Question about FILL_EVENT and TRADE_EVENT in hftbacktest::types and their usage in different proc modules

[EthanXHQ]

Hi again, and thanks for your previous help!

I have a question regarding the constants FILL_EVENT and TRADE_EVENT defined in hftbacktest::types. Could you please clarify what each of them specifically represents, and what their differences are?

I noticed that in hftbacktest::backtest::proc::L3Local, only FILL_EVENT is handled, whereas in hftbacktest::backtest::proc::L3NoPartialFillExchange, only TRADE_EVENT is considered. Why do these two modules use different event types? Is it due to differences in simulation granularity, assumptions, or data models?

Looking forward to your insights — thanks again!

[nkaz001]

In MBO, FILL_EVENT is used to check which specific order(from the market) has been filled, allowing the exchange processor to determine to fill the corresponding back-testing order. In addition, order book is managed, such as removing resting orders, is handled separately through a cancel action.

https://databento.com/docs/standards-and-conventions/common-fields-enums-types#action

Because the local processor does not need to match fills to back-testing orders, it can simply use TRADE_EVENT. Advanced users who require fill-level matching on the local side can implement a custom processor that consumes FILL_EVENT.

[EthanXHQ]

There are still some uncertainties regarding the specific definitions of FILL_EVENT and TRADE_EVENT. Could you clarify the following:

What kind of events qualify as FILL_EVENT versus TRADE_EVENT?
Based on the previous response, FILL_EVENT is used to match specific orders in the market. However, what are the exact triggering conditions and use cases for TRADE_EVENT? Are they related to different trade execution?

Regarding the trades field in the L3Local struct:
I noticed that trades is maintained as a Vec<Event>, but it seems to be rarely utilized. What is the intended purpose of this field? Is it designed to support advanced features? Are there any typical scenarios or modules where this field is actively used?

Looking forward to your insights—thank you!

[nkaz001]

The event types come from Databento’s action field:

• TRADE_EVENT – a Trade event
• FILL_EVENT – a Fill event

A FILL_EVENT occurs when an order resting in the order book is executed. The corresponding TRADE_EVENT also occurs at the same time(the local receipt timestamp may differ but the exchange timestamp is the same).
But, TRADE_EVENT can also appear when the trade occurs off-book.

You can build signals from the trade events—such as VWAP or order-arrival rates. See the Working with Market Depth and Trades, Guéant–Lehalle–Fernandez-Tapia Market Making Model and Grid Trading tutorials.