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When the shipping and tracking data becomes available on Walmart, M2E Pro imports it and triggers Magento to create a Shipment for the corresponding order automatically. In case of the successful shipment creation, the order status in Magento will be updated to Complete (aka Shipped).
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This way, once M2E Pro receives shipping and tracking information from Walmart, it will be submitted to the Magento order. Then a Magento Shipment will be created automatically, without any manual actions required.