Generating Correlation Matrix 03
1
2 |ExSan| C++ |ExSan| MSVSC2019_V16_11.19@09.14
3 Tue Oct 25 11:38:22 2022
4
5
6 exsan.plusplus@gmail.com https://twitter.com/#!/ExSan_com
7 JOB: hft3822
8 GLUTo Mon May 15, 2023
9 License Grant for: 165 days more StockCounterDB Number of files: 16
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: 16 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 296875000 nanoseconds since thread start-up
25 :2036: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
26 WORKSHEET 9 I[10, 10] FLOAT
27 A B C D E F G H I J
28 >--------------------------------------------------<
29 140 5180920.00FQVLFi 2:14.88 14.83 14.87 14.85 14.77 14.77 14.79 14.75 14.71 14.65
30 149 6322440.00 GETYi 3:27.54 24.90 25.90 26.00 25.87 25.60 25.75 26.05 27.00 27.59
31 118 4503770.00 NOVi 4:14.60 14.60 14.59 14.61 14.60 14.60 14.58 14.57 14.59 14.58
32 128 5383190.00 GFSi 5:47.91 47.95 47.92 47.91 47.93 47.92 47.85 47.88 48.02 47.96
33 107 5872030.00 INDIi 8: 7.16 7.16 7.17 7.16 7.16 7.15 7.14 7.14 7.15 7.16
34 137 5629120.00CGEMYi 10:34.59 34.58 34.60 34.57 34.58 34.66 34.70 34.63 34.60 34.59
35 <-------------------------------------------------->
36 1 2 3 4 5 6 7 8 9 10
37
38 296875000 nanoseconds since thread start-up
39 :2306: -Algorithm has selected those stocks that are compatible in terms of Volatility
40 :2307: -AT THIS INSTANT- Sparce Correlation Matrix ppCorr 8
41 WORKSHEET 8 H[10, 10] FLOAT
42 B C D E H J
43 >------------------------------------------------------<
44 2: 0.05 0.04 0.34 0.81 -0.03 -0.61
45 3: 0.02 5.55 -0.65 0.47 -0.71 0.48
46 4: 0.00 -0.05 0.00 0.18 0.70 -0.79
47 5: 0.02 0.14 0.00 0.02 -0.25 -0.42
48 8: -0.00 -0.04 0.00 -0.00 0.00 -0.64
49 10: -0.02 0.13 -0.00 -0.01 -0.00 0.01
50 <------------------------------------------------------>
51
52 :2308:-Please Ignore LOWER TRIANGULAR MATRIX THAT IS BEING USED TO STORE SOME PARAMETERS
53
54
55
56
57 453125000 nanoseconds since thread start-up
58 :2036: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
59 WORKSHEET 9 I[12, 10] FLOAT
60 A B C D E F G H I J
61 >--------------------------------------------------<
62 190 9319670.00 ENVXi 1:11.20 11.19 11.19 11.14 11.13 11.15 11.16 11.17 11.19 11.19
63 220 9068770.00FQVLFi 2:15.35 15.37 15.38 15.40 15.36 15.35 15.40 15.37 15.30 15.33
64 231 9278440.00 GETYi 3:24.73 23.59 23.73 23.73 23.69 23.46 23.30 23.46 23.87 24.86
65 180 9890670.00 NOVi 4:14.58 14.59 14.57 14.56 14.59 14.57 14.58 14.60 14.61 14.62
66 199 7270890.00KIGRYi 7:10.40 10.38 10.39 10.41 10.39 10.40 10.38 10.40 10.44 10.40
67 219 6960580.00 CLFi 9:91.46 91.57 91.61 91.64 91.58 91.51 91.53 91.58 91.61 91.38
68 37 9300240.00 MGAMi 12:11.50 11.51 11.25 10.80 10.50 9.33 9.15 11.52 11.39 12.29
69 <-------------------------------------------------->
70 1 2 3 4 5 6 7 8 9 10
71
72 453125000 nanoseconds since thread start-up
73 :2306: -Algorithm has selected those stocks that are compatible in terms of Volatility
74 :2307: -AT THIS INSTANT- Sparce Correlation Matrix ppCorr 8
75 WORKSHEET 8 H[12, 12] FLOAT
76 A B C D G I L
