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Likelihood-Lab / RL in market making

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record.py 6.12 KB
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Demonhero0 提交于 2020-11-18 15:47 . update record
# pnl
acc_std_list = [496909.8460372799,
512575.36961869546,
487579.53320444905,
529776.089891122,
493085.59150987247]
acc_ave_list = [428198.9864063171,
481602.8974111179,
437725.7327226302,
501296.7646767768,
414458.99429134047]
pos_std_list = [150.48054711114108,
157.33824117103475,
148.80853487824464,
151.0271823578379,
167.60491959776488]
pos_ave_list = [267.65899284032,
266.6434016270514,
270.3643065646915,
252.56212479576777,
299.74663494373584]
total_max_list = [1621958.5, 1709354.5, 1640004.5, 1637768.5, 1805035.0]
total_min_list = [1191524.0, 1181191.5, 1196496.5, 1194503.5, 1199191.0]
pos_min_list = [0, 0, 0, 0, 0]
pos_max_list = [471, 496, 473, 473, 524]
acc_max_list = [1611733.5, 1691832.5, 1630262.5, 1635049.5, 1794503.5]
acc_min_list = [0.0, 0.0, 0.0, 0.5, 0.5]
# pnl_2
acc_std_list =[505760.09315083106, 486387.07784390746, 498525.37996532297]
pos_std_list =[155.4029177895024, 152.45086056843923, 158.2785800432801]
pos_ave_list =[266.75497639297464, 281.7250898421561, 280.48406029492185]
acc_ave_list =[454288.98681036074, 409303.1309229845, 452367.8703977478]
total_max_list =[1665672.0, 1685221.0, 1796874.5]
total_min_list =[1182695.0, 1193235.5, 1198718.0]
pos_max_list =[473, 489, 513]
pos_min_list =[0, 0, 0]
acc_max_list =[1630876.0, 1669413.5, 1774436.0]
acc_min_list =[0.0, 0.0, 0.0]
total_end_list = [1623358.0, 1685221.0, 1749347.0]
#pnl_sdamped 0.15
acc_std_list = [493464.37169144483, 518261.82766415493, 507557.77782248775, 487901.38524727494, 487052.0287646447]
pos_std_list = [148.6815520273941, 164.65841341782607, 153.87195220840155, 157.5424826169011, 161.17787388626166]
pos_ave_list = [257.6194726346348, 288.3809224005998, 271.9309469067974, 285.85862609814956, 292.6574267124561]
acc_ave_list = [455033.5442219257, 448796.1827570123, 456779.9167965378, 436173.08601258305, 437967.28756463114]
total_max_list = [1630043.0, 1867570.5, 1714966.5, 1824999.5, 1806892.5]
total_min_list = [1156246.0, 1199497.5, 1196672.5, 1199617.0, 1197813.0]
pos_max_list = [474, 542, 491, 521, 521]
pos_min_list = [0, 0, 0, 0, 0]
acc_max_list = [1609222.0, 1853097.5, 1710741.0, 1813622.0, 1792493.0]
acc_min_list = [0.5, 0.0, 0.0, 0.0, 0.0]
total_end_list = [1617203.5, 1867570.5, 1690144.5, 1783211.0, 1794436.5]
total_end_list = [1621958.5, 1709354.5, 1615209.0, 1618368.5, 1805035.0]
# pnl_sdamped 0.15
acc_std_list =[482938.04677905125]
pos_std_list =[151.6182366210051]
pos_ave_list =[287.3166340862692]
acc_ave_list =[387741.5172057196]
total_max_list =[1682702.5]
total_min_list = [1145804.0]
pos_max_list =[489]
pos_min_list =[0]
acc_max_list =[1669176.0]
acc_min_list =[0.0]
total_end_list = [1682702.5]
# pnl_adamped 0.9
acc_std_list= [503255.59773053834]
acc_ave_list= [817069.7028794532]
pos_std_list= [143.3226654549119]
pos_ave_list= [160.91770321710155]
total_max_list= [1599357.5]
total_min_list= [1201305.5]
pos_max_list= [477]
pos_min_list= [0]
acc_max_list= [1589406.0]
acc_min_list= [1589406.0]
