None, // exec_algorithm_params
            None, // exec_spawn_id
            tags,
        );

        let events = vec![OrderEventAny::Initialized(initialized)];
        let order = match OrderAny::from_events(events) {
            Ok(order) => order,
            Err(e) => {
                log::error!("Failed to create order from report: {e}");
                return (Vec::new(), None);
            }
        };

        {
            let mut cache = self.cache.borrow_mut();
            if let Err(e) = cache.add_order(order.clone(), None, None, false) {
                // Deterministic synthetic reconciliation IDs hash the same logical event
                // to the same client_order_id, so a restart replay can legitimately collide
                // with a cached order. Differentiate expected dedup from stuck state.
                match cache.order(&client_order_id) {
                    Some(existing) if is_synthetic && existing.is_closed() => {
                        log::debug!(
                            "Skipping synthetic reconciliation order {client_order_id} for {}: \
                             replay deduped (cached status={:?})",
                            report.instrument_id,
                            existing.status(),
                        );
                    }
                    Some(existing) if is_synthetic => {
                        log::warn!(
                            "Synthetic reconciliation order {client_order_id} for {} exists in \
                             cache in non-terminal state {:?}; fill not regenerated",
                            report.instrument_id,
                            existing.status(),
                        );
                    }
                    _ => {
                        log::error!("Failed to add external order to cache: {e}");
                    }
                }
                return (Vec::new(), None);
            }

            if let Err(e) =
                cache.add_venue_order_id(&client_order_id, &report.venue_order_id, false)
            {
                log::warn!("Failed to add venue order ID index: {e}");
            }
        }

        log::info!(
            color = LogColor::Blue as u8;
            "Created external order {} ({}) for {} [{}]",
            client_order_id,
            report.venue_order_id,
            report.instrument_id,
            report.order_status,
        );

        let ts_now = self.clock.borrow().timestamp_ns();

        // Generate events for external order: Accepted first, then fills (for terminal statuses),
        // then terminal status. This matches Python's behavior.
        let mut order_events =
            generate_external_order_status_events(&order, report, account_id, instrument, ts_now);

        if !fills.is_empty() {
            let cached_order = self.get_order(&client_order_id).unwrap();
            let mut sorted_fills: Vec<&FillReport> = fills.to_vec();
            sorted_fills.sort_by_key(|f| f.ts_event);

            match report.order_status {
                OrderStatus::Canceled | OrderStatus::Expired => {
                    let terminal_event = order_events.pop();

                    for fill in sorted_fills {
                        if let Some(fill_event) =
                            self.create_order_fill(&cached_order, fill, instrument)
                        {
                            order_events.push(fill_event);
                        }
                    }

                    if let Some(event) = terminal_event {
                        order_events.push(event);
                    }
                }
                OrderStatus::Filled | OrderStatus::PartiallyFilled => {
                    // Only pop if the last event is a Filled event (the inferred fill)
                    if order_events
                        .last()
                        .is_some_and(|e| matches!(e, OrderEventAny::Filled(_)))
                    {
                        order_events.pop();
                    }

                    let mut real_fill_total = Decimal::ZERO;

                    for fill in &sorted_fills {
                        if let Some(fill_event) =
                            self.create_order_fill(&cached_order, fill, instrument)
                        {
                            real_fill_total += fill.last_qty.as_decimal();
                            order_events.push(fill_event);
                        }
                    }

                    let report_filled = report.filled_qty.as_decimal();
                    if real_fill_total < report_filled {
                        let diff_decimal = report_filled - real_fill_total;

                        if let Ok(diff) =
                            Quantity::from_decimal_dp(diff_decimal, instrument.size_precision())
                            && let Some(inferred_fill) = create_inferred_fill_for_qty(
                                &cached_order,
                                report,
                                account_id,
                                instrument,
                                diff,
                                ts_now,
                                None,
                            )
                        {
                            order_events.push(inferred_fill);
                        }
                    }
                }
                _ => {}
            }
        }

        let metadata = ExternalOrderMetadata {
            client_order_id,
            venue_order_id: report.venue_order_id,
            instrument_id: report.instrument_id,
            strategy_id,
            ts_init: ts_now,
        };

        (order_events, Some(metadata))
    }

    /// Adjusts fills for instruments with incomplete first lifecycle (partial window).
    ///
    /// When historical fills don't fully explain the current position (e.g., lookback window
    /// started mid-position), this creates synthetic fills to align with the venue position.
    fn adjust_mass_status_fills(
        &self,
        mass_status: &ExecutionMassStatus,
    ) -> (
        IndexMap<VenueOrderId, OrderStatusReport>,
        IndexMap<VenueOrderId, Vec<FillReport>>,
    ) {
        let mut final_orders: IndexMap<VenueOrderId, OrderStatusReport> =
            mass_status.order_reports();
        let mut final_fills: IndexMap<VenueOrderId, Vec<FillReport>> = mass_status.fill_reports();

        let mut instruments_to_adjust = Vec::new();

        for (instrument_id, position_reports) in mass_status.position_reports() {
            if !self.should_reconcile_instrument(&instrument_id) {
                log::debug!(
                    "Skipping fill adjustment for {instrument_id}: not in reconciliation_instrument_ids"
                );
                continue;
            }

