Struct Fill 

pub struct Fill {
    pub quantity: Decimal,
    pub price: Decimal,
    pub taker_order_id: OrderId,
    pub maker_order_id: OrderId,
}

Represents a match between two orders in the book.

A Fill is generated when two orders match and execute against each other. It contains all the information needed to track and report the trade.

Fields

• quantity - The size of this fill (may be partial)
• price - The price at which the fill occurred
• taker_order_id - The order that initiated the match (incoming order)
• maker_order_id - The resting order that was matched against

Terminology

• Maker: The passive order already resting in the book
• Taker: The aggressive order that crosses the spread and initiates the trade

Example

let mut book = OrderBook::new(dec!(0.01)).unwrap();

// Add a resting sell order (maker)
let (maker_id, _) = book.add_limit_order(
    OrderSide::Sell,
    dec!(100.00),
    dec!(10),
).expect("invalid order");

// Add a buy order that crosses (taker)
let (taker_id, fills) = book.add_limit_order(
    OrderSide::Buy,
    dec!(100.00),
    dec!(5),
).expect("invalid order");

// Examine the fill
let fill = &fills[0];
assert_eq!(fill.quantity, dec!(5));
assert_eq!(fill.price, dec!(100.00));
assert_eq!(fill.maker_order_id, maker_id);
assert_eq!(fill.taker_order_id, taker_id);

Fields

quantity: Decimal

price: Decimal

taker_order_id: OrderId

maker_order_id: OrderId