Rename TradeReport to FillReport

RELEASES.md

@@ -11,6 +11,7 @@ Released on TBD (UTC).
 - Changed `ComponentStateChanged` Arrow schema for `config` from `string` to `binary`
 - Changed `OrderInitialized` Arrow schema for `options` from `string` to `binary`
 - Changed `OrderBookDeltas` dictionary representation of `deltas` field from JSON `bytes` to a list of `dict` (standardize with all other data types)
+- Renamed `TradeReport` to `FillReport` (more conventional terminology, and more clearly separates market data from user execution reports)
 - Renamed `AssetType` enum to `InstrumentClass` (more conventional terminology)
 - Renamed `asset_type` to `instrument_class` across the codebase (more conventional terminology)
 - Renamed `AssetClass.BOND` to `AssetClass.DEBT` (more conventional terminology)

docs/integrations/ib.md

@@ -196,7 +196,7 @@ data_client_config = InteractiveBrokersDataClientConfig(
 
 ### Execution Client
 
-The `InteractiveBrokersExecutionClient` facilitates executing trades, accessing account information, and processing order and trade-related details. It encompasses a range of methods for order management, including reporting order statuses, placing new orders, and modifying or canceling existing ones. Additionally, it generates position reports, although trade reports are not yet implemented.
+The `InteractiveBrokersExecutionClient` facilitates executing trades, accessing account information, and processing order and trade-related details. It encompasses a range of methods for order management, including reporting order statuses, placing new orders, and modifying or canceling existing ones. Additionally, it generates position reports, although fill reports are not yet implemented.
 
 ```python
 from nautilus_trader.adapters.interactive_brokers.config import InteractiveBrokersExecClientConfig

nautilus_trader/adapters/_template/execution.py

@@ -21,9 +21,9 @@
 from nautilus_trader.execution.messages import QueryOrder
 from nautilus_trader.execution.messages import SubmitOrder
 from nautilus_trader.execution.messages import SubmitOrderList
+from nautilus_trader.execution.reports import FillReport
 from nautilus_trader.execution.reports import OrderStatusReport
 from nautilus_trader.execution.reports import PositionStatusReport
-from nautilus_trader.execution.reports import TradeReport
 from nautilus_trader.live.execution_client import LiveExecutionClient
 from nautilus_trader.model.identifiers import ClientOrderId
 from nautilus_trader.model.identifiers import InstrumentId
@@ -60,7 +60,7 @@ class TemplateLiveExecutionClient(LiveExecutionClient):
     | _cancel_all_orders                         | required    |
     | generate_order_status_report               | required    |
     | generate_order_status_reports              | required    |
-    | generate_trade_reports                     | required    |
+    | generate_fill_reports                      | required    |
     | generate_position_status_reports           | required    |
     +--------------------------------------------+-------------+
 
@@ -109,15 +109,15 @@ async def generate_order_status_reports(
             "method `generate_order_status_reports` must be implemented in the subclass",
         )  # pragma: no cover
 
-    async def generate_trade_reports(
+    async def generate_fill_reports(
         self,
         instrument_id: InstrumentId | None = None,
         venue_order_id: VenueOrderId | None = None,
         start: pd.Timestamp | None = None,
         end: pd.Timestamp | None = None,
-    ) -> list[TradeReport]:
+    ) -> list[FillReport]:
         raise NotImplementedError(
-            "method `generate_trade_reports` must be implemented in the subclass",
+            "method `generate_fill_reports` must be implemented in the subclass",
         )  # pragma: no cover
 
     async def generate_position_status_reports(

nautilus_trader/adapters/betfair/execution.py

@@ -63,9 +63,9 @@
 from nautilus_trader.execution.messages import CancelOrder
 from nautilus_trader.execution.messages import ModifyOrder
 from nautilus_trader.execution.messages import SubmitOrder
+from nautilus_trader.execution.reports import FillReport
 from nautilus_trader.execution.reports import OrderStatusReport
 from nautilus_trader.execution.reports import PositionStatusReport
-from nautilus_trader.execution.reports import TradeReport
 from nautilus_trader.live.execution_client import LiveExecutionClient
 from nautilus_trader.model.enums import AccountType
 from nautilus_trader.model.enums import LiquiditySide
@@ -248,14 +248,14 @@ async def generate_order_status_reports(
 
         return []
 
-    async def generate_trade_reports(
+    async def generate_fill_reports(
         self,
         instrument_id: InstrumentId | None = None,
         venue_order_id: VenueOrderId | None = None,
         start: pd.Timestamp | None = None,
         end: pd.Timestamp | None = None,
-    ) -> list[TradeReport]:
-        self._log.warning("Cannot generate `TradeReports`: not yet implemented.")
