Ewan Li

Session day

Wed, Sep 30, 2026

Previous: Tue, Sep 29, 2026Next: Thu, Oct 1, 2026

Jobs

Each job in the order it ran. A job that was due shows as missing once its engine's runs from a later day are in without it.

Time (ET)JobOutcomeWhat it doesTookError
20:30odte-forwardranprotocol 2's forward log (B0, V2, F2)1 min 40 s—

DAILY · Systematic equity

traded

Account DAILY; Alpaca equity at the settle $1,000,029.59

What the rules decided (52)

StrategyBookTime (ET)SymbolActionQtyWhyThe rule's numbers
Turnaround Tuesday on SPY and QQQ sharestt—SPYflat—flat: not a Monday
3 numbers
close
766.0800170898438
target
0
holding
0
Turnaround Tuesday on SPY and QQQ sharestt—QQQflat—flat: not a Monday
3 numbers
close
743.47998046875
target
0
holding
0
IBS on SPY and QQQibs—SPYlong entry—long entry
3 numbers
close
766.0800170898438
target
1
holding
0
IBS on SPY and QQQibs—QQQflat—flat: no entry
3 numbers
close
743.47998046875
target
0
holding
0
RSI(2) on SPY and QQQrsi2—SPYflat—flat: no entry
3 numbers
close
766.0800170898438
target
0
holding
0
RSI(2) on SPY and QQQrsi2—QQQflat—flat: no entry
3 numbers
close
743.47998046875
target
0
holding
0
Double 7s on SPY and QQQd7—SPYflat—flat: no entry
3 numbers
close
766.0800170898438
target
0
holding
0
Double 7s on SPY and QQQd7—QQQflat—flat: no entry
3 numbers
close
743.47998046875
target
0
holding
0
The 200-day trend on SPY and QQQtr200—SPYlong entry—long entry
3 numbers
close
766.0800170898438
target
1
holding
0
The 200-day trend on SPY and QQQtr200—QQQlong entry—long entry
3 numbers
close
743.47998046875
target
1
holding
0
v2b on Alpaca paperv2b—ELVbuy5entry rank 1 rsi 0.2
v2b on Alpaca paperv2b—TRGPbuy8entry rank 2 rsi 1.0
v2b on Alpaca paperv2b—BNYbuy15entry rank 3 rsi 1.5
v2b on Alpaca paperv2b—EGbuy5entry rank 4 rsi 1.7
v2b on Alpaca paperv2b—IBKRbuy25entry rank 5 rsi 1.8
v2b on Alpaca paperv2b—ADPbuy8entry rank 6 rsi 1.9
v2b on Alpaca paperv2b—HOODbuy19entry rank 7 rsi 1.9
v2b on Alpaca paperv2b—OKEbuy25entry rank 8 rsi 2.1
v2b on Alpaca paperv2b—SPGbuy10entry rank 9 rsi 2.3
v2b on Alpaca paperv2b—NUEbuy9entry rank 10 rsi 2.4
v2b on Alpaca paperv2b—KObuy25entry rank 11 rsi 2.5
v2b on Alpaca paperv2b—STLDbuy9entry rank 12 rsi 2.6
v2b on Alpaca paperv2b—STTbuy12entry rank 13 rsi 2.8
v2b on Alpaca paperv2b—PKGbuy9entry rank 14 rsi 3.1
v2b on Alpaca paperv2b—IFFbuy26entry rank 15 rsi 3.2
v2b on Alpaca paperv2b—DEbuy3entry rank 16 rsi 3.4
v2b on Alpaca paperv2b—BRK-Bbuy4entry rank 17 rsi 3.8
v2b on Alpaca paperv2b—NTRSbuy12entry rank 18 rsi 3.9
v2b on Alpaca paperv2b—COINbuy11entry rank 19 rsi 4.2
v2b on Alpaca paperv2b—APAbuy52entry rank 20 rsi 4.4
v2b on Alpaca paperv2b—SPYbuy73trend on
v2b-TOM on Alpaca paperv2b-tom—ELVbuy5entry rank 1 rsi 0.2
v2b-TOM on Alpaca paperv2b-tom—TRGPbuy8entry rank 2 rsi 1.0
v2b-TOM on Alpaca paperv2b-tom—BNYbuy15entry rank 3 rsi 1.5
v2b-TOM on Alpaca paperv2b-tom—EGbuy5entry rank 4 rsi 1.7
v2b-TOM on Alpaca paperv2b-tom—IBKRbuy25entry rank 5 rsi 1.8
v2b-TOM on Alpaca paperv2b-tom—ADPbuy8entry rank 6 rsi 1.9
v2b-TOM on Alpaca paperv2b-tom—HOODbuy19entry rank 7 rsi 1.9
v2b-TOM on Alpaca paperv2b-tom—OKEbuy25entry rank 8 rsi 2.1
v2b-TOM on Alpaca paperv2b-tom—SPGbuy10entry rank 9 rsi 2.3
v2b-TOM on Alpaca paperv2b-tom—NUEbuy9entry rank 10 rsi 2.4
v2b-TOM on Alpaca paperv2b-tom—KObuy25entry rank 11 rsi 2.5
v2b-TOM on Alpaca paperv2b-tom—STLDbuy9entry rank 12 rsi 2.6
v2b-TOM on Alpaca paperv2b-tom—STTbuy12entry rank 13 rsi 2.8
v2b-TOM on Alpaca paperv2b-tom—PKGbuy9entry rank 14 rsi 3.1
v2b-TOM on Alpaca paperv2b-tom—IFFbuy26entry rank 15 rsi 3.2
v2b-TOM on Alpaca paperv2b-tom—DEbuy3entry rank 16 rsi 3.4
v2b-TOM on Alpaca paperv2b-tom—BRK-Bbuy4entry rank 17 rsi 3.8
v2b-TOM on Alpaca paperv2b-tom—NTRSbuy12entry rank 18 rsi 3.9
v2b-TOM on Alpaca paperv2b-tom—COINbuy11entry rank 19 rsi 4.2
v2b-TOM on Alpaca paperv2b-tom—APAbuy52entry rank 20 rsi 4.4
v2b-TOM on Alpaca paperv2b-tom—SPYbuy73core on (trend on, window on)

