I added some PRINT statements to her Blox system, in the After Instrument Day script (to get instrument-level information on the final day), and also in the After Test script (to get system-level and Suite-level information on the final day).
Then I created a piece of custom software, a "post processor", that reads the stuff that the PRINT statements wrote (Blox sends this to a file called "Print Output.csv"). The post processor software formats the information for human consumption. As the UNIX crowd derisively says, this program pretty-prints the data.
The first piece of output is a daily statement, showing the actual positions in her account, and the associated dollar values (she's a US-based trader). The "Profit in foreign currency" column turns out to be very helpful in reconciling against the statement from the futures broker, since the broker's statement lists all profits and losses in the denominated currency (e.g. in Yen for a Tokyo Rubber position):
Code: Select all
till entry entry Last Profit in Profit
P #cnt Mon Mkt CSI roll date price Close foreignCur in USD
-------------------------------------------------------------------------------
L 8 SEP BAX 08/21 17 20080805 96.87000 96.83000 -800.00 -796.50
L 15 MAR ED 08/21 77 20080807 96.87500 97.04500 6375.00 6375.00
S 5 SEP FC 08/21 21 20080804 118.17500 112.67500 13750.00 13750.00
S 21 SEP FEI 08/21 92 20080804 94.99000 95.02500 -1837.50 -2855.29
L 7 SEP FV 08/21 92 20080804 106.18750 112.33594 43039.06 43039.06
S 8 OCT JRU 08/21 10 20080820 300.60000 301.20000 -24000.00 -231.33
S 7 OCT LC 08/21 36 20080804 107.85000 106.30000 4340.00 4340.00
L 2 NOV LKD 08/21 50 20080811 2333.00000 2304.00000 -290.00 -290.00
L 13 SEP MP 08/21 17 20080804 0.088425 0.098650 66462.50 66462.50
L 9 SEP TU 08/21 92 20080804 102.06250 106.43750 78750.00 78750.00
L 10 SEP YBA 08/21 10 20080806 92.77000 92.78000 240.00 227.33
Open Trade Equity $ 208770.78
Tbill 20081009 valued at purchase price $ 139487.32
Tbill 20081113 valued at purchase price $ 229914.26
Tbill 20080911 valued at purchase price $ 79764.87
Cash position $ 94977.65
Total account value (approx) $ 752914.88
Info Cash+OTE are 40.3% of total equity
suggest moving 213398.64 to Tbills, leaving 90349.79 in Cash+OTE
Next is a report of the positions that Blox thinks she ought to have. We call these "theoretical" positions:
Code: Select all
1 positions in CURRENCY --------- MP
0 positions in ENERGY -----------
0 positions in GRAIN ------------
2 positions in LTIR ------------- FV TU
2 positions in MEAT ------------- FC LC
0 positions in METAL ------------
2 positions in SOFT ------------- JRU LKD
4 positions in STIR ------------- YBA FEI BAX ED
0 positions in STOCKINDEX -------
days in market
----------------
1 JRU
11 YBA
13 BAX
14 LC
34 ED
50 FEI
162 FC
224 MP
232 FV
232 TU
510 LKD
Then come the day's orders. Here are examples of each of the order types the software can print. (They demonstrate that the system trades using MOO orders exclusively). To produce this output I lied to the software and told it she would be trading from Hawaii:
Code: Select all
Sell all SEP RZ on the open: Exit Long (Standard Exit)
Sell all SEP BAX on the open: Exit Long (Stopped Out!!)
Buy all DEC FEI on the open: Exit Short (Standard Exit)
Buy all SEP FC on the open: Exit Short (Stopped Out!!)
