Finally, I can do it. I have permission to share what 2hs of trades on a real high-performance trading firm looks like. I will keep the firm “undisclosed”, but this post is to give an idea what kind of trades and how fast/frequent they are. A client of mine, using an advance/light weight platform, is performing excellent returns on the forex market. And the chart you can see by how much. Several things to look at: • Winning ratio is 80% (at least in these 2 hours) • A total of 109 trades has been made over this period • Average trade, last 206 milliseconds • Note how transaction cost affect the system o Blue line is without cost o Orange accounting transaction cost • Attempts to close, means how many times we tried to flat our position but couldn’t (because execution, or price movement). Every time there is more than one attempt, the trade is a losing trade. So, that’s the prove on how important execution quality and speed is. Enjoy! Ariel Silahian http://www.sisSoftwareFactory.com/quant https://twitter.com/sisSoftware

1. Transaction cost (per M) 15.00$ Symbol OpenTimeStamp Side OpenPrice Size CloseTimeStamp ClosePrice AttemptsToClose PipsPnL PnL USD PnL cumulative SpanInMilliseconds PnL $ with cost
Starting Feb/03 5:00:16.700 USD/JPY Feb/03 5:00:16.700 Sell 112.98 500,000 Feb/03 5:00:17.179 112.9755 1 0.45 19.91$ 19.91$ 479 (10.09)$
Ending Feb/03 7:30:06.839 USD/JPY Feb/03 5:01:29.114 Sell 113.007 500,000 Feb/03 5:01:29.252 113 1 0.7 30.97$ 50.89$ 139 (9.11)$
Span (hs) 2:29 GBP/USD Feb/03 5:05:33.760 Sell 1.25162 500,000 Feb/03 5:05:33.860 1.25153 1 0.9 45.00$ 95.89$ 101 5.89$
Number of trades 109 USD/JPY Feb/03 5:06:24.784 Sell 113.01 500,000 Feb/03 5:06:24.694 113.00502 1 0.498 22.03$ 117.92$ 89 (2.08)$
Winning Trades 87 USD/JPY Feb/03 5:11:04.655 Sell 113.061 500,000 Feb/03 5:11:04.782 113.065 2 -0.4 (17.75)$ 100.17$ 126 (49.83)$
Winning Ratio 80% USD/JPY Feb/03 5:11:05.624 Sell 113.068 500,000 Feb/03 5:11:05.713 113.058 1 1 44.23$ 144.40$ 89 (35.60)$
Average trade span (ms) 206.25 USD/JPY Feb/03 5:13:43.145 Sell 113.025 500,000 Feb/03 5:13:44.373 113.016473 1 0.8527 37.72$ 182.12$ 1228 (27.88)$
USD/JPY Feb/03 5:17:20.587 Sell 113.011 500,000 Feb/03 5:17:20.686 113.004888 1 0.6112 27.04$ 209.16$ 100 (30.84)$
