Selecting Entries to calculate Correlation Data Market 02
1
2 |ExSan| C++ |ExSan| MSVSC2019_V16_11.19@09.14
3 Tue Oct 25 10:53:24 2022
4
5
6 exsan.plusplus@gmail.com https://twitter.com/#!/ExSan_com
7 JOB: hft5324
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
Calculating Correlation in HFT (Low Latency Trading)
25 Question: Is it possible to calculate the correlation matrix if data is not
26 concurrent in time? i.e. tick by tick intra day data is asynchronous, volatile
27 in terms of occurrence and frequency in time. How?
28
29 (FROM NOW ON stock will be used only)
30 Let's say V is the VOLATILITY of an active/asset/stock
31 dV/dt and d2V/dt2 are stochastic t: time
32
33 In order to establish correlations a very innovative algorithm has been implemented
34 to select those entries that are closely concurrent on time. The algoritm is constantly
35 taking a snapshot of the data market uploaded to ExSan, it uses datum.time_stamp
36 to descriminates those stocks that can be used to configure an "instant portfolio",
37
38
39
40
41 125000000 nanoseconds since thread start-up
42 :1539: ExSan Frame ready for Volatily dependent selection DB Counter: 1 pp: 9
43 WORKSHEET 9 I[11, 10] FLOAT
44 A B C D E F G H I J
45 >--------------------------------------------------<
46 12 0.00 CLFi 1:89.16 89.14 89.07 89.34 89.31 89.38 89.11 89.10 89.14 89.28
47 15 0.00 GFSi 2:48.58 48.39 48.41 48.17 48.10 48.34 48.20 48.40 48.56 48.51
48 18 0.00 Xi 3:20.06 20.16 20.20 20.19 20.25 20.20 20.21 20.25 19.95 19.93
49 12 0.00 GETYi 4:24.24 25.12 23.68 24.12 23.00 23.41 22.50 22.06 24.49 24.80
50 14 0.00 NOVi 5:14.35 14.39 14.40 14.42 14.50 14.44 14.40 14.36 14.42 14.40
51 18 0.00KIGRYi 6:11.45 11.45 11.46 11.42 11.40 11.43 11.44 11.42 11.46 11.47
52 10 0.00FQVLFi 7:15.13 15.15 15.16 15.20 15.21 15.21 15.22 15.23 15.24 15.27
53 7 0.00 INDIi 8: 7.07 7.07 7.06 7.07 7.05 7.03 7.06 0.00 1.77 4.66
54 4 0.00 BTCi 9:21.48 21.48 21.48 21.47 0.00 0.00 0.00 0.00 5.37 14.18
55 8 0.00 ENVXi 10:11.43 11.35 11.39 11.39 11.37 11.40 11.40 11.34 2.86 7.54
56 5 0.00CGEMYi 11:34.72 34.64 34.67 34.62 34.61 0.00 0.00 0.00 8.68 22.92
57 <-------------------------------------------------->
58 1 2 3 4 5 6 7 8 9 10
59
60 265625000 nanoseconds since thread start-up
61 :2036: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
62 WORKSHEET 9 I[11, 10] FLOAT
63 A B C D E F G H I J
64 >--------------------------------------------------<
65 56 7947610.00 GFSi 2:47.58 47.54 47.49 47.45 47.59 47.51 47.47 47.41 47.35 47.40
66 61 3212370.00 Xi 3:19.83 19.80 19.77 19.83 19.76 19.82 19.80 19.82 19.83 19.84
67 67 3745620.00 GETYi 4:20.19 19.61 19.56 19.85 20.32 20.53 20.33 20.84 20.83 20.80
68 50 11097560.00FQVLFi 7:15.47 15.57 15.53 15.40 15.41 15.42 15.49 15.47 15.39 15.42
69 46 8041880.00 ENVXi 10:11.31 11.30 11.32 11.24 11.25 11.23 11.39 11.38 11.35 11.27
70 52 3011760.00CGEMYi 11:34.85 34.83 34.84 34.81 34.81 34.80 34.77 34.82 34.84 34.80
