Generating Trading Activity Reports

Overview

This document describes how to generate and email trading activity reports using trade-report script included with Ember distribution.

Running trade-report script

Ember distribution, starting with version 1.12.6, includes trade-report script in /opt/deltix/ember/bin folder. This script takes single yaml configuration file as a parameter, generates one or more excel report files with summary of trading activity, stores them on disk and also emails to recipients specified in the config file.

To generate and email trade activity reports daily, add a cron job running trade-report script at the end of each trading day. The command executing the script would look like this:

/opt/deltix/ember/bin/trade-report /var/lib/ember-work/report-config.yml

When executed, trade-report will read Ember messages from TimeBase streams listed in the config for the specified number of days until the last market closing event. It will generate several trading activity reports: one report for each source of order requests. Generated report excel files will be stored on disk in
reports folder and then emailed to recipients listed in the config.

Here is an example of 4 days TCLIENT Trading Activity Report:

In the report the orders are split into three groups: Active, Passive and Total. Orders are classified as Active when the order side was an aggressor during the first trade. All other orders are classified as Passive and the Total group includes all orders.

For each group report shows the following statistics for each day of the report:

Reported value	Description
# of Orders	Number of orders issued during trading day
% Difference in # of Orders	% difference of the number of orders relative to the previous day in the report
Fill Quantity	Total quantity filled
% Difference in Fill Quantity	% difference of fill quantity relative to the previous day in the report
% of Total Fill Quantity	% difference of fill quantity relative to the total filled quantity during full report period
Fill Rate	% of orders that traded relative to the total number of orders in the group

Configuration File

Here is an example of config yaml file accepted by trade-report script:

calendar:
  stream: "calendar"
  code: "BrokerTec"

report:
  folder: "reports"
  numberOfDays: 5
  title: "%s Trading Activity Report"
  logo:

timebase:
  url: dxtick://localhost:8011
  user: <user>
  password: <pasword>
  marketStreams: [ ember-messages ]

email:
  subject: "Daily trading activity for %s on %tD"
  text: "Please find your daily trading activity report for FIX session %s attached."
  from: "noreply@epam.com"
  recipients: "default@epam.com"
  sourceRecipients:
    CLIENT1: "client1@epam.com"
    CLIENT2: "client2@epam.com"

  smtp:
    host: "email-smtp.eu-central-1.amazonaws.com"
    port: 465
    user: ${AWS_ACCESS_KEY_ID_EOD}
    password: ${AWS_SECRET_ACCESS_KEY_EOD}
    sslProtocols: [ "TLSv1.2" ]

Any attribute in the config file can be replaced with an environment variable. For example: email.smtp.password: ${AWS_SECRET_ACCESS_KEY} as shown in the config example above.

Supported attributes:

Group	Attribute	Description
report	folder	Folder where generated excel report files will be stored
	numberOfDays	Period in number of days back from the last trading day which data should be included in the report
	title	Report title. Similarly to email.subject attribute it can include two String.format parameter. See example in email subject description
	logo	JPEG file name of small logo that should be displayed at the top of the report
timebase	url	TimeBase URL
	user	TimeBase user name
	password	TimeBase user password
	marketStreams	TimeBase messages streams generated by Ember TimeBase Warehouse
email	subject	Subject of trading activity report email. Attribute value can contain two String.format parameters that will be substituted with source ID and report date in this order. For example: "Daily trading activity for %s on %tD". The message can either omit just the date parameter or both, but cannot switch their order.
	text	Text of trading activity report email. Similarly to subject attribute value can include two String.format parameters for report order source ID and date
	from	Email address from which report emails should be sent
	recipients	Comma separated list of email addresses used by default when no specific source recipient is configured
	sourceRecipients	A table of order SOURCE recipients that can specify a comma separated list of recipients for each report orders source. See example above
	smtp	SMTP server configuration that includes these attributes: host: Server host name port: Server port user: User name or API access key ID password: User password or API secret access key sslProtocols: List of SSL protocol versions to be used by the client. For example: [ "TLSv1.2" ]
	debug	When set to "true" will prevent report emails from being sent. This attribute can be used for initial testing of report parameters without generating unnecessary emails
calendar	stream	Trading calendar TimeBase stream name
	code	Trading calendar name
	marketClosingTime	When trading calendar is not available, this top level attribute can be used to specify the time when markets close each day in hh:mm:ss format
	timeZone	When trading calendar is not available, this top level attribute can be used to specify the time zone in which markets operate"