-Instrument specs- symbol: ES CME E-mini S&P 500 ticksize: $0.25 multiplier: 50 initPrice: $4552.25 annualDriftPerc: 10.13% endOfYearAbsoluteDrift: 461.142925 endOfYearAbsoluteDriftAsNumberOfTicks : 1844.5717 annualVolatilityPerc: 10.2% endOfYearAbsoluteVolatility: 464.3295 endOfYearAbsoluteVolatilityAsNumberOfTicks : 1857.318 commissionPerUnit: $2.2 rateTicksPerHour: 700/h minOrder: 1 maxMultipleOfMinOrder: 5 maxSpreadAsNumberOfTicks: 2 -Sim params- rnd_Prices_Seed : 333580 rnd_Orders_Seed : 318341 rnd_DelayB : 121683 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: $8,525.00 Elapsed hours for 1,814,086 new ticks at given avg tickrate (700/h): 2591.55h (107.98 days) Phase 2 ΔPnL: $14,225.00 Elapsed hours for 1,896,022 new ticks at given avg tickrate (700/h): 2708.6h (112.86 days) Phase 3 ΔPnL: $23,487.50 Elapsed hours for 2,172,929 new ticks at given avg tickrate (700/h): 3104.18h (129.34 days) Phase 4 ΔPnL: $58,875.00 Elapsed hours for 3,253,512 new ticks at given avg tickrate (700/h): 4647.87h (193.66 days) Bid Ask Orders Position PnL Real Unr Delayed (S*) Position PnL Real Unr 4552.25 4552.50 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4552.00 4552.25 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4552.25 4552.50 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4552.50 4552.75 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4552.25 4552.50 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4552.50 4552.75 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4552.75 4553.00 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4553.00 4553.25 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4552.75 4553.00 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4553.00 4553.25 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4553.25 4553.50 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4553.50 4553.75 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4553.25 4553.50 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4553.00 4553.25 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4553.25 4553.50 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4553.00 4553.25 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4553.25 4553.50 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4553.50 4553.75 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4553.50 4553.75 0 0.00 0.00 0.00 0 0.00 0.00 0.00 4553.75 4554.00 0 0.00 0.00 0.00 0 0.00 0.00 0.00 [skipped 46,822] 4524.00 4524.25 Id0 Sell 4@4524.00 -4 -67.60 0.00 -50.00 -4 -67.60 0.00 -50.00 [skipped 132,118] 4388.75 4389.00 Id1 Buy 2@4389.00 -2 26982.40 13500.00 13500.00 -2 26982.40 13500.00 13500.00 [skipped 256,724] 4487.75 4488.00 Id2 Sell 3@4487.75 -5 17031.70 13500.00 3562.50 -5 17031.70 13500.00 3562.50 [skipped 184,189] 4518.75 4519.00 Id3 Sell 5@4518.75 -10 9197.20 13500.00 -4250.00 -10 9197.20 13500.00 -4250.00 [skipped 61,089] 4557.25 4557.50 Id4 Buy 2@4557.50 => -8 -10052.80 10150.00 -20150.00 -10 -10052.80 13500.00 -23500.00 [skipped 13,297] 4517.25 4517.50 Id5 Sell 1@4517.25 -9 5930.30 10150.00 -4162.50 -11 9930.30 13500.00 -3512.50 [skipped 80,857] 4547.25 4547.50 Id6 Buy 5@4547.50 -4 -7569.70 -1687.50 -5825.00 -6 -6569.70 2187.50 -8700.00 [skipped 79,861] 4585.75 4586.00 Id7 Buy 1@4586.00 -3 -15269.70 -5050.00 -10162.50 -5 -18119.70 -1175.00 -16887.50 [skipped 83,968] 4514.50 4514.75 Id8 Sell 4@4514.50 -7 -4649.80 -5050.00 475.00 -9 -374.80 -1175.00 875.00 [skipped 97,441] 4558.75 4559.00 Id9 Buy 4@4559.00 -3 -20137.30 -13387.50 -6675.00 -5 -20287.30 -9225.00 -10987.50 [skipped 244,690] 4593.00 4593.25 Id10 Sell 4@4593.00 -7 -25342.40 -13387.50 -11862.50 -9 -28917.40 -9225.00 -19600.00 [skipped 427,173] 4561.00 4561.25 Id11 Sell 1@4561.00 -8 -14159.30 -13387.50 -675.00 -10 -14534.30 -9225.00 -5212.50 [skipped 48,256] 4530.25 4530.50 Id12 Sell 5@4530.25 -13 -1943.80 -13387.50 11562.50 -15 756.20 -9225.00 10100.00 [skipped 49,752] 