Fix market order avg_px for Polymarket trade reports

RELEASES.md

@@ -13,6 +13,7 @@ None
 
 ### Fixes
 - Fixed reconcile open orders and account websocket message for dYdX (#2039), thanks @davidsblom
+- Fixed market order `avg_px` for Polymarket trade reports
 
 ---
 

nautilus_trader/adapters/polymarket/schemas/trade.py

@@ -13,6 +13,8 @@
 #  limitations under the License.
 # -------------------------------------------------------------------------------------------------
 
+from decimal import Decimal
+
 import msgspec
 
 from nautilus_trader.adapters.polymarket.common.enums import PolymarketLiquiditySide
@@ -84,6 +86,17 @@ def venue_order_id(self, maker_address: str) -> VenueOrderId:
         else:
             return VenueOrderId(self.taker_order_id)
 
+    def avg_px(self) -> Decimal:
+        # We assume there should be at least some filled quantity for a trade report
+        total_qty = Decimal(0)
+        avg_px = Decimal(0)
+        for order in self.maker_orders:
+            matched_amount = Decimal(order.matched_amount)
+            avg_px += Decimal(order.price) * matched_amount
+            total_qty += matched_amount
+
+        return avg_px / total_qty
+
     def parse_to_fill_report(
         self,
         account_id: AccountId,
@@ -92,6 +105,11 @@ def parse_to_fill_report(
         maker_address: str,
         ts_init: int,
     ) -> FillReport:
+        price = (
+            float(self.price)
+            if self.liquidity_side() == LiquiditySide.MAKER
+            else float(self.avg_px())
+        )
         return FillReport(
             account_id=account_id,
             instrument_id=instrument.id,
@@ -100,7 +118,7 @@ def parse_to_fill_report(
             trade_id=TradeId(self.id),
             order_side=self.order_side(),
             last_qty=instrument.make_qty(float(self.size)),
-            last_px=instrument.make_price(float(self.price)),
+            last_px=instrument.make_price(price),
             liquidity_side=self.liquidity_side(),
             commission=Money(0, USDC_POS),  # TBC: Hard coded for now
             report_id=UUID4(),