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position-tracer

position-tracer is a tool for dumping Ember positions in CSV format. Given a projection path, it reads the Ember journal and shows how a position changes after each trade or position reset/snapshot message.

Like most Ember tools, position-tracer relies on the EMBER_HOME environment variable (and optionally EMBER_WORK) to locate Ember configuration and journal files.

Ember uses the average cost method for position calculation.

The first output line contains the CSV header with the following fields:

  • Action — either TRADE or RESET (position snapshot)
  • TradeSize — fill size of the trade reported on this line
  • TradePrice — fill price of the trade reported on this line
  • PositionQty — resulting position size after this trade
  • PositionAvgCost — resulting average position cost after this trade
  • PositionPnL — resulting profit or loss after this trade

In case of a position reset, TradeSize and TradePrice are omitted.

The tool takes instrument multipliers into account.

danger

The current version does not handle inverse contracts.

Usage​

The example below shows how the position of the BOT42 algorithm on COINBASE derivatives changed for the BTCZ25-M instrument:

/opt/deltix/ember/bin/position-tracer Source[BOT42]/Destination[COINBASED]/Symbol[BTCZ25-M]
Action,TradeSize,TradePrice,PositionQty,PositionAvgCost,PositionPnL
TRADE,0.025,25380.76,27939,5.47745915329203,0.0
TRADE,0.05,25380.76,27939,5.432047450066966,0.0
TRADE,0.00089472,27185.3,27939,5.341223556001341,0.0
TRADE,0.00089472,27185.3,27939,5.339482733798805,0.0
TRADE,0.00711206,27185.3,27939,5.337741911373276,0.0
TRADE,0.0089015,27185.3,27939,5.323904240776979,0.0
TRADE,0.0001,27185.3,27939,5.306584903480555,0.0
TRADE,0.017903,27185.3,27939,5.306390336851824,0.0
TRADE,0.014194,27185.3,27938,5.271557028419265,0.0
TRADE,0.05,27185.3,27938,5.243940142092587,0.0
TRADE,0.025,25385.56,27938,5.14665603178127,0.0
TRADE,0.025,25385.56,27938,5.14665603178127,0.0
TRADE,0.05,25385.56,27938,5.14665603178127,0.0
...

You can redirect output to CSV file.