Orders sent (22)

BookSymbolSideQtyKindStatusFilledAverageCloseAgainst the closeSent (ET)
nettedADPbuy16—expired0—258.059998—15:41 ET
nettedAPAbuy104—expired0—41.540001—15:41 ET
nettedBNYbuy30—expired0—144.630005—15:41 ET
nettedBRK-Bbuy8—expired4498.29497.950012+6.8 bp15:41 ET
nettedCOINbuy22—filled22186.39186.410004−1.1 bp15:41 ET
nettedDEbuy6—expired0—671.549988—15:41 ET
nettedEGbuy10—expired0—365.170013—15:41 ET
nettedELVbuy10—filled10388.81388.820007−0.3 bp15:41 ET
nettedHOODbuy38—expired0—112.50—15:41 ET
nettedIBKRbuy50—expired0—85.419998—15:41 ET
nettedIFFbuy52—expired0—83.480003—15:41 ET
nettedKObuy50—expired1486.1086.080002+2.3 bp15:41 ET
nettedNTRSbuy24—filled24169.37169.360001+0.6 bp15:41 ET
nettedNUEbuy18—expired8233.87233.75+5.1 bp15:41 ET
nettedOKEbuy50—expired0—85.269997—15:41 ET
nettedPKGbuy18—expired0—229.259995—15:41 ET
nettedQQQbuy67—expired0—739.77002—15:41 ET
nettedSPGbuy20—expired0—200.759995—15:41 ET
nettedSPYbuy276—expired44762.53762.630005−1.3 bp15:41 ET
nettedSTLDbuy18—expired1221.62221.610001+0.5 bp15:41 ET
nettedSTTbuy24—expired0—174.589996—15:41 ET
nettedTRGPbuy16—expired0—270.309998—15:41 ET

Filled orders against the close

DAILY: each order's fill against the close
Each filled order's average price against the official close, in basis points, as the engine measured it: above zero is a cost (a buy above the close, a sell below it), below zero an improvement. 14 orders have no figure: not filled, or not measured.
−2 bp0 bp+2 bp+4 bp+6 bp+8 bpBRK-B buy 4: +6.8 bp against the close (498.29 filled, 497.950012 close)COIN buy 22: −1.1 bp against the close (186.39 filled, 186.410004 close)ELV buy 10: −0.3 bp against the close (388.81 filled, 388.820007 close)KO buy 14: +2.3 bp against the close (86.10 filled, 86.080002 close)NTRS buy 24: +0.6 bp against the close (169.37 filled, 169.360001 close)NUE buy 8: +5.1 bp against the close (233.87 filled, 233.75 close)SPY buy 44: −1.3 bp against the close (762.53 filled, 762.630005 close)STLD buy 1: +0.5 bp against the close (221.62 filled, 221.610001 close)
DAILY: each order's fill against the close — data table
DAILY: each order's fill against the close, each order
SymbolSideFilledAverage priceCloseAgainst the close
BRK-Bbuy4498.29497.950012+6.8 bp
COINbuy22186.39186.410004−1.1 bp
ELVbuy10388.81388.820007−0.3 bp
KObuy1486.1086.080002+2.3 bp
NTRSbuy24169.37169.360001+0.6 bp
NUEbuy8233.87233.75+5.1 bp
SPYbuy44762.53762.630005−1.3 bp
STLDbuy1221.62221.610001+0.5 bp

What filled (45)

