Improve order fills report (#1290)

nautechsystems · Oct 20, 2023 · bf30479 · bf30479
1 parent 0082d06
commit bf30479
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Showing 2 changed files with 31 additions and 4 deletions.
diff --git a/nautilus_trader/analysis/reporter.py b/nautilus_trader/analysis/reporter.py
@@ -20,7 +20,6 @@
 
 from nautilus_trader.accounting.accounts.base import Account
 from nautilus_trader.core.datetime import unix_nanos_to_dt
-from nautilus_trader.model.enums import OrderStatus
 from nautilus_trader.model.events import AccountState
 from nautilus_trader.model.orders import Order
 from nautilus_trader.model.position import Position
@@ -71,7 +70,7 @@ def generate_order_fills_report(orders: list[Order]) -> pd.DataFrame:
         if not orders:
             return pd.DataFrame()
 
-        filled_orders = [o.to_dict() for o in orders if o.status == OrderStatus.FILLED]
+        filled_orders = [o.to_dict() for o in orders if o.filled_qty > 0]
         if not filled_orders:
             return pd.DataFrame()
 

diff --git a/tests/unit_tests/analysis/test_reports.py b/tests/unit_tests/analysis/test_reports.py
@@ -175,6 +175,16 @@ def test_generate_order_fills_report(self):
         order2.apply(TestEventStubs.order_submitted(order2))
         order2.apply(TestEventStubs.order_accepted(order2))
 
+        order3 = self.order_factory.limit(
+            AUDUSD_SIM.id,
+            OrderSide.SELL,
+            Quantity.from_int(1_500_000),
+            Price.from_str("0.80000"),
+        )
+
+        order3.apply(TestEventStubs.order_submitted(order3))
+        order3.apply(TestEventStubs.order_accepted(order3))
+
         filled = TestEventStubs.order_filled(
             order1,
             instrument=AUDUSD_SIM,
@@ -185,13 +195,24 @@ def test_generate_order_fills_report(self):
 
         order1.apply(filled)
 
-        orders = [order1, order2]
+        partially_filled = TestEventStubs.order_filled(
+            order3,
+            instrument=AUDUSD_SIM,
+            position_id=PositionId("P-1"),
+            strategy_id=StrategyId("S-1"),
+            last_px=Price.from_str("0.80011"),
+            last_qty=Quantity.from_int(500_000),
+        )
+
+        order3.apply(partially_filled)
+
+        orders = [order1, order2, order3]
 
         # Act
         report = ReportProvider.generate_order_fills_report(orders)
 
         # Assert
-        assert len(report) == 1
+        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"
@@ -200,6 +221,13 @@ def test_generate_order_fills_report(self):
         assert report.iloc[0]["quantity"] == "1500000"
         assert report.iloc[0]["avg_px"] == "0.80011"
         assert report.iloc[0]["slippage"] == "9.99999999995449e-06"
+        assert report.index[1] == order3.client_order_id.value
+        assert report.iloc[1]["instrument_id"] == "AUD/USD.SIM"
+        assert report.iloc[1]["side"] == "SELL"
+        assert report.iloc[1]["type"] == "LIMIT"
+        assert report.iloc[1]["quantity"] == "1500000"
+        assert report.iloc[1]["filled_qty"] == "500000"
+        assert report.iloc[1]["avg_px"] == "0.80011"
 
     def test_generate_positions_report(self):
         # Arrange