-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 : 473460 rnd_Orders_Seed : 365948 rnd_DelayB : 847330 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: $85,487.50 Elapsed hours for 2,275,813 new ticks at given avg tickrate (700/h): 3251.17h (135.47 days) Phase 2 ΔPnL: $185,150.00 Elapsed hours for 3,401,267 new ticks at given avg tickrate (700/h): 4858.95h (202.46 days) Phase 3 ΔPnL: $215,100.00 Elapsed hours for 3,775,455 new ticks at given avg tickrate (700/h): 5393.51h (224.73 days) Phase 4 ΔPnL: $220,125.00 Elapsed hours for 3,787,576 new ticks at given avg tickrate (700/h): 5410.82h (225.45 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 4552.50 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 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 4553.50 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 4552.75 4553.00 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 4552.00 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 4552.00 4552.25 0 0.00 0.00 0.00 0 0.00 0.00 0.00 [skipped 2,984] 4547.25 4547.50 Id0 Buy 3@4547.50 3 -50.70 0.00 -37.50 3 -50.70 0.00 -37.50 [skipped 40,766] 4602.50 4602.75 Id1 Buy 3@4602.75 => 6 8186.10 0.00 8212.50 3 8236.80 0.00 8250.00 [skipped 3,934] 4632.75 4633.00 Id2 Sell 5@4632.75 1 17261.10 15787.50 1500.00 -2 12740.50 12787.50 -25.00 [skipped 27,184] 4709.00 4709.25 Id3 Sell 2@4709.00 -1 21056.70 21100.00 -12.50 -4 5081.70 12787.50 -7675.00 [skipped 28,571] 4668.00 4668.25 Id4 Buy 5@4668.25 4 23039.10 23137.50 -50.00 1 13264.80 13312.50 -12.50 [skipped 65,652] 4734.50 4734.75 Id5 Sell 2@4734.50 2 36339.10 29762.50 6625.00 -1 16572.90 16625.00 -12.50 [skipped 36,973] 4787.75 4788.00 Id6 Buy 5@4788.00 => 7 41579.60 29762.50 11887.50 -1 13910.40 16625.00 -2675.00 [skipped 92,624] 4688.75 4689.00 Id7 Sell 5@4688.75 2 6929.60 16925.00 -9925.00 -6 18775.90 16625.00 2212.50 [skipped 22,274] 4626.00 4626.25 2 654.60 16925.00 -16200.00 Id6 Buy 5@4626.25 [4788.00-->4626.25] -1 37600.90 34537.50 3125.00 [skipped 79,642] 4723.75 4724.00 Id8 Sell 4@4723.75 -2 10395.80 10500.00 -25.00 -5 32645.80 34537.50 -1812.50 [skipped 62,040] 4672.50 4672.75 Id9 Sell 2@4672.50 -4 15487.00 10500.00 5075.00 -7 45424.50 34537.50 10975.00 [skipped 69,749] 4714.50 4714.75 Id10 Buy 5@4714.75 => 1 7070.10 7175.00 -12.50 -7 30724.50 34537.50 -3725.00 [skipped 29,740] 4754.00 4754.25 Id11 Buy 5@4754.25 6 8960.60 7175.00 1900.00 -2 16899.50 25162.50 -8175.00 [skipped 102,443] 4710.25 4710.50 Id12 Sell 5@4710.25 1 -4164.40 -1850.00 -2200.00 -7 21190.00 25162.50 -3862.50 [skipped 56,636] 4657.50 4657.75 Id13 Sell 3@4657.50 -2 -6835.70 -6687.50 -25.00 -10 39601.80 25162.50 14562.50 [skipped 32,618] 4699.50 4699.75 Id14 Sell 1@4699.50 -3 -11052.60 -6687.50 -4237.50 -11 18584.90 25162.50 -6450.00 [skipped 121,896] 4639.00 4639.25 -3 -1977.60 -6687.50 4837.50 Id10 Buy 5@4639.25 [4714.75-->4639.25] -6 51859.90 39137.50 12850.00 [skipped 267,958] 4747.00 4747.25 Id15 Buy 3@4747.25 => 0 -18177.60 -18050.00 0.00 -6 19459.90 39137.50 -19550.00 [skipped 82,089] 4650.75 4651.00 0 -18177.60 -18050.00 0.00 Id15 Buy 3@4651.00 [4747.25-->4651.00] -3 48334.90 45387.50 3075.00 [skipped 87,087] 4649.00 4649.25 Id16 Buy 2@4649.25 2 -18211.40 -18050.00 -25.00 -1 48597.40 46212.50 2512.50 [skipped 46,561] 4602.50 4602.75 Id17 Sell 2@4602.50 0 -22861.40 -22725.00 0.00 -3 50888.60 46212.50 4812.50 [skipped 77,510] 4662.75 4663.00 Id18 Buy 1@4663.00 1 -22878.30 -22725.00 -12.50 -2 41851.10 48037.50 -6050.00 [skipped 135,868] 4735.50 4735.75 Id19 Sell 3@4735.50 -2 -19274.60 -19100.00 -25.00 -5 34525.40 48037.50 -13362.50 [skipped 190,793] 4564.00 4564.25 Id20 Buy 1@4564.25 -1 -2124.60 -10537.50 8562.50 -4 77400.40 49950.00 27600.00 [skipped 25,873] 4616.00 4616.25 Id21 Buy 4@4616.25 3 -4775.30 -4575.00 -37.50 0 67000.40 