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:
- Output to
stdoutandstderr. 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. 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.