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1226 lines (1226 loc) · 163 KB
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Configuring sim logging
Private configuration '/app/private/private_config.yaml' is missing or misconfigured; no problem if running in sim mode
System base_system with .config, .data, and .stages: accounts, portfolio, positionSize, combForecast, forecastScaleCap, rules, rawdata
2026-07-16 10:44:02 DEBUG base_system Following instruments are 'duplicate_markets' ['Another_thing', 'bad_thing']
2026-07-16 10:44:02 DEBUG base_system Following instruments are marked as 'ignore_instruments': not included: ['EXAMPLE']
2026-07-16 10:44:02 DEBUG base_system Following instruments removed entirely from sim: ['Another_thing', 'EXAMPLE', 'bad_thing']
2026-07-16 10:44:02 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} Calculating notional position for SOFR
2026-07-16 10:44:02 INFO base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} Calculating instrument weights
2026-07-16 10:44:02 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} Calculating raw instrument weights
2026-07-16 10:44:02 DEBUG base_system Following instruments are 'duplicate_markets' ['Another_thing', 'bad_thing']
2026-07-16 10:44:02 DEBUG base_system Following instruments are marked as 'ignore_instruments': not included: ['EXAMPLE']
2026-07-16 10:44:02 DEBUG base_system Following instruments are marked as 'bad_markets': ['BAD_EXAMPLE']
2026-07-16 10:44:02 DEBUG base_system Following instruments have restricted trading: ['RESTRICTED_EXAMPLE']
2026-07-16 10:44:02 DEBUG base_system Following instruments marked as not trading []
2026-07-16 10:44:02 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating subsystem position for CORN
2026-07-16 10:44:02 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating volatility scalar for CORN
2026-07-16 10:44:02 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating instrument value vol for CORN
2026-07-16 10:44:02 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating instrument currency vol for CORN
2026-07-16 10:44:03 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily volatility for CORN
2026-07-16 10:44:03 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:44:03 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Calculating combined forecast for CORN
2026-07-16 10:44:03 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'CORN'} Calculating capped forecast for CORN ewmac32
2026-07-16 10:44:03 DEBUG base_system {'stage': 'rules', 'instrument_code': 'CORN'} Calculating raw forecast CORN for ewmac32
2026-07-16 10:44:04 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'CORN'} Calculating capped forecast for CORN ewmac8
2026-07-16 10:44:04 DEBUG base_system {'stage': 'rules', 'instrument_code': 'CORN'} Calculating raw forecast CORN for ewmac8
2026-07-16 10:44:04 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Calculating forecast weights for CORN
2026-07-16 10:44:05 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'SOFR'} Calculating capped forecast for SOFR ewmac32
2026-07-16 10:44:05 DEBUG base_system {'stage': 'rules', 'instrument_code': 'SOFR'} Calculating raw forecast SOFR for ewmac32
2026-07-16 10:44:05 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'SP500'} Calculating capped forecast for SP500 ewmac32
2026-07-16 10:44:05 DEBUG base_system {'stage': 'rules', 'instrument_code': 'SP500'} Calculating raw forecast SP500 for ewmac32
2026-07-16 10:44:06 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'US10'} Calculating capped forecast for US10 ewmac32
2026-07-16 10:44:06 DEBUG base_system {'stage': 'rules', 'instrument_code': 'US10'} Calculating raw forecast US10 for ewmac32
2026-07-16 10:44:07 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:44:07 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:44:08 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'SOFR'} Calculating capped forecast for SOFR ewmac8
2026-07-16 10:44:08 DEBUG base_system {'stage': 'rules', 'instrument_code': 'SOFR'} Calculating raw forecast SOFR for ewmac8
2026-07-16 10:44:09 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'SP500'} Calculating capped forecast for SP500 ewmac8
2026-07-16 10:44:09 DEBUG base_system {'stage': 'rules', 'instrument_code': 'SP500'} Calculating raw forecast SP500 for ewmac8
2026-07-16 10:44:10 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'US10'} Calculating capped forecast for US10 ewmac8
2026-07-16 10:44:10 DEBUG base_system {'stage': 'rules', 'instrument_code': 'US10'} Calculating raw forecast US10 for ewmac8
2026-07-16 10:44:11 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Only this set of rules ['ewmac32', 'ewmac8'] is cheap enough to trade for CORN
2026-07-16 10:44:11 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Non-nested dict of forecast weights for CORN {'ewmac8': 0.5, 'ewmac32': 0.5}: weights the same for all instruments
2026-07-16 10:44:11 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Using fixed FDM multiplier of 1.100 for CORN
2026-07-16 10:44:11 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} No mapping applied for CORN
2026-07-16 10:44:11 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating subsystem position for SOFR
2026-07-16 10:44:11 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating volatility scalar for SOFR
2026-07-16 10:44:11 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating instrument value vol for SOFR
2026-07-16 10:44:11 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating instrument currency vol for SOFR
2026-07-16 10:44:12 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily volatility for SOFR
2026-07-16 10:44:12 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:44:12 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Calculating combined forecast for SOFR
2026-07-16 10:44:12 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Calculating forecast weights for SOFR
2026-07-16 10:44:12 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:44:13 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:44:13 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Only this set of rules ['ewmac32', 'ewmac8'] is cheap enough to trade for SOFR
2026-07-16 10:44:13 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Non-nested dict of forecast weights for SOFR {'ewmac8': 0.5, 'ewmac32': 0.5}: weights the same for all instruments
2026-07-16 10:44:13 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Using fixed FDM multiplier of 1.100 for SOFR
2026-07-16 10:44:13 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} No mapping applied for SOFR
2026-07-16 10:44:13 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SP500'} Calculating subsystem position for SP500
2026-07-16 10:44:13 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SP500'} Calculating volatility scalar for SP500
2026-07-16 10:44:13 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SP500'} Calculating instrument value vol for SP500
2026-07-16 10:44:13 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SP500'} Calculating instrument currency vol for SP500
2026-07-16 10:44:14 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SP500'} Calculating daily volatility for SP500
2026-07-16 10:44:14 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SP500'} Calculating daily prices for SP500
2026-07-16 10:44:14 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SP500'} Calculating combined forecast for SP500
2026-07-16 10:44:14 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SP500'} Calculating forecast weights for SP500
2026-07-16 10:44:14 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SP500'} Calculating daily prices for SP500
2026-07-16 10:44:15 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SP500'} Calculating daily prices for SP500
2026-07-16 10:44:15 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SP500'} Only this set of rules ['ewmac32', 'ewmac8'] is cheap enough to trade for SP500
2026-07-16 10:44:15 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SP500'} Non-nested dict of forecast weights for SP500 {'ewmac8': 0.5, 'ewmac32': 0.5}: weights the same for all instruments
2026-07-16 10:44:16 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SP500'} Using fixed FDM multiplier of 1.100 for SP500
2026-07-16 10:44:16 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SP500'} No mapping applied for SP500
2026-07-16 10:44:16 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating subsystem position for US10
2026-07-16 10:44:16 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating volatility scalar for US10
2026-07-16 10:44:16 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating instrument value vol for US10
2026-07-16 10:44:16 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating instrument currency vol for US10
2026-07-16 10:44:16 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily volatility for US10
2026-07-16 10:44:16 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:44:17 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Calculating combined forecast for US10
2026-07-16 10:44:17 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Calculating forecast weights for US10
2026-07-16 10:44:17 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:44:17 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:44:18 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Only this set of rules ['ewmac32', 'ewmac8'] is cheap enough to trade for US10
2026-07-16 10:44:18 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Non-nested dict of forecast weights for US10 {'ewmac8': 0.5, 'ewmac32': 0.5}: weights the same for all instruments
2026-07-16 10:44:18 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Using fixed FDM multiplier of 1.100 for US10
2026-07-16 10:44:18 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} No mapping applied for US10
2026-07-16 10:44:18 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} Following instruments will have zero weight in optimisation of instrument weights as they have no positions (possibly too expensive?) []
2026-07-16 10:44:19 INFO base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} Using fixed diversification multiplier 1.500000
2026-07-16 10:44:19 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} No risk overlay in config: won't apply risk scaling
index
2024-03-22 -10.701093
2024-03-25 -10.224163
2024-03-26 -9.492612
2024-03-27 -7.597249
2024-03-28 -6.606060
Freq: B, dtype: float64
Private configuration '/app/private/private_config.yaml' is missing or misconfigured; no problem if running in sim mode
2026-07-16 10:44:19 DEBUG base_system Following instruments are 'duplicate_markets' ['Another_thing', 'bad_thing']
2026-07-16 10:44:19 DEBUG base_system Following instruments are marked as 'ignore_instruments': not included: ['EXAMPLE']
2026-07-16 10:44:19 DEBUG base_system Following instruments removed entirely from sim: ['Another_thing', 'EXAMPLE', 'bad_thing']
2026-07-16 10:44:19 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} Calculating notional position for SOFR
2026-07-16 10:44:19 INFO base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} Calculating instrument weights
2026-07-16 10:44:19 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} Calculating raw instrument weights
2026-07-16 10:44:19 DEBUG base_system Following instruments are 'duplicate_markets' ['Another_thing', 'bad_thing']
2026-07-16 10:44:19 DEBUG base_system Following instruments are marked as 'ignore_instruments': not included: ['EXAMPLE']
2026-07-16 10:44:19 DEBUG base_system Following instruments are marked as 'bad_markets': ['BAD_EXAMPLE']
2026-07-16 10:44:19 DEBUG base_system Following instruments have restricted trading: ['RESTRICTED_EXAMPLE']
2026-07-16 10:44:19 DEBUG base_system Following instruments marked as not trading []
2026-07-16 10:44:19 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating subsystem position for CORN
2026-07-16 10:44:19 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating volatility scalar for CORN
2026-07-16 10:44:19 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating instrument value vol for CORN
2026-07-16 10:44:19 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating instrument currency vol for CORN
2026-07-16 10:44:19 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily volatility for CORN
2026-07-16 10:44:19 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:44:20 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Calculating combined forecast for CORN
2026-07-16 10:44:20 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'CORN'} Calculating capped forecast for CORN ewmac32
2026-07-16 10:44:20 DEBUG base_system {'stage': 'rules', 'instrument_code': 'CORN'} Calculating raw forecast CORN for ewmac32
2026-07-16 10:44:20 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'CORN'} Calculating capped forecast for CORN ewmac8
2026-07-16 10:44:20 DEBUG base_system {'stage': 'rules', 'instrument_code': 'CORN'} Calculating raw forecast CORN for ewmac8
2026-07-16 10:44:21 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Calculating forecast weights for CORN
2026-07-16 10:44:21 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'SOFR'} Calculating capped forecast for SOFR ewmac32
2026-07-16 10:44:21 DEBUG base_system {'stage': 'rules', 'instrument_code': 'SOFR'} Calculating raw forecast SOFR for ewmac32
2026-07-16 10:44:22 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'SP500'} Calculating capped forecast for SP500 ewmac32
2026-07-16 10:44:22 DEBUG base_system {'stage': 'rules', 'instrument_code': 'SP500'} Calculating raw forecast SP500 for ewmac32
2026-07-16 10:44:23 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'US10'} Calculating capped forecast for US10 ewmac32
2026-07-16 10:44:23 DEBUG base_system {'stage': 'rules', 'instrument_code': 'US10'} Calculating raw forecast US10 for ewmac32
2026-07-16 10:44:24 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:44:24 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:44:25 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'SOFR'} Calculating capped forecast for SOFR ewmac8
2026-07-16 10:44:25 DEBUG base_system {'stage': 'rules', 'instrument_code': 'SOFR'} Calculating raw forecast SOFR for ewmac8
2026-07-16 10:44:26 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'SP500'} Calculating capped forecast for SP500 ewmac8
2026-07-16 10:44:26 DEBUG base_system {'stage': 'rules', 'instrument_code': 'SP500'} Calculating raw forecast SP500 for ewmac8
2026-07-16 10:44:27 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'US10'} Calculating capped forecast for US10 ewmac8
2026-07-16 10:44:27 DEBUG base_system {'stage': 'rules', 'instrument_code': 'US10'} Calculating raw forecast US10 for ewmac8
2026-07-16 10:44:27 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Only this set of rules ['ewmac32', 'ewmac8'] is cheap enough to trade for CORN
2026-07-16 10:44:27 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Non-nested dict of forecast weights for CORN {'ewmac8': 0.5, 'ewmac32': 0.5}: weights the same for all instruments
2026-07-16 10:44:28 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Using fixed FDM multiplier of 1.100 for CORN
2026-07-16 10:44:28 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} No mapping applied for CORN
2026-07-16 10:44:28 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating subsystem position for SOFR
2026-07-16 10:44:28 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating volatility scalar for SOFR
2026-07-16 10:44:28 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating instrument value vol for SOFR
2026-07-16 10:44:28 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating instrument currency vol for SOFR
2026-07-16 10:44:28 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily volatility for SOFR
2026-07-16 10:44:28 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:44:29 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Calculating combined forecast for SOFR
2026-07-16 10:44:29 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Calculating forecast weights for SOFR
2026-07-16 10:44:29 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:44:29 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:44:30 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Only this set of rules ['ewmac32', 'ewmac8'] is cheap enough to trade for SOFR
2026-07-16 10:44:30 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Non-nested dict of forecast weights for SOFR {'ewmac8': 0.5, 'ewmac32': 0.5}: weights the same for all instruments
2026-07-16 10:44:30 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Using fixed FDM multiplier of 1.100 for SOFR
2026-07-16 10:44:30 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} No mapping applied for SOFR
2026-07-16 10:44:30 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SP500'} Calculating subsystem position for SP500
2026-07-16 10:44:30 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SP500'} Calculating volatility scalar for SP500
2026-07-16 10:44:30 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SP500'} Calculating instrument value vol for SP500
2026-07-16 10:44:30 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SP500'} Calculating instrument currency vol for SP500
2026-07-16 10:44:31 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SP500'} Calculating daily volatility for SP500
2026-07-16 10:44:31 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SP500'} Calculating daily prices for SP500
2026-07-16 10:44:31 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SP500'} Calculating combined forecast for SP500
2026-07-16 10:44:31 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SP500'} Calculating forecast weights for SP500
2026-07-16 10:44:31 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SP500'} Calculating daily prices for SP500
2026-07-16 10:44:31 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SP500'} Calculating daily prices for SP500
2026-07-16 10:44:32 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SP500'} Only this set of rules ['ewmac32', 'ewmac8'] is cheap enough to trade for SP500
