-Instrument specs- symbol: EUR CME European Monetary Union Euro ticksize: $0.00005 multiplier: 125000 initPrice: $1.09525 annualDriftPerc: -0.6% endOfYearAbsoluteDrift: -0.0065715 endOfYearAbsoluteDriftAsNumberOfTicks : -131.43 annualVolatilityPerc: 6% endOfYearAbsoluteVolatility: 0.065715 endOfYearAbsoluteVolatilityAsNumberOfTicks : 1314.3 commissionPerUnit: $2.47 rateTicksPerHour: 750/h minOrder: 1 maxMultipleOfMinOrder: 5 maxSpreadAsNumberOfTicks: 2 -Sim params- rnd_Prices_Seed : 828698 rnd_Orders_Seed : 496821 rnd_DelayB : 12842 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: $2,237.50 Elapsed hours for 1,542,363 new ticks at given avg tickrate (750/h): 2056.49h (85.69 days) Phase 2 ΔPnL: $20,268.75 Elapsed hours for 1,813,236 new ticks at given avg tickrate (750/h): 2417.65h (100.74 days) Phase 3 ΔPnL: $34,175.00 Elapsed hours for 3,290,682 new ticks at given avg tickrate (750/h): 4387.58h (182.82 days) Phase 4 ΔPnL: $46,143.75 Elapsed hours for 5,112,177 new ticks at given avg tickrate (750/h): 6816.24h (284.01 days) Bid Ask Orders Position PnL Real Unr Delayed (S*) Position PnL Real Unr 1.09525 1.09530 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09530 1.09535 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09530 1.09535 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09535 1.09540 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09535 1.09540 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09535 1.09540 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09535 1.09540 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09535 1.09540 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09535 1.09540 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09540 1.09545 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09535 1.09540 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09535 1.09540 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09535 1.09540 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09535 1.09540 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09535 1.09540 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09535 1.09540 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09535 1.09540 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09535 1.09540 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09530 1.09535 0 0.00 0.00 0.00 0 0.00 0.00 0.00 1.09530 1.09535 0 0.00 0.00 0.00 0 0.00 0.00 0.00 [skipped 146,013] 1.08445 1.08450 Id0 Sell 3@1.08445 -3 -33.57 0.00 -18.75 -3 -33.57 0.00 -18.75 [skipped 246,590] 1.09550 1.09555 Id1 Sell 1@1.09550 -4 -4188.51 0.00 -4168.75 -4 -4188.51 0.00 -4168.75 [skipped 146,866] 1.08775 1.08780 Id2 Sell 2@1.08775 -6 -335.89 0.00 -306.25 -6 -335.89 0.00 -306.25 [skipped 71,100] 1.09975 1.09980 Id3 Buy 1@1.09980 => -5 -9335.89 -1918.75 -7387.50 -6 -9335.89 0.00 -9306.25 [skipped 154,800] 1.09240 1.09245 Id4 Sell 5@1.09240 -10 -4798.09 -1918.75 -2825.00 -11 -3879.34 0.00 -3825.00 [skipped 123,342] 1.11110 1.11115 Id5 Sell 3@1.11110 -13 -28206.66 -1918.75 -26218.75 -14 -29625.41 0.00 -29556.25 [skipped 19,111] 1.10170 1.10175 Id6 Sell 3@1.10170 -16 -12965.23 -1918.75 -10962.50 -17 -13208.98 0.00 -13125.00 [skipped 22,892] 1.11035 1.11040 Id7 Sell 3@1.11035 -19 -30298.80 -1918.75 -28281.25 -20 -31623.80 0.00 -31525.00 [skipped 57,833] 1.12565 1.12570 Id8 Sell 5@1.12565 -24 -66692.25 -1918.75 -64650.00 -25 -69929.75 0.00 -69806.25 [skipped 121,466] 1.11530 1.11535 Id9 Buy 4@1.11535 -20 -35642.25 -15575.00 -19943.75 -21 -37586.00 -14068.75 -23393.75 [skipped 50,712] 1.10070 1.10075 Id10 Buy 1@1.10075 -19 857.75 -17200.00 18181.25 -20 739.00 -15693.75 16556.25 [skipped 116,448] 1.08955 1.08960 Id11 Buy 1@1.08960 -18 27339.00 -16850.00 44312.50 -19 28614.00 -15925.00 44662.50 [skipped 264,643] 1.08185 1.08190 -18 44664.00 -16850.00 61637.50 Id3 Buy 1@1.08190 [1.09980-->1.08190] -18 46901.50 -14612.50 61637.50 Empty queue ------------------------------------------ [skipped 31,988] 1.08060 1.08065 Id12 Sell 5@1.08060 => -23 47420.55 -16850.00 64418.75 -18 49714.00 -14612.50 64450.00 [skipped 204,557] 1.10565 1.10570 Id13 Sell 5@1.10565 -28 -24654.15 -16850.00 -7631.25 -23 -6704.45 -14612.50 8056.25 [skipped 7,368] 1.10945 1.10950 -28 -37954.15 -16850.00 -20931.25 Id12 Sell 5@1.10945 [1.08060-->1.10945] -28 -17685.40 -14612.50 -2900.00 Empty queue ------------------------------------------ [skipped 212,827] 1.09690 1.09695 Id14 Buy 4@1.09695 -24 5970.85 -19125.00 25268.75 -24 26239.60 -16887.50 43300.00 [skipped 34,543] 1.08720 1.08725 Id15 Sell 5@1.08720 => -29 35014.90 -19125.00 54337.50 -24 55339.60 -16887.50 72400.00 [skipped 203,935] 1.06580 1.06585 Id16 Buy 2@1.06585 -27 112589.90 -7812.50 120600.00 -22 119539.60 -5575.00 125287.50 [skipped 70,342] 1.07810 1.07815 Id17 Buy 2@1.07815 -25 71077.40 -750.00 72025.00 -20 85714.60 1487.50 84400.00 [skipped 14,799] 1.08655 1.08660 Id18 Buy 3@1.08660 -22 44671.15 5993.75 38875.00 -17 64589.60 8231.25 56531.25 [skipped 225,721] 1.07505 1.07510 Id19 Sell 2@1.07505 -24 76273.77 5993.75 70487.50 -19 89004.72 8231.25 80956.25 [skipped 289,450] 1.08535 1.08540 Id20 Sell 2@1.08535 -26 45351.39 5993.75 39575.00 -21 64519.84 8231.25 56481.25 [skipped 220,253] 1.09405 1.09410 Id21 Sell 1@1.09405 -27 17065.20 5993.75 11293.75 -22 41671.15 8231.25 33637.50 [skipped 191,362] 1.10595 1.10600 Id22 Sell 5@1.10595 -32 -23153.25 5993.75 -28900.00 -27 8890.20 8231.25 881.25 [skipped 4,569] 1.10945 1.10950 -32 -37153.25 5993.75 -42900.00 Id15 Sell 5@1.10945 [1.08720-->1.10945] -32 -2978.25 8231.25 -10962.50 Empty queue ------------------------------------------ [skipped 111,803] 1.09830 1.09835 Id23 Buy 1@1.09835 -31 7446.75 7493.75 200.00 -31 41621.75 9731.25 32137.50 [skipped 182,471] 1.10610 1.10615 Id24 Buy 5@1.10615 => -26 -22778.25 17768.75 -40300.00 -31 11396.75 9731.25 1912.50 [skipped 38,586] 1.11355 1.11360 Id25 Buy 3@1.11360 -23 -46990.75 11025.00 -57768.75 -28 -17472.00 12337.50 -29562.50 [skipped 210,438] 1.13405 1.13410 Id26 Buy 1@1.13410 => -22 -105928.25 4337.50 -110018.75 -28 -89222.00 12337.50 -101312.50 [skipped 79,080] 1.12590 1.12595 Id27 Sell 2@1.12590 -24 -83538.13 4337.50 -87618.75 -30 -60719.38 12337.50 -72800.00 [skipped 218,381] 1.13675 1.13680 Id28 Buy 3@1.13680 -21 -116088.13 -13606.25 -102225.00 -27 -101406.88 8156.25 -109306.25 [skipped 71,738] 1.12355 1.12360 Id29 Sell 4@1.12355 -25 -81482.89 -13606.25 -67600.00 -31 -56901.64 8156.25 -64781.25 [skipped 147,188] 1.10510 1.10515 Id30 Sell 2@1.10510 -27 -23849.02 -13606.25 -9956.25 -33 14569.73 8156.25 6700.00 [skipped 21,832] 1.09530 1.09535 -27 9225.98 -13606.25 23118.75 Id26 Buy 1@1.09535 [1.13410-->1.09535] -32 54994.73 9443.75 45837.50 [skipped 194,016] 1.11595 1.11600 Id31 Buy 3@1.11600 -24 -60467.77 -17487.50 -42693.75 -29 -27605.27 5562.50 -32881.25 [skipped 123,425] 1.10825 1.10830 Id32 Buy 3@1.10830 -21 -37367.77 -23093.75 -13987.50 -26 307.23 5518.75 -4925.00 [skipped 232,921] 1.10035 1.10040 Id33 Sell 4@1.10035 -25 -16675.03 -23093.75 6725.00 -30 25937.47 5518.75 20725.00 Empty queue ------------------------------------------ -Results- priceIntervalCounter: 5,112,177 countRandomOrders: 34 countRandomOrdersUndelayed: 29 countRandomOrdersDelayed: 5 countRandomOrdersDelayedExecuted: 5 countPhases: 4 queueDelayedOrders.Count: 0 Elapsed hours for 5,112,177 new ticks at given avg tickrate (750/h): 6816.24h (284.01 days) PnL differences at phases: Phase 1 ΔPnL: $2,237.50 Phase 2 ΔPnL: $20,268.75 Phase 3 ΔPnL: $34,175.00 Phase 4 ΔPnL: $46,143.75