Co Variance Matrix
1
2 |ExSan| C++ |ExSan| MSVSC2019_V16_11.19@09.14
3 Wed Oct 26 07:18:04 2022
4
5
6 exsan.plusplus@gmail.com https://twitter.com/#!/ExSan_com
7 JOB: hft1804
8 GLUTo Mon May 15, 2023
9 License Grant for: 165 days more StockCounterDB Number of files: 15
10
11 Read From File myInvestment: 2141 Savings: 10
12
13 pp_lastIN 0 ppnt_time 1 ppnt_data 2 ... -> prev 1, last 0
14 ... -> prev 1, last 0
15
16 stockCounterDB: 15 mu: 0.33 Limit Trading / Savings: 10000 FactoRun: 2
17 ******************
18 <--------E-x-S-a-n---------->
19 Generate Exsan ( 21 , 21 )
20
21 Total Number of assets allocated: 20
22
23 |<--------E-x-S-a-n---HFT------->|
24 :2031: Number of datum read: 699 171875000 nanoseconds since thread start-up
25 :2032: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
26 WORKSHEET 9 I[8, 10] FLOAT
27 A B C D E F G H I J
28 >----------------------------------------------------------------------<
29 43 10700350.00 ELGE 4: 13.00 13.00 13.00 13.00 13.00 13.01 13.00 13.00 13
30 50 5414390.00 XNT 5: 29.92 30.13 30.35 30.44 30.55 30.72 30.54 30.61 30
31 55 7575140.00 TNX 6: 61.74 61.95 61.70 61.49 60.65 61.88 61.71 61.37 61
32 49 12108940.00 OGOG 7:104.86 102.39 103.76 102.58 102.00 106.15 106.47 104.37 103
33 41 11033760.00 GOGO 8: 9.54 9.01 8.92 8.96 8.97 8.94 9.20 9.37 9
34 <---------------------------------------------------------------------->
35 1 2 3 4 5 6 7 8 9
36
37 :2031: Number of datum read: 1399 218750000 nanoseconds since thread start-up
38 :2032: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
39 WORKSHEET 9 I[9, 10] FLOAT
40 A B C D E F G H I J
41 >----------------------------------------------------------------------<
42 90 4567840.00 EGLE 1: 22.02 21.96 22.40 22.04 22.11 22.39 22.55 22.82 22
43 81 6407120.00 HK 2: 9.62 9.01 9.48 9.43 9.23 8.84 9.09 8.98 9
44 99 4348750.00 XNT 5: 30.01 29.94 29.63 29.77 29.37 29.42 28.79 29.02 28
45 96 6039560.00 OGOG 7:117.25 117.53 116.28 117.74 116.46 116.48 118.69 117.11 116
46 91 5473410.00 FB 9: 20.91 20.79 20.28 20.62 20.32 21.66 21.99 22.27 21
47 <---------------------------------------------------------------------->
48 1 2 3 4 5 6 7 8 9
49
50 :2031: Number of datum read: 2099 281250000 nanoseconds since thread start-up
51 :2032: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
52 WORKSHEET 9 I[11, 10] FLOAT
53 A B C D E F G H I J
54 >----------------------------------------------------------------------<
55 140 11852010.00 EGLE 1: 18.15 17.48 17.32 17.39 17.70 18.47 18.69 19.94 19
56 123 8818620.00 ELGE 4: 13.01 13.01 13.01 13.01 13.01 13.01 13.01 13.01 13
57 139 5906680.00 XNT 5: 28.31 28.53 28.42 28.73 28.60 28.31 28.40 28.38 28
58 138 7547340.00 TNX 6: 61.50 60.13 60.00 60.25 60.21 60.00 60.25 60.29 61
59 143 8719820.00 OGOG 7:112.43 110.29 112.75 118.39 118.88 118.35 115.39 115.28 115
60 130 2799930.00 GOGO 8: 14.86 14.77 14.79 14.52 14.47 14.48 14.19 14.11 14
61 128 9003970.00 FB 9: 24.32 24.00 25.94 26.15 26.36 27.32 28.00 27.04 22
62 52 6786150.00 WPM 10: 23.29 23.38 23.38 23.83 23.65 23.20 24.46 24.01 24
63 128 6076290.00 UCO 11: 51.36 51.80 53.48 55.60 57.48 56.76 54.40 54.28 48
64 <---------------------------------------------------------------------->
65 1 2 3 4 5 6 7 8 9
66
67 :2308: Number of datum read: 2099 296875000 nanoseconds since thread start-up
68 :2310: -Algorithm has selected those stocks that are compatible in terms of Volatility
69 :2311: -AT THIS INSTANT- Sparce Co-Variance Matrix ppCorr (ppAux) 0
