Organising execution data

Discussion in 'Trading' started by nzbryant, Oct 11, 2018.

  1. Hi all

    1. I was wondering how you organise your execution data in Excel, eg if trading with Interactive Brokers. Do you run a query on Interactive Brokers, save the execution data as an Excel file, then organise with Excel's Power Query/Get Data functionality?

    2. A related question: Assuming you run several trading systems at your broker, how do you separate all the execution data, just using the Order Ref when you place an order at IB?

  2. tommcginnis


    Don't know what you're terming "execution data", but I have spread/market data that I match with position data on a QuoteMonitor page that I scrape to a .csv as needed. I don't have separate accounts trading the same positions, so I can segregate with separate .csvs.

    I copy the data into a page reserved for just data, and then separate worksheet/pages take care of things from there. 71 SPX (or ES) strikes, 6 expiries, about 26 fields of market and position/account stuff.
  3. Thanks. What I meant by execution data was just the trade histories from IB.

    1. I manually manipulate the data in Excel to get P&L per trade (as IB dont show this in the Flex Queries) - I may change to using the Power Query/Get Data functionality in Excel to automate this manipulation.

    2. I run about 5 systems and currently they are all mixed up in the trade data and I manually separate them. I am thinking I may use the API more to write Order Refs to distinguish the systems.

  4. tommcginnis


    Organizing your systems to separate QuoteMonitor pages would stamp that page's Order Ref. on each trade made, which would allow you to collect/manipulate it without further bother.
  5. Ah, thank you.