2026-07-16 10:44:32 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SP500'} Non-nested dict of forecast weights for SP500 {'ewmac8': 0.5, 'ewmac32': 0.5}: weights the same for all instruments
2026-07-16 10:44:32 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SP500'} Using fixed FDM multiplier of 1.100 for SP500
2026-07-16 10:44:32 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SP500'} No mapping applied for SP500
2026-07-16 10:44:32 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating subsystem position for US10
2026-07-16 10:44:32 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating volatility scalar for US10
2026-07-16 10:44:32 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating instrument value vol for US10
2026-07-16 10:44:32 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating instrument currency vol for US10
2026-07-16 10:44:33 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily volatility for US10
2026-07-16 10:44:33 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:44:33 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Calculating combined forecast for US10
2026-07-16 10:44:33 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Calculating forecast weights for US10
2026-07-16 10:44:33 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:44:34 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:44:34 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Only this set of rules ['ewmac32', 'ewmac8'] is cheap enough to trade for US10
2026-07-16 10:44:34 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Non-nested dict of forecast weights for US10 {'ewmac8': 0.5, 'ewmac32': 0.5}: weights the same for all instruments
2026-07-16 10:44:35 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Using fixed FDM multiplier of 1.100 for US10
2026-07-16 10:44:35 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} No mapping applied for US10
2026-07-16 10:44:35 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} Following instruments will have zero weight in optimisation of instrument weights as they have no positions (possibly too expensive?) []
2026-07-16 10:44:35 INFO base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} Using fixed diversification multiplier 1.500000
2026-07-16 10:44:35 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} No risk overlay in config: won't apply risk scaling
index
2024-03-22 -10.701093
2024-03-25 -10.224163
2024-03-26 -9.492612
2024-03-27 -7.597249
2024-03-28 -6.606060
Freq: B, dtype: float64
Private configuration '/app/private/private_config.yaml' is missing or misconfigured; no problem if running in sim mode
2026-07-16 10:44:36 DEBUG base_system Following instruments are 'duplicate_markets' ['Another_thing', 'bad_thing']
2026-07-16 10:44:36 DEBUG base_system Following instruments are marked as 'ignore_instruments': not included: ['EXAMPLE']
2026-07-16 10:44:36 DEBUG base_system Following instruments removed entirely from sim: ['Another_thing', 'EXAMPLE', 'bad_thing']
2026-07-16 10:44:36 INFO base_system {'stage': 'accounts'} Calculating pandl for portfolio
2026-07-16 10:44:36 DEBUG base_system {'stage': 'positionSize'} Getting vol target
2026-07-16 10:44:36 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'CORN'} Calculating pandl for instrument for CORN
2026-07-16 10:44:36 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Calculating notional position for CORN
2026-07-16 10:44:36 INFO base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Calculating instrument weights
2026-07-16 10:44:36 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Calculating raw instrument weights
2026-07-16 10:44:36 DEBUG base_system Following instruments are 'duplicate_markets' ['Another_thing', 'bad_thing']
2026-07-16 10:44:36 DEBUG base_system Following instruments are marked as 'ignore_instruments': not included: ['EXAMPLE']
2026-07-16 10:44:36 DEBUG base_system Following instruments are marked as 'bad_markets': ['BAD_EXAMPLE']
2026-07-16 10:44:36 DEBUG base_system Following instruments have restricted trading: ['RESTRICTED_EXAMPLE']
2026-07-16 10:44:36 DEBUG base_system Following instruments marked as not trading []
2026-07-16 10:44:36 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating subsystem position for CORN
2026-07-16 10:44:36 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating volatility scalar for CORN
2026-07-16 10:44:36 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating instrument value vol for CORN
2026-07-16 10:44:36 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating instrument currency vol for CORN
2026-07-16 10:44:36 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily volatility for CORN
2026-07-16 10:44:36 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:44:37 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Calculating combined forecast for CORN
2026-07-16 10:44:37 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'CORN'} Calculating capped forecast for CORN carry
2026-07-16 10:44:37 DEBUG base_system {'stage': 'rules', 'instrument_code': 'CORN'} Calculating raw forecast CORN for carry
2026-07-16 10:44:38 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'CORN'} Calculating capped forecast for CORN ewmac16_64
2026-07-16 10:44:38 DEBUG base_system {'stage': 'rules', 'instrument_code': 'CORN'} Calculating raw forecast CORN for ewmac16_64
2026-07-16 10:44:38 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:44:38 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'CORN'} Calculating capped forecast for CORN ewmac32_128
2026-07-16 10:44:38 DEBUG base_system {'stage': 'rules', 'instrument_code': 'CORN'} Calculating raw forecast CORN for ewmac32_128
2026-07-16 10:44:38 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:44:39 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'CORN'} Calculating capped forecast for CORN ewmac64_256
2026-07-16 10:44:39 DEBUG base_system {'stage': 'rules', 'instrument_code': 'CORN'} Calculating raw forecast CORN for ewmac64_256
2026-07-16 10:44:39 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:44:39 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Calculating forecast weights for CORN
2026-07-16 10:44:40 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'EUROSTX'} Calculating capped forecast for EUROSTX carry
2026-07-16 10:44:40 DEBUG base_system {'stage': 'rules', 'instrument_code': 'EUROSTX'} Calculating raw forecast EUROSTX for carry
2026-07-16 10:44:40 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily volatility for EUROSTX
2026-07-16 10:44:40 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:44:40 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'MXP'} Calculating capped forecast for MXP carry
2026-07-16 10:44:40 DEBUG base_system {'stage': 'rules', 'instrument_code': 'MXP'} Calculating raw forecast MXP for carry
2026-07-16 10:44:41 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily volatility for MXP
2026-07-16 10:44:41 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:44:42 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'SOFR'} Calculating capped forecast for SOFR carry
2026-07-16 10:44:42 DEBUG base_system {'stage': 'rules', 'instrument_code': 'SOFR'} Calculating raw forecast SOFR for carry
2026-07-16 10:44:42 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily volatility for SOFR
2026-07-16 10:44:42 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:44:43 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'US10'} Calculating capped forecast for US10 carry
2026-07-16 10:44:43 DEBUG base_system {'stage': 'rules', 'instrument_code': 'US10'} Calculating raw forecast US10 for carry
2026-07-16 10:44:44 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily volatility for US10
2026-07-16 10:44:44 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:44:45 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'V2X'} Calculating capped forecast for V2X carry
2026-07-16 10:44:45 DEBUG base_system {'stage': 'rules', 'instrument_code': 'V2X'} Calculating raw forecast V2X for carry
2026-07-16 10:44:45 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily volatility for V2X
2026-07-16 10:44:45 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
2026-07-16 10:44:46 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:44:46 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:44:47 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'EUROSTX'} Calculating capped forecast for EUROSTX ewmac16_64
2026-07-16 10:44:47 DEBUG base_system {'stage': 'rules', 'instrument_code': 'EUROSTX'} Calculating raw forecast EUROSTX for ewmac16_64
2026-07-16 10:44:47 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:44:47 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'MXP'} Calculating capped forecast for MXP ewmac16_64
2026-07-16 10:44:47 DEBUG base_system {'stage': 'rules', 'instrument_code': 'MXP'} Calculating raw forecast MXP for ewmac16_64
2026-07-16 10:44:47 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:44:48 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'SOFR'} Calculating capped forecast for SOFR ewmac16_64
2026-07-16 10:44:48 DEBUG base_system {'stage': 'rules', 'instrument_code': 'SOFR'} Calculating raw forecast SOFR for ewmac16_64
2026-07-16 10:44:48 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:44:49 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'US10'} Calculating capped forecast for US10 ewmac16_64
2026-07-16 10:44:49 DEBUG base_system {'stage': 'rules', 'instrument_code': 'US10'} Calculating raw forecast US10 for ewmac16_64
2026-07-16 10:44:49 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:44:49 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'V2X'} Calculating capped forecast for V2X ewmac16_64
2026-07-16 10:44:49 DEBUG base_system {'stage': 'rules', 'instrument_code': 'V2X'} Calculating raw forecast V2X for ewmac16_64
2026-07-16 10:44:49 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
2026-07-16 10:44:50 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'EUROSTX'} Calculating capped forecast for EUROSTX ewmac32_128
2026-07-16 10:44:50 DEBUG base_system {'stage': 'rules', 'instrument_code': 'EUROSTX'} Calculating raw forecast EUROSTX for ewmac32_128
2026-07-16 10:44:50 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:44:50 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'MXP'} Calculating capped forecast for MXP ewmac32_128
2026-07-16 10:44:50 DEBUG base_system {'stage': 'rules', 'instrument_code': 'MXP'} Calculating raw forecast MXP for ewmac32_128
2026-07-16 10:44:50 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:44:51 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'SOFR'} Calculating capped forecast for SOFR ewmac32_128
2026-07-16 10:44:51 DEBUG base_system {'stage': 'rules', 'instrument_code': 'SOFR'} Calculating raw forecast SOFR for ewmac32_128
2026-07-16 10:44:51 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:44:52 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'US10'} Calculating capped forecast for US10 ewmac32_128
2026-07-16 10:44:52 DEBUG base_system {'stage': 'rules', 'instrument_code': 'US10'} Calculating raw forecast US10 for ewmac32_128
2026-07-16 10:44:52 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:44:53 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'V2X'} Calculating capped forecast for V2X ewmac32_128
2026-07-16 10:44:53 DEBUG base_system {'stage': 'rules', 'instrument_code': 'V2X'} Calculating raw forecast V2X for ewmac32_128
2026-07-16 10:44:53 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
2026-07-16 10:44:53 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'EUROSTX'} Calculating capped forecast for EUROSTX ewmac64_256
2026-07-16 10:44:53 DEBUG base_system {'stage': 'rules', 'instrument_code': 'EUROSTX'} Calculating raw forecast EUROSTX for ewmac64_256
2026-07-16 10:44:53 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:44:54 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'MXP'} Calculating capped forecast for MXP ewmac64_256
2026-07-16 10:44:54 DEBUG base_system {'stage': 'rules', 'instrument_code': 'MXP'} Calculating raw forecast MXP for ewmac64_256
2026-07-16 10:44:54 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:44:54 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'SOFR'} Calculating capped forecast for SOFR ewmac64_256
2026-07-16 10:44:54 DEBUG base_system {'stage': 'rules', 'instrument_code': 'SOFR'} Calculating raw forecast SOFR for ewmac64_256
2026-07-16 10:44:54 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:44:55 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'US10'} Calculating capped forecast for US10 ewmac64_256
2026-07-16 10:44:55 DEBUG base_system {'stage': 'rules', 'instrument_code': 'US10'} Calculating raw forecast US10 for ewmac64_256
2026-07-16 10:44:55 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:44:56 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'V2X'} Calculating capped forecast for V2X ewmac64_256
2026-07-16 10:44:56 DEBUG base_system {'stage': 'rules', 'instrument_code': 'V2X'} Calculating raw forecast V2X for ewmac64_256
2026-07-16 10:44:56 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
2026-07-16 10:44:56 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for CORN
2026-07-16 10:44:56 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Non-nested dict of forecast weights for CORN {'ewmac16_64': 0.21, 'ewmac32_128': 0.08, 'ewmac64_256': 0.21, 'carry': 0.5}: weights the same for all instruments
2026-07-16 10:44:57 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Using fixed FDM multiplier of 1.310 for CORN
2026-07-16 10:44:57 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} No mapping applied for CORN
2026-07-16 10:44:57 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'EUROSTX'} Calculating subsystem position for EUROSTX
2026-07-16 10:44:57 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'EUROSTX'} Calculating volatility scalar for EUROSTX
2026-07-16 10:44:57 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'EUROSTX'} Calculating instrument value vol for EUROSTX
2026-07-16 10:44:57 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'EUROSTX'} Calculating instrument currency vol for EUROSTX
2026-07-16 10:44:57 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'EUROSTX'} Calculating combined forecast for EUROSTX
2026-07-16 10:44:57 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'EUROSTX'} Calculating forecast weights for EUROSTX
2026-07-16 10:44:57 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:44:57 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:44:57 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'EUROSTX'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for EUROSTX
2026-07-16 10:44:57 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'EUROSTX'} Non-nested dict of forecast weights for EUROSTX {'ewmac16_64': 0.21, 'ewmac32_128': 0.08, 'ewmac64_256': 0.21, 'carry': 0.5}: weights the same for all instruments
2026-07-16 10:44:57 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'EUROSTX'} Using fixed FDM multiplier of 1.310 for EUROSTX
2026-07-16 10:44:57 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'EUROSTX'} No mapping applied for EUROSTX
2026-07-16 10:44:57 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'MXP'} Calculating subsystem position for MXP
2026-07-16 10:44:57 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'MXP'} Calculating volatility scalar for MXP
2026-07-16 10:44:57 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'MXP'} Calculating instrument value vol for MXP
2026-07-16 10:44:57 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'MXP'} Calculating instrument currency vol for MXP
2026-07-16 10:44:58 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'MXP'} Calculating combined forecast for MXP
2026-07-16 10:44:58 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'MXP'} Calculating forecast weights for MXP
2026-07-16 10:44:58 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:44:58 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:44:59 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'MXP'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for MXP
2026-07-16 10:44:59 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'MXP'} Non-nested dict of forecast weights for MXP {'ewmac16_64': 0.21, 'ewmac32_128': 0.08, 'ewmac64_256': 0.21, 'carry': 0.5}: weights the same for all instruments
2026-07-16 10:44:59 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'MXP'} Using fixed FDM multiplier of 1.310 for MXP
2026-07-16 10:44:59 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'MXP'} No mapping applied for MXP
2026-07-16 10:44:59 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating subsystem position for SOFR
2026-07-16 10:44:59 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating volatility scalar for SOFR
2026-07-16 10:44:59 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating instrument value vol for SOFR
2026-07-16 10:44:59 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating instrument currency vol for SOFR
2026-07-16 10:44:59 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Calculating combined forecast for SOFR
2026-07-16 10:44:59 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Calculating forecast weights for SOFR
2026-07-16 10:44:59 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:45:00 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:45:00 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for SOFR
2026-07-16 10:45:00 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Non-nested dict of forecast weights for SOFR {'ewmac16_64': 0.21, 'ewmac32_128': 0.08, 'ewmac64_256': 0.21, 'carry': 0.5}: weights the same for all instruments
2026-07-16 10:45:00 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Using fixed FDM multiplier of 1.310 for SOFR
2026-07-16 10:45:01 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} No mapping applied for SOFR
2026-07-16 10:45:01 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating subsystem position for US10
