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Echo MWL protection price on execution reports#532

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pedrosakuma merged 3 commits into
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feat/530-protection-price
Jun 22, 2026
Merged

Echo MWL protection price on execution reports#532
pedrosakuma merged 3 commits into
mainfrom
feat/530-protection-price

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@pedrosakuma

@pedrosakuma pedrosakuma commented Jun 22, 2026

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Summary

  • Fixes [GAP-28 follow-up] protectionPrice enforcement for market (no-price) orders #530 by treating EntryPoint protectionPrice as outbound-only wire echo, not inbound matching behavior.
  • Threads MWL OrdType and resting protection price through OrderAccepted/OrderModified events to ER_New and ER_Modify.
  • Leaves engine MWL matching behavior unchanged: the existing leftover rests at last execution price.
  • Marks GAP-28 done; triggered Stop Protect -> MWL semantics are documented as separate follow-up scope.

Validation

  • dotnet restore SbeB3Exchange.slnx
  • dotnet build SbeB3Exchange.slnx --no-restore -c Release
  • dotnet test SbeB3Exchange.slnx --no-build -c Release
  • dotnet test SbeB3Exchange.slnx -c Debug --filter "FullyQualifiedNameExecutionReportEncoder|FullyQualifiedNameMwl|FullyQualifiedName~Market"
  • dotnet format SbeB3Exchange.slnx --verify-no-changes --no-restore --severity warn

pedrosakuma and others added 2 commits June 22, 2026 19:06
@pedrosakuma
Echo MWL protection price on execution reports
de0940a 
Thread MarketWithLeftover ord type and protection price through accepted/modified order events so ExecutionReport_New and ExecutionReport_Modify echo OrdType=K and the resting protection price when an MWL remainder rests.

Closes #530

Co-authored-by: Copilot <223556219+Copilot@users.noreply.github.com>
@pedrosakuma
Fix ER ordType echo regressions
7801354 
Derive MWL modify echo metadata from replace requests instead of persisted resting-order state, and thread stop order types into ER_New.

Co-authored-by: Copilot <223556219+Copilot@users.noreply.github.com>
@pedrosakuma pedrosakuma marked this pull request as ready for review June 22, 2026 19:31
@pedrosakuma
Merge remote-tracking branch 'origin/main' into feat/530-protection-p…
bcd50ab 
…rice

# Conflicts:
#	src/B3.Exchange.Gateway/ExecutionReportEncoder.cs
#	src/B3.Exchange.Gateway/FixpOutboundEncoder.cs
#	src/B3.Exchange.Matching/Events.cs
#	src/B3.Exchange.Matching/MatchingEngine.cs
#	tests/B3.Exchange.Gateway.Tests/ExecutionReportEncoderTests.cs
@pedrosakuma pedrosakuma merged commit c5462c8 into main Jun 22, 2026
6 checks passed
@pedrosakuma pedrosakuma deleted the feat/530-protection-price branch June 22, 2026 20:16
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[GAP-28 follow-up] protectionPrice enforcement for market (no-price) orders

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@pedrosakuma