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Fix PartialFillExchange exact-qty fills and local partial-fill accounting #323

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Fix PartialFillExchange exact-qty fills and local partial-fill accounting #323

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4 changes: 2 additions & 2 deletions hftbacktest/src/backtest/proc/l3_local.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -278,8 +278,8 @@ where
wait_resp_order_received = true;
}

// Processes receiving order response.
if order.status == Status::Filled {
// Processes receiving order response (full and partial fills).
if order.status == Status::Filled || order.status == Status::PartiallyFilled {
self.state.apply_fill(&order);
}
// Applies the received order response to the local orders.
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4 changes: 2 additions & 2 deletions hftbacktest/src/backtest/proc/local.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -98,8 +98,8 @@ where
wait_resp_order_received = true;
}

// Processes receiving order response.
if order.status == Status::Filled {
// Processes receiving order response (full and partial fills).
if order.status == Status::Filled || order.status == Status::PartiallyFilled {
self.state.apply_fill(&order);
}
// Applies the received order response to the local orders.
Expand Down
4 changes: 2 additions & 2 deletions hftbacktest/src/backtest/proc/partialfillexchange.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -152,7 +152,7 @@ where
// q_ahead is negative since is_filled is true and its value represents the
// executable quantity of this order after execution in the queue ahead of this
// order.
let exec_qty = if filled_qty > order.leaves_qty {
let exec_qty = if filled_qty >= order.leaves_qty {
self.filled_orders.push(order.order_id);
order.leaves_qty
} else {
Expand Down Expand Up @@ -192,7 +192,7 @@ where
// q_ahead is negative since is_filled is true and its value represents the
// executable quantity of this order after execution in the queue ahead of this
// order.
let exec_qty = if filled_qty > order.leaves_qty {
let exec_qty = if filled_qty >= order.leaves_qty {
self.filled_orders.push(order.order_id);
order.leaves_qty
} else {
Expand Down