-Instrument specs-
symbol: CL NYMEX Light Sweet Crude Oil
ticksize: $0.01
multiplier: 1000
initPrice: $76.8
annualDriftPerc: 6.71%
endOfYearAbsoluteDrift: 5.15328
endOfYearAbsoluteDriftAsNumberOfTicks : 515.328
annualVolatilityPerc: 47.4%
endOfYearAbsoluteVolatility: 36.4032
endOfYearAbsoluteVolatilityAsNumberOfTicks : 3640.32
commissionPerUnit: $2.37
rateTicksPerHour: 1400/h
minOrder: 1
maxMultipleOfMinOrder: 5
maxSpreadAsNumberOfTicks: 3
-Sim params-
rnd_Prices_Seed : 995678
rnd_Orders_Seed : 738995
rnd_DelayB : 747066
maxNumberOfpriceIntervals: 10000000
avgOrderRateDay: 0.5
probabilityOfOrderPerTick: 0
targetNumberOfPhases: 4
maxLengthQueue: 2
BernoulliDelayProbability: 1
toleranceOfStructureViolationPerc: 0.5%
gainOverStructurePerc: 0.5%
minOrderSpacePerc: 0.6%
minDistanceEnqueuedOrdersSameSidePerc: 1.9%
Phase 1 ΔPnL: $52,050.00 Elapsed hours for 1,144,545 new ticks at given avg tickrate (1400/h): 817.53h (34.06 days)
Phase 2 ΔPnL: $80,610.00 Elapsed hours for 1,866,291 new ticks at given avg tickrate (1400/h): 1333.07h (55.54 days)
Phase 3 ΔPnL: $82,490.00 Elapsed hours for 2,096,946 new ticks at given avg tickrate (1400/h): 1497.82h (62.41 days)
Phase 4 ΔPnL: $93,570.00 Elapsed hours for 2,154,990 new ticks at given avg tickrate (1400/h): 1539.28h (64.14 days)
Bid Ask Orders Position PnL Real Unr Delayed (S*) Position PnL Real Unr
76.80 76.81 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.81 76.82 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.83 76.84 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.81 76.82 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.83 76.84 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.84 76.85 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.85 76.86 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.86 76.87 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.85 76.86 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.84 76.85 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.83 76.84 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.84 76.85 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.85 76.86 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.86 76.87 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.88 76.89 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.86 76.87 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.85 76.86 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.84 76.85 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.83 76.84 0 0.00 0.00 0.00 0 0.00 0.00 0.00
76.81 76.82 0 0.00 0.00 0.00 0 0.00 0.00 0.00
[skipped 235,067]
83.46 83.47 Id0 Buy 5@83.47 5 -73.70 0.00 -50.00 5 -73.70 0.00 -50.00
[skipped 67,389]
80.00 80.01 Id1 Buy 1@80.01 6 -17388.44 0.00 -17360.00 6 -17388.44 0.00 -17360.00
[skipped 65,337]
78.69 78.70 Id2 Buy 1@78.70 7 -25263.18 0.00 -25230.00 7 -25263.18 0.00 -25230.00
[skipped 62,877]
77.50 77.51 Id3 Sell 3@77.50 => 4 -33593.18 -17910.00 -15650.00 7 -33593.18 0.00 -33560.00
[skipped 149,075]