4501.25 4501.50 Id13 Sell 1@4501.25 -14 16889.30 -13387.50 30400.00 -16 22489.30 -9225.00 31837.50 [skipped 7,318] 4472.00 4472.25 -14 37364.30 -13387.50 50875.00 Id4 Buy 2@4472.25 [4557.50-->4472.25] -14 45889.30 -4862.50 50875.00 Empty queue ------------------------------------------ [skipped 33,520] 4531.50 4531.75 Id14 Buy 3@4531.75 -11 -4285.70 -15975.00 11812.50 -11 4239.30 -7450.00 11812.50 [skipped 33,103] 4560.25 4560.50 Id15 Buy 2@4560.50 => -9 -20098.20 -12725.00 -7250.00 -11 -11573.20 -7450.00 -4000.00 [skipped 15,737] 4503.25 4503.50 -9 5551.80 -12725.00 18400.00 Id15 Buy 2@4503.50 [4560.50-->4503.50] -9 19776.80 1500.00 18400.00 Empty queue ------------------------------------------ [skipped 152,716] 4532.00 4532.25 Id16 Buy 1@4532.25 -8 -7385.70 -9687.50 2425.00 -8 6839.30 4537.50 2425.00 [skipped 39,289] 4564.25 4564.50 Id17 Buy 3@4564.50 => -5 -20285.70 -10150.00 -10012.50 -8 -6060.70 4537.50 -10475.00 [skipped 7,555] 4595.75 4596.00 Id18 Sell 2@4595.75 -7 -28194.50 -10150.00 -17912.50 -10 -18694.50 4537.50 -23100.00 [skipped 59,318] 4502.50 4502.75 -7 4443.00 -10150.00 14725.00 Id17 Buy 3@4502.75 [4564.50-->4502.75] -7 27930.50 13337.50 14725.00 Empty queue ------------------------------------------ [skipped 33,724] 4502.00 4502.25 Id19 Buy 1@4502.25 -6 4618.00 -8750.00 13500.00 -6 28105.50 14737.50 13500.00 [skipped 80,004] 4418.50 4418.75 Id20 Buy 5@4418.75 -1 29668.00 20950.00 8850.00 -1 53155.50 44437.50 8850.00 [skipped 64,268] 4474.50 4474.75 Id21 Sell 5@4474.50 => -6 26783.50 20950.00 5987.50 -1 50355.50 44437.50 6050.00 [skipped 29,328] 4440.00 4440.25 Id22 Sell 5@4440.00 -11 37049.00 20950.00 16275.00 -6 51996.00 44437.50 7712.50 [skipped 82,951] 4344.75 4345.00 Id23 Sell 2@4344.75 => -13 89402.70 20950.00 68637.50 -6 80571.00 44437.50 36287.50 [skipped 366,370] 4284.50 4284.75 Id24 Sell 4@4284.50 -17 128497.60 20950.00 107750.00 -10 98578.40 44437.50 54312.50 [skipped 29,540] 4233.00 4233.25 Id25 Sell 4@4233.00 -21 172205.00 20950.00 151475.00 -14 124260.80 44437.50 80012.50 [skipped 21,429] 4264.25 4264.50 Id26 Buy 4@4264.50 -17 139392.50 69012.50 70600.00 -10 102385.80 87325.00 15250.00 [skipped 38,837] 4204.00 4204.25 Id27 Buy 2@4204.25 -15 190605.00 96037.50 94787.50 -8 132510.80 110900.00 21800.00 [skipped 31,363] 4292.25 4292.50 Id28 Sell 2@4292.25 -17 124383.70 96037.50 28575.00 -10 97177.00 110900.00 -13525.00 [skipped 26,739] 4361.50 4361.75 Id29 Sell 2@4361.50 -19 65487.40 96037.50 -30312.50 -12 62518.20 110900.00 -48175.00 [skipped 50,478] 4415.00 4415.25 Id30 Buy 4@4415.25 -15 14662.40 100987.50 -86087.50 -8 30418.20 84750.00 -54125.00 [skipped 14,552] 4368.00 4368.25 Id31 Buy 4@4368.25 -11 49912.40 98037.50 -47887.50 -4 49218.20 57700.00 -8275.00 [skipped 25,280] 4427.00 4427.25 Id32 Buy 2@4427.25 -9 17462.40 83762.50 -66062.50 -2 37418.20 44200.00 -6575.00 [skipped 6,422] 4399.50 4399.75 Id33 Sell 2@4399.50 -11 29803.60 83762.50 -53712.50 -4 40134.40 44200.00 -3850.00 [skipped 46,777] 4440.75 4441.00 Id34 Sell 1@4440.75 -12 7099.20 83762.50 -76412.50 -5 31867.50 44200.00 -12112.50 [skipped 122,437] 4497.75 4498.00 Id35 Buy 1@4498.00 -11 -27100.80 73087.50 -99937.50 -4 17617.50 37375.00 -19537.50 [skipped 24,916] 4528.25 4528.50 Id36 Buy 3@4528.50 -8 -43875.80 28762.50 -72387.50 -1 11517.50 16125.00 -4387.50 [skipped 3,012] 4534.25 4534.50 -8 -46275.80 28762.50 -74787.50 Id23 Sell 2@4534.25 [4344.75-->4534.25] -3 11183.70 16125.00 -4712.50 Empty queue ------------------------------------------ -Results- priceIntervalCounter: 3,253,512 countRandomOrders: 37 countRandomOrdersUndelayed: 32 countRandomOrdersDelayed: 5 countRandomOrdersDelayedExecuted: 5 countPhases: 4 queueDelayedOrders.Count: 0 Elapsed hours for 3,253,512 new ticks at given avg tickrate (700/h): 4647.87h (193.66 days) PnL differences at phases: Phase 1 ΔPnL: $8,525.00 Phase 2 ΔPnL: $14,225.00 Phase 3 ΔPnL: $23,487.50 Phase 4 ΔPnL: $58,875.00