Futures ATS Journal

H

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
 

Attachments

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
 

Attachments

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
 

Attachments

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.
 
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