{ "scope": "Local installed native addon; synthetic data; not a hosted product run", "hashes": [ { "path": "rust/npm-packages/engine-native/engine_napi.node", "sha256": "379aabba0e8c87c3ab6f63dc4dd156ab8aa1b1766bc92160a11e7e4020ddb9b2" }, { "path": "rust/npm-packages/engine-native/index.js", "sha256": "1f7bd3c14bf705a73b0db099690c989dad25f3049d4844e71026d236279fdcea" }, { "path": "rust/npm-packages/engine-native/loader.js", "sha256": "43e7af4a4f8f72d5df6ced9b0dd65e174b37bb668995476ccb9676909fce5dd4" }, { "path": "rust/crates/strategy-runtime/src/config.rs", "sha256": "3128a44db682dd1346d7639025ba7cd0e13bf010d73db0fc1b68c5460ca85371" }, { "path": "rust/crates/strategy-runtime/src/futures_margin.rs", "sha256": "1362aff88a3847c73d40284447550553ea9ee4e1c7b9a312264a68bcc982d0cd" }, { "path": "rust/crates/trading/src/futures_margin.rs", "sha256": "b0b1aa82dd2ece4217b863e3342aec9591f3213811b1883a0964a9c2ca145781" }, { "path": "rust/crates/engine-napi/src/types.rs", "sha256": "2964809a912f918ace788a6854922a2e8d763b19fef46e3c7738cc5845756ab0" }, { "path": "test/system/backtest.futures-margin.system.test.ts", "sha256": "f9b804e443beb86bf48165e90a63280ba5f0c8f6bd542ea5966d0d3771325b5e" }, { "path": "docs/research/blog-article-evidence/data/futures-backtest-margin-presets-native-probe.mjs", "sha256": "c3430dfb15b6e1ec9c8ce8d705abe80fc9e30811a676fb91b6aeb55b0d7a4787" } ], "runs": [ { "rate": 5000, "input": { "config": { "startTimeMs": 1710167400000, "endTimeMs": 1710167640000, "initialCapital": "10000", "commissionPerTrade": 0, "slippagePct": 0, "slippageFutures": 0, "marketImpactBpsAtFullVolume": 0, "fillMode": "close", "marginRequirement": 0.25, "allowShortSelling": false, "flattenAtEnd": false, "enforceVolumeLimits": false, "reconcileSameTick": false, "forceSequential": true, "rthOnly": false, "taxJurisdiction": "none", "economicActions": [], "timeStep": "1m", "marginFutures": { "intraday": 12500, "overnight": 12500, "minutesBeforeClose": 15, "contracts": [ { "instrumentId": "FUT:CME:ES", "intraday": 5000, "overnight": 5000 } ] }, "instrumentMetadata": { "FUT:CME:ES.c.0": { "priceDecimals": 9, "volumeDecimals": 0, "orderPriceDecimals": 2, "tickValue": 50, "executionContract": { "tradingCurrency": "USD", "settlementCurrency": "USD", "quoteUnitScale": "1", "contractMultiplier": "50", "reportingCurrency": "USD", "evidenceRecordId": "synthetic-usd:blog-margin-admission" } } } }, "strategy": { "timeStep": "1m", "intervals": ["1m"], "rules": [ { "id": "margin-probe-buy-once", "name": "Synthetic margin admission only", "conditions": [ { "id": "positive-price", "lhs": "price", "operator": ">", "rhs": "0" } ], "actions": [ { "id": "buy-one", "type": "Place Order", "orderSide": "buy", "orderType": "market", "orderTimeInForce": "day", "quantity": "1" } ], "triggerLimit": "Once" } ] }, "series": [ { "instrumentId": "FUT:CME:ES.c.0", "interval": "1m", "seriesId": "FUT:CME:ES.c.0~1m", "role": "evaluation-primary", "sessionMode": "extended", "historyBars": 1 } ], "bars": [ { "time": 1710167400000, "open": 4000, "high": 4000, "low": 4000, "close": 4000, "volume": 10000 }, { "time": 1710167460000, "open": 4000, "high": 