nautilus_model/reports/
fill.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use std::fmt::Display;
17
18use nautilus_core::{UUID4, UnixNanos};
19use serde::{Deserialize, Serialize};
20
21use crate::{
22    enums::{LiquiditySide, OrderSide},
23    identifiers::{AccountId, ClientOrderId, InstrumentId, PositionId, TradeId, VenueOrderId},
24    types::{Money, Price, Quantity},
25};
26
27/// Represents a fill report of a single order execution.
28#[derive(Clone, Debug, PartialEq, Eq, Serialize, Deserialize)]
29#[serde(tag = "type")]
30#[cfg_attr(
31    feature = "python",
32    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.model")
33)]
34pub struct FillReport {
35    /// The account ID associated with the position.
36    pub account_id: AccountId,
37    /// The instrument ID associated with the event.
38    pub instrument_id: InstrumentId,
39    /// The venue assigned order ID.
40    pub venue_order_id: VenueOrderId,
41    /// The trade match ID (assigned by the venue).
42    pub trade_id: TradeId,
43    /// The order side.
44    pub order_side: OrderSide,
45    /// The last fill quantity for the position.
46    pub last_qty: Quantity,
47    /// The last fill price for the position.
48    pub last_px: Price,
49    /// The commission generated from the fill.
50    pub commission: Money,
51    /// The liquidity side of the execution.
52    pub liquidity_side: LiquiditySide,
53    /// The unique identifier for the event.
54    pub report_id: UUID4,
55    /// UNIX timestamp (nanoseconds) when the event occurred.
56    pub ts_event: UnixNanos,
57    /// UNIX timestamp (nanoseconds) when the event was initialized.
58    pub ts_init: UnixNanos,
59    /// The client order ID.
60    pub client_order_id: Option<ClientOrderId>,
61    /// The position ID (assigned by the venue).
62    pub venue_position_id: Option<PositionId>,
63}
64
65impl FillReport {
66    /// Creates a new [`FillReport`] instance with required fields.
67    #[allow(clippy::too_many_arguments)]
68    #[must_use]
69    pub fn new(
70        account_id: AccountId,
71        instrument_id: InstrumentId,
72        venue_order_id: VenueOrderId,
73        trade_id: TradeId,
74        order_side: OrderSide,
75        last_qty: Quantity,
76        last_px: Price,
77        commission: Money,
78        liquidity_side: LiquiditySide,
79        client_order_id: Option<ClientOrderId>,
80        venue_position_id: Option<PositionId>,
81        ts_event: UnixNanos,
82        ts_init: UnixNanos,
83        report_id: Option<UUID4>,
84    ) -> Self {
85        Self {
86            account_id,
87            instrument_id,
88            venue_order_id,
89            trade_id,
90            order_side,
91            last_qty,
92            last_px,
93            commission,
94            liquidity_side,
95            report_id: report_id.unwrap_or_default(),
96            ts_event,
97            ts_init,
98            client_order_id,
99            venue_position_id,
100        }
101    }
102
103    /// Checks if the fill has a client order ID.
104    #[must_use]
105    pub const fn has_client_order_id(&self) -> bool {
106        self.client_order_id.is_some()
107    }
108
109    /// Utility method to check if the fill has a venue position ID.
110    #[must_use]
111    pub const fn has_venue_position_id(&self) -> bool {
112        self.venue_position_id.is_some()
113    }
114}
115
116impl Display for FillReport {
117    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
118        write!(
119            f,
120            "FillReport(instrument={}, side={}, qty={}, last_px={}, trade_id={}, venue_order_id={}, commission={}, liquidity={})",
121            self.instrument_id,
122            self.order_side,
123            self.last_qty,
124            self.last_px,
125            self.trade_id,
126            self.venue_order_id,
127            self.commission,
128            self.liquidity_side,
129        )
130    }
131}
132
133#[cfg(test)]
134mod tests {
135    use nautilus_core::UnixNanos;
136    use rstest::*;
137
138    use super::*;
139    use crate::{
140        enums::{LiquiditySide, OrderSide},
141        identifiers::{AccountId, ClientOrderId, InstrumentId, PositionId, TradeId, VenueOrderId},
142        types::{Currency, Money, Price, Quantity},
143    };
144
145    fn test_fill_report() -> FillReport {
146        FillReport::new(
147            AccountId::from("SIM-001"),
148            InstrumentId::from("AUDUSD.SIM"),
149            VenueOrderId::from("1"),
150            TradeId::from("1"),
151            OrderSide::Buy,
152            Quantity::from("100"),
153            Price::from("0.80000"),
154            Money::new(5.0, Currency::USD()),
155            LiquiditySide::Taker,
156            Some(ClientOrderId::from("O-19700101-000000-001-001-1")),
157            Some(PositionId::from("P-001")),
158            UnixNanos::from(1_000_000_000),
159            UnixNanos::from(2_000_000_000),
160            None,
161        )
162    }
163
164    #[rstest]
165    fn test_fill_report_new() {
166        let report = test_fill_report();
167
168        assert_eq!(report.account_id, AccountId::from("SIM-001"));
169        assert_eq!(report.instrument_id, InstrumentId::from("AUDUSD.SIM"));
170        assert_eq!(report.venue_order_id, VenueOrderId::from("1"));
171        assert_eq!(report.trade_id, TradeId::from("1"));
172        assert_eq!(report.order_side, OrderSide::Buy);
173        assert_eq!(report.last_qty, Quantity::from("100"));
174        assert_eq!(report.last_px, Price::from("0.80000"));
175        assert_eq!(report.commission, Money::new(5.0, Currency::USD()));
176        assert_eq!(report.liquidity_side, LiquiditySide::Taker);
177        assert_eq!(
178            report.client_order_id,
