Partial Fill Reconciliation

Partial fill reconciliation is the process of updating a trader's position and collateral records when an order is only partially executed by the matching engine. In derivatives markets, where orders are often large, it is common for a single order to be filled across multiple price levels or over time.

The system must correctly identify each partial fill, update the average execution price, and adjust margin requirements accordingly. Failure to reconcile these fills accurately can lead to an incorrect assessment of the net position and exposure.

This requires a robust event-driven architecture that processes fill messages in the correct sequence. The reconciliation logic must be resilient to message duplication and out-of-order delivery, which are common in network communication.

By maintaining an accurate, real-time view of partial fills, the system ensures that risk management and hedging strategies remain effective throughout the order lifecycle.