exsan_hft_3249
1
2 |ExSan| C++ |ExSan| MSVSC2019_V16_11.19@09.14
3 Sun Oct 23 05:32:49 2022
4
5
6 exsan.plusplus@gmail.com https://twitter.com/#!/ExSan_com
7 JOB: hft3249
8
9 Systematic Trading
10 With systematic trading, regardless of what has happened at that moment, you would do the exact same thing. Systematic
11 trading is similar to some branches of algorithmic trading in that you execute according to a set of rules or
12 principles and different from others in implementation.With systematic trading, you can place the trade or have the
13 execution automated.
14
15 Algorithmic Trading
16 Algorithmic trading alternatively, includes semiand fully automated trading, quantitative trading, and Figh - Frequency
17 Trading HFT. While algorithmic trading is systematic in the sense of following a set of rules, all systematic trading
18 is not necessarily algorithmic. Algorithmic trading encompasses quantitative trading.
19 Inside of quantitative trading is high - frequency trading.
20
21 Basics of Algorithmic Trading : Concepts and Examples
22
23 ExSan uses for this simulation data market from Yahoo Finance.
24 About + 1000 files in txt format, each containing 4K to 7K records entries containing data since Jan 2000.
25
26 This simulator can handle more than + 1000 stocks / assets. It is only limited by the amount of RAM installedand the
27 addressable memory. Datum - Data Files
28 System Clock: 16665211693449635 [1/10000000]seconds since Jan 1, 1970
29
30 Clock now: 771780252013100 nanoseconds since boot
31
32 44000000 nanoseconds since process start-up
33
34 15625000 nanoseconds since process start-up
35
36 31250000 nanoseconds since process start-up
37
38 cpu_clock now: {44000000;15625000;31250000} nanoseconds since process start-up
39
40 thread clock now: 46875000 nanoseconds since thread start-up
41 GLUTo Mon May 15, 2023
42 License Grant for: 165 days more StockCounterDB Number of files: 16
43
44 Read From File myInvestment: 2141 Savings: 10
45
46 stFrom : 7 <---> 130.839 stTo = .55 * myInvestment / minDB : 1177.55 / 9 III
47 pp_lastIN 0 ppnt_time 1 ppnt_data 2 ... -> prev 1, last 0
48 ... -> prev 1, last 0
49
50 stockCounterDB: 16 mu: 0.33 Limit Trading / Savings: 10000 FactoRun: 2
51 ******************
52 <--------E-x-S-a-n---------->
53 Generate Exsan ( 21 , 21 )
54
55 Total Number of assets allocated: 20
56
57 PARAMETERS
58 Investment: 2141 min Inv/Stock: 30 # Ticks -cols-: 10 beta: 0.02 ep(little ball): 0.0001
59 HedgeBand 0.15 <-- 0.7 --> 0.85 R( 0.894591 ; 0.89379 )r Lineal #Ticks: 3
60 Expected Return: 3.3 % minDB: 5 timesLapse: 1 timeZoomFactor: 1 retFactor: 1.5
61 Trigger Check Counter: 5 Number of times dice is thrown: 12199 EndLess: 0
62 Run: 3 onlyInteger 0 hedge: 1 ntNodes: 1 limitWeightFactor: 0.53 tickLimitToClear: 33
63 dbFile: c:\\exsan\\exsan_data\\stocki.txt