+    ) -> list[FillReport]:
+        self._log.warning("Cannot generate `FillReports`: not yet implemented.")
 
         return []
 

nautilus_trader/adapters/betfair/parsing/requests.py

@@ -49,8 +49,8 @@
 from nautilus_trader.execution.messages import CancelOrder
 from nautilus_trader.execution.messages import ModifyOrder
 from nautilus_trader.execution.messages import SubmitOrder
+from nautilus_trader.execution.reports import FillReport
 from nautilus_trader.execution.reports import OrderStatusReport
-from nautilus_trader.execution.reports import TradeReport
 from nautilus_trader.model.enums import AccountType
 from nautilus_trader.model.enums import ContingencyType
 from nautilus_trader.model.enums import LiquiditySide
@@ -321,7 +321,7 @@ async def generate_trades_list(
     venue_order_id: VenueOrderId,
     symbol: Symbol,
     since: datetime | None = None,
-) -> list[TradeReport]:
+) -> list[FillReport]:
     filled = self.client().betting.list_cleared_orders(
         bet_ids=[venue_order_id],
     )
@@ -331,7 +331,7 @@ async def generate_trades_list(
     fill = filled["clearedOrders"][0]
     ts_event = pd.Timestamp(fill["lastMatchedDate"]).value
     return [
-        TradeReport(
+        FillReport(
             client_order_id=self.venue_order_id_to_client_order_id[venue_order_id],
             instrument_id=None,  # TODO: Needs this
             account_id=None,  # TODO: Needs this

nautilus_trader/adapters/betfair/parsing/streaming.py

@@ -38,7 +38,7 @@
 from nautilus_trader.adapters.betfair.parsing.common import betfair_instrument_id
 from nautilus_trader.adapters.betfair.parsing.common import hash_market_trade
 from nautilus_trader.core.uuid import UUID4
-from nautilus_trader.execution.reports import TradeReport
+from nautilus_trader.execution.reports import FillReport
 from nautilus_trader.model.data import NULL_ORDER
 from nautilus_trader.model.data import BookOrder
 from nautilus_trader.model.data import InstrumentClose
@@ -539,7 +539,7 @@ async def generate_trades_list(
     venue_order_id: VenueOrderId,
     symbol: Symbol,
     since: datetime | None = None,
-) -> list[TradeReport]:
+) -> list[FillReport]:
     filled: list[ClearedOrderSummary] = self.client().betting.list_cleared_orders(
         bet_ids=[venue_order_id],
     )
@@ -549,7 +549,7 @@ async def generate_trades_list(
     fill = filled[0]
     ts_event = pd.Timestamp(fill.last_matched_date).value
     return [
-        TradeReport(
+        FillReport(
             account_id=AccountId("BETFAIR"),
             instrument_id=betfair_instrument_id(
                 fill.market_id,

nautilus_trader/adapters/binance/common/execution.py

@@ -49,9 +49,9 @@
 from nautilus_trader.execution.messages import ModifyOrder
 from nautilus_trader.execution.messages import SubmitOrder
 from nautilus_trader.execution.messages import SubmitOrderList
+from nautilus_trader.execution.reports import FillReport
 from nautilus_trader.execution.reports import OrderStatusReport
 from nautilus_trader.execution.reports import PositionStatusReport
-from nautilus_trader.execution.reports import TradeReport
 from nautilus_trader.live.execution_client import LiveExecutionClient
 from nautilus_trader.model.enums import AccountType
 from nautilus_trader.model.enums import OmsType
@@ -479,14 +479,14 @@ async def generate_order_status_reports(
 
         return reports
 
-    async def generate_trade_reports(
+    async def generate_fill_reports(
         self,
         instrument_id: InstrumentId | None = None,
         venue_order_id: VenueOrderId | None = None,
         start: pd.Timestamp | None = None,
         end: pd.Timestamp | None = None,
-    ) -> list[TradeReport]:
-        self._log.info("Requesting TradeReports...")