2026-07-16 10:45:01 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating volatility scalar for US10
2026-07-16 10:45:01 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating instrument value vol for US10
2026-07-16 10:45:01 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating instrument currency vol for US10
2026-07-16 10:45:01 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Calculating combined forecast for US10
2026-07-16 10:45:01 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Calculating forecast weights for US10
2026-07-16 10:45:01 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:45:02 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:45:02 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for US10
2026-07-16 10:45:02 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Non-nested dict of forecast weights for US10 {'ewmac16_64': 0.21, 'ewmac32_128': 0.08, 'ewmac64_256': 0.21, 'carry': 0.5}: weights the same for all instruments
2026-07-16 10:45:02 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Using fixed FDM multiplier of 1.310 for US10
2026-07-16 10:45:02 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} No mapping applied for US10
2026-07-16 10:45:02 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'V2X'} Calculating subsystem position for V2X
2026-07-16 10:45:02 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'V2X'} Calculating volatility scalar for V2X
2026-07-16 10:45:02 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'V2X'} Calculating instrument value vol for V2X
2026-07-16 10:45:02 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'V2X'} Calculating instrument currency vol for V2X
2026-07-16 10:45:03 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} Calculating combined forecast for V2X
2026-07-16 10:45:03 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} Calculating forecast weights for V2X
2026-07-16 10:45:03 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
2026-07-16 10:45:03 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
2026-07-16 10:45:03 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for V2X
2026-07-16 10:45:03 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} Non-nested dict of forecast weights for V2X {'ewmac16_64': 0.21, 'ewmac32_128': 0.08, 'ewmac64_256': 0.21, 'carry': 0.5}: weights the same for all instruments
2026-07-16 10:45:03 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} Using fixed FDM multiplier of 1.310 for V2X
2026-07-16 10:45:03 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} No mapping applied for V2X
2026-07-16 10:45:03 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Following instruments will have zero weight in optimisation of instrument weights as they have no positions (possibly too expensive?) []
2026-07-16 10:45:04 INFO base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Using fixed diversification multiplier 1.890000
2026-07-16 10:45:04 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} No risk overlay in config: won't apply risk scaling
2026-07-16 10:45:04 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Calculating buffers for CORN
2026-07-16 10:45:04 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Calculating forecast method buffers for CORN
2026-07-16 10:45:04 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'CORN'} Calculating buffered positions
2026-07-16 10:45:04 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'CORN'} Calculating pandl for instrument for CORN
2026-07-16 10:45:04 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:45:05 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'EUROSTX'} Calculating pandl for instrument for EUROSTX
2026-07-16 10:45:05 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'EUROSTX'} Calculating notional position for EUROSTX
2026-07-16 10:45:05 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'EUROSTX'} No risk overlay in config: won't apply risk scaling
2026-07-16 10:45:05 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'EUROSTX'} Calculating buffers for EUROSTX
2026-07-16 10:45:05 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'EUROSTX'} Calculating forecast method buffers for EUROSTX
2026-07-16 10:45:05 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'EUROSTX'} Calculating buffered positions
2026-07-16 10:45:06 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'EUROSTX'} Calculating pandl for instrument for EUROSTX
2026-07-16 10:45:06 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:45:06 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'MXP'} Calculating pandl for instrument for MXP
2026-07-16 10:45:06 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'MXP'} Calculating notional position for MXP
2026-07-16 10:45:06 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'MXP'} No risk overlay in config: won't apply risk scaling
2026-07-16 10:45:06 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'MXP'} Calculating buffers for MXP
2026-07-16 10:45:06 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'MXP'} Calculating forecast method buffers for MXP
2026-07-16 10:45:06 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'MXP'} Calculating buffered positions
2026-07-16 10:45:06 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'MXP'} Calculating pandl for instrument for MXP
2026-07-16 10:45:06 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:45:07 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'SOFR'} Calculating pandl for instrument for SOFR
2026-07-16 10:45:07 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} Calculating notional position for SOFR
2026-07-16 10:45:07 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} No risk overlay in config: won't apply risk scaling
2026-07-16 10:45:07 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} Calculating buffers for SOFR
2026-07-16 10:45:07 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} Calculating forecast method buffers for SOFR
2026-07-16 10:45:07 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'SOFR'} Calculating buffered positions
2026-07-16 10:45:07 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'SOFR'} Calculating pandl for instrument for SOFR
2026-07-16 10:45:07 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:45:08 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'US10'} Calculating pandl for instrument for US10
2026-07-16 10:45:08 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'US10'} Calculating notional position for US10
2026-07-16 10:45:08 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'US10'} No risk overlay in config: won't apply risk scaling
2026-07-16 10:45:08 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'US10'} Calculating buffers for US10
2026-07-16 10:45:08 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'US10'} Calculating forecast method buffers for US10
2026-07-16 10:45:08 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'US10'} Calculating buffered positions
2026-07-16 10:45:09 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'US10'} Calculating pandl for instrument for US10
2026-07-16 10:45:09 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:45:10 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'V2X'} Calculating pandl for instrument for V2X
2026-07-16 10:45:10 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'V2X'} Calculating notional position for V2X
2026-07-16 10:45:10 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'V2X'} No risk overlay in config: won't apply risk scaling
2026-07-16 10:45:10 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'V2X'} Calculating buffers for V2X
2026-07-16 10:45:10 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'V2X'} Calculating forecast method buffers for V2X
2026-07-16 10:45:10 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'V2X'} Calculating buffered positions
2026-07-16 10:45:10 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'V2X'} Calculating pandl for instrument for V2X
2026-07-16 10:45:10 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
0.47815520439117914
Private configuration '/app/private/private_config.yaml' is missing or misconfigured; no problem if running in sim mode
2026-07-16 10:45:11 DEBUG base_system Following instruments are 'duplicate_markets' ['Another_thing', 'bad_thing']
2026-07-16 10:45:11 DEBUG base_system Following instruments are marked as 'ignore_instruments': not included: ['EXAMPLE']
2026-07-16 10:45:11 DEBUG base_system Following instruments removed entirely from sim: ['Another_thing', 'EXAMPLE', 'bad_thing']
2026-07-16 10:45:11 INFO base_system {'stage': 'accounts'} Calculating pandl for portfolio
2026-07-16 10:45:11 DEBUG base_system {'stage': 'positionSize'} Getting vol target
2026-07-16 10:45:11 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'CORN'} Calculating pandl for instrument for CORN
2026-07-16 10:45:11 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Calculating notional position for CORN
2026-07-16 10:45:11 INFO base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Calculating instrument weights
2026-07-16 10:45:11 DEBUG base_system Following instruments are 'duplicate_markets' ['Another_thing', 'bad_thing']
2026-07-16 10:45:11 DEBUG base_system Following instruments are marked as 'ignore_instruments': not included: ['EXAMPLE']
2026-07-16 10:45:11 DEBUG base_system Following instruments are marked as 'bad_markets': ['BAD_EXAMPLE']
2026-07-16 10:45:11 DEBUG base_system Following instruments have restricted trading: ['RESTRICTED_EXAMPLE']
2026-07-16 10:45:11 DEBUG base_system Following instruments marked as not trading []
2026-07-16 10:45:11 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating subsystem position for CORN
2026-07-16 10:45:11 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating volatility scalar for CORN
2026-07-16 10:45:11 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating instrument value vol for CORN
2026-07-16 10:45:11 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating instrument currency vol for CORN
2026-07-16 10:45:12 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily volatility for CORN
2026-07-16 10:45:12 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:45:12 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Calculating combined forecast for CORN
2026-07-16 10:45:12 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'CORN'} Calculating capped forecast for CORN carry
2026-07-16 10:45:12 DEBUG base_system {'stage': 'rules', 'instrument_code': 'CORN'} Calculating raw forecast CORN for carry
2026-07-16 10:45:13 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'CORN'} Getting cross sectional forecasts for scalar calculation for carry over CORN, EUROSTX, MXP, SOFR, US10, V2X
2026-07-16 10:45:13 DEBUG base_system {'stage': 'rules', 'instrument_code': 'EUROSTX'} Calculating raw forecast EUROSTX for carry
2026-07-16 10:45:14 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily volatility for EUROSTX
2026-07-16 10:45:14 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:45:14 DEBUG base_system {'stage': 'rules', 'instrument_code': 'MXP'} Calculating raw forecast MXP for carry
2026-07-16 10:45:15 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily volatility for MXP
2026-07-16 10:45:15 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:45:15 DEBUG base_system {'stage': 'rules', 'instrument_code': 'SOFR'} Calculating raw forecast SOFR for carry
2026-07-16 10:45:15 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily volatility for SOFR
2026-07-16 10:45:15 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:45:16 DEBUG base_system {'stage': 'rules', 'instrument_code': 'US10'} Calculating raw forecast US10 for carry
2026-07-16 10:45:17 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily volatility for US10
2026-07-16 10:45:17 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:45:17 DEBUG base_system {'stage': 'rules', 'instrument_code': 'V2X'} Calculating raw forecast V2X for carry
2026-07-16 10:45:18 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily volatility for V2X
2026-07-16 10:45:18 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
2026-07-16 10:45:18 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'CORN'} Calculating capped forecast for CORN ewmac16_64
2026-07-16 10:45:18 DEBUG base_system {'stage': 'rules', 'instrument_code': 'CORN'} Calculating raw forecast CORN for ewmac16_64
2026-07-16 10:45:18 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:45:18 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'CORN'} Getting cross sectional forecasts for scalar calculation for ewmac16_64 over CORN, EUROSTX, MXP, SOFR, US10, V2X
2026-07-16 10:45:18 DEBUG base_system {'stage': 'rules', 'instrument_code': 'EUROSTX'} Calculating raw forecast EUROSTX for ewmac16_64
2026-07-16 10:45:18 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:45:19 DEBUG base_system {'stage': 'rules', 'instrument_code': 'MXP'} Calculating raw forecast MXP for ewmac16_64
2026-07-16 10:45:19 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:45:19 DEBUG base_system {'stage': 'rules', 'instrument_code': 'SOFR'} Calculating raw forecast SOFR for ewmac16_64
2026-07-16 10:45:19 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:45:19 DEBUG base_system {'stage': 'rules', 'instrument_code': 'US10'} Calculating raw forecast US10 for ewmac16_64
2026-07-16 10:45:19 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:45:20 DEBUG base_system {'stage': 'rules', 'instrument_code': 'V2X'} Calculating raw forecast V2X for ewmac16_64
2026-07-16 10:45:20 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
2026-07-16 10:45:20 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'CORN'} Calculating capped forecast for CORN ewmac32_128
2026-07-16 10:45:20 DEBUG base_system {'stage': 'rules', 'instrument_code': 'CORN'} Calculating raw forecast CORN for ewmac32_128
2026-07-16 10:45:20 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:45:21 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'CORN'} Getting cross sectional forecasts for scalar calculation for ewmac32_128 over CORN, EUROSTX, MXP, SOFR, US10, V2X
2026-07-16 10:45:21 DEBUG base_system {'stage': 'rules', 'instrument_code': 'EUROSTX'} Calculating raw forecast EUROSTX for ewmac32_128
2026-07-16 10:45:21 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:45:21 DEBUG base_system {'stage': 'rules', 'instrument_code': 'MXP'} Calculating raw forecast MXP for ewmac32_128
2026-07-16 10:45:21 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:45:21 DEBUG base_system {'stage': 'rules', 'instrument_code': 'SOFR'} Calculating raw forecast SOFR for ewmac32_128
2026-07-16 10:45:21 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:45:21 DEBUG base_system {'stage': 'rules', 'instrument_code': 'US10'} Calculating raw forecast US10 for ewmac32_128
2026-07-16 10:45:21 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:45:22 DEBUG base_system {'stage': 'rules', 'instrument_code': 'V2X'} Calculating raw forecast V2X for ewmac32_128
2026-07-16 10:45:22 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
2026-07-16 10:45:22 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'CORN'} Calculating capped forecast for CORN ewmac64_256
2026-07-16 10:45:22 DEBUG base_system {'stage': 'rules', 'instrument_code': 'CORN'} Calculating raw forecast CORN for ewmac64_256
2026-07-16 10:45:22 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:45:23 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'CORN'} Getting cross sectional forecasts for scalar calculation for ewmac64_256 over CORN, EUROSTX, MXP, SOFR, US10, V2X
2026-07-16 10:45:23 DEBUG base_system {'stage': 'rules', 'instrument_code': 'EUROSTX'} Calculating raw forecast EUROSTX for ewmac64_256
2026-07-16 10:45:23 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:45:23 DEBUG base_system {'stage': 'rules', 'instrument_code': 'MXP'} Calculating raw forecast MXP for ewmac64_256
2026-07-16 10:45:23 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:45:23 DEBUG base_system {'stage': 'rules', 'instrument_code': 'SOFR'} Calculating raw forecast SOFR for ewmac64_256
2026-07-16 10:45:23 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:45:24 DEBUG base_system {'stage': 'rules', 'instrument_code': 'US10'} Calculating raw forecast US10 for ewmac64_256
2026-07-16 10:45:24 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:45:24 DEBUG base_system {'stage': 'rules', 'instrument_code': 'V2X'} Calculating raw forecast V2X for ewmac64_256
2026-07-16 10:45:24 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
2026-07-16 10:45:24 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Calculating forecast weights for CORN
2026-07-16 10:45:24 INFO base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Calculating raw forecast weights for CORN
2026-07-16 10:45:25 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'EUROSTX'} Calculating capped forecast for EUROSTX carry
2026-07-16 10:45:25 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'MXP'} Calculating capped forecast for MXP carry
2026-07-16 10:45:25 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'SOFR'} Calculating capped forecast for SOFR carry
2026-07-16 10:45:25 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'US10'} Calculating capped forecast for US10 carry
2026-07-16 10:45:26 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'V2X'} Calculating capped forecast for V2X carry
2026-07-16 10:45:26 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:45:26 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:45:27 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'EUROSTX'} Calculating capped forecast for EUROSTX ewmac16_64
2026-07-16 10:45:27 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'MXP'} Calculating capped forecast for MXP ewmac16_64
2026-07-16 10:45:28 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'SOFR'} Calculating capped forecast for SOFR ewmac16_64
2026-07-16 10:45:28 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'US10'} Calculating capped forecast for US10 ewmac16_64
2026-07-16 10:45:28 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'V2X'} Calculating capped forecast for V2X ewmac16_64