BookStrategySymbolSideQtyAskedPriceRule's priceCloseAt (ET)HowWhy
v2bv2b on Alpaca paperADPbuy08258.059998258.820007258.059998—signalentry rank 6 rsi 1.9
v2b-tomv2b-TOM on Alpaca paperADPbuy08258.059998258.820007258.059998—signalentry rank 6 rsi 1.9
v2bv2b on Alpaca paperAPAbuy05241.54000141.51499941.540001—signalentry rank 20 rsi 4.4
v2b-tomv2b-TOM on Alpaca paperAPAbuy05241.54000141.51499941.540001—signalentry rank 20 rsi 4.4
v2bv2b on Alpaca paperBNYbuy015144.630005145.100006144.630005—signalentry rank 3 rsi 1.5
v2b-tomv2b-TOM on Alpaca paperBNYbuy015144.630005145.100006144.630005—signalentry rank 3 rsi 1.5
v2bv2b on Alpaca paperBRK-Bbuy24498.29498.855011497.950012—signalentry rank 17 rsi 3.8
v2b-tomv2b-TOM on Alpaca paperBRK-Bbuy24498.29498.855011497.950012—signalentry rank 17 rsi 3.8
v2bv2b on Alpaca paperCOINbuy1111186.39187.310104186.410004—signalentry rank 19 rsi 4.2
v2b-tomv2b-TOM on Alpaca paperCOINbuy1111186.39187.310104186.410004—signalentry rank 19 rsi 4.2
v2bv2b on Alpaca paperDEbuy03671.549988671.640015671.549988—signalentry rank 16 rsi 3.4
v2b-tomv2b-TOM on Alpaca paperDEbuy03671.549988671.640015671.549988—signalentry rank 16 rsi 3.4
v2bv2b on Alpaca paperEGbuy05365.170013365.454987365.170013—signalentry rank 4 rsi 1.7
v2b-tomv2b-TOM on Alpaca paperEGbuy05365.170013365.454987365.170013—signalentry rank 4 rsi 1.7
v2bv2b on Alpaca paperELVbuy55388.81390.940002388.820007—signalentry rank 1 rsi 0.2
v2b-tomv2b-TOM on Alpaca paperELVbuy55388.81390.940002388.820007—signalentry rank 1 rsi 0.2
v2bv2b on Alpaca paperHOODbuy019112.50112.779999112.50—signalentry rank 7 rsi 1.9
v2b-tomv2b-TOM on Alpaca paperHOODbuy019112.50112.779999112.50—signalentry rank 7 rsi 1.9
v2bv2b on Alpaca paperIBKRbuy02585.41999885.62000385.419998—signalentry rank 5 rsi 1.8
v2b-tomv2b-TOM on Alpaca paperIBKRbuy02585.41999885.62000385.419998—signalentry rank 5 rsi 1.8
v2bv2b on Alpaca paperIFFbuy02683.48000383.80000383.480003—signalentry rank 15 rsi 3.2
v2b-tomv2b-TOM on Alpaca paperIFFbuy02683.48000383.80000383.480003—signalentry rank 15 rsi 3.2
v2bv2b on Alpaca paperKObuy72586.1086.23500186.080002—signalentry rank 11 rsi 2.5
v2b-tomv2b-TOM on Alpaca paperKObuy72586.1086.23500186.080002—signalentry rank 11 rsi 2.5
v2bv2b on Alpaca paperNTRSbuy1212169.37168.770004169.360001—signalentry rank 18 rsi 3.9
v2b-tomv2b-TOM on Alpaca paperNTRSbuy1212169.37168.770004169.360001—signalentry rank 18 rsi 3.9
v2bv2b on Alpaca paperNUEbuy49233.87234.445007233.75—signalentry rank 10 rsi 2.4
v2b-tomv2b-TOM on Alpaca paperNUEbuy49233.87234.445007233.75—signalentry rank 10 rsi 2.4
v2bv2b on Alpaca paperOKEbuy02585.26999785.45999985.269997—signalentry rank 8 rsi 2.1
v2b-tomv2b-TOM on Alpaca paperOKEbuy02585.26999785.45999985.269997—signalentry rank 8 rsi 2.1
v2bv2b on Alpaca paperPKGbuy09229.259995230.610001229.259995—signalentry rank 14 rsi 3.1
v2b-tomv2b-TOM on Alpaca paperPKGbuy09229.259995230.610001229.259995—signalentry rank 14 rsi 3.1
tr200The 200-day trend on SPY and QQQQQQbuy067739.77002743.47998739.77002—signallong entry
v2bv2b on Alpaca paperSPGbuy010200.759995201.539993200.759995—signalentry rank 9 rsi 2.3
v2b-tomv2b-TOM on Alpaca paperSPGbuy010200.759995201.539993200.759995—signalentry rank 9 rsi 2.3
ibsIBS on SPY and QQQSPYbuy1065762.53766.080017762.630005—signallong entry
tr200The 200-day trend on SPY and QQQSPYbuy1065762.53766.080017762.630005—signallong entry
v2bv2b on Alpaca paperSPYbuy1273762.53765.97998762.630005—signaltrend on
v2b-tomv2b-TOM on Alpaca paperSPYbuy1273762.53765.97998762.630005—signalcore on (trend on, window on)
v2bv2b on Alpaca paperSTLDbuy19221.62221.889999221.610001—signalentry rank 12 rsi 2.6
v2b-tomv2b-TOM on Alpaca paperSTLDbuy09221.62221.889999221.610001—signalentry rank 12 rsi 2.6
v2bv2b on Alpaca paperSTTbuy012174.589996175.300003174.589996—signalentry rank 13 rsi 2.8
v2b-tomv2b-TOM on Alpaca paperSTTbuy012174.589996175.300003174.589996—signalentry rank 13 rsi 2.8
v2bv2b on Alpaca paperTRGPbuy08270.309998270.109985270.309998—signalentry rank 2 rsi 1.0
v2b-tomv2b-TOM on Alpaca paperTRGPbuy08270.309998270.109985270.309998—signalentry rank 2 rsi 1.0

17 trades opened

The books at the close

BookStrategyAllocationValueTotalRule valueCashJoined
d7Double 7s on SPY and QQQ$100,000.00$100,000.00$100,016.13——Sep 30, 2026
ibsIBS on SPY and QQQ$100,000.00$100,001.00$100,017.13——Sep 30, 2026
rsi2RSI(2) on SPY and QQQ$100,000.00$100,000.00$100,016.13——Sep 30, 2026
tr200The 200-day trend on SPY and QQQ$100,000.00$100,001.00$100,017.13——Sep 30, 2026
ttTurnaround Tuesday on SPY and QQQ shares$100,000.00$100,000.00$100,016.13——Sep 30, 2026
v2bv2b on Alpaca paper$100,000.00$100,000.04$100,016.17——Sep 30, 2026
v2b-tomv2b-TOM on Alpaca paper$100,000.00$100,000.05$100,016.18——Sep 30, 2026
o11
reserved
—$100,000.00—————