64 |<--------E-x-S-a-n---HFT------->|
65 468750000 nanoseconds since thread start-up
66 :1967: Stocks selected that can be used to establish correlation
67 WORKSHEET 9 I[7, 10] FLOAT
68 A B C D E F G H I J
69 >--------------------------------------------------<
70 222 5318780.00FQVLFi 1:15.40 15.37 15.33 15.29 15.35 15.37 15.38 15.40 15.36 15.35
71 218 6969730.00KIGRYi 4:11.28 11.24 11.27 11.25 11.26 11.24 11.27 11.27 11.38 11.31
72 212 6173400.00CGEMYi 5:34.15 34.17 34.08 34.10 34.12 34.13 34.09 34.07 34.10 34.11
73 244 6139500.00 GFSi 6:48.57 48.52 48.60 48.62 48.45 48.46 48.47 48.47 48.49 48.53
74 263 4981140.00 GETYi 7:25.15 24.00 24.45 26.24 26.29 26.57 27.42 26.14 25.99 25.40
75 <-------------------------------------------------->
76 1 2 3 4 5 6 7 8 9 10
77
78 BACK TO Low Latency Systematic Trading Algorithm
79 609375000 nanoseconds since thread start-up
80 :1967: Stocks selected that can be used to establish correlation
81 WORKSHEET 9 I[11, 10] FLOAT
82 A B C D E F G H I J
83 >--------------------------------------------------<
84 310 9690980.00FQVLFi 1:16.86 16.88 16.80 16.83 16.86 16.85 16.89 16.93 16.70 16.60
85 307 5397850.00 CLFi 2:92.01 92.03 91.99 91.98 91.88 91.93 91.98 91.96 91.94 91.98
86 274 13236740.00 Xi 3:20.09 20.05 20.03 20.02 20.06 20.08 20.07 20.08 20.10 20.10
87 280 12107800.00KIGRYi 4:11.41 11.45 11.38 11.40 11.45 11.44 11.41 11.38 11.41 11.35
88 273 12886930.00CGEMYi 5:33.84 33.85 33.87 33.84 33.83 33.82 33.86 33.85 33.85 33.86
89 326 5892160.00 GFSi 6:48.81 48.81 48.78 48.70 48.66 48.65 48.82 48.76 48.72 48.78
90 338 8659180.00 GETYi 7:23.99 23.85 23.82 23.86 23.47 23.06 23.06 22.72 23.59 23.74
91 246 10309370.00 NOVi 8:14.52 14.55 14.55 14.53 14.55 14.54 14.52 14.51 14.55 14.55
92 272 8785270.00 ENVXi 9:11.29 11.25 11.27 11.31 11.31 11.32 11.34 11.34 11.40 11.36
93 294 13986490.00 BTCi 11:21.26 21.26 21.27 21.26 21.30 21.29 21.29 21.28 21.27 21.26
94 <-------------------------------------------------->
95 1 2 3 4 5 6 7 8 9 10
96
97 BACK TO Low Latency Systematic Trading Algorithm
98 656250000 nanoseconds since thread start-up
99 :1967: Stocks selected that can be used to establish correlation
100 WORKSHEET 9 I[11, 10] FLOAT
101 A B C D E F G H I J
102 >--------------------------------------------------<
103 334 9556740.00FQVLFi 1:18.08 18.03 18.06 18.12 17.85 17.96 17.93 17.99 18.20 18.17
104 327 14680100.00 CLFi 2:92.13 92.12 92.16 92.17 92.18 92.15 92.08 92.06 92.07 92.16
105 295 12093950.00 Xi 3:20.04 20.05 20.08 20.08 20.06 20.00 20.00 20.01 20.03 20.02
106 296 17529450.00KIGRYi 4:11.39 11.39 11.40 11.39 11.39 11.40 11.39 11.40 11.37 11.38
107 294 14169310.00CGEMYi 5:34.46 34.44 34.38 34.52 34.47 34.35 34.34 34.45 34.44 34.43
108 356 9707660.00 GFSi 6:48.42 48.50 48.74 48.86 48.78 48.62 48.47 48.58 48.45 48.48
109 365 6308070.00 GETYi 7:24.60 24.44 23.97 24.86 24.64 25.90 25.60 24.68 24.92 24.79
