Logs

Mining and analysis of trading information is a significant part of strategy development. Since the number of atomic market events can be extremely large (about 1-5 million), there is a need in extracting the most important details, features and strategy actions.

There are 3 files in deals and orders archive: orders.tsv and deals.tsv — charts containing all the strategy orders and deals, logs.txt containing custom output. Here you can explore it:

Orders

Here's the description of one row in orders.tsv:

field value description
action add add or del
time 2016-11-01 09:15:00.223000 action server time
symbol HFTBI instrument name
price 8639 order price
amount 10 order volume
executed_amount 10 number of executed lots
dir BID order direction
order_meaning Quote Quote for your limit orders and Beat for IOC ones
order_type Limit Limit / IOC
status added transaction status
reject_reason "" reason of rejection, if any
order_id 320000001 unique order identifier

Deals

Similarly one row in deals.tsv:

field value description
time 2016-11-01 09:15:00.223000 deal server time
symbol HFTBI instrument name
price 8639 deal price
amount 10 number of executed lots
dir BID your order direction in this deal
order_meaning Quote Quote for your limit orders and Beat for IOC ones
our_order_status active status of our order
executed_amount 10 signed executed amount: negative for sold lots and positive for bought
approx_result -127.5 approximate result after a packet of simultaneous deals
saldo -86390 balance of all deals performed by the strategy
order_id_bid 320000001 bid order unique identifier
order_id_ask 300000000 ask order unique identifier
aggressor_side BID aggressor order direction

Custom output

You can use the following ways to display information from your strategy:

  1. Output to stdout and stderr. It's recommended to use it for printing small amount of information (running parameters, config, etc.). Logs in stdout and stderr are limited with 1 000 000 symbols, 6000 lines and 1000 symbols per line.
  2. Logging to files with our log streams, e.g. SCREEN() << (C++ only):

    SCREEN() << "This is my awesome strategy";
    

    It's recommended to use these streams to log large amount of information.

    The total size of these 3 files is limited with 1000 MB for one simulation.

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