Notes

  • drift ibs QQQ: snapshot target 0, final close 1
  • drift d7 SPY: snapshot target 0, final close 1
  • v2b ADP: bought 0 of 8; the rest is dropped
  • v2b-tom ADP: bought 0 of 8; the rest is dropped
  • v2b APA: bought 0 of 52; the rest is dropped
  • v2b-tom APA: bought 0 of 52; the rest is dropped
  • v2b BNY: bought 0 of 15; the rest is dropped
  • v2b-tom BNY: bought 0 of 15; the rest is dropped
  • v2b BRK-B: bought 2 of 4; the rest is dropped
  • v2b-tom BRK-B: bought 2 of 4; the rest is dropped
  • v2b DE: bought 0 of 3; the rest is dropped
  • v2b-tom DE: bought 0 of 3; the rest is dropped
  • v2b EG: bought 0 of 5; the rest is dropped
  • v2b-tom EG: bought 0 of 5; the rest is dropped
  • v2b HOOD: bought 0 of 19; the rest is dropped
  • v2b-tom HOOD: bought 0 of 19; the rest is dropped
  • v2b IBKR: bought 0 of 25; the rest is dropped
  • v2b-tom IBKR: bought 0 of 25; the rest is dropped
  • v2b IFF: bought 0 of 26; the rest is dropped
  • v2b-tom IFF: bought 0 of 26; the rest is dropped
  • v2b KO: bought 7 of 25; the rest is dropped
  • v2b-tom KO: bought 7 of 25; the rest is dropped
  • v2b NUE: bought 4 of 9; the rest is dropped
  • v2b-tom NUE: bought 4 of 9; the rest is dropped
  • v2b OKE: bought 0 of 25; the rest is dropped
  • v2b-tom OKE: bought 0 of 25; the rest is dropped
  • v2b PKG: bought 0 of 9; the rest is dropped
  • v2b-tom PKG: bought 0 of 9; the rest is dropped
  • tr200 QQQ: bought 0 of 67; the rest is dropped
  • v2b SPG: bought 0 of 10; the rest is dropped
  • v2b-tom SPG: bought 0 of 10; the rest is dropped
  • ibs SPY: bought 10 of 65; the rest is dropped
  • tr200 SPY: bought 10 of 65; the rest is dropped
  • v2b SPY: bought 12 of 73; the rest is dropped
  • v2b-tom SPY: bought 12 of 73; the rest is dropped
  • v2b STLD: bought 1 of 9; the rest is dropped
  • v2b-tom STLD: bought 0 of 9; the rest is dropped
  • v2b STT: bought 0 of 12; the rest is dropped
  • v2b-tom STT: bought 0 of 12; the rest is dropped
  • v2b TRGP: bought 0 of 8; the rest is dropped
  • v2b-tom TRGP: bought 0 of 8; the rest is dropped

The session's numbers

sent
true
index_snapshot_last_bar
null
Record Alpaca
Cost model

Alpaca paper fills, with no commission; shares one sub-book buys and another sells at the same close meet inside the account at the official close, and every leg on the larger side gets one average of that price and Alpaca's fill. A sub-book's value has no dividends and no interest, as Alpaca's paper account pays neither; its total adds the dividends and the T-bill interest on positive cash that a real account would have received. Each settle checks that the sub-books' positions add up to the account's, share for share. Their values do not add up to the equity shown: part of the account is held outside the sub-books, as a buffer, and the equity is Alpaca's own figure, read when the session was settled, at Alpaca's prices then and after Alpaca's SEC and CAT fees, charged by the day.

INTRA1 · Systematic equity

traded

Account INTRA1

Orders sent (3)

BookSymbolSideQtyKindStatusFilledAverageCloseAgainst the closeSent (ET)
patQQQbuy154limitfilled154742.66——10:00 ET
patQQQsell154limitcanceled0———10:33 ET
patQQQsell154marketfilled154740.84——15:59 ET

What filled (2)

BookStrategySymbolSideQtyAskedPriceRule's priceCloseAt (ET)HowWhy
patNasdaq opening-range retestQQQbuy154—742.66742.67—10:33 ETentry—
patNasdaq opening-range retestQQQsell154—740.84——15:59 ETexit—

1 trade opened

1 trade closed

The books at the close

BookStrategyAllocationValueTotalRule valueCashJoined
orb
reserved
Stocks-in-play breakout$45,000.00—————
patNasdaq opening-range retest$45,000.00$44,719.72$44,717.56$44,546.38——

Events

  • 09:45 ET · pat · range 739.76-742.67
  • 10:00 ET · pat · no more entries: one setup a day
  • 10:00 ET · pat · long 154 QQQ: limit 742.66 (edge 742.670), target 748.502, stop 739.754, weight 2.55 (accepted)
  • 10:33 ET · pat · filled 154 at 742.66 (the rule's 742.670), minute 63
  • 15:59 ET · pat · closing: time
  • 09:20 ET · pat · trading
  • 09:45 ET · pat · range 739.76-742.67
  • 10:00 ET · pat · no more entries: one setup a day
  • 10:00 ET · pat · long 154 QQQ: limit 742.66 (edge 742.670), target 748.502, stop 739.754, weight 2.55 (accepted)
  • 10:33 ET · pat · filled 154 at 742.66 (the rule's 742.670), minute 63
  • 15:59 ET · pat · closing: time

The session's numbers

phase
settled
inputs_pat
tick
0.006080638487860326
trend_up
1
Record Alpaca
Cost model

Alpaca paper fills as filled. A book's value is before commission and before Alpaca's SEC and CAT fees, charged by the day; its total takes off an estimated $0.007 a share a side, the rate at the owner's own broker; the rule value is the rule's own replay on SIP bars, after the research's own costs: $0.0035 a share a side in commission for the noise area and $0.007 for the other rules, and a cent a share of slippage on every fill except a resting limit order's and the noise area's exit at the close. The account's equity, cash, buying power and market values, where shown, are Alpaca's own figures, read after the close at Alpaca's prices then and after Alpaca's SEC and CAT fees, charged by the day. Part of the account is held outside its books, as a buffer and, on INTRA1, a reserved book, so the books' values do not add up to the equity.

