Supported data formats
Standard trades file format has the following requirements:
The first line in the file must contain column names.
You can fill COMMISSION and POINTCOST once for each ticker and strategy. In this case other rows are filled automatically.
DATE - date of a trade in format YYYYMMDD, where YYYY - year, MM - month, DD - day;
TIME - time of a trade in format HHMMSS, where HH - hours (24-hour format), MM - minutes, SS - seconds;
DIRECTION - trade direction: BUY or SELL;
PRICE - trade price;
QTY - trade volume.
TICKER - name of the finantial instrument;
STRATEGY - name of the strategy to get statistic per strategy;
COMMISSION - commission per share/contract;
POINTCOST - cost of the finantial instrument point, it's using for money result calculation.
Example of a trade file:
Explanation about the column POINTCOST
POINTCOST is used for calculating your trading result in money (currency). For that we must calculate price of financial symbols in currency. We do that in the following way:
price in currency = price in points * POINTCOST.
Therefore, POINTCOST = price in currency / price in points.
If price of your financial symbol is already in currency, that is:
price in currency = price in points,
then POINTCOST is equal 1. In this case you can just exclude the column POINTCOST from your trade file or leave it empty. POINTCOST = 1 is default value.
Let's consider some examples:
1. If you trade BITCOIN with price 11543$, then POINTCOST=1.
2. You trade APPL shares with price 195.90$. If you specify volume of trades (QTY column) in shares, then price in currency is 195.90$ and POINTCOST = 1. But if you specify volume of trades (QTY column) in lots and one lot is 100 share, then price of 1 lot in currency is:
price in currency = 100 * 195.90$ = 19590$,
and POINTCOST = 19590 / 195.90 = 100.
3. If you trade EURUSD with price 1.2365 and you want to get result in dollars, then POINTCOST = 1. But if you want to get analysis result in euros, then price in euros = 1 and price in points = 1.2365 and POINTCOST = 1 / 1.2365 = 0.8087.
4. You trade E-mini S&P500 futures with price 2767.25 points. One tick is 0.25 and his price is 12.50$ according to CME contract specification. As one point includes 4 ticks, then POINTCOST = 12.50 * 4 = 50$.
Trades from QUIK (for Russia)
QUIK trades file should has the following columns:
Дата сделки - date of a trade;
Время - time of a trade;
Операция - trade direction: Купля or Продажа;
Цена - trade price;
Кол-во - trade volume;
Объем - trade volume in currency.
Код инструмента - name of the finantial instrument;
Комиссия ТС - exchange commission per share/contract;
Комиссия брокера - exchange commission + brokers commission per share/contract;
Номер - a trade unique indentifier.
See how to upload trades from Quik to the service in the article Upload trades