Missing OrderAccepted event before MarketOrder fulfillment

[Egisess]

The question is: should the exchange generate OrderAccepted event before every OrderFulfilled event when the MarketOrder is being executed?

I encountered this type of behavior:

2025-01-01T00:37:00.000000000Z [INFO] BACKTEST_TRADER-001.MyStrategy: <--[EVT] OrderInitialized(instrument_id=SOLUSDT-PERP.BINANCE, client_order_id=O-20250101-003700-001-000-1, side=SELL, type=MARKET, quantity=2.00, time_in_force=GTC, post_only=False, reduce_only=False, quote_quantity=False, options={}, emulation_trigger=NO_TRIGGER, trigger_instrument_id=None, contingency_type=NO_CONTINGENCY, order_list_id=None, linked_order_ids=None, parent_order_id=None, exec_algorithm_id=None, exec_algorithm_params=None, exec_spawn_id=None, tags=['short'])
2025-01-01T00:37:00.000000000Z [INFO] BACKTEST_TRADER-001.MyStrategy: [CMD]--> SubmitOrder(order=MarketOrder(SELL 2.00 SOLUSDT-PERP.BINANCE MARKET GTC, status=INITIALIZED, client_order_id=O-20250101-003700-001-000-1, venue_order_id=None, position_id=None, tags=['short']), position_id=None)
2025-01-01T00:37:00.000000000Z [INFO] BACKTEST_TRADER-001.MyStrategy: <--[EVT] OrderSubmitted(instrument_id=SOLUSDT-PERP.BINANCE, client_order_id=O-20250101-003700-001-000-1, account_id=BINANCE-001, ts_event=1735691820000000000)
2025-01-01T00:37:00.237000000Z [INFO] BACKTEST_TRADER-001.Portfolio: SOLUSDT-PERP.BINANCE margin_init=0.00000000 USDT
2025-01-01T00:37:00.237000000Z [INFO] BACKTEST_TRADER-001.Portfolio: SOLUSDT-PERP.BINANCE net_position=-2.00
2025-01-01T00:37:00.237000000Z [INFO] BACKTEST_TRADER-001.Portfolio: SOLUSDT-PERP.BINANCE margin_maint=382.52000000 USDT
2025-01-01T00:37:00.237000000Z [INFO] BACKTEST_TRADER-001.Portfolio: Updated AccountState(account_id=BINANCE-001, account_type=MARGIN, base_currency=USDT, is_reported=False, balances=[AccountBalance(total=1_000_000.00000000 USDT, locked=382.52000000 USDT, free=999_617.48000000 USDT)], margins=[MarginBalance(initial=0.00000000 USDT, maintenance=382.52000000 USDT, instrument_id=SOLUSDT-PERP.BINANCE)], event_id=772ee37b-6bb9-40cf-a945-aa2c81c00939)
2025-01-01T00:37:00.237000000Z [INFO] BACKTEST_TRADER-001.MyStrategy: <--[EVT] OrderFilled(instrument_id=SOLUSDT-PERP.BINANCE, client_order_id=O-20250101-003700-001-000-1, venue_order_id=BINANCE-1-001, account_id=BINANCE-001, trade_id=BINANCE-1-039, position_id=SOLUSDT-PERP.BINANCE-MyStrategy-000, order_side=SELL, order_type=MARKET, last_qty=2.00, last_px=191.26 USDT, commission=0.00000000 USDT, liquidity_side=TAKER, ts_event=1735691820237000000)

The states of MarketOrder: 1) Initialized 2) Submitted 3) Filled
But the base logic suggests that the market order should be Accepted before it can be fulfilled.

[cjdsellers]

Hi @Egisess

Thanks for reaching out.

The current spec is that a market order is not accepted into the limit order book, it is immediately matched against those resting orders - so there is no accepted event generated. This aligns with the behavior of many venues.

[cjdsellers]

On further research, some venues will send an ACK / NEW prior to a market order fill.
So to provide the most accurate simulation for a wider range of venues, this probably calls for another venue config option at some stage?

[Egisess]

I think, it should be handy to have such option.
Ideally it would be to have preconfigured popular venues in Test Kit so the backtesting process provides the most reliable results.