The File of registration of trades , version 1.0.

March, 31, 2002
With additions and changes from "____" __________ 20 ____

     The present description defines a set of fields and groups of fields of the file containing information on trade transactions generated by a trading strategy applied to historical data.

1. A name of the file 

     It is desirable, that the name of a file contains information about the author, the name of trading strategy, the securities and the period. Use nickname under which you are known in the internet or the initials or something another, that would be unique enough, associated with you as with the author of  the file and was, as it is possible, more shortly, 6 symbols are no longer. The name of the strategy and the periodicity is better to include into square brackets, then the ticker end periodicity follows .

2. A format of the file. 

     It was chosen a coma separated values CSV format to record data. Each row of the data begins with a new line. Columns of values in the line is divided by commas. Traditionally similar format has expansion CSV and is well imported into Excell. In addition the file contains comments and headers.

     2.1. The comment, is group of consecutive lines in the beginning of the file, beginning with a symbol ";" (semicolon). The comment can contain any additional information, and also macrodefinitions for programs of import.

     2.2. The first line after the of the comment contains a header with a number of fields. Names of the fields enclosed into angular brackets also separated by comma. Now the row of fields contains:

<Strategy>, <Ticker>, <Position>, <EnterDate>, <ExitDate>, <Gain> 

It is fixed.

     2.3. Rows of data are the consecutive group of lines after the comment and header rows. In the current version of the file the minimal data set in a row is shown in the table below.

The Field

Purpose

The Format

<Strategy>

The Name of a strategy

The string in length up to 20 symbols

<Ticker>

The Name of an active (securities)

The string in length up to 20 symbols

<Position>

The Direction of a trade

Number 0, either 1, or-1; long = 1, short =-1, out = 0;

<EnterDate>

Date when trade is open  

Date in format YYYYMMDD

<ExitDate>

Date when trade is close

Date in format YYYYMMDD

<Gain>

Capital gain

Number with a floating point, the precision is up to 4 digits after a decimal separator point

3.   Separator Symbols.

     The Symbol of a decimal separator should be "." (Point), a column separator symbol should be "," (comma).

4. Macrodefinitions.

     There are some beforehand known combination of symbols with additional information. It is usually used by programs. In the current version the following required and optional macrodefinitions are used:

     а) required:

; %A=authors_nick_here

     б) optional:

; %S=the_name_of_your_trading_strategy

; %T=ticker

; %P=periodicity (for tics T, for intraday - an interval in minutes, daily -  D)

5. An example of the file.

" konkop [NRTR_LS] EESR [D] .csv ". 

  ; The file is created 03/31/2002 11:35 with the $TradeFile () EL function
  ; developed by Konstantin Kopyrkin. Ekaterinburg Russia.http: // konkop.narod.ru
  ; %A=konkop
  ; %S=NRTR_LS
  ; %T=EESR
  ; %P=D
  <Strategy>, <Ticker>, <Position>, <EnterDate>, <ExitDate>, <Gain>
  NRTR_LS, EESR, 1,19970701,19970714,0.2304
  NRTR_LS, EESR,-1,19970716,19970725,-0.0536
  NRTR_LS, EESR, 1,19970807,19970813,-0.0515
  NRTR_LS, EESR,-1,19970828,19970902,0.0173
  NRTR_LS, EESR,-1,19970911,19971002,-0.0749
  NRTR_LS, EESR, 1,19971002,19971009,0.0049
  NRTR_LS, EESR,-1,19971023,19971031,0.1836

6. The formula for calculation of the  <Gain> field  

<Gain> = (EXITPRICE/ENTERPRICE-1) *POSITION;

Where:

ENTERPRICE - price when trade is open

EXITPRICE  - price when trade is close

POSITION -  direction of the trade short =-1, long = 1.

*************************************** *** 

     The file format was developed by: Sergey Kosinsky (aka ksr, ksr@hotbox.ru), Konstantin Kopyrkin (aka konkop, konkop@mail.ur.ru)

     With assistance of : Sergey Saltykov (aka СергейЮ), Michael Koroljuk (aka Moysha).

 

Последнее обновление 16.12.2004
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