4000, "low": 4000, "close": 4000, "volume": 10000 }, { "time": 1710167520000, "open": 4000, "high": 4000, "low": 4000, "close": 4000, "volume": 10000 }, { "time": 1710167580000, "open": 4000, "high": 4000, "low": 4000, "close": 4000, "volume": 10000 }, { "time": 1710167640000, "open": 4000, "high": 4000, "low": 4000, "close": 4000, "volume": 10000 } ] }, "result": { "equity_curve": [[1710167640000, 10000]], "equity_summary": { "version": 1, "dates": [ { "date": "2024-03-11", "closeTimeMs": 1710167640000, "all": { "openEquity": 10000, "closeEquity": 10000, "peakEquity": 10000, "troughEquity": 10000, "maxDrawdownFraction": 0, "minLeverage": 0, "maxLeverage": 20, "drawdownEpisodeCount": 0, "drawdownMagnitudeTotal": 0, "drawdownDurationDaysTotal": 0, "maxDrawdownDurationDays": 0, "openDrawdown": null }, "long": { "openEquity": 10000, "closeEquity": 10000, "peakEquity": 10000, "troughEquity": 10000, "maxDrawdownFraction": 0, "minLeverage": 0, "maxLeverage": 20, "drawdownEpisodeCount": 0, "drawdownMagnitudeTotal": 0, "drawdownDurationDaysTotal": 0, "maxDrawdownDurationDays": 0, "openDrawdown": null }, "short": { "openEquity": 10000, "closeEquity": 10000, "peakEquity": 10000, "troughEquity": 10000, "maxDrawdownFraction": 0, "minLeverage": 0, "maxLeverage": 0, "drawdownEpisodeCount": 0, "drawdownMagnitudeTotal": 0, "drawdownDurationDaysTotal": 0, "maxDrawdownDurationDays": 0, "openDrawdown": null } } ], "periodicReturns": { "count": 4, "mean": 0, "sumSquaredDeviations": 0, "downsideSumSquares": 0, "startTimeMs": 1710167400000, "endTimeMs": 1710167640000, "hasInvalidReturn": false } }, "ending_equity": "10000", "long_equity_curve": [ { "time_ms": 1710167640000, "equity": 10000, "pre_tax_equity": 10000, "exposure": 200000 } ], "short_equity_curve": [ { "time_ms": 1710167640000, "equity": 10000, "pre_tax_equity": 10000, "exposure": 0 } ], "cash_curve": [[1710167640000, 10000]], "pre_tax_equity_curve": [[1710167640000, 10000]], "completed_trades": [], "completed_trade_amendments": [], "completed_trade_count": 0, "realized_pnl_after_tax": "0", "economic_action_receipts": [], "total_ticks": 5, "total_orders_placed": 1, "elapsed_ms": 0, "errors": [], "broker_events": [ { "type": "OrderSubmitted", "instrument_id": "FUT:CME:ES.c.0", "order_id": "ord-1", "side": "buy", "order_type": "market", "quantity": 1, "placed_price": 4000, "limit_price": null, "stop_price": null, "time_in_force": "day", "parent_order_id": null, "order_role": "standalone", "entry_oco_group_id": null, "entry_oco_leg_id": null, "time_ms": 1710167400000 }, { "type": "OrderFilled", "instrument_id": "FUT:CME:ES.c.0", "order_id": "ord-1", "side": "buy", "fill_price": 4000, "fill_quantity": 1, "commission": 0, "time_ms": 1710167460000, "order_role": "standalone" }, { "type": "PositionOpened", "instrument_id": "FUT:CME:ES.c.0", "side": "long", "quantity": 1, "entry_price": 4000, "time_ms": 1710167460000 } ], "var_snapshots": [], "phase_timings": { "indicators_us": 0, "context_build_us": 0, "rule_eval_us": 63549, "actions_us": 71921, "reconcile_us": 107741, "portfolio_us": 6854, "bar_store_update_us": 7072, "primary_collect_us": 1336, "progress_callback_us": 