Futures ATS Journal

Discussion in 'Journals' started by huzhen, Jul 1, 2008.

  1. huzhen

    huzhen

    Hi, there,
    I created an ATS and have been tested it for 10 trading days now. I have been running it against a IB sim account.
    From today on, I will post to this journal the P&L everyday.
    I am not soliciting anything, just want to create a track record in pubic domain.

    Here is the summary of today's P&L, you can find the details in the jpeg file attached.
    NQ: $182.00
    ER2: $3758.00
    ES: $4119.00

    Thanks
     
  2. huzhen

    huzhen

    Today's summary:
    NQ: ($1120.80)
    ER2: ($150.40)
    ES: ($821.00)

    Total: ($2092.20)
     
  3. huzhen

    huzhen

    FYI
     
  4. huzhen

    huzhen

    Today's Summary:
    ES: $245.20
    ER2: $2216.00
    NQ: $0.00
    Total: $2461.20

    Since today Globex closed earlier at 1:30 pm, my ATS was not coded to handle this situation, so some positions were not liquidated in time.
    So in the account snapshot, you can see some unrealized gains.
    I am going to liquidate these positions first thing Monday morning.

    Zhen
     
  5. huzhen

    huzhen

    It seems that Globex is open after 5:00pm, so I just liquidated my outstanding positions.
    Here is the summary of the updated P&L:
    ER2: $2341.20
    ES: $893.30
    NQ: $0.00
    Total: $3234.50
     
  6. huzhen

    huzhen

    Today's Summary:
    ER2: ($4579.60)
    ES: ($1346.00)
    NQ: $5718.20

    Total: ($207.40)
     
  7. huzhen

    huzhen

    Today's Summary:
    ER2: ($121.60)
    ES: ($1916.20)
    NQ: ($1516.40)

    Total: ($3554.2)
     
  8. huzhen

    huzhen

    Today I am going to end this journal. Obviously my system is not performing well.
    Thank you for your patience with me. I will keep improving my algorithm and hopefully will start another journal soon.