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xiaochuan
2025-11-14 22:56:44 +00:00
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parent cf1944a688
commit ef6e1e278d
96 changed files with 3300 additions and 0 deletions
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QuantTrader/results/execution/live/fills.csv
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order_id,ts,symbol,pnl,adapter_latency_ms,direction,price,quantity
LIVE-1,2025-11-12T09:00:00Z,EURUSD,42.5,30,BUY,1.1593,10000
LIVE-2,2025-11-12T10:00:00Z,EURUSD,-15.2,28,SELL,1.1591,8000
1 order_id ts symbol pnl adapter_latency_ms direction price quantity
2 LIVE-1 2025-11-12T09:00:00Z EURUSD 42.5 30 BUY 1.1593 10000
3 LIVE-2 2025-11-12T10:00:00Z EURUSD -15.2 28 SELL 1.1591 8000
QuantTrader/results/execution/paper/fills.csv
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order_id,ts,symbol,pnl,adapter_latency_ms,direction,price,quantity
PAPER-1,2025-11-12T09:00:00Z,EURUSD,40.0,20,BUY,1.1593,10000
PAPER-2,2025-11-12T10:00:00Z,EURUSD,-10.0,18,SELL,1.1591,8000
1 order_id ts symbol pnl adapter_latency_ms direction price quantity
2 PAPER-1 2025-11-12T09:00:00Z EURUSD 40.0 20 BUY 1.1593 10000
3 PAPER-2 2025-11-12T10:00:00Z EURUSD -10.0 18 SELL 1.1591 8000
QuantTrader/results/execution/tca_summary.json
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{
"paper_path": "/Users/chuan/Documents/Projects/FX_Backtest/QuantTrader/results/execution/paper/fills.csv",
"live_path": "/Users/chuan/Documents/Projects/FX_Backtest/QuantTrader/results/execution/live/fills.csv",
"paper_trade_count": 2,
"paper_total_pnl": 30.0,
"paper_avg_pnl": 15.0,
"paper_avg_latency_ms": 19.0,
"live_trade_count": 2,
"live_total_pnl": 27.3,
"live_avg_pnl": 13.65,
"live_avg_latency_ms": 29.0,
"pnl_diff_mean": -1.3499999999999996,
"pnl_diff_std": 3.8499999999999996
}