EUR/JPY Feb/03 5:17:33.150 Sell 121.584 500,000 Feb/03 5:17:33.786 121.589 2 -0.5 (22.18)$ 186.98$ 636 (83.02)$
Gross Profit 5,064.11$ USD/JPY Feb/03 5:24:33.734 Sell 113.086 500,000 Feb/03 5:24:33.868 113.084 1 0.2 8.82$ 195.80$ 134 (104.20)$
EUR/USD Feb/03 5:36:00.793 Sell 1.07515 500,000 Feb/03 5:36:00.257 1.075072 1 0.78 38.51$ 234.31$ 536 (95.69)$
EUR/USD Feb/03 5:39:31.663 Sell 1.07533 500,000 Feb/03 5:39:31.308 1.07529 1 0.4 20.00$ 254.31$ 356 (105.69)$
EUR/USD Feb/03 5:40:17.149 Sell 1.07543 500,000 Feb/03 5:40:17.376 1.07535 1 0.8 40.00$ 294.31$ 227 (95.69)$
USD/JPY Feb/03 5:50:12.593 Sell 113.07 500,000 Feb/03 5:50:12.516 113.06 1 1 44.23$ 338.54$ 78 (81.46)$
USD/JPY Feb/03 5:52:28.632 Sell 113.013 500,000 Feb/03 5:52:28.719 113.017 1 -0.4 (17.75)$ 320.79$ 87 (129.21)$
EUR/USD Feb/03 5:52:42.586 Sell 1.07569 500,000 Feb/03 5:52:42.676 1.07562 1 0.7 35.00$ 355.79$ 89 (124.21)$
GBP/USD Feb/03 5:55:35.729 Sell 1.25174 500,000 Feb/03 5:55:35.649 1.25164 1 1 50.00$ 405.79$ 80 (104.21)$
USD/JPY Feb/03 5:57:46.140 Sell 113.029 500,000 Feb/03 5:57:46.225 113.022 1 0.7 30.96$ 436.76$ 86 (103.24)$
USD/JPY Feb/03 5:57:49.532 Sell 113.03 500,000 Feb/03 5:57:49.617 113.021615 1 0.8385 37.09$ 473.85$ 85 (96.15)$
USD/JPY Feb/03 5:57:52.345 Sell 113.034 500,000 Feb/03 5:57:52.366 113.023571 1 1.0429 46.13$ 519.98$ 21 (80.02)$
USD/JPY Feb/03 5:58:08.475 Sell 113.032 500,000 Feb/03 5:58:08.497 113.023 1 0.9 39.81$ 559.79$ 22 (70.21)$
USD/JPY Feb/03 5:59:37.702 Sell 113.05 500,000 Feb/03 5:59:37.804 113.042 1 0.8 35.39$ 595.18$ 102 (64.82)$
USD/JPY Feb/03 6:05:06.529 Sell 113.056 500,000 Feb/03 6:05:08.270 113.034606 1 2.1394 94.64$ 689.81$ 1742 (0.19)$
EUR/USD Feb/03 6:12:05.514 Sell 1.0757 500,000 Feb/03 6:12:05.538 1.075636 1 0.64 31.82$ 721.63$ 24 1.63$
USD/JPY Feb/03 6:12:27.454 Sell 113.045 500,000 Feb/03 6:12:27.549 113.036 1 0.9 39.81$ 761.44$ 95 11.44$
EUR/JPY Feb/03 6:12:27.532 Sell 121.586 500,000 Feb/03 6:12:27.648 121.592 1 -0.6 (26.62)$ 734.82$ 117 (45.18)$
USD/JPY Feb/03 6:12:28.579 Sell 113.054 500,000 Feb/03 6:12:28.664 113.036 1 1.8 79.61$ 814.43$ 85 4.43$
USD/JPY Feb/03 6:12:30.157 Sell 113.053 500,000 Feb/03 6:12:30.242 113.036 1 1.7 75.19$ 889.62$ 85 49.62$
USD/JPY Feb/03 6:12:30.251 Sell 113.052 500,000 Feb/03 6:12:30.335 113.036 1 1.6 70.76$ 960.38$ 85 90.38$