70 WORKSHEET 0 @[9, 9] FLOAT
71 G H I
72 >---------------------<
73 7: 0.00 0.89 -0.95
74 8: 0.89 0.00 -0.90
75 9: 14.56 14.56 0.00
76 <--------------------->
77 :2312: -Low Triangular Matrix and Diagonal are being used to store data for other purpose
78
79
80
81
82 :2031: Number of datum read: 2799 375000000 nanoseconds since thread start-up
83 :2032: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
84 WORKSHEET 9 I[11, 10] FLOAT
85 A B C D E F G H I J
86 >----------------------------------------------------------------------<
87 180 6449490.00 EGLE 1: 19.05 19.14 18.99 18.97 19.53 19.91 20.04 19.87 20
88 174 7765990.00 ELGE 4: 13.01 13.01 13.01 13.01 13.01 13.01 13.01 13.01 13
89 182 6678910.00 XNT 5: 29.57 29.90 30.04 29.69 29.50 29.44 29.46 29.64 29
90 188 8262850.00 TNX 6: 57.78 58.20 58.67 58.92 58.54 58.16 57.95 57.70 58
91 180 7778160.00 GOGO 8: 14.95 14.78 14.71 15.15 15.07 15.34 15.06 16.89 17
92 176 5501160.00 FB 9: 28.64 29.05 28.65 28.55 28.26 27.37 31.24 30.98 29
93 93 7778220.00 WPM 10: 33.15 26.25 26.43 31.45 35.48 34.94 27.77 26.88 28
94 174 7524730.00 UCO 11: 45.68 48.44 51.36 50.40 51.28 51.40 49.04 50.08 51
95 <---------------------------------------------------------------------->
96 1 2 3 4 5 6 7 8 9
97
98 :2031: Number of datum read: 3399 437500000 nanoseconds since thread start-up
99 :2032: -AT THIS INSTANT- 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 >----------------------------------------------------------------------<
103 218 9179600.00 EGLE 1: 19.21 19.32 19.43 19.78 20.38 20.01 20.03 19.61 19
104 203 8563330.00 HK 2: 8.11 8.09 7.92 8.06 8.26 8.48 8.54 8.40 8
105 148 9603280.00 NFFD 3: 10.01 10.01 10.01 10.01 10.01 10.01 10.01 10.01 10
106 223 6651240.00 XNT 5: 28.04 28.68 29.08 28.70 28.94 28.66 28.83 28.77 28
107 227 6393110.00 TNX 6: 55.43 54.39 55.13 55.22 54.30 53.19 52.99 56.22 56
108 217 6395870.00 OGOG 7:105.32 102.16 104.91 109.09 109.77 109.98 113.57 103.18 100
109 233 7257870.00 GOGO 8: 23.19 23.34 23.43 21.20 20.87 20.61 21.62 22.12 22
110 212 9513200.00 UCO 11: 49.84 51.08 44.96 44.16 44.92 45.80 44.52 46.24 47
111 <---------------------------------------------------------------------->
112 1 2 3 4 5 6 7 8 9
113
114 :2031: Number of datum read: 3899 484375000 nanoseconds since thread start-up
115 :2032: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
116 WORKSHEET 9 I[9, 10] FLOAT
117 A B C D E F G H I J
118 >----------------------------------------------------------------------<
119 174 6670360.00 NFFD 3: 10.02 10.02 10.02 10.02 10.02 10.02 10.02 10.02 10
120 248 6368260.00 ELGE 4: 13.00 13.00 13.00 13.00 13.00 13.00 13.00 13.00 13
121 253 6966800.00 XNT 5: 25.78 25.44 25.52 26.62 26.21 26.54 26.24 26.65 26
122 261 5053450.00 TNX 6: 52.95 52.34 51.56 50.95 51.74 52.21 52.74 53.03 52
123 250 7021080.00 OGOG 7:103.78 100.15 104.86 108.06 105.58 111.19 116.77 116.99 116
124 250 6823280.00 FB 9: 26.13 26.25 25.76 25.66 25.16 25.06 24.31 24.10 23
125 <---------------------------------------------------------------------->
126 1 2 3 4 5 6 7 8 9
127
128 :2308: Number of datum read: 3899 484375000 nanoseconds since thread start-up
129 :2310: -Algorithm has selected those stocks that are compatible in terms of Volatility
130 :2311: -AT THIS INSTANT- Sparce Co-Variance Matrix ppCorr (ppAux) 0
131 WORKSHEET 0 @[9, 9] FLOAT
132 C E G I
133 >----------------------------<
134 3: 0.00 -0.90 0.90 -0.87
