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PostPosted: Thu Jan 19, 2012 5:03 am 
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Joined: Tue May 03, 2005 9:36 pm
Posts: 136
Location: Sydney
I currently output strategy performance data to text file then pull it into excel to analyze it the way I like to look at it.
It would be useful if it was possible to output the pnl series for each instrument through the API so that I can see the performance of each instrument within the strategy.


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PostPosted: Thu Jan 19, 2012 1:33 pm 
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Joined: Sun Oct 30, 2011 12:12 am
Posts: 220
That's more or less what I do too.

I'm now saving Solution.Project.Portfolio.Transactions for each project in a separate CSV file (2 projects = 2 CSV files).
I'd like to have a 'Performance Analytics & Portfolio Builder' tool in C# that would be independant from OQ and would use these CSV files as input.
Then I'd be 100% sure of the calculations.

Some features I'd like to see:
- per transaction P&L and daily mark-to-market P&L, with an option to display in base CCY or a target CCY (OQ doesn't handle currency conversions nor mark-to-market, you have to DIY)
- take into account several fee structures, for example FX commissions charged by PBs (on a USD/million USD traded basis, which OQ doesn't offer), management fees, performance fees, slippage (I know OQ does take slippage into account)... That's very important to get the most realistic view of results.
- chart any time series calculated by the software (net equity curve, fees, distribution of returns, ...)
- create weighted portfolios (convert daily P&L to a target CCY, weight them and add them)
- compute all basic performance metrics (Sharpe, Sortino, Max DD...)
- export a portfolio to Excel with charts
- save all transactions and computation results to an SQL DB
- ...

I don't have time to code it properly now unfortunately but the project has been in my mind for quite some time and I know exactly what I want. Maybe sometime here has more time and the same interest. We could talk about potential partnerships ($$$).


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PostPosted: Thu Jan 19, 2012 4:17 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6816
Why do you say OQ doesn't handle marked to market PnL ?


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PostPosted: Fri Jan 20, 2012 3:09 am 
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Joined: Sun Oct 30, 2011 12:12 am
Posts: 220
Never saw that in OQ but I might be wrong. And anyway I have no idea precisely how it is calculated.


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PostPosted: Sat Feb 18, 2012 10:41 pm 
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Joined: Wed Apr 27, 2005 4:41 pm
Posts: 609
Location: Helsinki, Finland
Yes,

performance per instrument. Including also for example spread across time (8:00-9:00, 9:00-10:00 etc, daily, weekly). Export to excel for all of this.

And really, really important, export to excel of trades, that would be really dear, especially when running live.

BR,
Eelofi


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