70.51 70.52 Id4 Sell 3@70.51 => 1 -61553.18 -53330.00 -8190.00 7 -82523.18 0.00 -82490.00
[skipped 140,609]
73.55 73.56 Id5 Buy 3@73.56 4 -58557.40 -53330.00 -5180.00 10 -61287.40 0.00 -61240.00
[skipped 13,824]
72.52 72.53 Id6 Buy 1@72.53 5 -62692.14 -53330.00 -9310.00 11 -71602.14 0.00 -71550.00
[skipped 20,306]
73.72 73.73 Id7 Sell 3@73.72 2 -56692.14 -57990.00 1350.00 8 -58402.14 -29250.00 -29100.00
[skipped 84,994]
71.86 71.87 Id8 Sell 2@71.86 0 -60412.14 -60360.00 0.00 6 -73282.14 -52470.00 -20760.00
[skipped 167,334]
76.92 76.93 Id9 Sell 1@76.92 -1 -60426.88 -60360.00 -10.00 5 -42922.14 -55560.00 12690.00
[skipped 22,207]
77.61 77.62 Id10 Buy 5@77.62 4 -61175.84 -61060.00 -40.00 10 -39545.84 -55560.00 16090.00
[skipped 18,968]
76.76 76.77 Id11 Buy 4@76.77 8 -64634.80 -61060.00 -3480.00 14 -48104.80 -55560.00 7550.00
[skipped 91,430]
79.43 79.44 Id12 Sell 3@79.43 5 -43274.80 -55630.00 12450.00 11 -10724.80 -43090.00 32460.00
[skipped 4,584]
82.68 82.69 5 -27024.80 -55630.00 28700.00 Id4 Sell 3@82.68 [70.51-->82.68] 5 25025.20 -3580.00 28700.00
Id3 Sell 3@82.68 [77.50-->82.68]
Empty queue ------------------------------------------
[skipped 89,829]
87.46 87.47 Id13 Sell 2@87.46 3 -3124.80 -35100.00 32070.00 3 48925.20 16950.00 32070.00
[skipped 135,190]
92.68 92.69 Id14 Buy 2@92.69 => 5 12505.72 -35100.00 47710.00 3 64585.20 16950.00 47730.00
[skipped 149,667]
86.27 86.28 Id15 Buy 5@86.28 10 -19617.98 -35100.00 15610.00 8 45281.50 16950.00 28450.00
[skipped 130,961]
93.58 93.59 Id16 Sell 3@93.58 7 53482.02 15330.00 38280.00 5 103761.50 67380.00 36500.00
[skipped 21,375]
92.77 92.78 Id17 Buy 3@92.78 10 47767.80 15330.00 32580.00 8 99667.28 67380.00 32420.00
[skipped 194,203]
78.40 78.41 10 -95932.20 15330.00 -111120.00 Id14 Buy 2@78.41 [92.69-->78.41] 10 -15322.20 67380.00 -82560.00
Empty queue ------------------------------------------
[skipped 16,069]
80.71 80.72 Id18 Sell 2@80.71 => 8 -72832.20 -8630.00 -64060.00 10 7777.80 67380.00 -59460.00
[skipped 135,077]
77.31 77.32 Id19 Buy 1@77.32 9 -100046.94 -8630.00 -91270.00 11 -26236.94 67380.00 -93470.00
[skipped 53,391]
80.97 80.98 Id20 Sell 1@80.97 8 -67106.94 -13940.00 -53020.00 10 14023.06 62070.00 -47900.00
[skipped 2,219]
81.65 81.66 8 -61666.94 -13940.00 -47580.00 Id18 Sell 2@81.65 [80.71-->81.65] 8 20823.06 52810.00 -31840.00
[skipped 9,907]
82.61 82.62 Id21 Sell 5@82.61 3 -53986.94 -38790.00 -15050.00 3 28503.06 14960.00 13690.00
Empty queue ------------------------------------------
[skipped 27,889]
83.68 83.69 Id22 Buy 4@83.69 => 7 -50835.90 -38790.00 -11880.00 3 31713.06 14960.00 16900.00
Empty queue ------------------------------------------
-Results-
priceIntervalCounter: 2,154,990
countRandomOrders: 23
countRandomOrdersUndelayed: 18
countRandomOrdersDelayed: 5
countRandomOrdersDelayedExecuted: 5
countPhases: 4
queueDelayedOrders.Count: 0
Elapsed hours for 2,154,990 new ticks at given avg tickrate (1400/h): 1539.28h (64.14 days)
PnL differences at phases:
Phase 1 ΔPnL: $52,050.00
Phase 2 ΔPnL: $80,610.00
Phase 3 ΔPnL: $82,490.00
Phase 4 ΔPnL: $93,570.00