0, "napi_bar_build_us": 271, "tick_preamble_us": 2789, "tick_total_us": 204208, "worker_sync_us": 33775, "action_merge_us": 2409, "worker_indicator_us": 783, "worker_context_us": 0, "worker_evaluate_us": 0, "worker_collect_us": 0, "availability_total_ns": 478756, "availability_admit_ns": 4033, "availability_advance_ns": 27407, "availability_pending_charge_ns": 224, "availability_ingest_ns": 17069, "availability_snapshot_ns": 8320, "snapshot_reservation_ns": 1484, "snapshot_bars_clone_ns": 385, "snapshot_indicators_ns": 1658, "snapshot_histories_ns": 1546, "snapshot_zones_ns": 376, "availability_ready_ns": 4564, "availability_context_reserve_ns": 1848, "availability_dispatch_ns": 435017, "availability_bookkeeping_ns": 3283, "cursor_next_ns": 341, "margin_check_ns": 53113, "equity_record_ns": 8181 }, "replay_state_frames": [] } }, { "rate": 15000, "input": { "config": { "startTimeMs": 1710167400000, "endTimeMs": 1710167640000, "initialCapital": "10000", "commissionPerTrade": 0, "slippagePct": 0, "slippageFutures": 0, "marketImpactBpsAtFullVolume": 0, "fillMode": "close", "marginRequirement": 0.25, "allowShortSelling": false, "flattenAtEnd": false, "enforceVolumeLimits": false, "reconcileSameTick": false, "forceSequential": true, "rthOnly": false, "taxJurisdiction": "none", "economicActions": [], "timeStep": "1m", "marginFutures": { "intraday": 12500, "overnight": 12500, "minutesBeforeClose": 15, "contracts": [ { "instrumentId": "FUT:CME:ES", "intraday": 15000, "overnight": 15000 } ] }, "instrumentMetadata": { "FUT:CME:ES.c.0": { "priceDecimals": 9, "volumeDecimals": 0, "orderPriceDecimals": 2, "tickValue": 50, "executionContract": { "tradingCurrency": "USD", "settlementCurrency": "USD", "quoteUnitScale": "1", "contractMultiplier": "50", "reportingCurrency": "USD", "evidenceRecordId": "synthetic-usd:blog-margin-admission" } } } }, "strategy": { "timeStep": "1m", "intervals": ["1m"], "rules": [ { "id": "margin-probe-buy-once", "name": "Synthetic margin admission only", "conditions": [ { "id": "positive-price", "lhs": "price", "operator": ">", "rhs": "0" } ], "actions": [ { "id": "buy-one", "type": "Place Order", "orderSide": "buy", "orderType": "market", "orderTimeInForce": "day", "quantity": "1" } ], "triggerLimit": "Once" } ] }, "series": [ { "instrumentId": "FUT:CME:ES.c.0", "interval": "1m", "seriesId": "FUT:CME:ES.c.0~1m", "role": "evaluation-primary", "sessionMode": "extended", "historyBars": 1 } ], "bars": [ { "time": 1710167400000, "open": 4000, "high": 4000, "low": 4000, "close": 4000, "volume": 10000 }, { "time": 1710167460000, "open": 4000, "high": 4000, "low": 4000, "close": 4000, "volume": 10000 }, { "time": 1710167520000, "open": 4000, "high": 4000, "low": 4000, "close": 4000, "volume": 10000 }, { "time": 1710167580000, "open": 4000, "high": 4000, "low": 4000, "close": 4000, "volume": 10000 }, { "time": 1710167640000, "open": 4000, "high": 4000, "low": 4000, "close": 4000, "volume": 10000 } ] }, "result": { "equity_curve": [[1710167640000, 10000]], "equity_summary": { "version": 1, "dates": [ { "date": "2024-03-11", "closeTimeMs": 1710167640000, "all": { "openEquity": 