USD/JPY Feb/03 6:12:33.970 Sell 113.049 500,000 Feb/03 6:12:33.994 113.036 1 1.3 57.50$ 1,017.89$ 24 117.89$
USD/JPY Feb/03 6:12:34.610 Sell 113.044 500,000 Feb/03 6:12:34.632 113.036 1 0.8 35.39$ 1,053.27$ 22 123.27$
USD/JPY Feb/03 6:12:35.142 Sell 113.043 500,000 Feb/03 6:12:35.228 113.0396 1 0.34 15.02$ 1,068.29$ 86 108.29$
USD/JPY Feb/03 6:15:57.846 Sell 113.075 500,000 Feb/03 6:15:58.104 113.068 1 0.7 30.96$ 1,099.25$ 259 109.25$
EUR/JPY Feb/03 6:18:58.451 Sell 121.607 500,000 Feb/03 6:18:58.541 121.6045 1 0.25 11.05$ 1,110.30$ 90 90.30$
USD/CHF Feb/03 6:29:15.990 Sell 0.99382 500,000 Feb/03 6:29:16.297 0.99375 1 0.7 35.21$ 1,145.51$ 308 95.51$
EUR/CHF Feb/03 6:29:16.240 Sell 1.06841 500,000 Feb/03 6:29:16.337 1.06845 1 -0.4 (20.13)$ 1,125.38$ 97 45.38$
USD/CHF Feb/03 6:29:16.307 Sell 0.99383 500,000 Feb/03 6:29:16.406 0.99385 1 -0.2 (10.07)$ 1,115.32$ 98 5.32$
USD/CHF Feb/03 6:29:16.818 Sell 0.99386 500,000 Feb/03 6:29:16.967 0.9939 1 -0.4 (20.13)$ 1,095.19$ 149 (44.81)$
NZD/USD Feb/03 6:29:34.663 Sell 0.72685 500,000 Feb/03 6:29:35.132 0.7269 2 -0.5 (25.00)$ 1,070.19$ 470 (99.81)$
EUR/USD Feb/03 6:31:35.689 Sell 1.07521 500,000 Feb/03 6:31:35.780 1.0752 1 0.1 5.00$ 1,075.19$ 91 (124.81)$
USD/JPY Feb/03 6:33:53.545 Sell 113.091 500,000 Feb/03 6:33:53.647 113.084 1 0.7 30.95$ 1,106.14$ 102 (123.86)$
USD/JPY Feb/03 6:34:25.610 Sell 113.066 500,000 Feb/03 6:34:25.698 113.07 1 -0.4 (17.74)$ 1,088.40$ 89 (171.60)$
USD/JPY Feb/03 6:43:59.780 Sell 113.076 500,000 Feb/03 6:43:59.868 113.08 1 -0.4 (17.75)$ 1,070.65$ 88 (219.35)$
USD/JPY Feb/03 6:46:24.945 Sell 113.11 500,000 Feb/03 6:46:24.871 113.097396 1 1.2604 55.72$ 1,126.37$ 74 (193.63)$
EUR/USD Feb/03 6:47:29.209 Sell 1.07502 500,000 Feb/03 6:47:29.305 1.07505 1 -0.3 (15.00)$ 1,111.37$ 96 (238.63)$
USD/JPY Feb/03 6:57:27.689 Sell 113.115 500,000 Feb/03 6:57:27.609 113.090932 1 2.4068 106.41$ 1,217.78$ 80 (162.22)$
EUR/JPY Feb/03 6:59:29.805 Sell 121.666 500,000 Feb/03 6:59:30.320 121.67 2 -0.4 (17.75)$ 1,200.03$ 516 (209.97)$
USD/CHF Feb/03 7:00:02.584 Sell 0.99324 500,000 Feb/03 7:00:02.814 0.9931 1 1.4 70.47$ 1,270.50$ 231 (169.50)$
USD/CHF Feb/03 7:00:02.597 Sell 0.99316 500,000 Feb/03 7:00:02.575 0.9931 1 0.6 30.20$ 1,300.70$ 23 (169.30)$
