Mapping raw transactions into trades

Discussion in 'Risk Management' started by trader#21, Dec 16, 2009.

  1. Hi

    I usually make 400+ transaction orders a day- scalping in stocks. I get the same in a excel sheet at end of day from Hold Bros.How to map the transactions into individual trades with entry and exit.

    If one could have individual trades, several trade performance metrics can be evaluated; like pnl in long vs. short trades, holding time categorized as per the pnl from trades, performance in last hours versus mid-day and so on.

    I couldn't find a way through excel coding or trade management software like MSA(adaptrade). Since I trade several stocks simultaneously and discretion-ally scaling in/out isolating individual trades from transactions appears complicated.

    Thanks in advance.
  2. I see the same problem with most trading systems, even NInja trader. Doing an analysis on individual executions is stupid - the results do not show a good indication. For example, win / loss percentages may be screwed.

    There are some approaches you can use, though I am not sure how well they map to "primitive excel". Once you get in to VBA etc. it should work.

    The concept you have to follow is that a new trade starts neutral (i.e. flat). So, all adds / removes until you are neutral again in a specific instrument (does not work cross instrument that easily) are part of one trade. The resulting logic.... is not exactly trivial, but also not exactly extremely complicated.

    I would suggest adding a field with a "trade ID" to every execution and then start analyzing based on the trade id.
  3. vbismee


    I have seen this website in other forums. It looks like it is still in beta but the feature you are looking for is on the future to do list.
  4. Thanks for your replies.
    Yes but again it requires good coding skills due to the complexity in my style of trading; while I'm more or less a noob at VBA.

    I'm taking off for two weeks. Maybe after coming back will try to learn some coding stuff or try sites like