INTRA2 · Systematic equity

traded

Account INTRA2

What the rules decided (24)

StrategyBookTime (ET)SymbolActionQtyWhyThe rule's numbers
Noise areanoise10:00 ETSPYlong in——
6 numbers
lb
763.0039660167215
px
767.97
ub
767.6094928096369
pos
1
vwap
766.7869459014382
reason
long in: 767.97 > band 767.61
Noise areanoise10:00 ETQQQlong in——
6 numbers
lb
735.933168025146
px
743.43
ub
742.1929475146248
pos
1
vwap
741.5380412568144
reason
long in: 743.43 > band 742.19
Noise areanoise10:30 ETSPYlong out——
6 numbers
lb
762.6706289411659
px
767.78
ub
767.943793867052
pos
0
vwap
767.5050361282334
reason
long out: 767.78 < max(band 767.94, VWAP 767.51)
Noise areanoise10:30 ETQQQlong out——
6 numbers
lb
734.9338245890547
px
743.125
ub
743.1953515610256
pos
0
vwap
742.4942551125911
reason
long out: 743.12 < max(band 743.20, VWAP 742.49)
Noise areanoise11:00 ETSPYlong in——
6 numbers
lb
762.5319739439087
px
768.525
ub
768.0828498425136
pos
1
vwap
767.7171526932802
reason
long in: 768.52 > band 768.08
Noise areanoise11:00 ETQQQlong in——
6 numbers
lb
734.833358911085
px
743.59
ub
743.2961249273019
pos
1
vwap
742.7148031378166
reason
long in: 743.59 > band 743.30
Noise areanoise11:30 ETSPYhold——
6 numbers
lb
762.407985571399
px
768.735
ub
768.2071967786235
pos
1
vwap
767.8317592642898
reason
hold: 768.74 in [762.41, 768.21], VWAP 767.83
Noise areanoise11:30 ETQQQhold——
6 numbers
lb
734.67347439747
px
743.82
ub
743.4564991066045
pos
1
vwap
742.744490904665
reason
hold: 743.82 in [734.67, 743.46], VWAP 742.74
Noise areanoise12:00 ETSPYhold——
6 numbers
lb
762.1453510268658
px
768.675
ub
768.4705908394398
pos
1
vwap
767.9441342890096
reason
hold: 768.67 in [762.15, 768.47], VWAP 767.94
Noise areanoise12:00 ETQQQhold——
6 numbers
lb
734.4501155757663
px
744.25
ub
743.6805419917521
pos
1
vwap
743.0323678184194
reason
hold: 744.25 in [734.45, 743.68], VWAP 743.03
Noise areanoise12:30 ETSPYlong out——
6 numbers
lb
762.0404888903275
px
768.18
ub
768.5757562281653
pos
0
vwap
768.0207923529646
reason
long out: 768.18 < max(band 768.58, VWAP 768.02)
Noise areanoise12:30 ETQQQlong out——
6 numbers
lb
734.2948012430987
px
743.74
ub
743.8363319933744
pos
0
vwap
743.0961145069659
reason
long out: 743.74 < max(band 743.84, VWAP 743.10)
Noise areanoise13:00 ETSPYflat——
6 numbers
lb
761.7741369667065
px
768.27
ub
768.8428784184068
pos
0
vwap
768.0301643230224
reason
flat: 768.27 in [761.77, 768.84], VWAP 768.03
Noise areanoise13:00 ETQQQflat——
6 numbers
lb
733.6924277656724
px
743.94
ub
744.4405503125322
pos
0
vwap
743.1280929726212
reason
flat: 743.94 in [733.69, 744.44], VWAP 743.13
Noise areanoise13:30 ETSPYflat——
6 numbers
lb
761.6711429814918
px
767
ub
768.9461702532777
pos
0
vwap
767.949390561884
reason
flat: 767.00 in [761.67, 768.95], VWAP 767.95
Noise areanoise13:30 ETQQQflat——
6 numbers
lb
733.7269587631444
px
742.32
ub
744.4059135596983
pos
0
vwap
743.1112357341441
reason
flat: 742.32 in [733.73, 744.41], VWAP 743.11
Noise areanoise14:00 ETSPYflat——
6 numbers
lb
761.9663675841839
px
767.74
ub
768.6500918866863
pos
0
vwap
767.9258142706341
reason
flat: 767.74 in [761.97, 768.65], VWAP 767.93
Noise areanoise14:00 ETQQQflat——
6 numbers
lb
733.8682054404063
px
743.89
ub
744.2642342973801
pos
0
vwap
743.1585919702853
reason
flat: 743.89 in [733.87, 744.26], VWAP 743.16
Noise areanoise14:30 ETSPYflat——
6 numbers
lb
762.0503724799801
px
766.81
ub
768.5658440560304
pos
0
vwap
767.8327299991174
reason
flat: 766.81 in [762.05, 768.57], VWAP 767.83
Noise areanoise14:30 ETQQQflat——
6 numbers
lb
734.0559756947869
px
743.27
ub
744.0758889738535
pos
0
vwap
743.1832984179799
reason
flat: 743.27 in [734.06, 744.08], VWAP 743.18
Noise areanoise15:00 ETSPYflat——
6 numbers
lb
761.7196454795255
px
766.48
ub
768.897527490234
pos
0
vwap
767.7216084148799
reason
flat: 766.48 in [761.72, 768.90], VWAP 767.72
Noise areanoise15:00 ETQQQflat——
6 numbers
lb
733.9604014801706
px
743
ub
744.1717558960775
pos
0
vwap
743.1498387593931
reason
flat: 743.00 in [733.96, 744.17], VWAP 743.15
Noise areanoise15:30 ETSPYflat——
6 numbers
lb
761.4246634918521
px
766.34
ub
769.1933625401854
pos
0
vwap
767.5936938852268
reason
flat: 766.34 in [761.42, 769.19], VWAP 767.59
Noise areanoise15:30 ETQQQflat——
6 numbers
lb
733.6646864503094
px
743.36
ub
744.4683765890335
pos
0
vwap
743.1764131680363
reason
flat: 743.36 in [733.66, 744.47], VWAP 743.18

Orders sent (10)

BookSymbolSideQtyKindStatusFilledAverageCloseAgainst the closeSent (ET)
crabelQQQMbuy381marketfilled381305.345459——09:31 ET
noiseSPYbuy81marketfilled81768.130247——10:00 ET
noiseQQQbuy54marketfilled54743.76——10:00 ET
noiseSPYsell81marketfilled81767.717654——10:30 ET
noiseQQQsell54marketfilled54743.08——10:30 ET
noiseSPYbuy81marketfilled81768.426667——11:00 ET
noiseQQQbuy54marketfilled54743.568149——11:00 ET
noiseSPYsell81marketfilled81767.93——12:30 ET
noiseQQQsell54marketfilled54743.59——12:30 ET
crabelQQQMsell381marketfilled381305.53——13:26 ET

