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
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.
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