Local state ignores partial fills (Status::PartiallyFilled)

[simongu20070911]

Summary

Local processors apply fills only when order.status == Status::Filled. When using PartialFillExchange, partial fills are emitted as Status::PartiallyFilled, so local state (position/balance/fee/trade count) is not updated until the final fill.

Evidence

File: hftbacktest/src/backtest/proc/local.rs

if order.status == Status::Filled {
    self.state.apply_fill(&order);
}

Same logic in L3 local:
File: hftbacktest/src/backtest/proc/l3_local.rs

if order.status == Status::Filled {
    self.state.apply_fill(&order);
}

PartialFillExchange sets Status::PartiallyFilled for partial fills:
File: hftbacktest/src/backtest/proc/partialfillexchange.rs

if (order.leaves_qty / self.depth.lot_size()).round() > 0f64 {
    order.status = Status::PartiallyFilled;
} else {
    order.status = Status::Filled;
}

Impact

Incorrect state values when using PartialFillExchange (positions/fees/trade counts undercounted between partial fills). This can materially distort PnL and risk metrics.

Repro (minimal)

1. Use PartialFillExchange
2. Place a limit order that fills in multiple partials
3. After the first partial fill, check state_values.position -> it remains unchanged until final fill

Expected

Apply fills for partial fills as well (or apply deltas based on incremental exec_qty).

[simongu20070911]

Update: this is conditional on using PartialFillExchange and partial fills occurring. Local state only applies fills on Status::Filled; if Status::PartiallyFilled represents incremental executions, then local state will lag until final fill. If partial fills are intended to be informational only (no accounting impact), then this may be expected; otherwise seems worth applying fill on partials too.

[nkaz001]

Thank you for reporting this. I missed it because NoPartialFillExchange is usually used. Fixing this issue may not be as straightforward as it appears, because status literally represents the current status of the order rather than the event itself. There may be cases where an order response is received with Status::PartiallyFilled without a corresponding partial-fill event. I will investigate this further and update the fix accordingly.

[simongu20070911]

thanks!