Buy 6 DEC CC on the open: Enter Long Cocoa
Exch= NYBOT
1-Lot Entry Risk = $ 616 R1/betsize = 123212.7
Buy 4 SEP AD on the open: Reenter after stopout Australian_Dollar
Exch= CME
1-Lot Entry Risk = $ 924 R1/betsize = 184822.0
Sell 11 SEP EBL on the open: Enter Short Bund
Exch= EUREX
1-Lot Entry Risk = $ 336 R1/betsize = 67208.1
Sell 8 SEP JTI on the open: Reenter after stopout TOPIX_Index
Exch= TSE-TOKYO
1-Lot Entry Risk = $ 461 R1/betsize = 92410.1
Note: RZ opens at 0805_New_York ( 0305_Hawaii ignoring Daylight Savings )
Note: BAX opens at 0800_Montreal ( 0300_Hawaii ignoring Daylight Savings )
Note: FEI opens at 0700(24h)_London ( 2100_Hawaii ignoring Daylight Savings )
Note: FC opens at 0905_Chicago ( 0505_Hawaii ignoring Daylight Savings )
Note: CC opens at 0800(elec)_NYC ( 0300_Hawaii ignoring Daylight Savings )
Note: AD opens at 0720_Chicago ( 0320_Hawaii ignoring Daylight Savings )
Note: CL opens at 0900_New_York ( 0400_Hawaii ignoring Daylight Savings )
Note: EBL opens at 0800_Frankfurt ( 2100_Hawaii ignoring Daylight Savings )
Note: JTI opens at 0900_Tokyo ( 1400_Hawaii ignoring Daylight Savings )
Note: PL opens at 0820_New_York ( 0320_Hawaii ignoring Daylight Savings )
Then there is a (small, we hope) section for Error Messages. On this day,
Code: Select all
Warning: CGB will rollover on Fri 08/22 from SEP to DEC
Warning: C_ will rollover on Fri 08/22 from SEP to DEC
Warning: FEI will rollover on Fri 08/22 from SEP to DEC
Warning: FV will rollover on Fri 08/22 from SEP to DEC
Warning: HG will rollover on Fri 08/22 from SEP to DEC
Warning: KW will rollover on Fri 08/22 from SEP to DEC
Warning: PA will rollover on Fri 08/22 from SEP to DEC
Warning: SI will rollover on Fri 08/22 from SEP to DEC
Warning: TU will rollover on Fri 08/22 from SEP to DEC
Warning: TY will rollover on Fri 08/22 from SEP to DEC
Warning: US will rollover on Fri 08/22 from SEP to DEC
Warning: W_ will rollover on Fri 08/22 from SEP to DEC
Next there is a summary table showing each market in the portfolio, and details of its position if any. To save space I'll show just the top few lines:
Code: Select all
days today's exit risk risk@ profit
P Mon Mkt in close price today entry in Rs
--------------------------------------------------------------------
- SEP AD 0 0.876400 0.000000 $ 2505
L SEP BAX 13 96.830000 96.753174 $ 191 $ 266 -0.3
- DEC BO 0 56.350000 0.000000 $ 2831
- SEP BP 0 1.872100 0.000000 $ 2133
- DEC CC 0 2841.000000 0.000000 $ 2191
And lastly there is a table that reminds her of the (date based) rollover schedule she is using:
Code: Select all
Last Month Contract Next #days Subsequent
CSI 2trade Sym Name Exchange Roll till Month Sector
-------------------------------------------------------------------------------
08/21 SEP AD Australian_Dollar CME 09/08 17 DEC CURRENCY
08/21 SEP BAX Can_Bankers_Acceptan MONTREAL 09/08 17 DEC STIR
08/21 DEC BO Bean_Oil CBOT 11/22 92 JAN GRAIN
08/21 SEP BP British_Pound CME 09/08 17 DEC CURRENCY
08/21 DEC CC Cocoa NYBOT 11/09 79 MAR SOFT
08/21 SEP CD Canadian_Dollar CME 09/08 17 DEC CURRENCY
08/21 DEC CGB Canadian_Govt_Bond MONTREAL 11/22 92 MAR LTIR
I hope this posting will suggest ideas to other traders, which will help you enhance your reports and, thereby, enhance the "daily operations" portion of your trading.
Best wishes,
+SLUGGO+