What filled (10)

BookStrategySymbolSideQtyAskedPriceRule's priceCloseAt (ET)HowWhy
crabelCrabel's opening rangeQQQMbuy381—305.345459741.620988—09:33 ETentry—
crabelCrabel's opening rangeQQQMsell381—305.53742.208025—13:26 ETexit—
noiseNoise areaSPYbuy81—768.130247767.97—10:00 ETentry—
noiseNoise areaQQQbuy54—743.76743.43—10:00 ETentry—
noiseNoise areaSPYsell81—767.717654767.78—10:30 ETexit—
noiseNoise areaQQQsell54—743.08743.125—10:30 ETexit—
noiseNoise areaSPYbuy81—768.426667768.525—11:00 ETentry—
noiseNoise areaQQQbuy54—743.568149743.59—11:00 ETentry—
noiseNoise areaSPYsell81—767.93768.18—12:30 ETexit—
noiseNoise areaQQQsell54—743.59743.74—12:30 ETexit—

5 trades opened

5 trades closed

The books at the close

BookStrategyAllocationValueTotalRule valueCashJoined
crabelCrabel's opening range$45,000.00$45,070.31$45,064.98$45,091.68——
noiseNoise area$45,000.00$44,890.81$44,887.03$44,960.40——

Events

  • 09:30 ET · crabel · open 740.19: bands 741.62 / 738.76 (stretch 1.431)
  • 09:31 ET · crabel · no more entries: one trade a day
  • 09:31 ET · crabel · long at 741.62 (QQQ), stop 738.76, weight 2.59: 381 QQQM at about 305.40
  • 10:07 ET · crabel · trail: stop 738.76 -> 741.69
  • 11:50 ET · crabel · trail: stop 741.69 -> 742.04
  • 11:51 ET · crabel · trail: stop 742.04 -> 742.21
  • 13:26 ET · crabel · stop: out (QQQ 742.13, stop 742.21)
  • 10:00 ET · noise · SPY: open 766.41, previous close 764.20, leverage 2.77, 81 shares a leg
  • 10:00 ET · noise · QQQ: open 740.19, previous close 737.93, leverage 1.80, 54 shares a leg
  • 09:20 ET · noise · trading
  • 09:20 ET · crabel · trading
  • 09:30 ET · crabel · open 740.19: bands 741.62 / 738.76 (stretch 1.431)
  • 09:31 ET · crabel · no more entries: one trade a day
  • 09:31 ET · crabel · long at 741.62 (QQQ), stop 738.76, weight 2.59: 381 QQQM at about 305.40
  • 10:00 ET · noise · SPY: open 766.41, previous close 764.20, leverage 2.77, 81 shares a leg
  • 10:00 ET · noise · QQQ: open 740.19, previous close 737.93, leverage 1.80, 54 shares a leg
  • 10:07 ET · crabel · trail: stop 738.76 -> 741.69
  • 11:50 ET · crabel · trail: stop 741.69 -> 742.04
  • 11:51 ET · crabel · trail: stop 742.04 -> 742.21
  • 13:26 ET · crabel · stop: out (QQQ 742.13, stop 742.21)

The session's numbers

phase
settled
inputs_noise
QQQ.leverage
1.7953336304372014
SPY.leverage
2.765850580621067
QQQ.prev_close
737.93
SPY.prev_close
764.2
QQQ.sigma_10:00
0.002705991049088617
SPY.sigma_10:00
0.001565079800155078
inputs_crabel
armed
true
stretch
1.430987548828125
qqq_over_qqqm
2.4287595036698155
Record Alpaca
Cost model

Alpaca paper fills as filled. A book's value is before commission and before Alpaca's SEC and CAT fees, charged by the day; its total takes off an estimated $0.007 a share a side, the rate at the owner's own broker; the rule value is the rule's own replay on SIP bars, after the research's own costs: $0.0035 a share a side in commission for the noise area and $0.007 for the other rules, and a cent a share of slippage on every fill except a resting limit order's and the noise area's exit at the close. The account's equity, cash, buying power and market values, where shown, are Alpaca's own figures, read after the close at Alpaca's prices then and after Alpaca's SEC and CAT fees, charged by the day. Part of the account is held outside its books, as a buffer and, on INTRA1, a reserved book, so the books' values do not add up to the equity.

MA · market-analysis

no trades

Account MA

What the rules decided (2)

StrategyBookTime (ET)SymbolActionQtyWhyThe rule's numbers
———SPYON—ON
6 numbers
x
16.04
vix
16.04
asof
2026-09-29
known
true
vix3m
18.09
x_median
15.555
———QQQON—ON
6 numbers
x
22.07
vix
16.04
asof
2026-09-29
known
true
vix3m
18.09
x_median
21.045

Warnings

  • prices.parquet ends 2026-09-25, BEFORE the 2026-09-30 trade date -- any lane reading it gets a stale regime/factor read. Rebuild: python3 scripts/truthset/build_prices.py
  • returns.parquet ends 2026-09-25, BEFORE the 2026-09-30 trade date -- any lane reading it gets a stale regime/factor read. Rebuild: python3 scripts/truthset/build_returns.py
  • features.parquet ends 2026-09-25, BEFORE the 2026-09-30 trade date -- any lane reading it gets a stale regime/factor read. Rebuild: python3 scripts/truthset/build_features.py

The session's numbers

sa
graded
0
candidates
0
exploration
0
ledger
graded
0
emitted
0
skipped
0
wb_graded
485
wb_emitted
230
ledger_open
false
exploration_emitted
0
exploration_skipped
0
season
off
gate_next
QQQ
ON
SPY
ON
sb_running
is_entry_day
false
watch_basket
vol
0
long
31
short
199
conflict
96
available
true
sc_candidates
0
sc_exploration
signals_schema
d1.6
index_vol_through
2026-10-02
  • Record GitHub ledger
    Cost model: S-B QQQ iron condor and 7 more

    half of each leg's quoted spread plus $0.65 a contract at entry; $0.65 a contract at expiry

    For S-B QQQ iron condor, S-B QQQ put spread, S-B SPY iron condor, S-B SPY put spread, S-B QQQ iron condor, exploration, S-B QQQ put spread, exploration, S-B SPY iron condor, exploration and S-B SPY put spread, exploration.

