Ending the week with some recovery, after the almost fatal mishap with the December contract. I let alone the application deal with the situation until I saw some funds available again. Monday I will probably restart "hammering" CL, and its options, with some additional "semiautomated" scalping to try accelerate the recovery. This mishap has probably costed around 100K-150K, but it looks like we still have room for a recovery.
As to removed layers we have grabbed so far about 336K in 189 layers:
As usual we do not miss the occasion to analyze and solve an issue or mistake, as actually those are the occasions where we learn something useful, and this particular mishap is no exception. This is actually the second time, in our tests, that we have a major problem related with overnight (in one occasion it was a problem with an ETF, and the damage was practically unrecoverable, due to the margin requirements of the instrument, and, in this case, is was due to a futures left in "paused" mode, with a large open position.)
I think we should enforce some more discipline when going overnight. We might for instance abide the following simple, self-imposed
, rules:
ETFs: always go "flat" (or, anyway, leave just a small position) before going overnight. Next day, resume trading the instrument, undoing the "flattening". (This can be accomplished either with 2 out-of-game orders, or with 2 players, after putting the instrument in "pause" mode).
Liquid futures: they can (and should, imho) be let run with a position: just make sure they are in auto mode (and not "paused") to ensure automatic protection provided by the "game". (Also for this reason, futures should obviously be preferred for trading, when sufficient capital is available.)
From Monday on, let's try to enforce them
Code:
- Current values (received on: Fri 27 Mar 2015 23:41:16:696 [ Fri 27 Mar 2015 18:41:16:696 edt ]) -
AccruedCash -1,142.00 USD [Min: -2,143.00, Max: 0.00]
AccruedDividend 0.00 USD [Min: 0.00, Max: 0.00]
BuyingPower 1,821,557.65 USD [Min: 0.00, Max: 9,679,718.07] (11.53 x 157,938.90)
FullAvailableFunds 157,938.90 USD [Min: -177,364.47, Max: 1,451,957.71]
FullExcessLiquidity 273,233.65 USD [Min: -157,297.69, Max: 1,451,957.71]
FullInitMarginReq 633,149.14 USD [Min: 0.00, Max: 946,065.45]
FullMaintMarginReq 517,854.39 USD [Min: 0.00, Max: 909,440.51]
NetLiquidation 791,088.04 USD [Min: 418,054.72, Max: 1,451,957.71]
- Initial values (received on: Mon 08 Dec 2014 15:19:16:873 [ Mon 08 Dec 2014 09:19:16:873 edt ]) -
AccruedCash 0.00 USD
AccruedDividend 0.00 USD
BuyingPower 6,666,666.67 USD
FullAvailableFunds 1,000,000.00 USD
FullExcessLiquidity 1,000,000.00 USD
FullInitMarginReq 0.00 USD
FullMaintMarginReq 0.00 USD
NetLiquidation 1,000,000.00 USD
Current - Initial (elapsed: 109.35 days)
Δ AccruedCash -1,142.00 USD 0.00%
Δ AccruedDividend 0.00 USD 0.00%
Δ BuyingPower -4,845,109.02 USD -72.68%
Δ FullAvailableFunds -842,061.10 USD -84.21%
Δ FullExcessLiquidity -726,766.35 USD -72.68%
Δ FullInitMarginReq 633,149.14 USD -72.68%
Δ FullMaintMarginReq 517,854.39 USD -72.68%
Δ NetLiquidation -208,911.96 USD -20.89%As to removed layers we have grabbed so far about 336K in 189 layers:
Code:
*** PNLs in removed layers ***
Count: 189
Sum: 336,117.77
Avg: 1778.40
Median: 433.8
Std: 4066.84As usual we do not miss the occasion to analyze and solve an issue or mistake, as actually those are the occasions where we learn something useful, and this particular mishap is no exception. This is actually the second time, in our tests, that we have a major problem related with overnight (in one occasion it was a problem with an ETF, and the damage was practically unrecoverable, due to the margin requirements of the instrument, and, in this case, is was due to a futures left in "paused" mode, with a large open position.)
I think we should enforce some more discipline when going overnight. We might for instance abide the following simple, self-imposed
, rules:ETFs: always go "flat" (or, anyway, leave just a small position) before going overnight. Next day, resume trading the instrument, undoing the "flattening". (This can be accomplished either with 2 out-of-game orders, or with 2 players, after putting the instrument in "pause" mode).
Liquid futures: they can (and should, imho) be let run with a position: just make sure they are in auto mode (and not "paused") to ensure automatic protection provided by the "game". (Also for this reason, futures should obviously be preferred for trading, when sufficient capital is available.)
From Monday on, let's try to enforce them
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