2026-07-16 10:45:29 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'EUROSTX'} Calculating capped forecast for EUROSTX ewmac32_128
2026-07-16 10:45:29 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'MXP'} Calculating capped forecast for MXP ewmac32_128
2026-07-16 10:45:29 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'SOFR'} Calculating capped forecast for SOFR ewmac32_128
2026-07-16 10:45:30 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'US10'} Calculating capped forecast for US10 ewmac32_128
2026-07-16 10:45:30 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'V2X'} Calculating capped forecast for V2X ewmac32_128
2026-07-16 10:45:30 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'EUROSTX'} Calculating capped forecast for EUROSTX ewmac64_256
2026-07-16 10:45:31 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'MXP'} Calculating capped forecast for MXP ewmac64_256
2026-07-16 10:45:31 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'SOFR'} Calculating capped forecast for SOFR ewmac64_256
2026-07-16 10:45:31 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'US10'} Calculating capped forecast for US10 ewmac64_256
2026-07-16 10:45:32 DEBUG base_system {'stage': 'forecastScaleCap', 'instrument_code': 'V2X'} Calculating capped forecast for V2X ewmac64_256
2026-07-16 10:45:32 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for CORN
2026-07-16 10:45:32 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:45:32 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:45:32 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'EUROSTX'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for EUROSTX
2026-07-16 10:45:32 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:45:32 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:45:33 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'MXP'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for MXP
2026-07-16 10:45:33 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:45:33 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:45:34 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for SOFR
2026-07-16 10:45:34 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:45:34 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:45:35 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for US10
2026-07-16 10:45:35 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
2026-07-16 10:45:35 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
2026-07-16 10:45:35 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for V2X
2026-07-16 10:45:35 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'CORN'} Calculating pandl for instrument forecast for CORN carry
2026-07-16 10:45:35 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:45:36 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'CORN'} Calculating pandl for instrument forecast for CORN ewmac16_64
2026-07-16 10:45:36 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:45:37 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'CORN'} Calculating pandl for instrument forecast for CORN ewmac32_128
2026-07-16 10:45:37 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:45:38 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'CORN'} Calculating pandl for instrument forecast for CORN ewmac64_256
2026-07-16 10:45:38 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:45:46 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'EUROSTX'} Calculating pandl for instrument forecast for EUROSTX carry
2026-07-16 10:45:46 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:45:46 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'EUROSTX'} Calculating pandl for instrument forecast for EUROSTX ewmac16_64
2026-07-16 10:45:46 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:45:46 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'EUROSTX'} Calculating pandl for instrument forecast for EUROSTX ewmac32_128
2026-07-16 10:45:46 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:45:47 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'EUROSTX'} Calculating pandl for instrument forecast for EUROSTX ewmac64_256
2026-07-16 10:45:47 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:45:48 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'MXP'} Calculating pandl for instrument forecast for MXP carry
2026-07-16 10:45:48 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:45:49 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'MXP'} Calculating pandl for instrument forecast for MXP ewmac16_64
2026-07-16 10:45:49 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:45:50 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'MXP'} Calculating pandl for instrument forecast for MXP ewmac32_128
2026-07-16 10:45:50 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:45:50 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'MXP'} Calculating pandl for instrument forecast for MXP ewmac64_256
2026-07-16 10:45:50 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:45:55 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'SOFR'} Calculating pandl for instrument forecast for SOFR carry
2026-07-16 10:45:55 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:45:56 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'SOFR'} Calculating pandl for instrument forecast for SOFR ewmac16_64
2026-07-16 10:45:56 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:45:56 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'SOFR'} Calculating pandl for instrument forecast for SOFR ewmac32_128
2026-07-16 10:45:56 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:45:57 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'SOFR'} Calculating pandl for instrument forecast for SOFR ewmac64_256
2026-07-16 10:45:57 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:46:03 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'US10'} Calculating pandl for instrument forecast for US10 carry
2026-07-16 10:46:03 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:46:04 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'US10'} Calculating pandl for instrument forecast for US10 ewmac16_64
2026-07-16 10:46:04 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:46:05 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'US10'} Calculating pandl for instrument forecast for US10 ewmac32_128
2026-07-16 10:46:05 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:46:06 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'US10'} Calculating pandl for instrument forecast for US10 ewmac64_256
2026-07-16 10:46:06 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:46:12 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'V2X'} Calculating pandl for instrument forecast for V2X carry
2026-07-16 10:46:12 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
2026-07-16 10:46:13 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'V2X'} Calculating pandl for instrument forecast for V2X ewmac16_64
2026-07-16 10:46:13 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
2026-07-16 10:46:13 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'V2X'} Calculating pandl for instrument forecast for V2X ewmac32_128
2026-07-16 10:46:13 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
2026-07-16 10:46:13 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'V2X'} Calculating pandl for instrument forecast for V2X ewmac64_256
2026-07-16 10:46:13 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
2026-07-16 10:46:15 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} Using pooled gross returns
2026-07-16 10:46:15 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} Using pooled turnover cost SR for CORN
2026-07-16 10:46:15 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} Applying cost multiplier of 2.000000
[--------------------------------------------------------------------------------] 0.0% Optimising weights (0.0/0.0/0.0 secs left/elapsed/total) [=------------------------------------------------------------------------------] 2.0% Optimising weights (0.0/0.0/0.0 secs left/elapsed/total) [===----------------------------------------------------------------------------] 3.9% Optimising weights (0.7/0.1/0.8 secs left/elapsed/total) [====---------------------------------------------------------------------------] 5.9% Optimising weights (1.0/0.2/1.2 secs left/elapsed/total) [======-------------------------------------------------------------------------] 7.8% Optimising weights (1.3/0.3/1.6 secs left/elapsed/total) [=======------------------------------------------------------------------------] 9.8% Optimising weights (1.5/0.4/1.9 secs left/elapsed/total) [=========----------------------------------------------------------------------] 11.8% Optimising weights (1.7/0.5/2.2 secs left/elapsed/total) [==========---------------------------------------------------------------------] 13.7% Optimising weights (1.9/0.6/2.4 secs left/elapsed/total) [============-------------------------------------------------------------------] 15.7% Optimising weights (2.0/0.6/2.6 secs left/elapsed/total) [==============-----------------------------------------------------------------] 17.6% Optimising weights (2.1/0.7/2.8 secs left/elapsed/total) [===============----------------------------------------------------------------] 19.6% Optimising weights (2.2/0.8/3.0 secs left/elapsed/total) [=================--------------------------------------------------------------] 21.6% Optimising weights (2.3/0.9/3.1 secs left/elapsed/total) [==================-------------------------------------------------------------] 23.5% Optimising weights (2.3/1.0/3.3 secs left/elapsed/total) [====================-----------------------------------------------------------] 25.5% Optimising weights (2.3/1.1/3.4 secs left/elapsed/total) [=====================----------------------------------------------------------] 27.5% Optimising weights (2.4/1.1/3.5 secs left/elapsed/total) [=======================--------------------------------------------------------] 29.4% Optimising weights (2.4/1.2/3.6 secs left/elapsed/total) [=========================------------------------------------------------------] 31.4% Optimising weights (2.4/1.3/3.7 secs left/elapsed/total) [==========================-----------------------------------------------------] 33.3% Optimising weights (2.4/1.4/3.8 secs left/elapsed/total) [============================---------------------------------------------------] 35.3% Optimising weights (2.3/1.5/3.8 secs left/elapsed/total) [=============================--------------------------------------------------] 37.3% Optimising weights (2.3/1.6/3.9 secs left/elapsed/total) [===============================------------------------------------------------] 39.2% Optimising weights (2.3/1.7/3.9 secs left/elapsed/total) [================================-----------------------------------------------] 41.2% Optimising weights (2.2/1.7/4.0 secs left/elapsed/total) [==================================---------------------------------------------] 43.1% Optimising weights (2.2/1.8/4.0 secs left/elapsed/total) [====================================-------------------------------------------] 45.1% Optimising weights (2.2/1.9/4.1 secs left/elapsed/total) [=====================================------------------------------------------] 47.1% Optimising weights (2.1/2.0/4.1 secs left/elapsed/total) [=======================================----------------------------------------] 49.0% Optimising weights (2.0/2.1/4.1 secs left/elapsed/total) [========================================---------------------------------------] 51.0% Optimising weights (2.0/2.2/4.2 secs left/elapsed/total) [==========================================-------------------------------------] 52.9% Optimising weights (1.9/2.3/4.2 secs left/elapsed/total) [===========================================------------------------------------] 54.9% Optimising weights (1.9/2.3/4.2 secs left/elapsed/total) [=============================================----------------------------------] 56.9% Optimising weights (1.8/2.4/4.2 secs left/elapsed/total) [===============================================--------------------------------] 58.8% Optimising weights (1.7/2.5/4.2 secs left/elapsed/total) [================================================-------------------------------] 60.8% Optimising weights (1.6/2.6/4.2 secs left/elapsed/total) [==================================================-----------------------------] 62.7% Optimising weights (1.5/2.7/4.2 secs left/elapsed/total) [===================================================----------------------------] 64.7% Optimising weights (1.5/2.7/4.2 secs left/elapsed/total) [=====================================================--------------------------] 66.7% Optimising weights (1.4/2.8/4.2 secs left/elapsed/total) [======================================================-------------------------] 68.6% Optimising weights (1.3/2.9/4.2 secs left/elapsed/total) [========================================================-----------------------] 70.6% Optimising weights (1.2/3.0/4.2 secs left/elapsed/total) [==========================================================---------------------] 72.5% Optimising weights (1.1/3.1/4.2 secs left/elapsed/total) [===========================================================--------------------] 74.5% Optimising weights (1.1/3.2/4.2 secs left/elapsed/total) [=============================================================------------------] 76.5% Optimising weights (1.0/3.2/4.2 secs left/elapsed/total) [==============================================================-----------------] 78.4% Optimising weights (0.9/3.3/4.2 secs left/elapsed/total) [================================================================---------------] 80.4% Optimising weights (0.8/3.4/4.2 secs left/elapsed/total) [=================================================================--------------] 82.4% Optimising weights (0.7/3.5/4.2 secs left/elapsed/total) [===================================================================------------] 84.3% Optimising weights (0.6/3.6/4.2 secs left/elapsed/total) [=====================================================================----------] 86.3% Optimising weights (0.6/3.6/4.2 secs left/elapsed/total) [======================================================================---------] 88.2% Optimising weights (0.5/3.7/4.2 secs left/elapsed/total) [========================================================================-------] 90.2% Optimising weights (0.4/3.8/4.2 secs left/elapsed/total) [=========================================================================------] 92.2% Optimising weights (0.3/3.9/4.2 secs left/elapsed/total) [===========================================================================----] 94.1% Optimising weights (0.2/4.0/4.2 secs left/elapsed/total) [============================================================================---] 96.1% Optimising weights (0.2/4.0/4.2 secs left/elapsed/total) [==============================================================================-] 98.0% Optimising weights (0.1/4.1/4.2 secs left/elapsed/total) [================================================================================] 100.0% Optimising weights (0.0/4.2/4.2 secs left/elapsed/total)
2026-07-16 10:46:20 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for CORN
2026-07-16 10:46:21 INFO base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Calculating forecast div multiplier for CORN
2026-07-16 10:46:21 INFO base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} Calculating forecast correlations over CORN, EUROSTX, MXP, SOFR, US10, V2X
