-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 : 720496
rnd_Orders_Seed : 494037
rnd_DelayB : 707667
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: $33,400.00 Elapsed hours for 1,773,860 new ticks at given avg tickrate (1400/h): 1267.04h (52.79 days)
Phase 2 ΔPnL: $105,350.00 Elapsed hours for 3,490,000 new ticks at given avg tickrate (1400/h): 2492.86h (103.87 days)
Phase 3 ΔPnL: $117,410.00 Elapsed hours for 3,630,320 new ticks at given avg tickrate (1400/h): 2593.09h (108.05 days)
Phase 4 ΔPnL: $130,750.00 Elapsed hours for 4,279,758 new ticks at given avg tickrate (1400/h): 3056.97h (127.37 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
76.84 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
76.83 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
76.85 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
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
[skipped 7,510]
76.73 76.74 Id0 Buy 2@76.74 2 -29.48 0.00 -20.00 2 -29.48 0.00 -20.00
[skipped 218,650]
77.38 77.39 Id1 Sell 3@77.38 -1 1255.78 1280.00 -10.00 -1 1255.78 1280.00 -10.00
[skipped 231,812]
83.26 83.27 Id2 Sell 3@83.26 -4 -4668.44 1280.00 -5920.00 -4 -4668.44 1280.00 -5920.00
[skipped 39,157]
83.98 83.99 Id3 Sell 4@83.98 -8 -7607.40 1280.00 -8840.00 -8 -7607.40 1280.00 -8840.00
[skipped 162,419]
93.19 93.20 Id4 Sell 4@93.19 -12 -81346.36 1280.00 -82560.00 -12 -81346.36 1280.00 -82560.00
[skipped 21,887]
92.53 92.54 Id5 Sell 3@92.53 -15 -73470.58 1280.00 -74670.00 -15 -73470.58 1280.00 -74670.00
[skipped 288,461]
89.78 89.79 Id6 Sell 2@89.78 -17 -32250.06 1280.00 -33440.00 -17 -32250.06 1280.00 -33440.00
[skipped 393,120]
87.83 87.84 Id7 Buy 5@87.84 => -12 899.94 -26780.00 27770.00 -17 899.94 1280.00 -290.00
[skipped 7,592]
89.59 89.60 Id8 Buy 5@89.60 => -7 -20220.06 -36460.00 16330.00 -17 -29020.06 1280.00 -30210.00
[skipped 40,059]
92.32 92.33 Id9 Sell 1@92.32 -8 -39344.80 -36460.00 -2790.00 -18 -75444.80 1280.00 -76630.00
[skipped 93,522]
95.89 95.90 Id10 Buy 5@95.90 -3 -67904.80 -51990.00 -15820.00 -13 -139704.80 -67080.00 -72530.00
[skipped 24,945]
92.33 92.34 Id11 Buy 2@92.34 -1 -57224.80 -57110.00 -20.00 -11 -93424.80 -83800.00 -9530.00
[skipped 27,047]
95.10 95.11 Id12 Sell 1@95.10 -2 -60009.54 -57110.00 -2800.00 -12 -123909.54 -83800.00 -40010.00
[skipped 159,751]
88.42 88.43 Id13 Buy 2@88.43 0 -46649.54 -46550.00 0.00 -10 -43749.54 -83490.00 39840.00
[skipped 57,349]
85.37 85.38 0 -46649.54 -46550.00 0.00 Id8 Buy 5@85.38 [89.60-->85.38] 0 -13249.54 -13150.00 0.00
Id7 Buy 5@85.38 [87.84-->85.38]
Empty queue ------------------------------------------
[skipped 25,786]
87.88 87.89 Id14 Buy 4@87.89 4 -46708.50 -46550.00 -40.00 4 -13308.50 -13150.00 -40.00
[skipped 367,014]
97.12 97.13 Id15 Sell 2@97.12 2 -9748.50 -28090.00 18460.00 2 23651.50 5310.00 18460.00
[skipped 65,168]
102.10 102.11 Id16 Buy 5@102.11 => 7 137.80 -28090.00 28370.00 2 33611.50 5310.00 28420.00
[skipped 22,579]
103.94 103.95 Id17 Sell 3@103.94 4 13017.80 5840.00 7320.00 -1 37276.76 37410.00 -10.00