            // Skip hedge mode instruments (have venue_position_id) as partial-window
            // adjustment assumes a single net position per instrument
            let is_hedge_mode = position_reports
                .iter()
                .any(|r| r.venue_position_id.is_some());

            if is_hedge_mode {
                log::debug!(
                    "Skipping fill adjustment for {instrument_id}: hedge mode (has venue_position_id)"
                );
                continue;
            }

            if let Some(instrument) = self.get_instrument(&instrument_id) {
                instruments_to_adjust.push(instrument);
            } else {
                log::debug!(
                    "Skipping fill adjustment for {instrument_id}: instrument not found in cache"
                );
            }
        }

        if instruments_to_adjust.is_empty() {
            return (final_orders, final_fills);
        }

        log_info!(
            "Adjusting fills for {} instrument(s) with position reports",
            instruments_to_adjust.len(),
            color = LogColor::Blue
        );

        for instrument in &instruments_to_adjust {
            let instrument_id = instrument.id();

            match process_mass_status_for_reconciliation(mass_status, instrument, None) {
                Ok(result) => {
                    final_orders.retain(|_, order| order.instrument_id != instrument_id);
                    final_fills.retain(|_, fills| {
                        fills
                            .first()
                            .is_none_or(|f| f.instrument_id != instrument_id)
                    });

                    for (venue_order_id, order) in result.orders {
                        final_orders.insert(venue_order_id, order);
                    }

                    for (venue_order_id, fills) in result.fills {
                        final_fills.insert(venue_order_id, fills);
                    }
                }
                Err(e) => {
                    log::warn!("Failed to adjust fills for {instrument_id}: {e}");
                }
            }
        }

        log_info!(
            "After adjustment: {} order(s), {} fill group(s)",
            final_orders.len(),
            final_fills.len(),
            color = LogColor::Blue
        );

        (final_orders, final_fills)
    }

    /// Deduplicates order reports, keeping the most advanced state per venue_order_id.
    ///
    /// When a batch contains multiple reports for the same order, we keep the one with
    /// the highest filled_qty (most progress), or if equal, the most terminal status.
    fn deduplicate_order_reports<'a>(
        &self,
        reports: impl Iterator<Item = &'a OrderStatusReport>,
    ) -> IndexMap<VenueOrderId, &'a OrderStatusReport> {
        let mut best_reports: IndexMap<VenueOrderId, &'a OrderStatusReport> = IndexMap::new();

        for report in reports {
            let dominated = best_reports
                .get(&report.venue_order_id)
                .is_some_and(|existing| self.is_more_advanced(existing, report));

            if !dominated {
                best_reports.insert(report.venue_order_id, report);
            }
        }

        best_reports
    }

    fn is_more_advanced(&self, a: &OrderStatusReport, b: &OrderStatusReport) -> bool {
        if a.filled_qty > b.filled_qty {
            return true;
        }

        if a.filled_qty < b.filled_qty {
            return false;
        }

        // Equal filled_qty - compare status (terminal states are more advanced)
        Self::status_priority(a.order_status) > Self::status_priority(b.order_status)
    }

    const fn status_priority(status: OrderStatus) -> u8 {
        match status {
            OrderStatus::Initialized | OrderStatus::Submitted | OrderStatus::Emulated => 0,
            OrderStatus::Released | OrderStatus::Denied => 1,
            OrderStatus::Accepted | OrderStatus::PendingUpdate | OrderStatus::PendingCancel => 2,
            OrderStatus::Triggered => 3,
            OrderStatus::PartiallyFilled => 4,
            OrderStatus::Canceled | OrderStatus::Expired | OrderStatus::Rejected => 5,
            OrderStatus::Filled => 6,
        }
    }

    fn is_exact_order_match(&self, order: &OrderAny, report: &OrderStatusReport) -> bool {
        order.status() == report.order_status
            && order.filled_qty() == report.filled_qty
            && !should_reconciliation_update(order, report)
    }

    fn create_order_fill(
        &mut self,
        order: &OrderAny,
        fill: &FillReport,
        instrument: &InstrumentAny,
    ) -> Option<OrderEventAny> {
        if self.processed_fills.contains_key(&fill.trade_id) {
            return None;
        }

        self.processed_fills
            .insert(fill.trade_id, order.client_order_id());

        Some(OrderEventAny::Filled(OrderFilled::new(
            order.trader_id(),
            order.strategy_id(),
            order.instrument_id(),
            order.client_order_id(),
            fill.venue_order_id,
            fill.account_id,
            fill.trade_id,
            fill.order_side,
            order.order_type(),
            fill.last_qty,
            fill.last_px,
            instrument.quote_currency(),
            fill.liquidity_side,
            fill.report_id,
            fill.ts_event,
            self.clock.borrow().timestamp_ns(),
            false,
            fill.venue_position_id,
            Some(fill.commission),
        )))
    }
}