  • Record GitHub ledger
    Cost model: S-C C1 iron butterfly and 2 more

    half of each leg's spread plus $0.65 a contract at entry, the spread quoted from 15:00 to 16:00 ET or, for a wing priced by model, the stock's median option spread over the 20 sessions before, at least 5%; nothing at expiry

    For S-C C1 iron butterfly, S-C C2 iron butterfly and S-C C1 iron butterfly, exploration.

  • Record GitHub ledger
    Cost model: S-C C1 short straddle and 2 more

    half of each leg's quoted spread from 15:00 to 16:00 ET plus $0.65 a contract at entry; nothing at expiry

    For S-C C1 short straddle, S-C C2 short straddle and S-C C1 short straddle, exploration.

forward · 0DTE forward logs

logged

The session's numbers

entries
B0
0
F2
2
V2
0
coverage
QQQ.rows
22459
SPY.rows
23522
QQQ.partial
false
SPY.partial
false
QQQ.early_close
false
SPY.early_close
false
QQQ.contracts_0dte
30
SPY.contracts_0dte
32
QQQ.longest_gap_min
1
SPY.longest_gap_min
1
triggers
14
Record Forward log
Cost model

$0.01 a side and $0.65 a contract a side, on 1-minute OPRA bars; a ladder sale is at its level

0DTE signals

Each signal as its log wrote it; nothing here is added up.

Time (ET)LogSymbolSideRulesContractExitExit byNetRecord
10:00forwardQQQcallB0: window, V2: window, F2: window—————
10:28forwardSPYputB0: window, V2: window, F2: window—————
10:50forwardQQQcallB0: window, V2: window, F2: window—————
10:54forwardQQQcallB0: window, V2: window, F2: window—————
11:16forwardSPYcallB0: breadth, V2: breadth, F2: ENTRYC771 at 0.3511:22 ETstop−31.6%(1)
11:30forwardSPYcallB0: breadth, V2: breadth, F2: book_limit—————
12:04forwardSPYcallB0: breadth, V2: breadth, F2: book_limit—————
12:42forwardSPYcallB0: breadth, V2: breadth, F2: book_limit—————
13:32forwardQQQcallB0: breadth, V2: breadth, F2: ENTRYC745 at 0.6315:54 ETstop−28.7%(1)
13:32forwardSPYcallB0: breadth, V2: breadth, F2: room—————
13:40forwardQQQcallB0: breadth, V2: breadth, F2: position_open—————
13:40forwardSPYcallB0: breadth, V2: breadth, F2: room—————
13:42forwardSPYcallB0: breadth, V2: breadth, F2: room—————
14:06forwardSPYputB0: bias, V2: room, F2: room—————
  1. (1)
    Record Forward log
    Cost model

    $0.01 a side and $0.65 a contract a side, on 1-minute OPRA bars; a ladder sale is at its level