10000, "closeEquity": 10000, "peakEquity": 10000, "troughEquity": 10000, "maxDrawdownFraction": 0, "minLeverage": 0, "maxLeverage": 0, "drawdownEpisodeCount": 0, "drawdownMagnitudeTotal": 0, "drawdownDurationDaysTotal": 0, "maxDrawdownDurationDays": 0, "openDrawdown": null }, "long": { "openEquity": 10000, "closeEquity": 10000, "peakEquity": 10000, "troughEquity": 10000, "maxDrawdownFraction": 0, "minLeverage": 0, "maxLeverage": 0, "drawdownEpisodeCount": 0, "drawdownMagnitudeTotal": 0, "drawdownDurationDaysTotal": 0, "maxDrawdownDurationDays": 0, "openDrawdown": null }, "short": { "openEquity": 10000, "closeEquity": 10000, "peakEquity": 10000, "troughEquity": 10000, "maxDrawdownFraction": 0, "minLeverage": 0, "maxLeverage": 0, "drawdownEpisodeCount": 0, "drawdownMagnitudeTotal": 0, "drawdownDurationDaysTotal": 0, "maxDrawdownDurationDays": 0, "openDrawdown": null } } ], "periodicReturns": { "count": 4, "mean": 0, "sumSquaredDeviations": 0, "downsideSumSquares": 0, "startTimeMs": 1710167400000, "endTimeMs": 1710167640000, "hasInvalidReturn": false } }, "ending_equity": "10000", "long_equity_curve": [ { "time_ms": 1710167640000, "equity": 10000, "pre_tax_equity": 10000, "exposure": 0 } ], "short_equity_curve": [ { "time_ms": 1710167640000, "equity": 10000, "pre_tax_equity": 10000, "exposure": 0 } ], "cash_curve": [[1710167640000, 10000]], "pre_tax_equity_curve": [[1710167640000, 10000]], "completed_trades": [], "completed_trade_amendments": [], "completed_trade_count": 0, "realized_pnl_after_tax": "0", "economic_action_receipts": [], "total_ticks": 5, "total_orders_placed": 0, "elapsed_ms": 0, "errors": [], "broker_events": [ { "type": "OrderRejected", "instrument_id": "FUT:CME:ES.c.0", "order_id": "", "time_ms": 1710167400000, "reason": "InsufficientMargin", "rule_id": "margin-probe-buy-once", "rule_name": "Synthetic margin admission only", "action_id": "buy-one", "details": "parent order Buy Market instrument=FUT:CME:ES.c.0, qty=1.0000 (expr: \"1\"), current_price=4000.0000, hint: account balance too low for this order size" } ], "var_snapshots": [], "phase_timings": { "indicators_us": 0, "context_build_us": 0, "rule_eval_us": 26283, "actions_us": 29607, "reconcile_us": 10143, "portfolio_us": 1669, "bar_store_update_us": 3111, "primary_collect_us": 482, "progress_callback_us": 0, "napi_bar_build_us": 67, "tick_preamble_us": 1017, "tick_total_us": 83578, "worker_sync_us": 13127, "action_merge_us": 1142, "worker_indicator_us": 273, "worker_context_us": 0, "worker_evaluate_us": 0, "worker_collect_us": 0, "availability_total_ns": 140149, "availability_admit_ns": 1788, "availability_advance_ns": 10503, "availability_pending_charge_ns": 182, "availability_ingest_ns": 5955, "availability_snapshot_ns": 3404, "snapshot_reservation_ns": 507, "snapshot_bars_clone_ns": 149, "snapshot_indicators_ns": 595, "snapshot_histories_ns": 506, "snapshot_zones_ns": 159, "availability_ready_ns": 2214, "availability_context_reserve_ns": 744, "availability_dispatch_ns": 122772, "availability_bookkeeping_ns": 1361, "cursor_next_ns": 186, "margin_check_ns": 252, "equity_record_ns": 3530 }, "replay_state_frames": [] } } ] }