EUR/USD Feb/03 7:00:03.247 Sell 1.07585 500,000 Feb/03 7:00:03.491 1.075743 1 1.07 53.33$ 1,354.04$ 244 (145.96)$
USD/CHF Feb/03 7:00:04.107 Sell 0.99329 500,000 Feb/03 7:00:04.911 0.9931 1 1.9 95.64$ 1,449.68$ 804 (80.33)$
USD/CHF Feb/03 7:00:04.669 Sell 0.99334 500,000 Feb/03 7:00:05.247 0.9931 1 2.4 120.80$ 1,570.47$ 578 10.47$
USD/CHF Feb/03 7:00:05.256 Sell 0.99335 500,000 Feb/03 7:00:05.351 0.9931 1 2.5 125.83$ 1,696.30$ 94 106.30$
USD/CHF Feb/03 7:00:05.359 Sell 0.99337 500,000 Feb/03 7:00:05.444 0.9931 1 2.7 135.90$ 1,832.20$ 84 212.20$
USD/CHF Feb/03 7:00:05.547 Sell 0.99339 500,000 Feb/03 7:00:05.673 0.9931 1 2.9 145.96$ 1,978.16$ 126 328.16$
USD/CHF Feb/03 7:00:06.420 Sell 0.99341 500,000 Feb/03 7:00:06.618 0.9931 1 3.1 156.01$ 2,134.18$ 198 454.18$
USD/CHF Feb/03 7:00:06.630 Sell 0.99343 500,000 Feb/03 7:00:06.795 0.9931 1 3.3 166.10$ 2,300.27$ 166 590.27$
USD/CHF Feb/03 7:00:06.755 Sell 0.9934 500,000 Feb/03 7:00:06.412 0.9931 1 3 150.99$ 2,451.26$ 344 711.26$
USD/CHF Feb/03 7:00:06.810 Sell 0.99344 500,000 Feb/03 7:00:07.224 0.9931 1 3.4 171.11$ 2,622.37$ 415 852.37$
EUR/USD Feb/03 7:00:10.787 Sell 1.07579 500,000 Feb/03 7:00:12.475 1.075498 1 2.92 145.65$ 2,768.02$ 1687 968.02$
EUR/USD Feb/03 7:02:26.153 Sell 1.07566 500,000 Feb/03 7:02:26.240 1.0757 1 -0.4 (20.00)$ 2,748.02$ 87 918.02$
EUR/JPY Feb/03 7:02:30.263 Sell 121.68 500,000 Feb/03 7:02:30.350 121.674 1 0.6 26.52$ 2,774.54$ 86 914.54$
USD/JPY Feb/03 7:04:01.835 Sell 113.117 500,000 Feb/03 7:04:01.948 113.112 1 0.5 22.10$ 2,796.64$ 113 906.64$
USD/JPY Feb/03 7:04:36.167 Sell 113.129 500,000 Feb/03 7:04:36.269 113.124 1 0.5 22.10$ 2,818.74$ 103 898.74$
USD/JPY Feb/03 7:04:36.277 Sell 113.133 500,000 Feb/03 7:04:36.338 113.125 1 0.8 35.36$ 2,854.10$ 61 904.10$
USD/JPY Feb/03 7:05:01.841 Sell 113.154 500,000 Feb/03 7:05:01.866 113.156 1 -0.2 (8.87)$ 2,845.23$ 25 865.23$
AUD/USD Feb/03 7:05:50.595 Sell 0.7653 500,000 Feb/03 7:05:50.666 0.765353 1 -0.53 (26.54)$ 2,818.69$ 71 808.69$
AUD/USD Feb/03 7:05:52.392 Sell 0.76531 500,000 Feb/03 7:05:52.478 0.765341 1 -0.31 (15.96)$ 2,802.73$ 86 762.73$
AUD/USD Feb/03 7:05:52.486 Sell 0.76532 500,000 Feb/03 7:05:52.799 0.765337 1 -0.17 (8.85)$ 2,793.89$ 313 723.89$
