Daily (personal) trading journal & P&L - Suggestions? | Traders Hideout


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Daily (personal) trading journal & P&L - Suggestions?

  #9 (permalink)

charlotte nc
 
Trading Experience: Master
Platform: ninjatrader
Broker/Data: NinjaTrader
Favorite Futures: Emini (ES, YM, NQ, ect.)
 
Posts: 379 since Jan 2015
Thanks: 69 given, 919 received

I have a few things that I do.

When trading live I use both output windows to print key statistics on a variety of things.
I track all my execution times measuring various key events.
NT has some of this built into their log files, but I measure additional execution metrics.

I have another KPI that measures toxic fills specifically.

I print the price level change data to the output window so I can track my trades relative to each price level and see where my fills hit.

I capture my estimated place in the queue on all trades and print this as well.


I do everything 100% automated, so I don't have to ever analyze why I did something. I am mostly collecting statistics to model execution speed, and seeing how various expectancies are playing out.

Toxic fill rate = X
Scratch Rate = Y
etc.

I just copy it from the output window into notepad, or excel. I have some delimiter logic I use to split everything nicely into columns.


It's a ton of stuff honestly, but without it I would by flying a bit blind and have to reconcile everything manually after the fact.


My advice would be:

1. To get your logs after your trades to see if your execution times were in line with what you were expecting. This is often where you can identify slippage from execution related issues. If you are lagging between Submitted > Working this is on you, your platform, internet. If you are lagging between Accepted > Working, this is on your broker. Some strategies fail if they are not executing within a certain speed threshold, especially if you use limit orders. Know what this threshold is, then optimize for this.

2. Get the price level changes in excel and then reconcile your trades against this based on your execution time stamps. You can learn a lot from analyzing your trades relative to the price level data.

3. As far as organizing everything... If you are looking for free, then just set up a directory on your computer and create a new folder for every day, and file these inside a folder for every month. In each folder, put your notes about your trades, your execution logs, and the excel file with the actual price level data along with your comments.

It's super easy to do all this stuff. I can't speak much to how discretionary trades do pre and post trade prep, but I can help you get off the ground with some of the technical stuff maybe.

Best of luck!

Ian

In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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