Trading Report

The ATS Trading Report provides comprehensive insights into trading session performance. You can view this detailed report directly in the terminal logs or through Realtime Logs streaming API, offering metrics across trading activity, PnL (Profit and Loss), and symbol performance.

Sample Report

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1) Basic Info

        > # of open buy-sell pairs: 24
        > # of open one-sided orders: 0
        > # of open liquidation orders: 0
        > # of completed orders: 518
        > # of rejected orders: 0
                > buy-sell count: 518 (100.0000 %)
                > one-sided count: 0 (0.0000 %)
                        > buy only count: 0 (0.0000 %)
                        > sell only count: 0 (0.0000 %)
                > Liquidation order count: 0 (buy: 0, sell: 0)
        > Start time: 2022-05-12 00:00:00+00:00
        > End time: 2022-05-16 06:26:18+00:00
        > Trading time: 6146.30 minutes (102.44 hours = 4.27 days)
        > Trades (Buy-Sell Pair) Execution Times:
                > Trading rate:  2.5 trades per hour = 60 trades per day
                > Longest trade time:  95.30 minutes =  1.59 hours
                > Shortest trade time:  0.15 minutes
                > Average trade time:  13.28 minutes
                > STD of trade time:  14.57 minutes
                > Trade time percentiles: {'min': 0.15, 'p1': 0.52, 'p5': 1.05, 'p25': 3.32, 'p50': 8.05, 'p75': 17.62, 'p95': 44.95, 'p99': 64.07, 'max': 95.3} minutes
        > Buy Execution Times (Limit Orders Only):
                > Longest buy time:  2278.75 minutes =  1.59 hours
                > Shortest buy time:  0.25 minutes
                > Average buy time:  118.04 minutes
                > STD of buy time:  303.64 minutes
                > Buy time percentiles: {'min': 0.25, 'p1': 0.6, 'p5': 1.59, 'p25': 5.72, 'p50': 19.75, 'p75': 80.53, 'p95': 721.81, 'p99': 1642.58, 'max': 2278.75} minutes
        > Sell Execution Times (Limit Orders Only):
                > Longest sell time:  3237.90 minutes =  1.59 hours
                > Shortest sell time:  0.15 minutes
                > Average sell time:  212.40 minutes
                > STD of sell time:  515.74 minutes
                > Sell time percentiles: {'min': 0.15, 'p1': 0.85, 'p5': 1.34, 'p25': 8.22, 'p50': 26.15, 'p75': 108.08, 'p95': 951.25, 'p99': 3187.6, 'max': 3237.9} minutes

2) PnL stats (From Completed buy-sell trades)

        > Average PnL USDT: USDT 0.84210
        > Average PnL %: 0.907
        > STD of PnL USDT: USDT 0.13236
        > STD of PnL %: 0.124
        > PnL percentiles USDT: {'min': 0.66, 'p1': 0.67, 'p5': 0.69, 'p25': 0.74, 'p50': 0.81, 'p75': 0.91, 'p95': 1.06, 'p99': 1.27, 'max': 1.44}
        > PnL percentiles %: {'min': 0.01, 'p1': 0.01, 'p5': 0.01, 'p25': 0.01, 'p50': 0.01, 'p75': 0.01, 'p95': 0.01, 'p99': 0.01, 'max': 0.02}
        > Sharpe ratio: 6.61227
        > # of profitable trades: 259
        > # of losing trades: 0
        > # of neutral trades: 0
        > Profitable trade %: 100.0
        > Losing trade %: 0.0
        > Total gain: USDT 218.10409
        > Total loss: USDT 0.00000
        > Net profit: USDT 218.10409
        > Net profit %:  2.18104 %

3) Symbol Gains (From all trades - Including open order quantities)

        > Starting Price: USDT 29130.48
        > Last Price: USDT 29540.0
        > Price Difference: USDT 409.52000 (1.40581 %)
        > BTC initial value: 0.344 (free: 0.34400, holding: 0.00000)
        > BTC last value: 0.32782097440421304 (free: 0.29980, holding: 0.02802)
        > BTC initial quote value: USDT 10020.88512
        > BTC ending quote value: USDT 9683.83158
        > BTC gain: -0.01618 = USDT -337.05354 (-3.36351 %) --> Considering Price Fluctuation
        > BTC gain: -0.01618 = USDT -477.92842 (-4.76932 %) --> Omitting Price Fluctuation

        > USDT initial value: 10000 (free: 10000.00000, holding: 0.00000)
        > USDT last value: 10635.515025408793 (free: 9363.60862, holding: 1271.90641)
        > USDT gain: USDT 635.51503 (6.35515 %)

        > Initial equity value: USDT 20020.88512
        > Ending equity value: USDT 20319.34661
        > No Trade Ending equity value (expected): USDT 20161.76000
        > Equity gain: USDT 298.46149 (1.49075 %) 
        > No Trade Equity gain (expected): USDT 140.87488 (0.70364 %) 
        > Trading Advantage: USDT 157.58661 (0.78711 %) 

Basic Trading Info

This section summarizes the trading activity during the session, providing details on open, completed, and rejected orders, as well as execution times for trades.