AUD/USD Feb/03 7:05:52.952 Sell 0.76533 500,000 Feb/03 7:05:52.877 0.76532 1 0.1 5.00$ 2,798.89$ 74 698.89$
NZD/USD Feb/03 7:06:38.881 Sell 0.72689 500,000 Feb/03 7:06:38.981 0.726973 1 -0.83 (41.67)$ 2,757.22$ 100 627.22$
NZD/USD Feb/03 7:06:39.103 Sell 0.72696 500,000 Feb/03 7:06:39.953 0.727025 1 -0.65 (32.50)$ 2,724.72$ 850 564.72$
NZD/USD Feb/03 7:06:39.232 Sell 0.72695 500,000 Feb/03 7:06:39.333 0.72703 1 -0.8 (40.00)$ 2,684.72$ 101 494.72$
EUR/USD Feb/03 7:06:39.843 Sell 1.07568 500,000 Feb/03 7:06:39.325 1.07564 1 0.4 20.00$ 2,704.72$ 518 484.72$
NZD/USD Feb/03 7:08:26.445 Sell 0.72707 500,000 Feb/03 7:08:26.370 0.72703 1 0.4 20.00$ 2,724.72$ 74 474.72$
NZD/USD Feb/03 7:10:24.121 Sell 0.72724 500,000 Feb/03 7:10:24.192 0.72703 1 2.1 105.00$ 2,829.72$ 72 549.72$
NZD/USD Feb/03 7:12:35.735 Sell 0.7272 500,000 Feb/03 7:12:35.819 0.727051 1 1.49 74.49$ 2,904.21$ 85 594.21$
NZD/USD Feb/03 7:14:02.559 Sell 0.7271 500,000 Feb/03 7:14:02.644 0.72703 1 0.7 35.00$ 2,939.21$ 84 599.21$
NZD/USD Feb/03 7:14:03.809 Sell 0.72712 500,000 Feb/03 7:14:03.919 0.727056 1 0.64 31.79$ 2,971.00$ 110 601.00$
NZD/USD Feb/03 7:14:04.466 Sell 0.72716 500,000 Feb/03 7:14:04.569 0.72706 1 1 49.74$ 3,020.73$ 103 620.73$
NZD/USD Feb/03 7:14:19.924 Sell 0.72709 500,000 Feb/03 7:14:19.993 0.72703 1 0.6 30.00$ 3,050.73$ 70 620.73$
NZD/USD Feb/03 7:14:44.369 Sell 0.72705 500,000 Feb/03 7:14:44.474 0.727059 1 -0.09 (4.76)$ 3,045.98$ 105 585.98$
NZD/USD Feb/03 7:15:03.555 Sell 0.72717 500,000 Feb/03 7:15:03.656 0.727035 1 1.35 67.29$ 3,113.26$ 100 623.26$
NZD/USD Feb/03 7:16:23.849 Sell 0.72729 500,000 Feb/03 7:16:23.919 0.727036 1 2.54 126.80$ 3,240.06$ 70 720.06$
NZD/USD Feb/03 7:16:26.943 Sell 0.72732 500,000 Feb/03 7:16:27.289 0.7271 1 2.2 110.00$ 3,350.06$ 345 800.06$
NZD/USD Feb/03 7:19:16.204 Sell 0.72721 500,000 Feb/03 7:19:16.276 0.727051 1 1.59 79.32$ 3,429.38$ 71 849.38$
NZD/USD Feb/03 7:19:16.283 Sell 0.72722 500,000 Feb/03 7:19:16.352 0.727073 1 1.47 73.18$ 3,502.56$ 69 892.56$
NZD/USD Feb/03 7:19:28.191 Sell 0.72727 500,000 Feb/03 7:19:28.276 0.727065 1 2.05 102.35$ 3,604.91$ 85 964.91$
NZD/USD Feb/03 7:19:39.536 Sell 0.72733 500,000 Feb/03 7:19:39.967 0.727037 1 2.93 146.13$ 3,751.04$ 432 1,081.04$