total_end_list= [1599357.5]
# pnl_adamped 0.7
acc_std_list =[493937.805384231, 531516.0146210409]
pos_std_list =[140.00708479111356, 148.6857258934725]
pos_ave_list =[181.85796481450527, 171.25248089801119]
acc_ave_list =[700969.4155545457, 820310.9002285799]
total_max_list =[1508695.0, 1719196.5]
total_min_list = [1158174.0, 1199681.5]
pos_max_list =[452, 499]
pos_min_list =[0, 0]
acc_max_list =[1502567.5, 1705652.0]
acc_min_list =[0.0, 2.0]
total_end_list = [1488988.5, 1715252.5]
# pnl_adamped 0.3 0.5
acc_std_list= [530002.960197613, 506419.6497897945]
acc_ave_list= [633352.2933597045, 706703.433209351]
pos_std_list= [153.94374940063324, 143.75386758688012]
pos_ave_list= [217.07697114741387, 184.43441797864074]
total_max_list= [1612342.5, 1551036.0]
total_min_list= [1198808.0, 1197643.0]
pos_max_list= [480, 453]
pos_min_list= [0, 0]
acc_max_list= [1601957.5, 1538961.0]
acc_min_list= [1601957.5, 1538961.0]
total_end_list= [1612342.5, 1551036.0]
# pnl_adamped 0.15
acc_std_list =[543433.0703602636, 532921.2880136895, 544632.5364542059, 513285.41918586224, 520266.6802882921]
pos_std_list =[166.18898970204634, 161.054830505613, 167.17903494131514, 159.532000118815, 160.28989567619166]
pos_ave_list =[258.5468682280568, 249.45527410407243, 262.66663997509676, 273.290223445141, 262.84643205444013]
acc_ave_list =[537811.3416254031, 530862.7344947837, 549269.9452962948, 480643.3457987969, 516821.9983733156]
total_max_list = [1759042.5, 1658207.0, 1784336.0, 1740451.5, 1811812.0]
total_min_list = [1199460.5, 1199824.0, 1199548.5, 1200820.5, 1200260.5]
pos_max_list =[511, 481, 516, 503, 526]
pos_min_list =[0, 0, 0, 0, 0]
acc_max_list =[1746964.5, 1642949.5, 1771062.5, 1736982.0, 1798116.0]
acc_min_list =[0.0, 0.0, 0.0, 0.5, 0.0]
total_end_list = [1755549.5, 1658207.0, 1778553.5, 1727118.5, 1811812.0]
# pnl_sdamped 0.3 0.5 0.7 0.9
acc_std_list= [496995.5595595495, 494723.72496429476, 510892.80805067666, 499016.2167498241]
acc_ave_list= [426796.5446421511, 462482.8248027076, 445819.38150961517, 441338.0128242984]
pos_std_list= [157.04777741214335, 149.34432924073448, 163.5899092230929, 167.5833321340746]
pos_ave_list= [278.5679342159568, 265.64000545842606, 288.9205442010729, 304.60754217017814]
total_max_list= [1685000.0, 1637404.0, 1789438.5, 1931841.0]
total_min_list= [1196148.0, 1201289.0, 1199262.0, 1196567.5]
pos_max_list= [485, 475, 518, 558]
pos_min_list= [0, 0, 0, 0]
acc_max_list= [1651120.0, 1632231.5, 1785140.0, 1928252.0]
acc_min_list= [1651120.0, 1632231.5, 1785140.0, 1928252.0]
total_end_list= [1670891.5, 1635842.5, 1784379.0, 1920833.0]
with open('pnl_sdamped.py','w') as f:
f.write('acc_list=[')
for acc in acc_list:
f.write(str(acc.tolist()))
f.write(',')
f.write('] \n')
with open('pnl_sdamped.py','a') as f:
f.write('\n')
f.write('pos_list=[')
for acc in pos_list:
f.write(str(acc.tolist()))
f.write(',')
f.write('] \n')
with open('pnl_sdamped.py','a') as f:
f.write('\n')
f.write('total_list=[')
for acc in total_list:
f.write(str(acc.tolist()))
f.write(',')
f.write('] \n')
1
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likelihoodlab
rl-in-market-making
RL in market making
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