[--------------------------------------------------------------------------------] 0.0% Estimating correlations (0.0/0.0/0.0 secs left/elapsed/total) [=------------------------------------------------------------------------------] 2.0% Estimating correlations (0.0/0.0/0.0 secs left/elapsed/total) [===----------------------------------------------------------------------------] 3.9% Estimating correlations (0.0/0.0/0.0 secs left/elapsed/total) [====---------------------------------------------------------------------------] 5.9% Estimating correlations (0.3/0.1/0.3 secs left/elapsed/total) [======-------------------------------------------------------------------------] 7.8% Estimating correlations (0.3/0.1/0.3 secs left/elapsed/total) [=======------------------------------------------------------------------------] 9.8% Estimating correlations (0.2/0.1/0.3 secs left/elapsed/total) [=========----------------------------------------------------------------------] 11.8% Estimating correlations (0.2/0.1/0.3 secs left/elapsed/total) [==========---------------------------------------------------------------------] 13.7% Estimating correlations (0.2/0.1/0.3 secs left/elapsed/total) [============-------------------------------------------------------------------] 15.7% Estimating correlations (0.2/0.1/0.3 secs left/elapsed/total) [==============-----------------------------------------------------------------] 17.6% Estimating correlations (0.2/0.1/0.2 secs left/elapsed/total) [===============----------------------------------------------------------------] 19.6% Estimating correlations (0.2/0.1/0.2 secs left/elapsed/total) [=================--------------------------------------------------------------] 21.6% Estimating correlations (0.2/0.1/0.2 secs left/elapsed/total) [==================-------------------------------------------------------------] 23.5% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [====================-----------------------------------------------------------] 25.5% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [=====================----------------------------------------------------------] 27.5% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [=======================--------------------------------------------------------] 29.4% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [=========================------------------------------------------------------] 31.4% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [==========================-----------------------------------------------------] 33.3% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [============================---------------------------------------------------] 35.3% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [=============================--------------------------------------------------] 37.3% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [===============================------------------------------------------------] 39.2% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [================================-----------------------------------------------] 41.2% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [==================================---------------------------------------------] 43.1% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [====================================-------------------------------------------] 45.1% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [=====================================------------------------------------------] 47.1% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [=======================================----------------------------------------] 49.0% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [========================================---------------------------------------] 51.0% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [==========================================-------------------------------------] 52.9% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [===========================================------------------------------------] 54.9% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [=============================================----------------------------------] 56.9% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [===============================================--------------------------------] 58.8% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [================================================-------------------------------] 60.8% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [==================================================-----------------------------] 62.7% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [===================================================----------------------------] 64.7% Estimating correlations (0.1/0.1/0.2 secs left/elapsed/total) [=====================================================--------------------------] 66.7% Estimating correlations (0.0/0.1/0.2 secs left/elapsed/total) [======================================================-------------------------] 68.6% Estimating correlations (0.0/0.1/0.2 secs left/elapsed/total) [========================================================-----------------------] 70.6% Estimating correlations (0.0/0.1/0.2 secs left/elapsed/total) [==========================================================---------------------] 72.5% Estimating correlations (0.0/0.1/0.2 secs left/elapsed/total) [===========================================================--------------------] 74.5% Estimating correlations (0.0/0.1/0.2 secs left/elapsed/total) [=============================================================------------------] 76.5% Estimating correlations (0.0/0.2/0.2 secs left/elapsed/total) [==============================================================-----------------] 78.4% Estimating correlations (0.0/0.2/0.2 secs left/elapsed/total) [================================================================---------------] 80.4% Estimating correlations (0.0/0.2/0.2 secs left/elapsed/total) [=================================================================--------------] 82.4% Estimating correlations (0.0/0.2/0.2 secs left/elapsed/total) [===================================================================------------] 84.3% Estimating correlations (0.0/0.2/0.2 secs left/elapsed/total) [=====================================================================----------] 86.3% Estimating correlations (0.0/0.2/0.2 secs left/elapsed/total) [======================================================================---------] 88.2% Estimating correlations (0.0/0.2/0.2 secs left/elapsed/total) [========================================================================-------] 90.2% Estimating correlations (0.0/0.2/0.2 secs left/elapsed/total) [=========================================================================------] 92.2% Estimating correlations (0.0/0.2/0.2 secs left/elapsed/total) [===========================================================================----] 94.1% Estimating correlations (0.0/0.2/0.2 secs left/elapsed/total) [============================================================================---] 96.1% Estimating correlations (0.0/0.2/0.2 secs left/elapsed/total) [==============================================================================-] 98.0% Estimating correlations (0.0/0.2/0.2 secs left/elapsed/total) [================================================================================] 100.0% Estimating correlations (0.0/0.2/0.2 secs left/elapsed/total)
2026-07-16 10:46:21 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'CORN'} No mapping applied for CORN
2026-07-16 10:46:21 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'EUROSTX'} Calculating subsystem position for EUROSTX
2026-07-16 10:46:21 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'EUROSTX'} Calculating volatility scalar for EUROSTX
2026-07-16 10:46:21 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'EUROSTX'} Calculating instrument value vol for EUROSTX
2026-07-16 10:46:21 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'EUROSTX'} Calculating instrument currency vol for EUROSTX
2026-07-16 10:46:22 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'EUROSTX'} Calculating combined forecast for EUROSTX
2026-07-16 10:46:22 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'EUROSTX'} Calculating forecast weights for EUROSTX
2026-07-16 10:46:22 INFO base_system {'stage': 'combForecast', 'instrument_code': 'EUROSTX'} Calculating raw forecast weights for EUROSTX
2026-07-16 10:46:22 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'EUROSTX'} Using pooled gross returns
2026-07-16 10:46:22 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'EUROSTX'} Using pooled turnover cost SR for EUROSTX
2026-07-16 10:46:22 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'EUROSTX'} Applying cost multiplier of 2.000000
[--------------------------------------------------------------------------------] 0.0% Optimising weights (0.0/0.0/0.0 secs left/elapsed/total) [=------------------------------------------------------------------------------] 2.0% Optimising weights (0.0/0.0/0.0 secs left/elapsed/total) [===----------------------------------------------------------------------------] 3.9% Optimising weights (0.6/0.1/0.8 secs left/elapsed/total) [====---------------------------------------------------------------------------] 5.9% Optimising weights (0.9/0.2/1.2 secs left/elapsed/total) [======-------------------------------------------------------------------------] 7.8% Optimising weights (1.2/0.3/1.5 secs left/elapsed/total) [=======------------------------------------------------------------------------] 9.8% Optimising weights (1.5/0.4/1.8 secs left/elapsed/total) [=========----------------------------------------------------------------------] 11.8% Optimising weights (1.7/0.5/2.1 secs left/elapsed/total) [==========---------------------------------------------------------------------] 13.7% Optimising weights (1.8/0.5/2.4 secs left/elapsed/total) [============-------------------------------------------------------------------] 15.7% Optimising weights (2.0/0.6/2.6 secs left/elapsed/total) [==============-----------------------------------------------------------------] 17.6% Optimising weights (2.1/0.7/2.8 secs left/elapsed/total) [===============----------------------------------------------------------------] 19.6% Optimising weights (2.2/0.8/3.0 secs left/elapsed/total) [=================--------------------------------------------------------------] 21.6% Optimising weights (2.3/0.9/3.2 secs left/elapsed/total) [==================-------------------------------------------------------------] 23.5% Optimising weights (2.3/1.0/3.3 secs left/elapsed/total) [====================-----------------------------------------------------------] 25.5% Optimising weights (2.4/1.1/3.4 secs left/elapsed/total) [=====================----------------------------------------------------------] 27.5% Optimising weights (2.4/1.2/3.6 secs left/elapsed/total) [=======================--------------------------------------------------------] 29.4% Optimising weights (2.4/1.2/3.7 secs left/elapsed/total) [=========================------------------------------------------------------] 31.4% Optimising weights (2.4/1.3/3.7 secs left/elapsed/total) [==========================-----------------------------------------------------] 33.3% Optimising weights (2.4/1.4/3.8 secs left/elapsed/total) [============================---------------------------------------------------] 35.3% Optimising weights (2.4/1.5/3.9 secs left/elapsed/total) [=============================--------------------------------------------------] 37.3% Optimising weights (2.3/1.6/3.9 secs left/elapsed/total) [===============================------------------------------------------------] 39.2% Optimising weights (2.3/1.7/4.0 secs left/elapsed/total) [================================-----------------------------------------------] 41.2% Optimising weights (2.2/1.7/4.0 secs left/elapsed/total) [==================================---------------------------------------------] 43.1% Optimising weights (2.2/1.8/4.0 secs left/elapsed/total) [====================================-------------------------------------------] 45.1% Optimising weights (2.1/1.9/4.0 secs left/elapsed/total) [=====================================------------------------------------------] 47.1% Optimising weights (2.1/2.0/4.1 secs left/elapsed/total) [=======================================----------------------------------------] 49.0% Optimising weights (2.0/2.1/4.1 secs left/elapsed/total) [========================================---------------------------------------] 51.0% Optimising weights (1.9/2.2/4.1 secs left/elapsed/total) [==========================================-------------------------------------] 52.9% Optimising weights (1.9/2.2/4.1 secs left/elapsed/total) [===========================================------------------------------------] 54.9% Optimising weights (1.8/2.3/4.1 secs left/elapsed/total) [=============================================----------------------------------] 56.9% Optimising weights (1.7/2.4/4.1 secs left/elapsed/total) [===============================================--------------------------------] 58.8% Optimising weights (1.7/2.5/4.1 secs left/elapsed/total) [================================================-------------------------------] 60.8% Optimising weights (1.6/2.6/4.1 secs left/elapsed/total) [==================================================-----------------------------] 62.7% Optimising weights (1.5/2.6/4.1 secs left/elapsed/total) [===================================================----------------------------] 64.7% Optimising weights (1.4/2.7/4.2 secs left/elapsed/total) [=====================================================--------------------------] 66.7% Optimising weights (1.4/2.8/4.2 secs left/elapsed/total) [======================================================-------------------------] 68.6% Optimising weights (1.3/2.9/4.2 secs left/elapsed/total) [========================================================-----------------------] 70.6% Optimising weights (1.2/3.0/4.2 secs left/elapsed/total) [==========================================================---------------------] 72.5% Optimising weights (1.1/3.1/4.2 secs left/elapsed/total) [===========================================================--------------------] 74.5% Optimising weights (1.0/3.1/4.2 secs left/elapsed/total) [=============================================================------------------] 76.5% Optimising weights (1.0/3.2/4.2 secs left/elapsed/total) [==============================================================-----------------] 78.4% Optimising weights (0.9/3.3/4.2 secs left/elapsed/total) [================================================================---------------] 80.4% Optimising weights (0.8/3.4/4.2 secs left/elapsed/total) [=================================================================--------------] 82.4% Optimising weights (0.7/3.5/4.2 secs left/elapsed/total) [===================================================================------------] 84.3% Optimising weights (0.6/3.5/4.2 secs left/elapsed/total) [=====================================================================----------] 86.3% Optimising weights (0.6/3.6/4.2 secs left/elapsed/total) [======================================================================---------] 88.2% Optimising weights (0.5/3.7/4.2 secs left/elapsed/total) [========================================================================-------] 90.2% Optimising weights (0.4/3.8/4.2 secs left/elapsed/total) [=========================================================================------] 92.2% Optimising weights (0.3/3.8/4.2 secs left/elapsed/total) [===========================================================================----] 94.1% Optimising weights (0.2/3.9/4.2 secs left/elapsed/total) [============================================================================---] 96.1% Optimising weights (0.2/4.0/4.2 secs left/elapsed/total) [==============================================================================-] 98.0% Optimising weights (0.1/4.1/4.2 secs left/elapsed/total) [================================================================================] 100.0% Optimising weights (0.0/4.2/4.2 secs left/elapsed/total)
2026-07-16 10:46:26 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'EUROSTX'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for EUROSTX
2026-07-16 10:46:26 INFO base_system {'stage': 'combForecast', 'instrument_code': 'EUROSTX'} Calculating forecast div multiplier for EUROSTX
2026-07-16 10:46:26 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'EUROSTX'} No mapping applied for EUROSTX
2026-07-16 10:46:26 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'MXP'} Calculating subsystem position for MXP
2026-07-16 10:46:26 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'MXP'} Calculating volatility scalar for MXP
2026-07-16 10:46:26 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'MXP'} Calculating instrument value vol for MXP
2026-07-16 10:46:26 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'MXP'} Calculating instrument currency vol for MXP
2026-07-16 10:46:27 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'MXP'} Calculating combined forecast for MXP
2026-07-16 10:46:27 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'MXP'} Calculating forecast weights for MXP
2026-07-16 10:46:27 INFO base_system {'stage': 'combForecast', 'instrument_code': 'MXP'} Calculating raw forecast weights for MXP
2026-07-16 10:46:27 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'MXP'} Using pooled gross returns
2026-07-16 10:46:27 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'MXP'} Using pooled turnover cost SR for MXP
2026-07-16 10:46:27 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'MXP'} Applying cost multiplier of 2.000000