NZD/USD Feb/03 7:19:39.661 Sell 0.7273 500,000 Feb/03 7:19:39.747 0.727078 1 2.22 110.61$ 3,861.65$ 87 1,161.65$
NZD/USD Feb/03 7:19:40.193 Sell 0.72734 500,000 Feb/03 7:19:40.277 0.72719 1 1.5 75.00$ 3,936.65$ 84 1,206.65$
NZD/USD Feb/03 7:19:44.240 Sell 0.72736 500,000 Feb/03 7:19:44.348 0.72703 1 3.3 165.00$ 4,101.65$ 108 1,341.65$
EUR/USD Feb/03 7:19:44.818 Sell 1.07596 500,000 Feb/03 7:19:44.866 1.07587 1 0.9 45.00$ 4,146.65$ 47 1,356.65$
EUR/USD Feb/03 7:20:03.804 Sell 1.07581 500,000 Feb/03 7:20:03.877 1.0757 1 1.1 55.00$ 4,201.65$ 73 1,381.65$
NZD/USD Feb/03 7:20:47.295 Sell 0.72723 500,000 Feb/03 7:20:47.380 0.727034 1 1.96 97.62$ 4,299.28$ 85 1,449.28$
NZD/USD Feb/03 7:22:03.520 Sell 0.72728 500,000 Feb/03 7:22:03.605 0.727038 1 2.42 120.74$ 4,420.01$ 84 1,540.01$
NZD/USD Feb/03 7:22:25.877 Sell 0.72726 500,000 Feb/03 7:22:25.982 0.727064 1 1.96 97.78$ 4,517.79$ 105 1,607.79$
NZD/USD Feb/03 7:22:26.946 Sell 0.72725 500,000 Feb/03 7:22:27.522 0.727065 1 1.85 92.50$ 4,610.29$ 577 1,670.29$
NZD/USD Feb/03 7:22:28.890 Sell 0.72719 500,000 Feb/03 7:22:28.972 0.727074 1 1.16 57.67$ 4,667.96$ 82 1,697.96$
EUR/USD Feb/03 7:22:33.494 Sell 1.07575 500,000 Feb/03 7:22:33.534 1.075655 1 0.95 47.50$ 4,715.46$ 40 1,715.46$
NZD/USD Feb/03 7:23:20.969 Sell 0.72713 500,000 Feb/03 7:23:21.553 0.727045 1 0.85 42.08$ 4,757.54$ 584 1,727.54$
NZD/USD Feb/03 7:23:42.533 Sell 0.72718 500,000 Feb/03 7:23:42.617 0.727076 1 1.04 51.67$ 4,809.21$ 84 1,749.21$
NZD/USD Feb/03 7:28:16.285 Sell 0.72711 500,000 Feb/03 7:28:16.369 0.72703 1 0.8 40.00$ 4,849.21$ 85 1,759.21$
NZD/USD Feb/03 7:28:29.319 Sell 0.72698 500,000 Feb/03 7:28:29.404 0.72705 1 -0.7 (35.00)$ 4,814.21$ 86 1,694.21$
NZD/USD Feb/03 7:28:30.333 Sell 0.72703 500,000 Feb/03 7:28:30.420 0.72703 1 0 -$ 4,814.21$ 87 1,664.21$
NZD/USD Feb/03 7:28:30.881 Sell 0.72706 500,000 Feb/03 7:28:30.948 0.72703 1 0.3 15.00$ 4,829.21$ 68 1,649.21$
NZD/USD Feb/03 7:28:41.834 Sell 0.72708 500,000 Feb/03 7:28:41.955 0.727031 1 0.49 24.14$ 4,853.35$ 121 1,643.35$
NZD/USD Feb/03 7:29:45.767 Sell 0.72715 500,000 Feb/03 7:29:45.165 0.727042 1 1.08 53.51$ 4,906.86$ 602 1,666.86$
NZD/USD Feb/03 7:30:06.766 Sell 0.72735 500,000 Feb/03 7:30:06.839 0.727035 1 3.15 157.25$ 5,064.11$ 73 1,794.11$
$(1,000.00)
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