71 <-------------------------------------------------->
72 1 2 3 4 5 6 7 8 9 10
73
74 453125000 nanoseconds since thread start-up
75 :2036: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
76 WORKSHEET 9 I[11, 10] FLOAT
77 A B C D E F G H I J
78 >--------------------------------------------------<
79 159 3587840.00 CLFi 1:90.22 90.23 90.27 90.33 90.26 90.25 90.18 90.20 90.28 90.19
80 180 4757450.00 Xi 3:20.14 20.14 20.15 20.16 20.17 20.17 20.18 20.16 20.17 20.15
81 214 4424660.00 GETYi 4:24.62 24.77 24.91 24.83 25.25 25.26 24.83 25.10 25.10 25.04
82 179 5390580.00FQVLFi 7:15.16 15.16 15.19 15.17 15.21 15.20 15.20 15.30 15.31 15.15
83 148 2971590.00 BTCi 9:21.13 21.13 21.12 21.12 21.10 21.06 21.06 21.05 21.17 21.14
84 158 5259670.00CGEMYi 11:34.59 34.59 34.60 34.56 34.57 34.54 34.52 34.52 34.62 34.58
85 <-------------------------------------------------->
86 1 2 3 4 5 6 7 8 9 10
87
88 484375000 nanoseconds since thread start-up
89 :2036: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
90 WORKSHEET 9 I[11, 10] FLOAT
91 A B C D E F G H I J
92 >--------------------------------------------------<
93 173 9527820.00 CLFi 1:91.75 91.71 91.69 90.49 90.67 91.58 91.55 91.57 91.60 91.62
94 198 10827110.00 GFSi 2:48.29 48.34 48.35 48.38 48.37 48.35 48.30 48.24 48.30 48.32
95 190 9408310.00 Xi 3:20.18 20.16 20.15 20.18 20.16 20.18 20.18 20.19 20.18 20.16
96 241 6321460.00 GETYi 4:25.85 23.69 23.46 23.30 23.46 23.87 24.86 24.73 25.80 26.15
97 162 4428470.00KIGRYi 6:10.94 10.91 10.87 10.82 10.86 10.87 10.87 10.92 10.92 10.93
98 168 5229930.00 BTCi 9:20.97 20.97 20.96 20.96 20.95 20.96 20.94 20.95 20.98 20.98
99 139 8234520.00 ENVXi 10:11.05 11.06 11.08 11.12 11.11 11.12 11.12 11.11 11.10 11.06
100 174 4926340.00CGEMYi 11:34.41 34.35 34.35 34.36 34.63 34.45 34.43 34.38 34.35 34.31
101 <-------------------------------------------------->
102 1 2 3 4 5 6 7 8 9 10
103
104 656250000 nanoseconds since thread start-up
105 :2036: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
106 WORKSHEET 9 I[12, 10] FLOAT
107 A B C D E F G H I J
108 >--------------------------------------------------<
109 250 20477520.00 CLFi 1:91.63 91.74 91.76 91.78 91.81 91.88 91.92 91.95 91.94 92.00
110 274 18753410.00 Xi 3:20.09 20.05 20.03 20.02 20.06 20.08 20.07 20.08 20.10 20.10
111 324 17430640.00 GETYi 4:22.76 22.90 23.17 23.19 22.47 22.66 22.64 22.89 23.27 22.90
112 212 20284040.00 NOVi 5:14.47 14.48 14.51 14.49 14.49 14.48 14.48 14.49 14.48 14.47
113 228 20548900.00KIGRYi 6:11.30 11.30 11.32 11.33 11.32 11.31 11.33 11.34 11.27 11.27
114 265 12835060.00FQVLFi 7:15.85 15.51 15.53 15.50 15.41 16.20 16.12 15.96 16.05 16.04
115 147 12868710.00 INDIi 8: 7.19 7.20 7.20 7.20 7.19 7.20 7.20 7.19 7.20 7.18
116 240 22815450.00 BTCi 9:21.13 21.13 21.12 21.12 21.12 21.12 21.13 21.12 21.13 21.13
117 210 13816330.00 ENVXi 10:11.23 11.24 11.25 11.26 11.28 11.29 11.30 11.30 11.30 11.31
