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verview
Performance Analyzer Tool (PAT) is a tool for real-time monitoring of trading performance. It listens to all trader actions (order submissions, modifications, and cancellations) and exchange notifications (acceptance or rejection of orders, execution notifications, etc). Comparing the parameters to current market data and to benchmark values, it computes a number of metrics that characterize various aspects of trading performance:
system metrics show the low-level performance of the trading client application – network delays, computation times, etc;
trade style metrics highlight particularities of the trader’s (or algorithm’s) trading style – aggressiveness, price prediction quality, etc;
profit and loss metrics show the contribution of various factors into the net result of the trading, compared to the chosen benchmark.
The metrics are displayed in a versatile, easily customizable grid interface with powerful grouping and sorting capabilities, providing aggregate values and drill-downs to individual transactions.
PAT is meant to complement the Simulator: it provides efficiency analysis of trading algorithms tested against the simulated data.
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