[--------------------------------------------------------------------------------] 0.0% Optimising weights (0.0/0.0/0.0 secs left/elapsed/total) [=------------------------------------------------------------------------------] 2.0% Optimising weights (0.0/0.0/0.0 secs left/elapsed/total) [===----------------------------------------------------------------------------] 3.9% Optimising weights (0.6/0.1/0.7 secs left/elapsed/total) [====---------------------------------------------------------------------------] 5.9% Optimising weights (0.9/0.2/1.1 secs left/elapsed/total) [======-------------------------------------------------------------------------] 7.8% Optimising weights (1.2/0.3/1.5 secs left/elapsed/total) [=======------------------------------------------------------------------------] 9.8% Optimising weights (1.4/0.4/1.8 secs left/elapsed/total) [=========----------------------------------------------------------------------] 11.8% Optimising weights (1.6/0.5/2.1 secs left/elapsed/total) [==========---------------------------------------------------------------------] 13.7% Optimising weights (1.8/0.5/2.3 secs left/elapsed/total) [============-------------------------------------------------------------------] 15.7% Optimising weights (1.9/0.6/2.6 secs left/elapsed/total) [==============-----------------------------------------------------------------] 17.6% Optimising weights (2.1/0.7/2.7 secs left/elapsed/total) [===============----------------------------------------------------------------] 19.6% Optimising weights (2.1/0.8/2.9 secs left/elapsed/total) [=================--------------------------------------------------------------] 21.6% Optimising weights (2.2/0.9/3.1 secs left/elapsed/total) [==================-------------------------------------------------------------] 23.5% Optimising weights (2.3/0.9/3.2 secs left/elapsed/total) [====================-----------------------------------------------------------] 25.5% Optimising weights (2.3/1.0/3.3 secs left/elapsed/total) [=====================----------------------------------------------------------] 27.5% Optimising weights (2.3/1.1/3.4 secs left/elapsed/total) [=======================--------------------------------------------------------] 29.4% Optimising weights (2.3/1.2/3.5 secs left/elapsed/total) [=========================------------------------------------------------------] 31.4% Optimising weights (2.3/1.3/3.6 secs left/elapsed/total) [==========================-----------------------------------------------------] 33.3% Optimising weights (2.3/1.4/3.7 secs left/elapsed/total) [============================---------------------------------------------------] 35.3% Optimising weights (2.3/1.4/3.7 secs left/elapsed/total) [=============================--------------------------------------------------] 37.3% Optimising weights (2.3/1.5/3.8 secs left/elapsed/total) [===============================------------------------------------------------] 39.2% Optimising weights (2.2/1.6/3.8 secs left/elapsed/total) [================================-----------------------------------------------] 41.2% Optimising weights (2.2/1.7/3.9 secs left/elapsed/total) [==================================---------------------------------------------] 43.1% Optimising weights (2.1/1.8/3.9 secs left/elapsed/total) [====================================-------------------------------------------] 45.1% Optimising weights (2.1/1.8/3.9 secs left/elapsed/total) [=====================================------------------------------------------] 47.1% Optimising weights (2.0/1.9/3.9 secs left/elapsed/total) [=======================================----------------------------------------] 49.0% Optimising weights (2.0/2.0/4.0 secs left/elapsed/total) [========================================---------------------------------------] 51.0% Optimising weights (1.9/2.1/4.0 secs left/elapsed/total) [==========================================-------------------------------------] 52.9% Optimising weights (1.8/2.2/4.0 secs left/elapsed/total) [===========================================------------------------------------] 54.9% Optimising weights (1.8/2.3/4.0 secs left/elapsed/total) [=============================================----------------------------------] 56.9% Optimising weights (1.7/2.3/4.0 secs left/elapsed/total) [===============================================--------------------------------] 58.8% Optimising weights (1.6/2.4/4.0 secs left/elapsed/total) [================================================-------------------------------] 60.8% Optimising weights (1.5/2.5/4.0 secs left/elapsed/total) [==================================================-----------------------------] 62.7% Optimising weights (1.5/2.6/4.0 secs left/elapsed/total) [===================================================----------------------------] 64.7% Optimising weights (1.4/2.6/4.0 secs left/elapsed/total) [=====================================================--------------------------] 66.7% Optimising weights (1.3/2.7/4.0 secs left/elapsed/total) [======================================================-------------------------] 68.6% Optimising weights (1.2/2.8/4.1 secs left/elapsed/total) [========================================================-----------------------] 70.6% Optimising weights (1.2/2.9/4.1 secs left/elapsed/total) [==========================================================---------------------] 72.5% Optimising weights (1.1/3.0/4.1 secs left/elapsed/total) [===========================================================--------------------] 74.5% Optimising weights (1.0/3.0/4.1 secs left/elapsed/total) [=============================================================------------------] 76.5% Optimising weights (0.9/3.1/4.1 secs left/elapsed/total) [==============================================================-----------------] 78.4% Optimising weights (0.9/3.2/4.1 secs left/elapsed/total) [================================================================---------------] 80.4% Optimising weights (0.8/3.3/4.1 secs left/elapsed/total) [=================================================================--------------] 82.4% Optimising weights (0.7/3.4/4.1 secs left/elapsed/total) [===================================================================------------] 84.3% Optimising weights (0.6/3.4/4.1 secs left/elapsed/total) [=====================================================================----------] 86.3% Optimising weights (0.6/3.5/4.1 secs left/elapsed/total) [======================================================================---------] 88.2% Optimising weights (0.5/3.6/4.1 secs left/elapsed/total) [========================================================================-------] 90.2% Optimising weights (0.4/3.7/4.1 secs left/elapsed/total) [=========================================================================------] 92.2% Optimising weights (0.3/3.8/4.1 secs left/elapsed/total) [===========================================================================----] 94.1% Optimising weights (0.2/3.8/4.1 secs left/elapsed/total) [============================================================================---] 96.1% Optimising weights (0.2/3.9/4.1 secs left/elapsed/total) [==============================================================================-] 98.0% Optimising weights (0.1/4.0/4.1 secs left/elapsed/total) [================================================================================] 100.0% Optimising weights (0.0/4.1/4.1 secs left/elapsed/total)
2026-07-16 10:46:32 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'MXP'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for MXP
2026-07-16 10:46:32 INFO base_system {'stage': 'combForecast', 'instrument_code': 'MXP'} Calculating forecast div multiplier for MXP
2026-07-16 10:46:32 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'MXP'} No mapping applied for MXP
2026-07-16 10:46:32 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating subsystem position for SOFR
2026-07-16 10:46:32 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating volatility scalar for SOFR
2026-07-16 10:46:32 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating instrument value vol for SOFR
2026-07-16 10:46:32 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating instrument currency vol for SOFR
2026-07-16 10:46:32 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Calculating combined forecast for SOFR
2026-07-16 10:46:32 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Calculating forecast weights for SOFR
2026-07-16 10:46:32 INFO base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Calculating raw forecast weights for SOFR
2026-07-16 10:46:32 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Using pooled gross returns
2026-07-16 10:46:32 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Using pooled turnover cost SR for SOFR
2026-07-16 10:46:32 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Applying cost multiplier of 2.000000
[--------------------------------------------------------------------------------] 0.0% Optimising weights (0.0/0.0/0.0 secs left/elapsed/total) [=------------------------------------------------------------------------------] 2.0% Optimising weights (0.0/0.0/0.0 secs left/elapsed/total) [===----------------------------------------------------------------------------] 3.9% Optimising weights (0.6/0.1/0.7 secs left/elapsed/total) [====---------------------------------------------------------------------------] 5.9% Optimising weights (0.9/0.2/1.1 secs left/elapsed/total) [======-------------------------------------------------------------------------] 7.8% Optimising weights (1.2/0.3/1.5 secs left/elapsed/total) [=======------------------------------------------------------------------------] 9.8% Optimising weights (1.4/0.4/1.8 secs left/elapsed/total) [=========----------------------------------------------------------------------] 11.8% Optimising weights (1.6/0.4/2.0 secs left/elapsed/total) [==========---------------------------------------------------------------------] 13.7% Optimising weights (1.8/0.5/2.3 secs left/elapsed/total) [============-------------------------------------------------------------------] 15.7% Optimising weights (1.9/0.6/2.5 secs left/elapsed/total) [==============-----------------------------------------------------------------] 17.6% Optimising weights (2.0/0.7/2.7 secs left/elapsed/total) [===============----------------------------------------------------------------] 19.6% Optimising weights (2.1/0.8/2.9 secs left/elapsed/total) [=================--------------------------------------------------------------] 21.6% Optimising weights (2.2/0.9/3.0 secs left/elapsed/total) [==================-------------------------------------------------------------] 23.5% Optimising weights (2.2/0.9/3.2 secs left/elapsed/total) [====================-----------------------------------------------------------] 25.5% Optimising weights (2.3/1.0/3.3 secs left/elapsed/total) [=====================----------------------------------------------------------] 27.5% Optimising weights (2.3/1.1/3.4 secs left/elapsed/total) [=======================--------------------------------------------------------] 29.4% Optimising weights (2.3/1.2/3.5 secs left/elapsed/total) [=========================------------------------------------------------------] 31.4% Optimising weights (2.3/1.3/3.6 secs left/elapsed/total) [==========================-----------------------------------------------------] 33.3% Optimising weights (2.3/1.3/3.6 secs left/elapsed/total) [============================---------------------------------------------------] 35.3% Optimising weights (2.3/1.4/3.7 secs left/elapsed/total) [=============================--------------------------------------------------] 37.3% Optimising weights (2.2/1.5/3.7 secs left/elapsed/total) [===============================------------------------------------------------] 39.2% Optimising weights (2.2/1.6/3.8 secs left/elapsed/total) [================================-----------------------------------------------] 41.2% Optimising weights (2.1/1.7/3.8 secs left/elapsed/total) [==================================---------------------------------------------] 43.1% Optimising weights (2.1/1.7/3.8 secs left/elapsed/total) [====================================-------------------------------------------] 45.1% Optimising weights (2.0/1.8/3.9 secs left/elapsed/total) [=====================================------------------------------------------] 47.1% Optimising weights (2.0/1.9/3.9 secs left/elapsed/total) [=======================================----------------------------------------] 49.0% Optimising weights (1.9/2.0/3.9 secs left/elapsed/total) [========================================---------------------------------------] 51.0% Optimising weights (1.9/2.1/3.9 secs left/elapsed/total) [==========================================-------------------------------------] 52.9% Optimising weights (1.8/2.1/3.9 secs left/elapsed/total) [===========================================------------------------------------] 54.9% Optimising weights (1.7/2.2/4.0 secs left/elapsed/total) [=============================================----------------------------------] 56.9% Optimising weights (1.7/2.3/4.0 secs left/elapsed/total) [===============================================--------------------------------] 58.8% Optimising weights (1.6/2.4/4.0 secs left/elapsed/total) [================================================-------------------------------] 60.8% Optimising weights (1.5/2.5/4.0 secs left/elapsed/total) [==================================================-----------------------------] 62.7% Optimising weights (1.5/2.5/4.0 secs left/elapsed/total) [===================================================----------------------------] 64.7% Optimising weights (1.4/2.6/4.0 secs left/elapsed/total) [=====================================================--------------------------] 66.7% Optimising weights (1.3/2.7/4.0 secs left/elapsed/total) [======================================================-------------------------] 68.6% Optimising weights (1.2/2.8/4.0 secs left/elapsed/total) [========================================================-----------------------] 70.6% Optimising weights (1.2/2.9/4.0 secs left/elapsed/total) [==========================================================---------------------] 72.5% Optimising weights (1.1/2.9/4.0 secs left/elapsed/total) [===========================================================--------------------] 74.5% Optimising weights (1.0/3.0/4.0 secs left/elapsed/total) [=============================================================------------------] 76.5% Optimising weights (0.9/3.1/4.0 secs left/elapsed/total) [==============================================================-----------------] 78.4% Optimising weights (0.9/3.2/4.0 secs left/elapsed/total) [================================================================---------------] 80.4% Optimising weights (0.8/3.2/4.0 secs left/elapsed/total) [=================================================================--------------] 82.4% Optimising weights (0.7/3.3/4.0 secs left/elapsed/total) [===================================================================------------] 84.3% Optimising weights (0.6/3.4/4.0 secs left/elapsed/total) [=====================================================================----------] 86.3% Optimising weights (0.5/3.5/4.0 secs left/elapsed/total) [======================================================================---------] 88.2% Optimising weights (0.5/3.6/4.0 secs left/elapsed/total) [========================================================================-------] 90.2% Optimising weights (0.4/3.6/4.0 secs left/elapsed/total) [=========================================================================------] 92.2% Optimising weights (0.3/3.7/4.0 secs left/elapsed/total) [===========================================================================----] 94.1% Optimising weights (0.2/3.8/4.0 secs left/elapsed/total) [============================================================================---] 96.1% Optimising weights (0.2/3.9/4.0 secs left/elapsed/total) [==============================================================================-] 98.0% Optimising weights (0.1/3.9/4.0 secs left/elapsed/total) [================================================================================] 100.0% Optimising weights (0.0/4.0/4.0 secs left/elapsed/total)
2026-07-16 10:46:37 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for SOFR
2026-07-16 10:46:37 INFO base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} Calculating forecast div multiplier for SOFR
2026-07-16 10:46:37 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'SOFR'} No mapping applied for SOFR
2026-07-16 10:46:37 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating subsystem position for US10
2026-07-16 10:46:37 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating volatility scalar for US10
2026-07-16 10:46:37 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating instrument value vol for US10
2026-07-16 10:46:37 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating instrument currency vol for US10
2026-07-16 10:46:38 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Calculating combined forecast for US10
2026-07-16 10:46:38 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Calculating forecast weights for US10
2026-07-16 10:46:38 INFO base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Calculating raw forecast weights for US10
2026-07-16 10:46:38 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Using pooled gross returns
2026-07-16 10:46:38 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Using pooled turnover cost SR for US10
2026-07-16 10:46:38 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Applying cost multiplier of 2.000000
[--------------------------------------------------------------------------------] 0.0% Optimising weights (0.0/0.0/0.0 secs left/elapsed/total) [=------------------------------------------------------------------------------] 2.0% Optimising weights (0.0/0.0/0.0 secs left/elapsed/total) [===----------------------------------------------------------------------------] 3.9% Optimising weights (0.6/0.1/0.7 secs left/elapsed/total) [====---------------------------------------------------------------------------] 5.9% Optimising weights (0.9/0.2/1.1 secs left/elapsed/total) [======-------------------------------------------------------------------------] 7.8% Optimising weights (1.2/0.3/1.5 secs left/elapsed/total) [=======------------------------------------------------------------------------] 9.8% Optimising weights (1.4/0.4/1.8 secs left/elapsed/total) [=========----------------------------------------------------------------------] 11.8% Optimising weights (1.6/0.4/2.1 secs left/elapsed/total) [==========---------------------------------------------------------------------] 13.7% Optimising weights (1.8/0.5/2.3 secs left/elapsed/total) [============-------------------------------------------------------------------] 15.7% Optimising weights (1.9/0.6/2.5 secs left/elapsed/total) [==============-----------------------------------------------------------------] 17.6% Optimising weights (2.0/0.7/2.7 secs left/elapsed/total) [===============----------------------------------------------------------------] 19.6% Optimising weights (2.1/0.8/2.9 secs left/elapsed/total) [=================--------------------------------------------------------------] 21.6% Optimising weights (2.2/0.9/3.1 secs left/elapsed/total) [==================-------------------------------------------------------------] 23.5% Optimising weights (2.3/0.9/3.2 secs left/elapsed/total) [====================-----------------------------------------------------------] 25.5% Optimising weights (2.3/1.0/3.3 secs left/elapsed/total) [=====================----------------------------------------------------------] 27.5% Optimising weights (2.3/1.1/3.4 secs left/elapsed/total) [=======================--------------------------------------------------------] 29.4% Optimising weights (2.3/1.2/3.5 secs left/elapsed/total) [=========================------------------------------------------------------] 31.4% Optimising weights (2.3/1.3/3.6 secs left/elapsed/total) [==========================-----------------------------------------------------] 33.3% Optimising weights (2.3/1.4/3.7 secs left/elapsed/total) [============================---------------------------------------------------] 35.3% Optimising weights (2.3/1.4/3.7 secs left/elapsed/total) [=============================--------------------------------------------------] 37.3% Optimising weights (2.3/1.5/3.8 secs left/elapsed/total) [===============================------------------------------------------------] 