[skipped 33,512]
101.70 101.71 Id18 Buy 4@101.71 8 3998.84 5840.00 -1680.00 3 39472.54 39640.00 -30.00
[skipped 32,914]
99.81 99.82 Id19 Buy 3@99.82 11 -11165.38 5840.00 -16830.00 6 33758.32 39640.00 -5730.00
[skipped 145,023]
97.92 97.93 Id20 Buy 3@97.93 14 -31999.60 5840.00 -37650.00 9 22374.10 39640.00 -17100.00
[skipped 166,076]
90.82 90.83 Id21 Buy 1@90.83 15 -131414.34 5840.00 -137060.00 10 -41540.64 39640.00 -81010.00
[skipped 143,673]
100.42 100.43 Id22 Buy 3@100.43 18 12541.44 5840.00 6910.00 13 54415.14 39640.00 14960.00
[skipped 39,757]
101.69 101.70 Id23 Buy 4@101.70 22 35342.48 5840.00 29730.00 17 70866.18 39640.00 31430.00
[skipped 146,568]
98.34 98.35 Id24 Sell 5@98.34 17 -38357.52 -12610.00 -25520.00 12 13916.18 26570.00 -12450.00
[skipped 39,184]
98.98 98.99 Id25 Sell 4@98.98 13 -27477.52 -21640.00 -5610.00 8 21596.18 28880.00 -7080.00
[skipped 58,995]
95.71 95.72 Id26 Buy 2@95.72 15 -70017.00 -21640.00 -48140.00 10 -4593.30 28880.00 -33260.00
[skipped 43,137]
97.84 97.85 Id27 Sell 2@97.84 13 -38067.00 -25600.00 -12230.00 8 16706.70 33300.00 -16380.00
[skipped 30,084]
97.22 97.23 Id28 Buy 1@97.23 14 -46141.74 -25600.00 -20300.00 9 11731.96 33300.00 -21350.00
[skipped 50,737]
98.75 98.76 Id29 Buy 3@98.76 17 -24765.96 -25600.00 1090.00 12 25457.74 33300.00 -7610.00
[skipped 32,506]
97.86 97.87 Id30 Buy 4@97.87 21 -39954.92 -25600.00 -14080.00 16 14718.78 33300.00 -18330.00
[skipped 208,615]
94.21 94.22 Id31 Sell 3@94.21 18 -116604.92 -36760.00 -79570.00 13 -43681.22 13370.00 -56800.00
[skipped 65,258]
87.71 87.72 18 -233604.92 -36760.00 -196570.00 Id16 Buy 5@87.72 [102.11-->87.72] 18 -128254.92 13370.00 -141350.00
Empty queue ------------------------------------------
[skipped 88,237]
89.44 89.45 Id32 Sell 3@89.44 => 15 -202464.92 -60130.00 -142060.00 18 -97114.92 13370.00 -110210.00
[skipped 52,080]
93.46 93.47 15 -142164.92 -60130.00 -81760.00 Id32 Sell 3@93.46 [89.44-->93.46] 15 -24754.92 -11350.00 -13130.00
Empty queue ------------------------------------------
[skipped 134,551]
86.64 86.65 Id33 Buy 2@86.65 17 -244494.40 -60130.00 -184080.00 17 -127084.40 -11350.00 -115450.00
[skipped 9,978]
86.08 86.09 Id34 Buy 1@86.09 18 -254029.14 -60130.00 -193610.00 18 -136619.14 -11350.00 -124980.00
[skipped 356,207]
99.16 99.17 Id35 Buy 2@99.17 => 20 -18618.62 -60130.00 41810.00 18 98820.86 -11350.00 110460.00
[skipped 26,366]
96.68 96.69 Id36 Sell 3@96.68 17 -68218.62 -73920.00 6000.00 15 54180.86 -9980.00 64450.00
Empty queue ------------------------------------------
-Results-
priceIntervalCounter: 4,279,758
countRandomOrders: 37
countRandomOrdersUndelayed: 32
countRandomOrdersDelayed: 5
countRandomOrdersDelayedExecuted: 5
countPhases: 4
queueDelayedOrders.Count: 0
Elapsed hours for 4,279,758 new ticks at given avg tickrate (1400/h): 3056.97h (127.37 days)
PnL differences at phases:
Phase 1 ΔPnL: $33,400.00
Phase 2 ΔPnL: $105,350.00
Phase 3 ΔPnL: $117,410.00
Phase 4 ΔPnL: $130,750.00