77 >---------------------------------------------------------------<
78 1: 0.00 -0.41 0.48 0.43 0.12 -0.65 -0.22
79 2: -0.00 0.01 -0.75 -0.76 -0.50 -0.08 0.73
80 3: 0.05 -0.09 2.31 0.88 0.52 0.23 -0.85
81 4: 0.00 -0.00 0.07 0.00 0.63 0.11 -0.92
82 7: 0.00 -0.00 0.04 0.00 0.00 0.20 -0.61
83 9: -0.01 -0.00 0.08 0.00 0.00 0.05 -0.25
84 12: -0.05 0.18 -3.80 -0.14 -0.08 -0.16 8.60
85 <--------------------------------------------------------------->
86
87 :2308:-Please Ignore LOWER TRIANGULAR MATRIX THAT IS BEING USED TO STORE SOME PARAMETERS
88
89
90
91
92 562500000 nanoseconds since thread start-up
93 :2036: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
94 WORKSHEET 9 I[11, 10] FLOAT
95 A B C D E F G H I J
96 >--------------------------------------------------<
97 280 12229280.00FQVLFi 2:16.01 16.02 16.05 16.07 16.29 16.29 16.40 16.42 16.40 16.42
98 309 11154520.00 GETYi 3:24.08 24.14 24.06 24.05 23.95 23.75 23.80 22.47 22.66 24.20
99 230 13305230.00 NOVi 4:14.45 14.46 14.50 14.49 14.51 14.51 14.50 14.52 14.49 14.51
100 242 11665190.00 GFSi 5:48.47 48.47 48.25 48.34 48.36 48.38 48.43 48.42 48.45 48.46
101 278 8268220.00 Xi 6:20.09 20.05 20.03 20.02 20.01 20.00 20.04 20.06 20.10 20.10
102 251 13128380.00KIGRYi 7:11.30 11.28 11.24 11.27 11.25 11.26 11.24 11.27 11.27 11.30
103 270 12446560.00 CLFi 9:92.00 92.01 91.86 91.84 91.82 91.85 91.80 91.81 91.75 91.76
104 255 12738040.00 BTCi 11:21.16 21.17 21.19 21.18 21.18 21.13 21.12 21.13 21.13 21.16
105 <-------------------------------------------------->
106 1 2 3 4 5 6 7 8 9 10
107
108 562500000 nanoseconds since thread start-up
109 :2306: -Algorithm has selected those stocks that are compatible in terms of Volatility
110 :2307: -AT THIS INSTANT- Sparce Correlation Matrix ppCorr 8
111 WORKSHEET 8 H[11, 11] FLOAT
112 B C D E F G I K
113 >------------------------------------------------------------------------<
114 2: 0.28 -0.71 0.76 0.93 -0.85 0.50 -0.86 0.99
115 3: -0.67 3.21 -0.39 -0.69 0.31 -0.82 0.70 -0.75
116 4: 0.02 -0.04 0.00 0.88 -0.80 0.12 -0.90 0.74
117 5: 0.10 -0.26 0.01 0.04 -0.82 0.35 -0.93 0.91
118 6: -0.05 0.06 -0.01 -0.02 0.01 -0.08 0.76 -0.83
119 7: 0.01 -0.08 0.00 0.00 -0.00 0.00 -0.46 0.55
120 9: -0.12 0.32 -0.01 -0.05 0.02 -0.01 0.07 -0.85
121 11: 0.04 -0.10 0.00 0.01 -0.01 0.00 -0.02 0.01
122 <------------------------------------------------------------------------>
123
124 :2308:-Please Ignore LOWER TRIANGULAR MATRIX THAT IS BEING USED TO STORE SOME PARAMETERS
125
126
127
128
129 640625000 nanoseconds since thread start-up
130 :2036: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
131 WORKSHEET 9 I[11, 10] FLOAT
132 A B C D E F G H I J
133 >--------------------------------------------------<
134 317 7477780.00FQVLFi 2:17.37 17.44 17.53 17.58 17.65 17.61 17.64 17.05 17.14 17.22
135 360 6718090.00 GETYi 3:23.44 22.83 22.87 23.22 23.28 24.20 24.26 25.03 26.20 25.90
136 286 6188790.00 GFSi 5:49.13 49.13 49.11 49.12 49.13 49.17 49.01 49.03 49.08 49.06
137 210 5393800.00 INDIi 8: 7.16 7.18 7.18 7.19 7.18 7.18 7.20 7.20 7.20 7.21
138 308 7492420.00 CLFi 9:91.96 91.94 91.98 92.01 92.03 91.99 91.98 91.88 91.84 91.98