39.2% Optimising weights (2.2/1.6/3.8 secs left/elapsed/total) [================================-----------------------------------------------] 41.2% Optimising weights (2.2/1.7/3.9 secs left/elapsed/total) [==================================---------------------------------------------] 43.1% Optimising weights (2.1/1.8/3.9 secs left/elapsed/total) [====================================-------------------------------------------] 45.1% Optimising weights (2.1/1.8/3.9 secs left/elapsed/total) [=====================================------------------------------------------] 47.1% Optimising weights (2.0/1.9/4.0 secs left/elapsed/total) [=======================================----------------------------------------] 49.0% Optimising weights (2.0/2.0/4.0 secs left/elapsed/total) [========================================---------------------------------------] 51.0% Optimising weights (1.9/2.1/4.0 secs left/elapsed/total) [==========================================-------------------------------------] 52.9% Optimising weights (1.9/2.2/4.0 secs left/elapsed/total) [===========================================------------------------------------] 54.9% Optimising weights (1.8/2.3/4.0 secs left/elapsed/total) [=============================================----------------------------------] 56.9% Optimising weights (1.7/2.3/4.0 secs left/elapsed/total) [===============================================--------------------------------] 58.8% Optimising weights (1.6/2.4/4.0 secs left/elapsed/total) [================================================-------------------------------] 60.8% Optimising weights (1.6/2.5/4.0 secs left/elapsed/total) [==================================================-----------------------------] 62.7% Optimising weights (1.5/2.6/4.0 secs left/elapsed/total) [===================================================----------------------------] 64.7% Optimising weights (1.4/2.6/4.0 secs left/elapsed/total) [=====================================================--------------------------] 66.7% Optimising weights (1.3/2.7/4.0 secs left/elapsed/total) [======================================================-------------------------] 68.6% Optimising weights (1.2/2.8/4.0 secs left/elapsed/total) [========================================================-----------------------] 70.6% Optimising weights (1.2/2.9/4.1 secs left/elapsed/total) [==========================================================---------------------] 72.5% Optimising weights (1.1/3.0/4.1 secs left/elapsed/total) [===========================================================--------------------] 74.5% Optimising weights (1.0/3.0/4.0 secs left/elapsed/total) [=============================================================------------------] 76.5% Optimising weights (0.9/3.1/4.0 secs left/elapsed/total) [==============================================================-----------------] 78.4% Optimising weights (0.9/3.2/4.0 secs left/elapsed/total) [================================================================---------------] 80.4% Optimising weights (0.8/3.3/4.0 secs left/elapsed/total) [=================================================================--------------] 82.4% Optimising weights (0.7/3.3/4.0 secs left/elapsed/total) [===================================================================------------] 84.3% Optimising weights (0.6/3.4/4.0 secs left/elapsed/total) [=====================================================================----------] 86.3% Optimising weights (0.5/3.5/4.0 secs left/elapsed/total) [======================================================================---------] 88.2% Optimising weights (0.5/3.6/4.0 secs left/elapsed/total) [========================================================================-------] 90.2% Optimising weights (0.4/3.6/4.0 secs left/elapsed/total) [=========================================================================------] 92.2% Optimising weights (0.3/3.7/4.0 secs left/elapsed/total) [===========================================================================----] 94.1% Optimising weights (0.2/3.8/4.0 secs left/elapsed/total) [============================================================================---] 96.1% Optimising weights (0.2/3.9/4.0 secs left/elapsed/total) [==============================================================================-] 98.0% Optimising weights (0.1/3.9/4.0 secs left/elapsed/total) [================================================================================] 100.0% Optimising weights (0.0/4.0/4.0 secs left/elapsed/total)
2026-07-16 10:46:42 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for US10
2026-07-16 10:46:43 INFO base_system {'stage': 'combForecast', 'instrument_code': 'US10'} Calculating forecast div multiplier for US10
2026-07-16 10:46:43 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'US10'} No mapping applied for US10
2026-07-16 10:46:43 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'V2X'} Calculating subsystem position for V2X
2026-07-16 10:46:43 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'V2X'} Calculating volatility scalar for V2X
2026-07-16 10:46:43 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'V2X'} Calculating instrument value vol for V2X
2026-07-16 10:46:43 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'V2X'} Calculating instrument currency vol for V2X
2026-07-16 10:46:43 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} Calculating combined forecast for V2X
2026-07-16 10:46:43 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} Calculating forecast weights for V2X
2026-07-16 10:46:43 INFO base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} Calculating raw forecast weights for V2X
2026-07-16 10:46:43 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} Using pooled gross returns
2026-07-16 10:46:43 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} Using pooled turnover cost SR for V2X
2026-07-16 10:46:43 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} Applying cost multiplier of 2.000000
[--------------------------------------------------------------------------------] 0.0% Optimising weights (0.0/0.0/0.0 secs left/elapsed/total) [=------------------------------------------------------------------------------] 2.0% Optimising weights (0.0/0.0/0.0 secs left/elapsed/total) [===----------------------------------------------------------------------------] 3.9% Optimising weights (0.6/0.1/0.7 secs left/elapsed/total) [====---------------------------------------------------------------------------] 5.9% Optimising weights (0.9/0.2/1.1 secs left/elapsed/total) [======-------------------------------------------------------------------------] 7.8% Optimising weights (1.2/0.3/1.4 secs left/elapsed/total) [=======------------------------------------------------------------------------] 9.8% Optimising weights (1.4/0.4/1.7 secs left/elapsed/total) [=========----------------------------------------------------------------------] 11.8% Optimising weights (1.6/0.4/2.0 secs left/elapsed/total) [==========---------------------------------------------------------------------] 13.7% Optimising weights (1.8/0.5/2.3 secs left/elapsed/total) [============-------------------------------------------------------------------] 15.7% Optimising weights (1.9/0.6/2.5 secs left/elapsed/total) [==============-----------------------------------------------------------------] 17.6% Optimising weights (2.0/0.7/2.7 secs left/elapsed/total) [===============----------------------------------------------------------------] 19.6% Optimising weights (2.1/0.8/2.9 secs left/elapsed/total) [=================--------------------------------------------------------------] 21.6% Optimising weights (2.2/0.9/3.0 secs left/elapsed/total) [==================-------------------------------------------------------------] 23.5% Optimising weights (2.2/0.9/3.2 secs left/elapsed/total) [====================-----------------------------------------------------------] 25.5% Optimising weights (2.3/1.0/3.3 secs left/elapsed/total) [=====================----------------------------------------------------------] 27.5% Optimising weights (2.3/1.1/3.4 secs left/elapsed/total) [=======================--------------------------------------------------------] 29.4% Optimising weights (2.3/1.2/3.5 secs left/elapsed/total) [=========================------------------------------------------------------] 31.4% Optimising weights (2.3/1.3/3.5 secs left/elapsed/total) [==========================-----------------------------------------------------] 33.3% Optimising weights (2.3/1.3/3.6 secs left/elapsed/total) [============================---------------------------------------------------] 35.3% Optimising weights (2.3/1.4/3.7 secs left/elapsed/total) [=============================--------------------------------------------------] 37.3% Optimising weights (2.2/1.5/3.7 secs left/elapsed/total) [===============================------------------------------------------------] 39.2% Optimising weights (2.2/1.6/3.8 secs left/elapsed/total) [================================-----------------------------------------------] 41.2% Optimising weights (2.1/1.7/3.8 secs left/elapsed/total) [==================================---------------------------------------------] 43.1% Optimising weights (2.1/1.7/3.8 secs left/elapsed/total) [====================================-------------------------------------------] 45.1% Optimising weights (2.0/1.8/3.9 secs left/elapsed/total) [=====================================------------------------------------------] 47.1% Optimising weights (2.0/1.9/3.9 secs left/elapsed/total) [=======================================----------------------------------------] 49.0% Optimising weights (1.9/2.0/3.9 secs left/elapsed/total) [========================================---------------------------------------] 51.0% Optimising weights (1.9/2.1/3.9 secs left/elapsed/total) [==========================================-------------------------------------] 52.9% Optimising weights (1.8/2.1/3.9 secs left/elapsed/total) [===========================================------------------------------------] 54.9% Optimising weights (1.7/2.2/4.0 secs left/elapsed/total) [=============================================----------------------------------] 56.9% Optimising weights (1.7/2.3/4.0 secs left/elapsed/total) [===============================================--------------------------------] 58.8% Optimising weights (1.6/2.4/4.0 secs left/elapsed/total) [================================================-------------------------------] 60.8% Optimising weights (1.5/2.5/4.0 secs left/elapsed/total) [==================================================-----------------------------] 62.7% Optimising weights (1.5/2.5/4.0 secs left/elapsed/total) [===================================================----------------------------] 64.7% Optimising weights (1.4/2.6/4.0 secs left/elapsed/total) [=====================================================--------------------------] 66.7% Optimising weights (1.3/2.7/4.0 secs left/elapsed/total) [======================================================-------------------------] 68.6% Optimising weights (1.2/2.8/4.0 secs left/elapsed/total) [========================================================-----------------------] 70.6% Optimising weights (1.2/2.9/4.0 secs left/elapsed/total) [==========================================================---------------------] 72.5% Optimising weights (1.1/2.9/4.0 secs left/elapsed/total) [===========================================================--------------------] 74.5% Optimising weights (1.0/3.0/4.0 secs left/elapsed/total) [=============================================================------------------] 76.5% Optimising weights (0.9/3.1/4.0 secs left/elapsed/total) [==============================================================-----------------] 78.4% Optimising weights (0.9/3.2/4.1 secs left/elapsed/total) [================================================================---------------] 80.4% Optimising weights (0.8/3.3/4.1 secs left/elapsed/total) [=================================================================--------------] 82.4% Optimising weights (0.7/3.3/4.1 secs left/elapsed/total) [===================================================================------------] 84.3% Optimising weights (0.6/3.4/4.1 secs left/elapsed/total) [=====================================================================----------] 86.3% Optimising weights (0.6/3.5/4.1 secs left/elapsed/total) [======================================================================---------] 88.2% Optimising weights (0.5/3.6/4.1 secs left/elapsed/total) [========================================================================-------] 90.2% Optimising weights (0.4/3.7/4.1 secs left/elapsed/total) [=========================================================================------] 92.2% Optimising weights (0.3/3.8/4.1 secs left/elapsed/total) [===========================================================================----] 94.1% Optimising weights (0.2/3.8/4.1 secs left/elapsed/total) [============================================================================---] 96.1% Optimising weights (0.2/3.9/4.1 secs left/elapsed/total) [==============================================================================-] 98.0% Optimising weights (0.1/4.0/4.1 secs left/elapsed/total) [================================================================================] 100.0% Optimising weights (0.0/4.1/4.1 secs left/elapsed/total)
2026-07-16 10:46:48 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} Only this set of rules ['carry', 'ewmac16_64', 'ewmac32_128', 'ewmac64_256'] is cheap enough to trade for V2X
2026-07-16 10:46:48 INFO base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} Calculating forecast div multiplier for V2X
2026-07-16 10:46:48 DEBUG base_system {'stage': 'combForecast', 'instrument_code': 'V2X'} No mapping applied for V2X
2026-07-16 10:46:48 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Following instruments will have zero weight in optimisation of instrument weights as they have no positions (possibly too expensive?) []
2026-07-16 10:46:48 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'CORN'} Calculating pandl for subsystem for instrument CORN
2026-07-16 10:46:48 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating buffers for CORN
2026-07-16 10:46:48 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'CORN'} Calculating forecast method buffers for CORN
2026-07-16 10:46:48 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'CORN'} Calculating buffered subsystem positions
2026-07-16 10:46:48 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:46:50 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'EUROSTX'} Calculating pandl for subsystem for instrument EUROSTX
2026-07-16 10:46:50 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'EUROSTX'} Calculating buffers for EUROSTX
2026-07-16 10:46:50 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'EUROSTX'} Calculating forecast method buffers for EUROSTX
2026-07-16 10:46:50 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'EUROSTX'} Calculating buffered subsystem positions
2026-07-16 10:46:50 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:46:50 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'MXP'} Calculating pandl for subsystem for instrument MXP
2026-07-16 10:46:50 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'MXP'} Calculating buffers for MXP
2026-07-16 10:46:50 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'MXP'} Calculating forecast method buffers for MXP
2026-07-16 10:46:50 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'MXP'} Calculating buffered subsystem positions
2026-07-16 10:46:50 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:46:51 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'SOFR'} Calculating pandl for subsystem for instrument SOFR
2026-07-16 10:46:51 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating buffers for SOFR
2026-07-16 10:46:51 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'SOFR'} Calculating forecast method buffers for SOFR
2026-07-16 10:46:51 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'SOFR'} Calculating buffered subsystem positions
2026-07-16 10:46:51 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:46:53 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'US10'} Calculating pandl for subsystem for instrument US10
2026-07-16 10:46:53 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating buffers for US10
2026-07-16 10:46:53 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'US10'} Calculating forecast method buffers for US10
2026-07-16 10:46:53 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'US10'} Calculating buffered subsystem positions
2026-07-16 10:46:53 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:46:54 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'V2X'} Calculating pandl for subsystem for instrument V2X
2026-07-16 10:46:54 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'V2X'} Calculating buffers for V2X
2026-07-16 10:46:54 DEBUG base_system {'stage': 'positionSize', 'instrument_code': 'V2X'} Calculating forecast method buffers for V2X
2026-07-16 10:46:54 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'V2X'} Calculating buffered subsystem positions
2026-07-16 10:46:54 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
2026-07-16 10:47:03 INFO base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Calculating raw instrument weights
2026-07-16 10:47:03 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Using only returns of asset for gross returns
2026-07-16 10:47:03 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Using unpooled cost SR for asset
