JLM Simulator Documentation

JLMSim: Order Impact Output Description


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One of the output files produced by the run with input to be found in

JLMSimInput for Case M23a NrS16NrIT8_1000_50_200NL -1.txt

is the Order Impact Analysis File

Order Impact Analysis for Case M23a NrS16NrIT8_1000_50_200NL -1 t GE 100.xls

This is the .xls, slightly reformatted, version of a .csv output file.

Note that, in addition to the usual case description information added to most output files, this Order Impact Analysis File name includes the phrase "t GE 100." This indicates that the order impact information reported here excludes the first 99 days (literally, time >= day 100). The starting date of the analysis is an input parameter.

For each Investor Template, for each security and for buy and sell separately, the Order Impact Analysis provides information concerning the 25 largest orders placed during the course of the simulation. Below are the table headings and the first ten lines of results.


Order Impact Analysis for Case M23a NrS16NrIT8_1000_50_200NL -1 t GE 100.csv

It is recommended that you freeze the pane with the cursor on the first line of output, under the heading "Amount Wanted." This will allow you to keep track of the Investor Template number, security number, and buy or sell mode currently being displayed. In particular, the first, fourth and fifth entries in the rows shown indicate that these rows report on the largest attempted purchases by investors of Template 0 for Security 0. We term these "purchase attempts" rather than "purchase orders" since the attempt may have been placed in several orders. The amount shown is the amount which the investor requested of the trader.

The second entry in each of these rows shows that each of the dozen largest purchase attempts for Security 0 by investors of Template 0 were by the specific investor with sequence number 736. The third entry indicates the investor's status, thus

Investor 0-736 was in OK status when the purchase attempts occurred.  The sixth and seventh entries in the first row indicate that 0-736 wanted 60,890 shares and got none.  Further, among the twelve largest purchase attempts    by any investor of Template 0, all by 0-736, in no instance did the investor buy all he sought.  In eleven cases the investor got none.  The following extract shows that an investor of Template 1 was much more successful in getting large buy orders executed.   One difference between the two Investor Templates lies in the differing Trader Template used and the aggressiveness of the respective traders.  See Input File Documentation.

The twelve largest purchase attempts for Security 0 by investors of Template 1 were placed by 1-651. Columns labeled "Start time," "Start Bid," "Start Offer," and "St B/O AVG" show that the largest amount sought was 12,801 shares at time (in days) of 2090.62.  At the time the best bid was $216.80; the best offer was $216.89.  Thus the bid/asked average was about $216.845, shown here as $216.84 under the heading St[art] B/O AVG. The column titled AVG PRICE shows that $218.09 was the average price at which the shares were purchased. The columns labeled "End Time," "EndBid," "End Offer,"  and "End B/O Avg" show that the order was completed about two-tenths of a day later, at 2090.82   At that time the best bid was $216.89; the best offer was $218.12 for a bid/offer average of $217.50. Thus Investor 1-651's trader obtained the entire 12,801 shares at a small premium to the initial bid/asked average and at almost the ending offer price.  In general, in all twelve cases 1-651 obtained the entire position desired, usually at little or no premium to the initial bid/offer average.

Note 1: "-1.00" in a bid or asked column indicates the absence of the bid or offer.

Note 2: JLMSim trades are conducted in whole shares but not necessarily whole lots.
 

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Last updated: June 30, 2005