67150.00 0.00 [skipped 68,577] 4675.50 4675.75 Id22 Sell 3@4675.50 0 4149.70 4312.50 0.00 -3 66949.70 67150.00 -37.50 [skipped 16,603] 4638.50 4638.75 Id23 Buy 4@4638.75 4 4082.10 4312.50 -50.00 1 72482.80 72662.50 -12.50 [skipped 44,476] 4705.75 4706.00 Id24 Sell 5@4705.75 -1 17515.20 17712.50 -12.50 -4 75777.70 76012.50 -50.00 [skipped 146,929] 4621.50 4621.75 Id25 Buy 4@4621.75 3 21677.00 21912.50 -37.50 0 92627.70 92812.50 0.00 [skipped 56,190] 4578.25 4578.50 Id26 Buy 3@4578.50 6 15138.80 21912.50 -6562.50 3 92577.00 92812.50 -37.50 [skipped 57,456] 4616.00 4616.25 Id27 Buy 2@4616.25 8 26430.00 21912.50 4737.50 5 98205.70 92812.50 5600.00 [skipped 83,602] 4577.75 4578.00 Id28 Sell 5@4577.75 3 11130.00 15237.50 -3887.50 0 88643.20 88850.00 0.00 [skipped 11,996] 4524.25 4524.50 3 3105.00 15237.50 -11912.50 Id1 Buy 3@4524.50 [4602.75-->4524.50] 3 88592.50 88850.00 -37.50 Empty queue ------------------------------------------ [skipped 45,940] 4474.00 4474.25 Id29 Sell 5@4474.00 => -2 -4466.30 -4212.50 -25.00 3 81055.00 88850.00 -7575.00 [skipped 97,941] 4436.50 4436.75 Id30 Buy 4@4436.75 2 -750.10 -487.50 -25.00 7 75362.40 88850.00 -13250.00 [skipped 167,931] 4390.25 4390.50 Id31 Sell 3@4390.25 -1 -5392.00 -5137.50 -12.50 4 59174.90 68712.50 -9300.00 [skipped 150,770] 4334.25 4334.50 Id32 Sell 3@4334.25 => -4 -2642.70 -5137.50 2750.00 4 47974.90 68712.50 -20500.00 [skipped 200,063] 4394.75 4395.00 Id33 Sell 2@4394.75 -6 -14776.50 -5137.50 -9375.00 2 60074.90 64512.50 -4200.00 [skipped 10,379] 4424.25 4424.50 Id34 Sell 5@4424.25 -11 -23711.00 -5137.50 -18287.50 -3 62974.20 63262.50 -37.50 [skipped 113,933] 4467.75 4468.00 Id35 Sell 2@4467.75 -13 -47669.80 -5137.50 -42237.50 -5 56415.40 63262.50 -6587.50 [skipped 7,768] 4508.25 4508.50 Id36 Sell 2@4508.25 -15 -74028.60 -5137.50 -68587.50 -7 46256.60 63262.50 -16737.50 [skipped 9,049] 4542.50 4542.75 Id37 Buy 2@4542.75 -13 -99716.10 -23187.50 -76225.00 -5 34269.10 51412.50 -16875.00 [skipped 99,095] 4610.25 4610.50 Id38 Sell 4@4610.25 -17 -143821.20 -23187.50 -120312.50 -9 17264.00 51412.50 -33862.50 [skipped 66,426] 4537.75 4538.00 Id39 Buy 1@4538.00 -16 -82196.20 -33375.00 -48500.00 -8 49889.00 45725.00 4450.00 [skipped 29,393] 4581.25 4581.50 Id40 Buy 1@4581.50 -15 -116996.20 -45737.50 -70937.50 -7 32489.00 40037.50 -7262.50 [skipped 109,091] 4660.75 4661.00 -15 -176621.20 -45737.50 -130562.50 Id32 Sell 3@4660.75 [4334.25-->4660.75] -10 4613.30 40037.50 -35125.00 [skipped 1,727] 4676.75 4677.00 -15 -188621.20 -45737.50 -142562.50 Id29 Sell 5@4676.75 [4474.00-->4676.75] -15 -3471.20 40037.50 -43187.50 Empty queue ------------------------------------------ [skipped 223,340] 4746.50 4746.75 Id41 Buy 4@4746.75 => -11 -240933.70 -113187.50 -127425.00 -15 -55783.70 40037.50 -95500.00 [skipped 54,725] 4678.00 4678.25 Id42 Buy 4@4678.25 -7 -203258.70 -161812.50 -41125.00 -11 -4408.70 9112.50 -13200.00 [skipped 33,166] 4626.75 4627.00 Id43 Sell 3@4626.75 -10 -185371.90 -161812.50 -23225.00 -14 23728.10 9112.50 14950.00 [skipped 64,461] 4596.75 4597.00 -10 -170371.90 -161812.50 -8225.00 Id41 Buy 4@4597.00 [4746.75-->4597.00] -10 44728.10 14287.50 30775.00 [skipped 4,398] 4593.75 4594.00 Id44 Sell 2@4593.75 => -12 -168905.70 -161812.50 -6750.00 -10 46228.10 14287.50 32275.00 Empty queue ------------------------------------------ Empty queue ------------------------------------------ -Results- priceIntervalCounter: 3,787,576 countRandomOrders: 45 countRandomOrdersUndelayed: 37 countRandomOrdersDelayed: 8 countRandomOrdersDelayedExecuted: 8 countPhases: 4 queueDelayedOrders.Count: 0 Elapsed hours for 3,787,576 new ticks at given avg tickrate (700/h): 5410.82h (225.45 days) PnL differences at phases: Phase 1 ΔPnL: $85,487.50 Phase 2 ΔPnL: $185,150.00 Phase 3 ΔPnL: $215,100.00 Phase 4 ΔPnL: $220,125.00