Order Metrics

• # of open buy-sell pairs: Number of open buy-sell order pairs.

• # of open one-sided orders: Number of open buy-only or sell-only orders.

• # of open liquidation orders: Number of open liquidation (asset swapping) orders.

• # of completed orders: Total number of completed orders.

• # of rejected orders: Total number of rejected orders.

  • Buy-sell count: Number of completed buy and sell orders in order-pair trades.

  • One-sided count: Number of completed one-sided orders.

    • Buy only count: Number of completed buy-only orders.

    • Sell only count: Number of completed sell-only orders.

  • Liquidation order count: Number of completed liquidation orders.

Session Timing

• Start time: Start time of the trading session.

• End time: End time of the trading session.

• Trading time: Duration of the trading session.

Trade Execution Times (Buy-Sell Pairs)

• Trading rate: Trade rate (e.g., trades per hour or trades per day).

• Longest trade time: Longest buy-sell pair completion time.

• Shortest trade time: Shortest buy-sell pair completion time.

• Average trade time: Average buy-sell pair completion time.

• STD of trade time: Standard deviation of buy-sell pair completion times.

• Trade time percentiles: Percentile distribution of buy-sell pair completion times.

Buy Execution Times (Limit Orders Only)

• Longest buy time: Longest buy order completion time.

• Shortest buy time: Shortest buy order completion time.

• Average buy time: Average buy order completion time.

• STD of buy time: Standard deviation of buy order completion times.

• Buy time percentiles: Percentile distribution of buy order completion times.

Sell Execution Times (Limit Orders Only)

• Longest sell time: Longest sell order completion time.

• Shortest sell time: Shortest sell order completion time.

• Average sell time: Average sell order completion time.

• STD of sell time: Standard deviation of sell order completion times.

• Sell time percentiles: Percentile distribution of sell order completion times.

PnL Stats (From Completed Buy-Sell Trades)

This section provides details on profit and loss metrics derived from completed buy-sell trades.

Key PnL Metrics

• Average PnL USDT: Average profit or loss value in USDT.

• Average PnL %: Average profit or loss percentage.

• STD of PnL USDT: Standard deviation of PnL values in USDT.

• STD of PnL %: Standard deviation of PnL percentages.

• PnL percentiles USDT: Percentile distribution of PnL values in USDT.

• PnL percentiles %: Percentile distribution of PnL percentages.

• Sharpe ratio: Sharpe ratio of the trading session.

Trade Profitability

• # of profitable trades: Count of trades with PnL > 0.

• # of losing trades: Count of trades with PnL < 0.

• # of neutral trades: Count of trades with PnL = 0.

• Profitable trade %: Percentage of trades with positive PnL.

• Losing trade %: Percentage of trades with negative PnL.

Overall Profitability

• Total gain: Total profit from trades.

• Total loss: Total loss from trades.

• Net profit: Net profit calculated as Total gain - Total loss.

• Net profit %: Net profit percentage.

Symbol Gains (From All Trades, Including Open Orders)

This section tracks the performance of the traded symbols, including starting and ending prices, gains, and equity changes.

Price Metrics

• Starting Price: Asset price at the start of the trading session.

• Last Price: Asset price at the end of the trading session.

• Price Difference: Difference between the starting and ending prices.

BTC (Base Asset) Metrics

• BTC initial value: Initial BTC amount at the start of the session.

• BTC last value: Closing BTC amount at the end of the session.

• BTC initial quote value: Value of the initial BTC amount in the quote asset.

• BTC ending quote value: Value of the closing BTC amount in the quote asset.

• BTC gain: Change in BTC quantity during the session.

USDT (Quote Asset) Metrics

• USDT initial value: Initial USDT amount at the start of the session.

• USDT last value: Closing USDT amount at the end of the session.

• USDT gain: Change in USDT quantity during the session.

Equity Metrics

• Initial equity value: Combined value of base and quote assets at the start of the session.

• Ending equity value: Combined value of base and quote assets at the end of the session.

• No Trade Ending equity value (expected): Expected equity value if no trades were executed.

• Equity gain: Change in equity value during the session.

• No Trade Equity gain (expected): Expected equity change if no trades were executed.

• Trading Advantage: Equity advantage gained by trading, calculated as the difference between actual and no-trade equity gain.

This document provides developers with a clear understanding of the metrics tracked by ATS during trading sessions, enabling informed decision-making and strategy refinement.