110 262 15226700.00 NOVi 8:14.56 14.56 14.52 14.48 14.47 14.48 14.52 14.55 14.55 14.56
111 292 10662930.00 ENVXi 9:11.20 11.15 11.48 11.38 11.35 11.40 11.41 11.44 11.26 11.24
112 181 15785540.00 INDIi 10: 7.07 7.22 7.22 7.22 7.24 7.24 7.21 7.20 7.20 7.11
113 320 11569510.00 BTCi 11:21.27 21.29 21.29 21.29 21.30 21.30 21.28 21.28 21.28 21.27
114 <-------------------------------------------------->
115 1 2 3 4 5 6 7 8 9 10
116
117 BACK TO Low Latency Systematic Trading Algorithm
118 750000000 nanoseconds since thread start-up
119 :1967: Stocks selected that can be used to establish correlation
120 WORKSHEET 9 I[13, 10] FLOAT
121 A B C D E F G H I J
122 >--------------------------------------------------<
123 375 10740210.00 CLFi 2:91.88 91.89 91.86 91.88 91.89 92.00 92.03 91.99 92.00 91.96
124 350 10226240.00 Xi 3:20.55 20.51 20.45 20.38 20.40 20.50 20.55 20.51 20.45 20.42
125 315 14289710.00 NOVi 8:15.06 15.18 15.16 15.13 15.15 15.20 15.16 15.03 14.96 15.02
126 222 14107930.00 INDIi 10: 7.19 7.18 7.20 7.18 7.18 7.20 7.18 7.16 7.15 7.16
127 374 10515630.00 BTCi 11:21.24 21.23 21.23 21.23 21.24 21.25 21.25 21.24 21.24 21.23
128 27 12558940.00 PGYi 13: 9.78 9.56 9.72 9.73 9.64 9.13 8.99 9.33 9.34 9.35
129 <-------------------------------------------------->
130 1 2 3 4 5 6 7 8 9 10
131
132 BACK TO Low Latency Systematic Trading Algorithm
133 906250000 nanoseconds since thread start-up
134 :1967: Stocks selected that can be used to establish correlation
135 WORKSHEET 9 I[11, 10] FLOAT
136 A B C D E F G H I J
137 >--------------------------------------------------<
138 469 7209670.00FQVLFi 1:18.39 18.34 18.28 18.29 18.26 18.25 18.01 17.73 17.90 18.44
139 453 4328600.00 CLFi 2:92.12 92.21 92.29 91.81 91.88 92.06 92.02 91.82 91.87 91.94
140 420 2789310.00 Xi 3:20.49 20.50 20.53 20.54 20.56 20.59 20.59 20.59 20.60 20.60
141 432 4905440.00KIGRYi 4:11.40 11.39 11.45 11.43 11.33 11.28 11.39 11.35 11.38 11.33
142 476 6718750.00 GFSi 6:48.22 48.25 48.21 48.30 48.31 48.35 48.05 48.17 48.21 48.19
143 384 4992310.00 NOVi 8:14.95 14.92 14.89 14.88 14.98 14.97 14.96 14.98 14.97 14.98
144 469 6160710.00 BTCi 11:21.31 21.31 21.30 21.30 21.32 21.35 21.35 21.34 21.31 21.32
145 <-------------------------------------------------->
146 1 2 3 4 5 6 7 8 9 10
147
148 BACK TO Low Latency Systematic Trading Algorithm
149 1062500000 nanoseconds since thread start-up
150 :1967: Stocks selected that can be used to establish correlation
151 WORKSHEET 9 I[13, 10] FLOAT
152 A B C D E F G H I J
153 >--------------------------------------------------<
154 540 3321640.00FQVLFi 1:18.66 18.67 18.68 18.66 18.71 18.76 18.79 18.73 18.73 18.74
155 518 13786340.00 CLFi 2:93.75 93.78 93.73 93.76 93.68 93.66 93.64 93.61 93.67 93.65
156 494 12761090.00 Xi 3:20.06 20.06 20.07 20.05 20.09 20.09 20.07 20.08 20.09 20.08