139 300 7415990.00 BTCi 11:21.28 21.29 21.31 21.31 21.30 21.29 21.29 21.28 21.27 21.26
140 <-------------------------------------------------->
141 1 2 3 4 5 6 7 8 9 10
142
143 640625000 nanoseconds since thread start-up
144 :2306: -Algorithm has selected those stocks that are compatible in terms of Volatility
145 :2307: -AT THIS INSTANT- Sparce Correlation Matrix ppCorr 8
146 WORKSHEET 8 H[11, 11] FLOAT
147 B C E H I K
148 >------------------------------------------------------<
149 2: 0.42 0.81 0.93 0.92 0.47 -0.49
150 3: 1.89 13.00 0.76 0.83 0.02 -0.88
151 5: 0.09 0.40 0.02 0.83 0.36 -0.46
152 8: 0.03 0.13 0.01 0.00 0.34 -0.59
153 9: 0.05 0.01 0.01 0.00 0.03 0.29
154 11: -0.01 -0.14 -0.00 -0.00 0.00 0.00
155 <------------------------------------------------------>
156
157 :2308:-Please Ignore LOWER TRIANGULAR MATRIX THAT IS BEING USED TO STORE SOME PARAMETERS
158
159
160
161
162 1093750000 nanoseconds since thread start-up
163 :2036: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
164 WORKSHEET 9 I[13, 10] FLOAT
165 A B C D E F G H I J
166 >--------------------------------------------------<
167 452 3387400.00 ENVXi 1:10.75 10.74 10.71 10.69 10.69 10.72 10.72 10.72 10.76 10.75
168 531 5621970.00FQVLFi 2:18.71 18.78 18.71 18.82 18.79 18.80 18.66 18.67 18.68 18.66
169 600 3463930.00 GETYi 3:30.09 29.97 30.37 30.51 30.50 30.53 30.22 30.39 30.15 29.80
170 510 8144990.00 CLFi 9:93.33 93.14 93.19 93.22 93.24 93.27 93.32 93.51 93.56 93.42
171 509 8780650.00 BTCi 11:21.24 21.25 21.24 21.24 21.23 21.23 21.24 21.28 21.28 21.24
172 222 7472260.00 PGYi 13:12.38 12.65 10.76 10.90 11.01 11.28 11.51 11.45 11.85 11.74
173 <-------------------------------------------------->
174 1 2 3 4 5 6 7 8 9 10
175
176 1109375000 nanoseconds since thread start-up
177 :2306: -Algorithm has selected those stocks that are compatible in terms of Volatility
178 :2307: -AT THIS INSTANT- Sparce Correlation Matrix ppCorr 8
179 WORKSHEET 8 H[13, 13] FLOAT
180 A B C I K M
181 >------------------------------------------------------<
182 1: 0.00 -0.70 -0.13 0.85 0.35 0.85
183 2: -0.01 0.03 0.24 -0.66 -0.15 -0.62
184 3: -0.01 0.03 0.48 -0.30 -0.64 -0.30
185 9: 0.02 -0.04 -0.08 0.16 0.57 0.78
186 11: 0.00 -0.00 -0.02 0.01 0.00 0.67
187 13: 0.10 -0.19 -0.38 0.56 0.06 3.29
188 <------------------------------------------------------>
189
190 :2308:-Please Ignore LOWER TRIANGULAR MATRIX THAT IS BEING USED TO STORE SOME PARAMETERS
191
192
193
194
195 1125000000 nanoseconds since thread start-up
196 :2036: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
197 WORKSHEET 9 I[13, 10] FLOAT
198 A B C D E F G H I J
199 >--------------------------------------------------<
200 612 4770000.00 GETYi 3:30.68 30.37 30.25 30.20 30.49 30.79 30.21 30.59 30.22 30.44
201 478 6654900.00 NOVi 4:14.94 14.94 14.95 14.94 14.97 14.98 14.99 14.99 14.94 14.95
202 537 5863720.00 GFSi 5:47.85 47.82 47.82 47.80 47.76 47.78 47.76 47.95 47.90 47.87
203 530 7327880.00 Xi 6:20.09 20.08 20.06 20.03 20.01 20.00 20.01 19.99 20.00 19.97
204 477 8448100.00KIGRYi 7:11.20 11.21 11.19 11.17 11.20 11.18 11.19 11.20 11.21 11.20