118 236 23938260.00CGEMYi 11:34.14 34.11 34.05 34.08 34.16 34.17 34.12 34.11 34.13 34.15
119 65 22290100.00 MGAMi 12:10.00 9.40 9.61 9.88 9.77 10.54 10.89 10.60 10.30 9.59
120 <-------------------------------------------------->
121 1 2 3 4 5 6 7 8 9 10
122
123 718750000 nanoseconds since thread start-up
124 :2036: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
125 WORKSHEET 9 I[10, 10] FLOAT
126 A B C D E F G H I J
127 >--------------------------------------------------<
128 276 6613480.00 CLFi 1:91.75 91.83 91.82 91.85 91.81 91.84 91.81 91.75 91.76 91.80
129 280 2541240.00 GFSi 2:49.13 49.13 49.11 49.12 49.13 49.17 49.18 49.03 48.99 49.00
130 306 8378700.00 Xi 3:20.13 20.11 20.12 20.13 20.15 20.15 20.07 20.08 20.08 20.09
131 356 5423380.00 GETYi 4:22.95 23.11 23.32 23.40 23.44 23.28 23.06 23.06 22.72 22.79
132 240 7182930.00 NOVi 5:14.53 14.52 14.52 14.51 14.50 14.51 14.52 14.51 14.55 14.55
133 271 5661930.00KIGRYi 6:11.43 11.35 11.14 11.13 11.33 11.38 11.43 11.34 11.39 11.39
134 298 10021580.00FQVLFi 7:16.46 16.40 16.46 16.50 16.43 16.57 16.65 16.73 16.59 16.45
135 269 4293130.00 BTCi 9:21.16 21.16 21.17 21.17 21.18 21.18 21.18 21.20 21.20 21.16
136 235 8306060.00 ENVXi 10:11.21 11.23 11.23 11.20 11.22 11.25 11.27 11.27 11.23 11.20
137 <-------------------------------------------------->
138 1 2 3 4 5 6 7 8 9 10
139
140 781250000 nanoseconds since thread start-up
141 :2036: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
142 WORKSHEET 9 I[11, 10] FLOAT
143 A B C D E F G H I J
144 >--------------------------------------------------<
145 310 9884170.00 CLFi 1:91.94 91.98 92.01 92.03 91.99 91.98 91.88 91.93 91.98 92.01
146 316 7737700.00 GFSi 2:48.82 48.76 48.72 48.78 48.81 48.81 48.90 48.89 48.85 48.86
147 338 2594770.00 Xi 3:20.37 20.36 20.39 20.77 20.70 20.67 20.49 20.44 20.35 20.34
148 384 7629440.00 GETYi 4:25.31 25.34 23.85 23.65 24.86 24.64 26.40 25.72 26.27 25.53
149 276 5560800.00 NOVi 5:14.62 14.64 14.63 14.65 14.64 14.62 14.60 14.60 14.61 14.61
150 333 8776670.00FQVLFi 7:18.06 18.12 18.07 17.96 17.93 17.99 18.20 18.17 18.08 18.03
151 296 7696390.00 BTCi 9:21.26 21.26 21.26 21.27 21.26 21.26 21.29 21.29 21.28 21.27
152 290 4088640.00CGEMYi 11:34.47 34.35 34.34 34.45 34.44 34.43 34.46 34.44 34.38 34.52
153 <-------------------------------------------------->
154 1 2 3 4 5 6 7 8 9 10
155
156 1218750000 nanoseconds since thread start-up
157 :2036: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
158 WORKSHEET 9 I[13, 10] FLOAT
159 A B C D E F G H I J
160 >--------------------------------------------------<
161 551 19822810.00 GFSi 2:47.75 47.80 47.78 47.76 47.77 47.72 47.72 47.78 47.79 47.78
162 562 10534930.00 Xi 3:19.74 19.76 19.75 19.73 19.74 19.74 19.73 19.73 19.75 19.75
163 648 12427130.00 GETYi 4:29.75 29.64 28.64 28.90 29.35 29.39 29.60 29.33 29.95 29.87