+    ) -> list[FillReport]:
+        self._log.info("Requesting FillReports...")
 
         try:
             # Check Binance for all trades on active symbols
@@ -502,16 +502,16 @@ async def generate_trade_reports(
                 )
                 binance_trades.extend(response)
         except BinanceError as e:
-            self._log.exception(f"Cannot generate TradeReport: {e.message}", e)
+            self._log.exception(f"Cannot generate FillReport: {e.message}", e)
             return []
 
         # Parse all Binance trades
-        reports: list[TradeReport] = []
+        reports: list[FillReport] = []
         for trade in binance_trades:
             if trade.symbol is None:
                 self._log.warning(f"No symbol for trade {trade}.")
                 continue
-            report = trade.parse_to_trade_report(
+            report = trade.parse_to_fill_report(
                 account_id=self.account_id,
                 instrument_id=self._get_cached_instrument_id(trade.symbol),
                 report_id=UUID4(),
@@ -526,7 +526,7 @@ async def generate_trade_reports(
 
         len_reports = len(reports)
         plural = "" if len_reports == 1 else "s"
-        self._log.info(f"Received {len(reports)} TradeReport{plural}.")
+        self._log.info(f"Received {len(reports)} FillReport{plural}.")
 
         return reports
 

nautilus_trader/adapters/binance/common/schemas/account.py

@@ -24,8 +24,8 @@
 from nautilus_trader.adapters.binance.common.enums import BinanceTimeInForce
 from nautilus_trader.core.datetime import millis_to_nanos
 from nautilus_trader.core.uuid import UUID4
+from nautilus_trader.execution.reports import FillReport
 from nautilus_trader.execution.reports import OrderStatusReport
-from nautilus_trader.execution.reports import TradeReport
 from nautilus_trader.model.enums import ContingencyType
 from nautilus_trader.model.enums import LiquiditySide
 from nautilus_trader.model.enums import OrderSide
@@ -85,22 +85,22 @@ class BinanceUserTrade(msgspec.Struct, frozen=True):
     baseQty: str | None = None  # COIN-M FUTURES only
     pair: str | None = None  # COIN-M FUTURES only
 
-    def parse_to_trade_report(
+    def parse_to_fill_report(
         self,
         account_id: AccountId,
         instrument_id: InstrumentId,
         report_id: UUID4,
         ts_init: int,
         use_position_ids: bool = True,
-    ) -> TradeReport:
+    ) -> FillReport:
         venue_position_id: PositionId | None = None
         if self.positionSide is not None and use_position_ids:
             venue_position_id = PositionId(f"{instrument_id}-{self.positionSide}")
 
         order_side = OrderSide.BUY if self.isBuyer or self.buyer else OrderSide.SELL
         liquidity_side = LiquiditySide.MAKER if self.isMaker or self.maker else LiquiditySide.TAKER
 
-        return TradeReport(
+        return FillReport(
             account_id=account_id,
             instrument_id=instrument_id,
             venue_order_id=VenueOrderId(str(self.orderId)),

nautilus_trader/adapters/bybit/execution.py

@@ -47,9 +47,9 @@
 from nautilus_trader.core.uuid import UUID4
 from nautilus_trader.execution.messages import CancelAllOrders
 from nautilus_trader.execution.messages import SubmitOrder
+from nautilus_trader.execution.reports import FillReport
 from nautilus_trader.execution.reports import OrderStatusReport
 from nautilus_trader.execution.reports import PositionStatusReport
-from nautilus_trader.execution.reports import TradeReport
 from nautilus_trader.live.execution_client import LiveExecutionClient
 from nautilus_trader.model.enums import AccountType
 from nautilus_trader.model.enums import OmsType
@@ -240,14 +240,14 @@ async def generate_order_status_report(
             self._log.error(f"Failed to generate OrderStatusReport: {e}")
         return None
 
-    async def generate_trade_reports(
+    async def generate_fill_reports(
         self,
         instrument_id: InstrumentId | None = None,
         venue_order_id: VenueOrderId | None = None,
         start: pd.Timestamp | None = None,
         end: pd.Timestamp | None = None,
-    ) -> list[TradeReport]:
-        self._log.info("Requesting TradeReports...")
