Function compute_fill_greeks_sync

Source

pub fn compute_fill_greeks_sync<F>(
    spot_prices: &HashMap<String, Decimal>,
    iv_lookup: F,
    symbol: &str,
    size: Decimal,
    taker_side: Side,
    timestamp_ms: u64,
) -> Option<(f64, f64)>where
    F: Fn(&str, f64, i64, f64) -> Option<f64>,

Expand description

Compute fill delta and vega from engine-owned spot state and a pure IV lookup.

Returns None when critical option market data is missing or invalid. Callers must fail closed when None is returned.

compute_fill_greeks_sync

Function compute_fill_greeks_sync Copy item path

Function compute_fill_greeks_sync