Trades opened or closed

59 trades

OpenedClosedAccountStrategySymbolSideSizeEntryExitP&LNet P&LReturnUnrealizedHeldExit byStatusRecord
Sep 30, 2026Oct 1, 2026DAILYIBS on SPY and QQQSPYlong10762.53763.99+$14.60+$14.46+0.19%—1 sessionexitclosedTrade journal (1)
Sep 30, 2026—DAILYThe 200-day trend on SPY and QQQQQQlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYThe 200-day trend on SPY and QQQSPYlong64768.491406————+$211.11——openTrade journal (1)
Sep 30, 2026—DAILYv2b-TOM on Alpaca paperADPlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b-TOM on Alpaca paperAPAlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b-TOM on Alpaca paperBNYlong0————————unfilledTrade journal (1)
Sep 30, 2026Oct 2, 2026DAILYv2b-TOM on Alpaca paperBRK-Blong2498.29503.415+$10.25+$10.22+1.03%—2 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026Oct 5, 2026DAILYv2b-TOM on Alpaca paperCOINlong11186.39188.14+$19.25+$19.10+0.94%—3 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026—DAILYv2b-TOM on Alpaca paperDElong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b-TOM on Alpaca paperEGlong0————————unfilledTrade journal (1)
Sep 30, 2026Oct 5, 2026DAILYv2b-TOM on Alpaca paperELVlong5388.81395.13+$31.60+$31.53+1.63%—3 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026—DAILYv2b-TOM on Alpaca paperHOODlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b-TOM on Alpaca paperIBKRlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b-TOM on Alpaca paperIFFlong0————————unfilledTrade journal (1)
Sep 30, 2026Oct 5, 2026DAILYv2b-TOM on Alpaca paperKOlong786.1086.27+$1.19+$1.09+0.20%—3 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026Oct 5, 2026DAILYv2b-TOM on Alpaca paperNTRSlong12169.37170.35+$11.76+$11.59+0.58%—3 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026Oct 2, 2026DAILYv2b-TOM on Alpaca paperNUElong4233.87240.25+$25.52+$25.46+2.73%—2 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026—DAILYv2b-TOM on Alpaca paperOKElong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b-TOM on Alpaca paperPKGlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b-TOM on Alpaca paperSPGlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b-TOM on Alpaca paperSPYlong73763.855411————+$579.22——openTrade journal (1)
Sep 30, 2026—DAILYv2b-TOM on Alpaca paperSTLDlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b-TOM on Alpaca paperSTTlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b-TOM on Alpaca paperTRGPlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b on Alpaca paperADPlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b on Alpaca paperAPAlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b on Alpaca paperBNYlong0————————unfilledTrade journal (1)
Sep 30, 2026Oct 2, 2026DAILYv2b on Alpaca paperBRK-Blong2498.29503.415+$10.25+$10.22+1.03%—2 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026Oct 5, 2026DAILYv2b on Alpaca paperCOINlong11186.39188.14+$19.25+$19.10+0.94%—3 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026—DAILYv2b on Alpaca paperDElong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b on Alpaca paperEGlong0————————unfilledTrade journal (1)
Sep 30, 2026Oct 5, 2026DAILYv2b on Alpaca paperELVlong5388.81395.13+$31.60+$31.53+1.63%—3 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026—DAILYv2b on Alpaca paperHOODlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b on Alpaca paperIBKRlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b on Alpaca paperIFFlong0————————unfilledTrade journal (1)
Sep 30, 2026Oct 5, 2026DAILYv2b on Alpaca paperKOlong786.1086.27+$1.19+$1.09+0.20%—3 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026Oct 5, 2026DAILYv2b on Alpaca paperNTRSlong12169.37170.35+$11.76+$11.59+0.58%—3 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026Oct 2, 2026DAILYv2b on Alpaca paperNUElong4233.87240.25+$25.52+$25.46+2.73%—2 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026—DAILYv2b on Alpaca paperOKElong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b on Alpaca paperPKGlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b on Alpaca paperSPGlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b on Alpaca paperSPYlong73763.855411————+$579.22——openTrade journal (1)
Sep 30, 2026Oct 2, 2026DAILYv2b on Alpaca paperSTLDlong1221.62232.23+$10.61+$10.60+4.79%—2 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026—DAILYv2b on Alpaca paperSTTlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYv2b on Alpaca paperTRGPlong0————————unfilledTrade journal (1)
Sep 30, 2026Sep 30, 2026INTRA1Nasdaq opening-range retestQQQlong154742.66740.84−$280.28−$282.44−0.25%—325.5 minutestimeclosedTrade journal (2)
Sep 30, 2026Sep 30, 2026INTRA2Crabel's opening rangeQQQMlong381305.345459305.53+$70.31+$64.98+0.06%—232.9 minutesstopclosedTrade journal (2)
Sep 30, 2026Sep 30, 2026INTRA2Noise areaQQQlong54743.76743.08−$36.72−$37.48−0.09%—30 minutessignalclosedTrade journal (2)
Sep 30, 2026Sep 30, 2026INTRA2Noise areaQQQlong54743.568149743.59+$1.18+$0.42+0.00%—89.9 minutessignalclosedTrade journal (2)
Sep 30, 2026Sep 30, 2026INTRA2Noise areaSPYlong81768.130247767.717654−$33.42−$34.55−0.05%—30 minutessignalclosedTrade journal (2)
Sep 30, 2026Sep 30, 2026INTRA2Noise areaSPYlong81768.426667767.93−$40.23−$41.36−0.06%—90 minutessignalclosedTrade journal (2)
Sep 30, 2026Oct 5, 2026SIM-V2B-TOMv2b-TOMEGlong5365.170013366.809998+$7.28—+0.35%——close>sma_exitclosedLocal ledger (3)
Sep 30, 2026Oct 1, 2026SIM-V2Bv2bADPlong8258.059998263.959991+$46.14—+2.19%——close>sma_exitclosedLocal ledger (3)
Sep 30, 2026Oct 5, 2026SIM-V2Bv2bEGlong5365.170013366.809998+$7.28—+0.35%——close>sma_exitclosedLocal ledger (3)
Sep 30, 2026Oct 1, 2026SIM-V2Bv2bTRGPlong8270.309998279.309998+$70.88—+3.23%——close>sma_exitclosedLocal ledger (3)
Sep 29, 2026Sep 30, 2026SIM-V2B-TOMv2b-TOMPSXlong8252.25255.309998+$23.46—+1.11%——close>sma_exitclosedLocal ledger (3)
Sep 28, 2026Sep 30, 2026SIM-V2Bv2bAMZNlong8246.149994249.149994+$23.00—+1.12%——close>sma_exitclosedLocal ledger (3)
Sep 28, 2026Sep 30, 2026SIM-V2Bv2bNOWlong16131.449997134.009995+$39.89—+1.85%——close>sma_exitclosedLocal ledger (3)
Sep 28, 2026Sep 30, 2026SIM-V2Bv2bPSXlong8253.550003255.309998+$13.06—+0.59%——close>sma_exitclosedLocal ledger (3)
  1. (1)
    Record Trade journal
    Cost model

    Alpaca paper fills, with no commission. In the DAILY account, shares one sub-book buys and another sells at the same close meet inside the account at the official close, and every leg on the larger side gets one average of that price and Alpaca's fill. Alpaca's SEC and CAT fees, charged by the day, are left out. Commission is estimated at $0.007 a share a side, the rate at the owner's own broker: the net P&L is the P&L less it, without dividends; the P&L, the total with dividends, the return and the P&L in basis points of the sub-book are before it. An open trade is marked at the latest official close, before commission, with the dividends paid so far beside it.

  2. (2)
    Record Trade journal
    Cost model

    Alpaca paper fills, with no commission; Alpaca's SEC and CAT fees, charged by the day, are left out. Commission is estimated at $0.007 a share a side, the rate at the owner's own broker: the net P&L is the P&L less it; the P&L, the return, the P&L in basis points of the book and the R multiple are before it. The rule book's day return is the rule's own replay on SIP bars, after the research's own costs: $0.0035 a share a side in commission for the noise area and $0.007 for the other rules, and a cent a share of slippage on every fill except a resting limit order's and the noise area's exit at the close.

  3. (3)
    Record Local ledger
    Cost model

    5 bp a side, filled at the official close. The P&L is after the exit fee only, because the entry fee left the book's cash at entry; the return is after both. Dividends are not credited.