Skip to content
Algo Trade Analytics Docs

Scope & Matching Engine

The Scope Definition section configures your analysis parameters, and the Matching Engine pairs your alert signals with broker fills. Understanding these systems helps you get accurate results.

Scope Configuration

Section titled “Scope Configuration”

Symbol Selection

Section titled “Symbol Selection”

Choose which trading instrument to analyze:

OptionDescription
Specific SymbolAnalyze one instrument (e.g., TSLA, SPY)
ALLAggregate view across all traded symbols

Date Range

Section titled “Date Range”

Select the time window for your analysis:

ComponentDescription
Start DateBeginning of analysis window
End DateEnd of analysis window
Start TimeOptional: specific time on start date
End TimeOptional: specific time on end date

Recommended ranges:

Use CaseRange
Daily monitoringLast 24 hours
Weekly reviewLast 7 days
Performance auditLast 30 days
Issue investigationSpecific date/time

Data Source

Section titled “Data Source”

Using Webhook Data

Section titled “Using Webhook Data”

Best for: Active strategies with real-time alert capture.

When selected:

  • Fetches alert events from your webhook history
  • Filters to the specified symbol and date range
  • Provides millisecond-precision timestamps

Requirements:

  • Webhook endpoint configured and active
  • TradingView alerts sending to your webhook
  • Alert history exists for the selected period

Matching Engine

Section titled “Matching Engine”

The matching engine pairs your alert signals with broker fills based on configurable tolerances.

How Matching Works

Section titled “How Matching Works”

  1. Time Window Filtering

    For each alert, identify broker fills within the time tolerance:

    alert_time to (alert_time + time_window)

  2. Symbol Matching

    Only pair alerts and fills for the same trading symbol.

  3. Direction Matching

    Match buy alerts with buy fills, sell alerts with sell fills.

  4. Best Match Selection

    If multiple fills qualify, select based on:

    • Closest timestamp (primary)
    • Smallest price difference (secondary)

  5. Classification

    Each pair is classified:

    • Full Match — Entry and exit both matched
    • Entry Only — Entry matched, exit missing
    • Exit Only — Exit matched, entry missing
    • Unmatched — No corresponding fill found

Matching Configuration

Section titled “Matching Configuration”
SettingDefaultDescription
Time Window5 minutesMax delay from alert to fill
Price Tolerance2%Acceptable price difference

Adjusting tolerances:

ScenarioTime WindowPrice Tolerance
High-frequency30 seconds0.5%
Standard trading5 minutes2%
Position trading30 minutes5%
Volatile markets10 minutes5%

Understanding Match Types

Section titled “Understanding Match Types”

Full Match ✅

Section titled “Full Match ✅”

Both the entry and exit signals have corresponding fills.

Alert: Entry Long @ 09:30:00, $100.00
Fill:  Buy @ 09:30:02, $100.05
→ Matched with 2s latency, $0.05 slippage


Alert: Exit Long @ 14:45:00, $105.00
Fill:  Sell @ 14:45:03, $104.95
→ Matched with 3s latency, -$0.05 slippage

Entry Only 🟡

Section titled “Entry Only 🟡”

Entry executed but exit is missing.

Common causes:

  • Exit alert not configured
  • Exit order rejected or timed out
  • Position still open

Exit Only 🟡

Section titled “Exit Only 🟡”

Exit executed but entry wasn’t matched.

Common causes:

  • Entry alert missing from dataset
  • Position opened outside analysis window
  • Manual entry, automated exit

Unmatched Alert ❌

Section titled “Unmatched Alert ❌”

Alert fired but no corresponding fill exists.

Common causes:

  • Order rejected by broker
  • Insufficient buying power
  • Market closed
  • Network failure

Unmatched Fill ❌

Section titled “Unmatched Fill ❌”

Broker fill without a corresponding alert.

Common causes:

  • Manual trading outside strategy
  • Alerts from different source
  • Duplicate order execution

Data Synchronization

Section titled “Data Synchronization”

Alert Data Flow

Section titled “Alert Data Flow”
TradingView → Webhook → Database → Analysis
  • Alerts arrive via webhook POST request
  • Stored with millisecond precision timestamps
  • Available for analysis immediately

Fill Data Flow

Section titled “Fill Data Flow”
Alpaca API → Polling/Webhook → Database → Analysis
  • Fills retrieved from Alpaca trade history
  • Updated periodically or via broker webhooks
  • May have slight delay from actual execution

Timing Considerations

Section titled “Timing Considerations”
EventTimestamp Source
AlertWebhook receipt time
Order SubmittedPlatform timestamp
FillBroker execution timestamp

Common Scope Issues

Section titled “Common Scope Issues”

No Alerts in Range

Section titled “No Alerts in Range”

Symptoms: “0 alerts found” message

Solutions:

  1. Expand date range
  2. Check webhook configuration
  3. Verify TradingView alerts are active
  4. Switch to CSV import

No Fills in Range

Section titled “No Fills in Range”

Symptoms: “0 fills found” message

Solutions:

  1. Verify Alpaca connection is active
  2. Check that orders were submitted
  3. Expand date range
  4. Check symbol spelling

Symbol Mismatch

Section titled “Symbol Mismatch”

Symptoms: Low match rate despite activity

Solutions:

  1. Verify symbol format consistency
  2. Check for exchange prefixes (NASDAQ:AAPL vs AAPL)
  3. Ensure alerts and orders use same symbol
Section titled “Related Sections”