205 468 7604730.00CGEMYi 10:38.01 38.04 38.03 38.05 38.04 38.08 38.08 38.10 38.00 38.01
206 231 7805750.00 PGYi 13:13.50 12.65 12.64 12.52 12.59 12.55 12.54 12.39 12.82 13.94
207 <-------------------------------------------------->
208 1 2 3 4 5 6 7 8 9 10
209
210 1125000000 nanoseconds since thread start-up
211 :2306: -Algorithm has selected those stocks that are compatible in terms of Volatility
212 :2307: -AT THIS INSTANT- Sparce Correlation Matrix ppCorr 8
213 WORKSHEET 8 H[13, 13] FLOAT
214 C D E F G J M
215 >---------------------------------------------------------------<
216 3: 0.26 0.12 -0.31 -0.34 -0.17 0.38 0.32
217 4: 0.00 0.00 -0.81 -0.77 -0.51 0.89 0.85
218 5: -0.03 -0.01 0.03 0.97 0.55 -0.93 -0.54
219 6: -0.02 -0.01 0.02 0.01 0.51 -0.95 -0.55
220 7: -0.00 -0.00 0.00 0.00 0.00 -0.51 -0.31
221 10: 0.02 0.01 -0.02 -0.01 -0.00 0.01 0.74
222 13: 0.23 0.07 -0.14 -0.09 -0.01 0.10 2.00
223 <--------------------------------------------------------------->
224
225 :2308:-Please Ignore LOWER TRIANGULAR MATRIX THAT IS BEING USED TO STORE SOME PARAMETERS
226
227
228
229
230 1281250000 nanoseconds since thread start-up
231 :2036: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
232 WORKSHEET 9 I[10, 10] FLOAT
233 A B C D E F G H I J
234 >--------------------------------------------------<
235 520 9372710.00 ENVXi 1:10.79 10.78 10.77 10.77 10.76 10.77 10.77 10.78 10.80 10.78
236 613 8109240.00FQVLFi 2:19.71 19.54 19.56 19.51 19.52 19.54 19.57 19.68 19.72 19.75
237 698 6352480.00 GETYi 3:30.30 30.02 30.13 30.31 30.41 30.49 29.80 29.60 29.66 30.11
238 602 8661610.00 GFSi 5:47.79 47.82 47.74 47.75 47.69 47.70 47.71 47.72 47.77 47.78
239 625 5387860.00 Xi 6:19.84 19.81 19.78 19.78 19.74 19.77 19.80 19.81 19.81 19.83
240 540 5802690.00KIGRYi 7:11.48 11.47 11.50 11.50 11.47 11.49 11.48 11.51 11.44 11.49
241 530 5313830.00CGEMYi 10:37.94 37.92 37.85 37.87 37.85 37.69 37.69 37.78 37.74 37.78
242 <-------------------------------------------------->
243 1 2 3 4 5 6 7 8 9 10
244
245 1281250000 nanoseconds since thread start-up
246 :2306: -Algorithm has selected those stocks that are compatible in terms of Volatility
247 :2307: -AT THIS INSTANT- Sparce Correlation Matrix ppCorr 8
248 WORKSHEET 8 H[10, 10] FLOAT
249 A B C E F G J
250 >---------------------------------------------------------------<
251 1: 0.00 -0.59 -0.59 0.66 -0.81 -0.42 0.16
252 2: -0.01 0.07 0.72 0.02 0.52 0.20 -0.75
253 3: -0.02 0.16 0.73 -0.37 0.68 0.44 -0.39
254 5: 0.00 0.00 -0.04 0.02 -0.78 -0.37 -0.42
255 6: -0.00 0.01 0.05 -0.01 0.01 0.18 -0.13
256 7: -0.00 0.00 0.02 -0.00 0.00 0.00 0.13
257 10: 0.00 -0.05 -0.09 -0.01 -0.00 0.00 0.07
258 <--------------------------------------------------------------->
259
260 :2308:-Please Ignore LOWER TRIANGULAR MATRIX THAT IS BEING USED TO STORE SOME PARAMETERS
261
262
263
264
265
266 :4291: Normal exit geNSTOCKS:-> 0
267
268 :4282: Beep ExSan has been killed
269
270 ENDS hft3822 Elapsed Time: 2.57 sec
271 Boost version: 1.80.0
272
273 EXIT FROM EXSAN
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