Module reconciliation 

Execution state reconciliation.

Pure functions for bringing the engine’s local order, fill, and position state into line with what the venue reports. Called at startup (mass status) and continuously at runtime (open-order and position checks).

Public entry points:

• process_mass_status_for_reconciliation - partial-window fill reconstruction
• process_mass_status_for_reconciliation_without_synthetic_reports - reconstruction that preserves the input report set when adjustment would require synthetic reports
• generate_reconciliation_order_events - venue-temporal event sequence for a report
• reconcile_order_report - core order-state reconciliation
• reconcile_fill_report - apply a venue fill to a cached order, with dedup
• generate_external_order_status_events - synthesize events for an external order
• check_position_reconciliation - final qty and avg-px tolerance check

Invariants maintained across all paths:

1. When enabled, synthetic adjustment aligns position quantity with the venue within instrument precision.
2. When enabled, synthetic adjustment aligns average price with the venue within tolerance (default 0.01%).
3. All generated fills preserve correct unrealized PnL.
4. Synthetic trade_id and venue_order_id values are deterministic functions of the logical event, so restart replays dedupe.

See docs/concepts/reconciliation.md for the operator-facing description.

Structs

ReconciliationResult

Result of processing fill reports for reconciliation.

Functions

calculate_reconciliation_price

Calculate the price needed for a reconciliation order to achieve target position.

check_position_reconciliation

Check if a cached position matches the venue position report within tolerance.

create_incremental_inferred_fill

Creates an inferred fill for the quantity difference between order and report.

create_inferred_fill_for_qty

Creates an inferred fill with a specific quantity.

create_inferred_reconciliation_trade_id

Create a deterministic TradeId for an inferred reconciliation fill.

create_position_reconciliation_venue_order_id

The account_id scopes the ID to the venue account, preventing cross-account collisions where the engine would otherwise fall back to ClientOrderId::from(venue_order_id) and conflate orders from different accounts. The ts_last (venue-provided) ensures that successive reconciliation incidents with the same shape get distinct IDs, while the same logical event replayed after restart still hashes the same (venue re-reports identical ts).

create_reconciliation_rejected

Creates an OrderRejected event for reconciliation.

create_reconciliation_triggered

Creates an OrderTriggered event for reconciliation.

generate_external_order_status_events

Generates the appropriate order events for an external order and order status report.

generate_external_order_status_events_with_commission

Generates external-order status events with a precomputed inferred-fill commission.

generate_reconciliation_order_events

Generates reconciliation events for a live order status report.

generate_reconciliation_order_pre_fill_events

Generates acceptance, amendment, and triggering events for a report paired with real fills.

generate_reconciliation_order_snapshot_events

Generates reconciliation events for an authoritative venue snapshot.

generate_reconciliation_order_snapshot_events_with_commission

Generates reconciliation events for an authoritative venue snapshot with an inferred-fill commission supplied by the responsible execution client.

incremental_inferred_fill_price_and_liquidity

Resolves the price and liquidity side that an incremental inferred fill will carry.

inferred_fill_price_and_liquidity

Resolves the price and liquidity side that an inferred fill will carry.

process_mass_status_for_reconciliation

Process fill reports from a mass status for position reconciliation.

process_mass_status_for_reconciliation_without_synthetic_reports

Process fill reports without generating synthetic order or fill reports.

reconcile_fill_report

Creates an OrderFilled event from a FillReport.

reconcile_order_report

Reconciles an order with a venue status report, generating appropriate events.

reconcile_order_report_with_commission

Reconciles an order with a venue status report using a precomputed inferred-fill commission.

should_reconciliation_update

Checks if the order should be updated based on quantity, price, or trigger price differences from the venue report.