135 5: -1.99 0.00 -0.81 0.81
136 7: 0.90 -0.81 0.00 -0.94
137 9: -0.87 0.81 -4.56 0.00
138 <---------------------------->
139 :2312: -Low Triangular Matrix and Diagonal are being used to store data for other purpose
140
141
142
143
144 :2031: Number of datum read: 7599 859375000 nanoseconds since thread start-up
145 :2032: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
146 WORKSHEET 9 I[12, 10] FLOAT
147 A B C D E F G H I J
148 >----------------------------------------------------------------------<
149 490 3185270.00 EGLE 1: 34.44 34.19 34.31 34.00 36.26 36.10 36.42 35.74 37
150 467 3553820.00 ELGE 4: 13.01 13.01 13.01 13.01 13.01 13.01 13.01 13.01 13
151 504 4937040.00 XNT 5: 24.18 23.68 24.52 24.50 23.30 23.80 23.61 23.70 23
152 508 4487320.00 OGOG 7: 80.23 82.33 83.22 83.57 82.39 81.93 80.50 80.22 79
153 490 4437090.00 UCO 11: 43.80 43.84 41.44 39.72 41.36 40.68 40.36 40.16 42
154 13 3921060.00 BF 12:126.62 126.09 124.35 129.37 128.93 127.04 127.55 127.92 127
155 <---------------------------------------------------------------------->
156 1 2 3 4 5 6 7 8 9
157
158 :2031: Number of datum read: 10299 1125000000 nanoseconds since thread start-up
159 :2032: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
160 WORKSHEET 9 I[12, 10] FLOAT
161 A B C D E F G H I J
162 >----------------------------------------------------------------------<
163 671 10436360.00 EGLE 1: 39.38 36.77 37.34 37.43 37.50 38.65 38.61 39.03 38
164 639 3760460.00 ELGE 4: 13.01 13.01 13.01 13.01 13.01 13.01 13.01 13.01 13
165 663 6968990.00 XNT 5: 17.53 17.05 17.57 18.70 18.59 18.38 18.49 18.45 18
166 665 6955650.00 TNX 6: 37.59 37.66 36.89 36.07 36.99 38.49 37.80 37.76 36
167 680 7082910.00 OGOG 7: 72.41 72.53 72.01 70.42 70.97 70.03 70.66 70.62 71
168 687 10593830.00 GOGO 8: 33.57 33.57 33.21 33.51 33.74 34.51 35.12 31.77 32
169 667 6726580.00 FB 9: 76.74 77.65 77.83 77.50 75.78 76.24 78.00 74.05 75
170 570 7639560.00 WPM 10: 88.34 86.19 86.64 85.92 84.93 85.47 86.82 90.31 92
171 668 6845020.00 UCO 11: 40.10 38.94 34.27 34.71 29.76 29.93 30.22 33.03 42
172 186 10812010.00 BF 12:116.73 108.89 108.76 110.10 110.56 113.44 118.06 117.43 118
173 <---------------------------------------------------------------------->
174 1 2 3 4 5 6 7 8 9
175
176 :2031: Number of datum read: 11299 1250000000 nanoseconds since thread start-up
177 :2032: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
178 WORKSHEET 9 I[13, 10] FLOAT
179 A B C D E F G H I J
180 >----------------------------------------------------------------------<
181 690 5413080.00 ELGE 4: 13.02 13.03 13.03 13.03 13.03 13.03 13.03 13.03 13
182 750 4886970.00 OGOG 7: 70.84 69.10 68.24 68.31 68.41 67.81 68.27 68.36 70
183 763 3972240.00 GOGO 8: 25.28 25.29 24.98 25.08 25.67 25.89 25.74 26.56 26
184 637 6304180.00 WPM 10:120.95 127.40 125.25 122.21 120.68 127.67 130.63 117.99 121
185 743 6288470.00 UCO 11: 39.21 39.41 40.68 40.87 42.03 44.02 41.55 40.63 40
186 260 5969100.00 BF 12: 95.26 94.97 98.37 95.44 99.37 97.51 97.33 97.92 102
187 35 4490400.00 MPW 13:118.93 118.07 114.06 122.84 119.88 119.12 118.93 123.42 121
188 <---------------------------------------------------------------------->
189 1 2 3 4 5 6 7 8 9
190
191
192 :4291: Normal exit geNSTOCKS:-> 0
193
194 :4282: Beep ExSan has been killed
195
196 ENDS hft1804 Elapsed Time: 2.23 sec
197 Boost version: 1.80.0
198
199 EXIT FROM EXSAN
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