179            Some(ClientOrderId::from("O-19700101-000000-001-001-1"))
180        );
181        assert_eq!(report.venue_position_id, Some(PositionId::from("P-001")));
182        assert_eq!(report.ts_event, UnixNanos::from(1_000_000_000));
183        assert_eq!(report.ts_init, UnixNanos::from(2_000_000_000));
184    }
185
186    #[rstest]
187    fn test_fill_report_new_with_generated_report_id() {
188        let report = FillReport::new(
189            AccountId::from("SIM-001"),
190            InstrumentId::from("AUDUSD.SIM"),
191            VenueOrderId::from("1"),
192            TradeId::from("1"),
193            OrderSide::Buy,
194            Quantity::from("100"),
195            Price::from("0.80000"),
196            Money::new(5.0, Currency::USD()),
197            LiquiditySide::Taker,
198            None,
199            None,
200            UnixNanos::from(1_000_000_000),
201            UnixNanos::from(2_000_000_000),
202            None, // No report ID provided, should generate one
203        );
204
205        // Should have a generated UUID
206        assert_ne!(
207            report.report_id.to_string(),
208            "00000000-0000-0000-0000-000000000000"
209        );
210    }
211
212    #[rstest]
213    fn test_has_client_order_id() {
214        let mut report = test_fill_report();
215        assert!(report.has_client_order_id());
216
217        report.client_order_id = None;
218        assert!(!report.has_client_order_id());
219    }
220
221    #[rstest]
222    fn test_has_venue_position_id() {
223        let mut report = test_fill_report();
224        assert!(report.has_venue_position_id());
225
226        report.venue_position_id = None;
227        assert!(!report.has_venue_position_id());
228    }
229
230    #[rstest]
231    fn test_display() {
232        let report = test_fill_report();
233        let display_str = format!("{report}");
234
235        assert!(display_str.contains("FillReport"));
236        assert!(display_str.contains("AUDUSD.SIM"));
237        assert!(display_str.contains("BUY"));
238        assert!(display_str.contains("100"));
239        assert!(display_str.contains("0.80000"));
240        assert!(display_str.contains("5.00 USD"));
241        assert!(display_str.contains("TAKER"));
242    }
243
244    #[rstest]
245    fn test_clone_and_equality() {
246        let report1 = test_fill_report();
247        let report2 = report1.clone();
248
249        assert_eq!(report1, report2);
250    }
251
252    #[rstest]
253    fn test_serialization_roundtrip() {
254        let original = test_fill_report();
255
256        // Test JSON serialization
257        let json = serde_json::to_string(&original).unwrap();
258        let deserialized: FillReport = serde_json::from_str(&json).unwrap();
259        assert_eq!(original, deserialized);
260    }
261
262    #[rstest]
263    fn test_fill_report_with_different_liquidity_sides() {
264        let maker_report = FillReport::new(
265            AccountId::from("SIM-001"),
266            InstrumentId::from("AUDUSD.SIM"),
267            VenueOrderId::from("1"),
268            TradeId::from("1"),
269            OrderSide::Buy,
270            Quantity::from("100"),
271            Price::from("0.80000"),
272            Money::new(2.0, Currency::USD()),
273            LiquiditySide::Maker,
274            None,
275            None,
276            UnixNanos::from(1_000_000_000),
277            UnixNanos::from(2_000_000_000),
278            None,
279        );
280
281        let taker_report = FillReport::new(
282            AccountId::from("SIM-001"),
283            InstrumentId::from("AUDUSD.SIM"),
284            VenueOrderId::from("2"),
285            TradeId::from("2"),
286            OrderSide::Sell,
287            Quantity::from("100"),
288            Price::from("0.80000"),
289            Money::new(5.0, Currency::USD()),
290            LiquiditySide::Taker,
291            None,
292            None,
293            UnixNanos::from(1_000_000_000),
294            UnixNanos::from(2_000_000_000),
295            None,
296        );
297
298        assert_eq!(maker_report.liquidity_side, LiquiditySide::Maker);
299        assert_eq!(taker_report.liquidity_side, LiquiditySide::Taker);
300        assert_ne!(maker_report, taker_report);
301    }
302
303    #[rstest]
304    fn test_fill_report_with_different_order_sides() {
305        let buy_report = FillReport::new(
306            AccountId::from("SIM-001"),
307            InstrumentId::from("AUDUSD.SIM"),
308            VenueOrderId::from("1"),
309            TradeId::from("1"),
310            OrderSide::Buy,
311            Quantity::from("100"),
312            Price::from("0.80000"),
313            Money::new(5.0, Currency::USD()),
314            LiquiditySide::Taker,
315            None,
316            None,
317            UnixNanos::from(1_000_000_000),
318            UnixNanos::from(2_000_000_000),
319            None,
320        );
321
322        let sell_report = FillReport::new(
323            AccountId::from("SIM-001"),
324            InstrumentId::from("AUDUSD.SIM"),
325            VenueOrderId::from("1"),
326            TradeId::from("1"),
327            OrderSide::Sell,
328            Quantity::from("100"),
329            Price::from("0.80000"),
330            Money::new(5.0, Currency::USD()),
331            LiquiditySide::Taker,
332            None,
333            None,
334            UnixNanos::from(1_000_000_000),
335            UnixNanos::from(2_000_000_000),
336            None,
337        );
338
339        assert_eq!(buy_report.order_side, OrderSide::Buy);
340        assert_eq!(sell_report.order_side, OrderSide::Sell);
341        assert_ne!(buy_report, sell_report);
342    }
343}
nautilus_model/reports/fill.rs

nautilus_model/reports/
fill.rs