+    ) -> list[FillReport]:
+        self._log.info("Requesting FillReports...")
         return []
 
     async def generate_position_status_reports(

nautilus_trader/adapters/interactive_brokers/execution.py

@@ -52,9 +52,9 @@
 from nautilus_trader.execution.messages import ModifyOrder
 from nautilus_trader.execution.messages import SubmitOrder
 from nautilus_trader.execution.messages import SubmitOrderList
+from nautilus_trader.execution.reports import FillReport
 from nautilus_trader.execution.reports import OrderStatusReport
 from nautilus_trader.execution.reports import PositionStatusReport
-from nautilus_trader.execution.reports import TradeReport
 from nautilus_trader.live.execution_client import LiveExecutionClient
 from nautilus_trader.model.enums import AccountType
 from nautilus_trader.model.enums import LiquiditySide
@@ -400,15 +400,15 @@ async def generate_order_status_reports(
             report.append(order_status)
         return report
 
-    async def generate_trade_reports(
+    async def generate_fill_reports(
         self,
         instrument_id: InstrumentId | None = None,
         venue_order_id: VenueOrderId | None = None,
         start: pd.Timestamp | None = None,
         end: pd.Timestamp | None = None,
-    ) -> list[TradeReport]:
+    ) -> list[FillReport]:
         """
-        Generate a list of `TradeReport`s with optional query filters. The returned list
+        Generate a list of `FillReport`s with optional query filters. The returned list
         may be empty if no trades match the given parameters.
 
         Parameters
@@ -424,10 +424,10 @@ async def generate_trade_reports(
 
         Returns
         -------
-        list[TradeReport]
+        list[FillReport]
 
         """
-        self._log.warning("Cannot generate `list[TradeReport]`: not yet implemented.")
+        self._log.warning("Cannot generate `list[FillReport]`: not yet implemented.")
 
         return []  # TODO: Implement
 

nautilus_trader/adapters/sandbox/execution.py

@@ -30,9 +30,9 @@
 from nautilus_trader.common.logging import Logger
 from nautilus_trader.common.providers import InstrumentProvider
 from nautilus_trader.core.data import Data
+from nautilus_trader.execution.reports import FillReport
 from nautilus_trader.execution.reports import OrderStatusReport
 from nautilus_trader.execution.reports import PositionStatusReport
-from nautilus_trader.execution.reports import TradeReport
 from nautilus_trader.live.execution_client import LiveExecutionClient
 from nautilus_trader.model.data import Bar
 from nautilus_trader.model.data import OrderBookDelta
@@ -173,13 +173,13 @@ async def generate_order_status_reports(
     ) -> list[OrderStatusReport]:
         return []
 
-    async def generate_trade_reports(
+    async def generate_fill_reports(
         self,
         instrument_id: InstrumentId | None = None,
         venue_order_id: VenueOrderId | None = None,
         start: pd.Timestamp | None = None,
         end: pd.Timestamp | None = None,
-    ) -> list[TradeReport]:
+    ) -> list[FillReport]:
         return []
 
     async def generate_position_status_reports(

nautilus_trader/execution/client.pxd

@@ -188,4 +188,4 @@ cdef class ExecutionClient(Component):
     cpdef void _send_order_event(self, OrderEvent event)
     cpdef void _send_mass_status_report(self, report)
     cpdef void _send_order_status_report(self, report)
-    cpdef void _send_trade_report(self, report)
+    cpdef void _send_fill_report(self, report)

nautilus_trader/execution/client.pyx

@@ -15,8 +15,8 @@
 
 from nautilus_trader.config.common import NautilusConfig
 from nautilus_trader.execution.reports import ExecutionMassStatus
+from nautilus_trader.execution.reports import FillReport
 from nautilus_trader.execution.reports import OrderStatusReport
-from nautilus_trader.execution.reports import TradeReport
 
 from libc.stdint cimport uint64_t
 
@@ -816,7 +816,7 @@ cdef class ExecutionClient(Component):
             msg=report,
         )
 
-    cpdef void _send_trade_report(self, report: TradeReport):
+    cpdef void _send_fill_report(self, report: FillReport):
         self._msgbus.send(
             endpoint="ExecEngine.reconcile_report",
             msg=report,