Add fills report (#1289)

nautilus_trader/analysis/reporter.py

@@ -21,6 +21,7 @@
 from nautilus_trader.accounting.accounts.base import Account
 from nautilus_trader.core.datetime import unix_nanos_to_dt
 from nautilus_trader.model.events import AccountState
+from nautilus_trader.model.events import OrderFilled
 from nautilus_trader.model.orders import Order
 from nautilus_trader.model.position import Position
 
@@ -80,6 +81,37 @@ def generate_order_fills_report(orders: list[Order]) -> pd.DataFrame:
 
         return report
 
+    @staticmethod
+    def generate_fills_report(orders: list[Order]) -> pd.DataFrame:
+        """
+        Generate a fills report.
+
+        Parameters
+        ----------
+        orders : list[Order]
+            The orders for the report.
+
+        Returns
+        -------
+        pd.DataFrame
+
+        """
+        if not orders:
+            return pd.DataFrame()
+
+        fills = [
+            OrderFilled.to_dict(e) for o in orders for e in o.events if isinstance(e, OrderFilled)
+        ]
+        if not fills:
+            return pd.DataFrame()
+
+        report = pd.DataFrame(data=fills).set_index("client_order_id").sort_index()
+        report["ts_event"] = [unix_nanos_to_dt(ts_last or 0) for ts_last in report["ts_event"]]
+        report["ts_init"] = [unix_nanos_to_dt(ts_init) for ts_init in report["ts_init"]]
+        del report["type"]
+
+        return report
+
     @staticmethod
     def generate_positions_report(positions: list[Position]) -> pd.DataFrame:
         """

tests/unit_tests/analysis/test_reports.py

@@ -27,6 +27,7 @@
 from nautilus_trader.model.identifiers import AccountId
 from nautilus_trader.model.identifiers import PositionId
 from nautilus_trader.model.identifiers import StrategyId
+from nautilus_trader.model.identifiers import TradeId
 from nautilus_trader.model.identifiers import TraderId
 from nautilus_trader.model.identifiers import Venue
 from nautilus_trader.model.objects import AccountBalance
@@ -98,6 +99,13 @@ def test_generate_orders_fills_report_with_no_order_returns_emtpy_dataframe(self
         # Assert
         assert report.empty
 
+    def test_generate_fills_report_with_no_fills_returns_emtpy_dataframe(self):
+        # Arrange, Act
+        report = ReportProvider.generate_fills_report([])
+
+        # Assert
+        assert report.empty
+
     def test_generate_positions_report_with_no_positions_returns_emtpy_dataframe(self):
         # Arrange, Act
         report = ReportProvider.generate_positions_report([])
@@ -229,6 +237,62 @@ def test_generate_order_fills_report(self):
         assert report.iloc[1]["filled_qty"] == "500000"
         assert report.iloc[1]["avg_px"] == "0.80011"
 
+    def test_generate_fills_report(self):
+        # Arrange
+        order1 = self.order_factory.limit(
+            AUDUSD_SIM.id,
+            OrderSide.BUY,
+            Quantity.from_int(1_500_000),
+            Price.from_str("0.80010"),
+        )
+
+        order1.apply(TestEventStubs.order_submitted(order1))
+        order1.apply(TestEventStubs.order_accepted(order1))
+
+        partially_filled1 = TestEventStubs.order_filled(
+            order1,
+            trade_id=TradeId("E-19700101-0000-000-001-1"),
+            instrument=AUDUSD_SIM,
+            position_id=PositionId("P-1"),
+            strategy_id=StrategyId("S-1"),
+            last_qty=Quantity.from_int(1_000_000),
+            last_px=Price.from_str("0.80011"),
+        )
+
+        partially_filled2 = TestEventStubs.order_filled(
+            order1,
+            trade_id=TradeId("E-19700101-0000-000-001-2"),
+            instrument=AUDUSD_SIM,
+            position_id=PositionId("P-1"),
+            strategy_id=StrategyId("S-1"),
+            last_qty=Quantity.from_int(500_000),
+            last_px=Price.from_str("0.80011"),
+        )
+
+        order1.apply(partially_filled1)
+        order1.apply(partially_filled2)
+
+        orders = [order1]
+
+        # Act
+        report = ReportProvider.generate_fills_report(orders)
+
+        # Assert
+        assert len(report) == 2
+        assert report.index.name == "client_order_id"
+        assert report.index[0] == order1.client_order_id.value
+        assert report.iloc[0]["instrument_id"] == "AUD/USD.SIM"
+        assert report.iloc[0]["order_side"] == "BUY"
+        assert report.iloc[0]["order_type"] == "LIMIT"
+        assert report.iloc[0]["last_qty"] == "1000000"
+        assert report.iloc[0]["last_px"] == "0.80011"
+        assert report.index[1] == order1.client_order_id.value
+        assert report.iloc[1]["instrument_id"] == "AUD/USD.SIM"
+        assert report.iloc[1]["order_side"] == "BUY"
+        assert report.iloc[1]["order_type"] == "LIMIT"
+        assert report.iloc[1]["last_qty"] == "500000"
+        assert report.iloc[1]["last_px"] == "0.80011"
+
     def test_generate_positions_report(self):
         # Arrange
         order1 = self.order_factory.market(