157 502 10386790.00KIGRYi 4:10.65 10.72 10.69 10.72 10.71 10.74 10.70 10.69 10.66 10.68
158 552 5723650.00 GETYi 7:29.63 29.57 29.20 29.19 29.31 29.26 29.72 29.68 29.50 29.60
159 464 13671840.00 ENVXi 9:10.75 10.77 10.76 10.76 10.73 10.73 10.74 10.76 10.74 10.74
160 314 11008580.00 INDIi 10: 7.19 7.18 7.18 7.16 7.22 7.22 7.23 7.23 7.22 7.22
161 533 12289650.00 BTCi 11:21.25 21.25 21.26 21.27 21.26 21.26 21.25 21.25 21.24 21.24
162 185 12728930.00 PGYi 13:10.34 10.35 10.35 10.47 10.56 10.35 10.38 10.35 10.38 10.35
163 <-------------------------------------------------->
164 1 2 3 4 5 6 7 8 9 10
165
166 BACK TO Low Latency Systematic Trading Algorithm
167 1140625000 nanoseconds since thread start-up
168 :1967: Stocks selected that can be used to establish correlation
169 WORKSHEET 9 I[13, 10] FLOAT
170 A B C D E F G H I J
171 >--------------------------------------------------<
172 538 2629520.00 Xi 3:19.93 19.96 19.95 19.94 19.90 19.87 19.91 19.88 20.00 19.97
173 499 5917660.00CGEMYi 5:38.02 38.03 37.99 37.98 38.02 37.96 37.94 37.94 37.92 38.07
174 598 2821590.00 GETYi 7:30.50 30.53 30.22 30.39 30.15 29.80 30.20 30.05 30.37 30.51
175 490 4356940.00 NOVi 8:14.94 14.95 14.93 14.90 14.89 14.88 14.86 14.89 14.90 14.88
176 573 5019370.00 BTCi 11:21.39 21.40 21.40 21.34 21.35 21.36 21.37 21.37 21.39 21.39
177 228 4279550.00 PGYi 13:12.38 12.65 12.64 12.52 12.59 12.55 12.54 12.39 11.85 11.74
178 <-------------------------------------------------->
179 1 2 3 4 5 6 7 8 9 10
180
181 BACK TO Low Latency Systematic Trading Algorithm
182
183 :4291: Normal exit geNSTOCKS:-> 0
184 Data Market up loaded to ExSan pp: 4
185
186 WORKSHEET 4 D[13, 10] FLOAT
187 A B C D E F G H I J
188 >--------------------------------------------------<
189 710 11480160.00FQVLFi 1:18.90 18.93 19.09 19.11 19.13 19.34 19.31 19.33 18.90 18.50
190 655 8926860.00 Xi 3:19.79 19.80 19.82 19.82 19.81 19.82 19.76 19.75 19.75 19.74
191 660 7044770.00KIGRYi 4:11.57 11.58 11.54 11.53 11.56 11.51 11.57 11.53 11.50 11.49
192 698 10365740.00 GFSi 6:48.15 47.67 47.66 47.61 47.35 47.09 46.98 46.88 46.88 46.70
193 415 10618670.00 INDIi 10: 7.24 7.24 7.25 7.23 7.24 7.24 7.26 7.25 7.27 7.28
194 679 5688590.00 BTCi 11:21.25 21.25 21.24 21.23 21.23 21.24 21.24 21.24 21.24 21.23
195 380 8541280.00 PGYi 13: 9.93 9.81 10.12 10.00 10.08 10.07 10.03 10.13 9.95 10.12
196 <-------------------------------------------------->
197 1 2 3 4 5 6 7 8 9 10
198
199
200 :4282: Beep ExSan has been killed
201 1 action ---> copy C:\\exsan\\exsan_data\\balanceSheeTest.txt d:\exsan\IB\exsan_hft_3249.txt
202
203 2 action ---> copy C:\\exsan\\exsan_data\\balanceSheeTest.txt d:\Mis Documentos\Google Drive\exsan_hft_3249.txt
204
205
206 ENDS hft3249 Elapsed Time: 2.92 sec
207 Boost version: 1.80.0
208
209 EXIT FROM EXSAN
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