164 478 16543670.00 NOVi 5:14.94 14.94 14.95 14.94 14.97 14.98 14.99 14.99 14.94 14.95
165 513 13057410.00KIGRYi 6:10.65 11.32 11.35 10.72 10.69 10.72 10.65 10.69 10.72 10.67
166 572 21322160.00FQVLFi 7:19.01 19.00 19.37 19.36 19.33 19.37 19.27 19.12 18.96 18.92
167 320 17469200.00 INDIi 8: 7.14 7.14 7.13 7.12 7.12 7.12 7.12 7.14 7.12 7.12
168 531 17246890.00 BTCi 9:21.24 21.24 21.25 21.25 21.27 21.26 21.26 21.25 21.25 21.24
169 477 15727970.00 ENVXi 10:10.70 10.71 10.69 10.70 10.71 10.73 10.73 10.70 10.68 10.68
170 200 11106610.00 PGYi 13:10.46 10.49 10.48 10.42 10.44 10.43 10.42 10.33 10.18 10.28
171 <-------------------------------------------------->
172 1 2 3 4 5 6 7 8 9 10
173
174 1312500000 nanoseconds since thread start-up
175 :2036: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
176 WORKSHEET 9 I[9, 10] FLOAT
177 A B C D E F G H I J
178 >--------------------------------------------------<
179 573 9537920.00 CLFi 1:94.10 94.02 94.00 94.02 93.98 93.96 94.00 94.06 94.07 94.11
180 607 6743320.00 GFSi 2:47.81 47.78 47.88 47.87 47.89 47.90 47.88 47.84 47.85 47.83
181 613 6333630.00 Xi 3:19.77 19.76 19.77 19.77 19.78 19.77 19.78 19.75 19.78 19.79
182 701 9599230.00 GETYi 4:30.31 29.74 29.98 29.62 29.99 29.66 30.11 30.30 30.02 30.13
183 571 8015900.00KIGRYi 6:11.22 11.56 11.54 11.54 11.53 11.55 11.32 11.29 11.22 11.22
184 581 7945620.00 BTCi 9:21.44 21.39 21.40 21.40 21.40 21.40 21.41 21.43 21.45 21.45
185 <-------------------------------------------------->
186 1 2 3 4 5 6 7 8 9 10
187
188 1328125000 nanoseconds since thread start-up
189 :2036: -AT THIS INSTANT- Stocks selected that can be used to establish correlation
190 WORKSHEET 9 I[11, 10] FLOAT
191 A B C D E F G H I J
192 >--------------------------------------------------<
193 581 6995940.00 CLFi 1:93.40 94.02 94.00 93.93 93.85 93.83 93.44 93.43 93.18 93.26
194 611 11345870.00 GFSi 2:47.98 47.78 47.88 47.87 47.89 47.90 47.88 47.93 47.96 47.95
195 625 6554620.00 Xi 3:19.84 19.81 19.78 19.78 19.74 19.77 19.80 19.81 19.81 19.83
196 706 11934660.00 GETYi 4:30.31 30.41 30.49 29.80 29.60 29.59 30.11 30.30 30.02 30.13
197 521 14935520.00 NOVi 5:14.83 14.82 14.84 14.85 14.85 14.85 14.84 14.81 14.81 14.81
198 573 16384050.00KIGRYi 6:11.22 11.26 11.24 11.54 11.53 11.55 11.32 11.29 11.22 11.22
199 624 15783350.00FQVLFi 7:19.09 19.15 19.22 19.26 19.56 18.78 18.88 19.04 19.18 19.08
200 370 3937950.00 INDIi 8: 7.20 7.21 7.22 7.22 7.21 7.20 7.21 7.22 7.22 7.23
201 587 9542270.00 BTCi 9:21.44 21.42 21.41 21.39 21.39 21.39 21.38 21.43 21.45 21.45
202 519 13381650.00CGEMYi 11:37.97 37.98 37.94 37.96 37.93 37.90 37.92 38.01 37.97 37.95
203 <-------------------------------------------------->
204 1 2 3 4 5 6 7 8 9 10
205
206
207 :4291: Normal exit geNSTOCKS:-> 0
208
209 :4282: Beep ExSan has been killed
210
211 ENDS hft5324 Elapsed Time: 3.13 sec
212 Boost version: 1.80.0
213
214 EXIT FROM EXSAN
| Previous | Next |
Comments
Post a Comment