[--------------------------------------------------------------------------------] 0.0% Optimising weights (0.0/0.0/0.0 secs left/elapsed/total) [=------------------------------------------------------------------------------] 2.0% Optimising weights (0.0/0.0/0.0 secs left/elapsed/total) [===----------------------------------------------------------------------------] 3.9% Optimising weights (0.2/0.0/0.2 secs left/elapsed/total) [====---------------------------------------------------------------------------] 5.9% Optimising weights (0.2/0.0/0.2 secs left/elapsed/total) [======-------------------------------------------------------------------------] 7.8% Optimising weights (0.2/0.0/0.2 secs left/elapsed/total) [=======------------------------------------------------------------------------] 9.8% Optimising weights (0.2/0.1/0.2 secs left/elapsed/total) [=========----------------------------------------------------------------------] 11.8% Optimising weights (0.2/0.1/0.2 secs left/elapsed/total) [==========---------------------------------------------------------------------] 13.7% Optimising weights (0.2/0.1/0.3 secs left/elapsed/total) [============-------------------------------------------------------------------] 15.7% Optimising weights (0.2/0.1/0.3 secs left/elapsed/total) [==============-----------------------------------------------------------------] 17.6% Optimising weights (0.2/0.1/0.3 secs left/elapsed/total) [===============----------------------------------------------------------------] 19.6% Optimising weights (0.2/0.1/0.3 secs left/elapsed/total) [=================--------------------------------------------------------------] 21.6% Optimising weights (0.2/0.1/0.3 secs left/elapsed/total) [==================-------------------------------------------------------------] 23.5% Optimising weights (0.2/0.1/0.3 secs left/elapsed/total) [====================-----------------------------------------------------------] 25.5% Optimising weights (0.2/0.1/0.3 secs left/elapsed/total) [=====================----------------------------------------------------------] 27.5% Optimising weights (0.2/0.1/0.4 secs left/elapsed/total) [=======================--------------------------------------------------------] 29.4% Optimising weights (0.3/0.1/0.4 secs left/elapsed/total) [=========================------------------------------------------------------] 31.4% Optimising weights (0.3/0.1/0.4 secs left/elapsed/total) [==========================-----------------------------------------------------] 33.3% Optimising weights (0.3/0.2/0.4 secs left/elapsed/total) [============================---------------------------------------------------] 35.3% Optimising weights (0.3/0.2/0.4 secs left/elapsed/total) [=============================--------------------------------------------------] 37.3% Optimising weights (0.3/0.2/0.5 secs left/elapsed/total) [===============================------------------------------------------------] 39.2% Optimising weights (0.3/0.2/0.5 secs left/elapsed/total) [================================-----------------------------------------------] 41.2% Optimising weights (0.3/0.2/0.5 secs left/elapsed/total) [==================================---------------------------------------------] 43.1% Optimising weights (0.3/0.2/0.5 secs left/elapsed/total) [====================================-------------------------------------------] 45.1% Optimising weights (0.3/0.2/0.5 secs left/elapsed/total) [=====================================------------------------------------------] 47.1% Optimising weights (0.3/0.2/0.5 secs left/elapsed/total) [=======================================----------------------------------------] 49.0% Optimising weights (0.3/0.3/0.5 secs left/elapsed/total) [========================================---------------------------------------] 51.0% Optimising weights (0.3/0.3/0.5 secs left/elapsed/total) [==========================================-------------------------------------] 52.9% Optimising weights (0.3/0.3/0.5 secs left/elapsed/total) [===========================================------------------------------------] 54.9% Optimising weights (0.3/0.3/0.6 secs left/elapsed/total) [=============================================----------------------------------] 56.9% Optimising weights (0.2/0.3/0.6 secs left/elapsed/total) [===============================================--------------------------------] 58.8% Optimising weights (0.2/0.3/0.6 secs left/elapsed/total) [================================================-------------------------------] 60.8% Optimising weights (0.2/0.3/0.6 secs left/elapsed/total) [==================================================-----------------------------] 62.7% Optimising weights (0.2/0.3/0.6 secs left/elapsed/total) [===================================================----------------------------] 64.7% Optimising weights (0.2/0.4/0.6 secs left/elapsed/total) [=====================================================--------------------------] 66.7% Optimising weights (0.2/0.4/0.6 secs left/elapsed/total) [======================================================-------------------------] 68.6% Optimising weights (0.2/0.4/0.6 secs left/elapsed/total) [========================================================-----------------------] 70.6% Optimising weights (0.2/0.4/0.6 secs left/elapsed/total) [==========================================================---------------------] 72.5% Optimising weights (0.2/0.4/0.6 secs left/elapsed/total) [===========================================================--------------------] 74.5% Optimising weights (0.2/0.4/0.6 secs left/elapsed/total) [=============================================================------------------] 76.5% Optimising weights (0.1/0.4/0.6 secs left/elapsed/total) [==============================================================-----------------] 78.4% Optimising weights (0.1/0.4/0.6 secs left/elapsed/total) [================================================================---------------] 80.4% Optimising weights (0.1/0.5/0.6 secs left/elapsed/total) [=================================================================--------------] 82.4% Optimising weights (0.1/0.5/0.6 secs left/elapsed/total) [===================================================================------------] 84.3% Optimising weights (0.1/0.5/0.6 secs left/elapsed/total) [=====================================================================----------] 86.3% Optimising weights (0.1/0.5/0.6 secs left/elapsed/total) [======================================================================---------] 88.2% Optimising weights (0.1/0.5/0.6 secs left/elapsed/total) [========================================================================-------] 90.2% Optimising weights (0.1/0.6/0.6 secs left/elapsed/total) [=========================================================================------] 92.2% Optimising weights (0.1/0.6/0.6 secs left/elapsed/total) [===========================================================================----] 94.1% Optimising weights (0.0/0.6/0.7 secs left/elapsed/total) [============================================================================---] 96.1% Optimising weights (0.0/0.6/0.7 secs left/elapsed/total) [==============================================================================-] 98.0% Optimising weights (0.0/0.7/0.7 secs left/elapsed/total) [================================================================================] 100.0% Optimising weights (0.0/0.7/0.7 secs left/elapsed/total)
2026-07-16 10:47:04 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Following instruments will have zero weight in optimisation of instrument weights as they have no positions (possibly too expensive?) []
2026-07-16 10:47:04 INFO base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Calculating instrument div. multiplier
2026-07-16 10:47:04 INFO base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Calculating instrument correlations
[--------------------------------------------------------------------------------] 0.0% Estimating correlations (0.0/0.0/0.0 secs left/elapsed/total) [=------------------------------------------------------------------------------] 2.0% Estimating correlations (0.0/0.0/0.0 secs left/elapsed/total) [===----------------------------------------------------------------------------] 3.9% Estimating correlations (0.0/0.0/0.0 secs left/elapsed/total) [====---------------------------------------------------------------------------] 5.9% Estimating correlations (0.1/0.0/0.2 secs left/elapsed/total) [======-------------------------------------------------------------------------] 7.8% Estimating correlations (0.1/0.0/0.2 secs left/elapsed/total) [=======------------------------------------------------------------------------] 9.8% Estimating correlations (0.1/0.0/0.2 secs left/elapsed/total) [=========----------------------------------------------------------------------] 11.8% Estimating correlations (0.1/0.0/0.1 secs left/elapsed/total) [==========---------------------------------------------------------------------] 13.7% Estimating correlations (0.1/0.0/0.1 secs left/elapsed/total) [============-------------------------------------------------------------------] 15.7% Estimating correlations (0.1/0.0/0.1 secs left/elapsed/total) [==============-----------------------------------------------------------------] 17.6% Estimating correlations (0.1/0.0/0.1 secs left/elapsed/total) [===============----------------------------------------------------------------] 19.6% Estimating correlations (0.1/0.0/0.1 secs left/elapsed/total) [=================--------------------------------------------------------------] 21.6% Estimating correlations (0.1/0.0/0.1 secs left/elapsed/total) [==================-------------------------------------------------------------] 23.5% Estimating correlations (0.1/0.0/0.1 secs left/elapsed/total) [====================-----------------------------------------------------------] 25.5% Estimating correlations (0.1/0.0/0.1 secs left/elapsed/total) [=====================----------------------------------------------------------] 27.5% Estimating correlations (0.1/0.0/0.1 secs left/elapsed/total) [=======================--------------------------------------------------------] 29.4% Estimating correlations (0.1/0.0/0.1 secs left/elapsed/total) [=========================------------------------------------------------------] 31.4% Estimating correlations (0.1/0.0/0.1 secs left/elapsed/total) [==========================-----------------------------------------------------] 33.3% Estimating correlations (0.1/0.1/0.1 secs left/elapsed/total) [============================---------------------------------------------------] 35.3% Estimating correlations (0.1/0.1/0.1 secs left/elapsed/total) [=============================--------------------------------------------------] 37.3% Estimating correlations (0.1/0.1/0.1 secs left/elapsed/total) [===============================------------------------------------------------] 39.2% Estimating correlations (0.1/0.1/0.1 secs left/elapsed/total) [================================-----------------------------------------------] 41.2% Estimating correlations (0.1/0.1/0.1 secs left/elapsed/total) [==================================---------------------------------------------] 43.1% Estimating correlations (0.1/0.1/0.1 secs left/elapsed/total) [====================================-------------------------------------------] 45.1% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [=====================================------------------------------------------] 47.1% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [=======================================----------------------------------------] 49.0% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [========================================---------------------------------------] 51.0% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [==========================================-------------------------------------] 52.9% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [===========================================------------------------------------] 54.9% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [=============================================----------------------------------] 56.9% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [===============================================--------------------------------] 58.8% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [================================================-------------------------------] 60.8% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [==================================================-----------------------------] 62.7% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [===================================================----------------------------] 64.7% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [=====================================================--------------------------] 66.7% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [======================================================-------------------------] 68.6% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [========================================================-----------------------] 70.6% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [==========================================================---------------------] 72.5% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [===========================================================--------------------] 74.5% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [=============================================================------------------] 76.5% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [==============================================================-----------------] 78.4% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [================================================================---------------] 80.4% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [=================================================================--------------] 82.4% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [===================================================================------------] 84.3% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [=====================================================================----------] 86.3% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [======================================================================---------] 88.2% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [========================================================================-------] 90.2% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [=========================================================================------] 92.2% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [===========================================================================----] 94.1% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [============================================================================---] 96.1% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [==============================================================================-] 98.0% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total) [================================================================================] 100.0% Estimating correlations (0.0/0.1/0.1 secs left/elapsed/total)
2026-07-16 10:47:06 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} No risk overlay in config: won't apply risk scaling
2026-07-16 10:47:06 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Calculating buffers for CORN
2026-07-16 10:47:06 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'CORN'} Calculating forecast method buffers for CORN
2026-07-16 10:47:06 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'V2X'} Calculating buffered positions
2026-07-16 10:47:07 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'CORN'} Calculating pandl for instrument for CORN
2026-07-16 10:47:07 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:47:08 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'EUROSTX'} Calculating pandl for instrument for EUROSTX
2026-07-16 10:47:08 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'EUROSTX'} Calculating notional position for EUROSTX
2026-07-16 10:47:08 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'EUROSTX'} No risk overlay in config: won't apply risk scaling
2026-07-16 10:47:08 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'EUROSTX'} Calculating buffers for EUROSTX
2026-07-16 10:47:08 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'EUROSTX'} Calculating forecast method buffers for EUROSTX
2026-07-16 10:47:08 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'EUROSTX'} Calculating buffered positions
2026-07-16 10:47:08 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'EUROSTX'} Calculating pandl for instrument for EUROSTX
2026-07-16 10:47:08 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:47:09 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'MXP'} Calculating pandl for instrument for MXP
2026-07-16 10:47:09 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'MXP'} Calculating notional position for MXP
2026-07-16 10:47:09 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'MXP'} No risk overlay in config: won't apply risk scaling
2026-07-16 10:47:09 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'MXP'} Calculating buffers for MXP
2026-07-16 10:47:09 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'MXP'} Calculating forecast method buffers for MXP
2026-07-16 10:47:09 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'MXP'} Calculating buffered positions
2026-07-16 10:47:09 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'MXP'} Calculating pandl for instrument for MXP
2026-07-16 10:47:09 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:47:10 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'SOFR'} Calculating pandl for instrument for SOFR
2026-07-16 10:47:10 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} Calculating notional position for SOFR
2026-07-16 10:47:10 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} No risk overlay in config: won't apply risk scaling
2026-07-16 10:47:10 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} Calculating buffers for SOFR
2026-07-16 10:47:10 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'SOFR'} Calculating forecast method buffers for SOFR
2026-07-16 10:47:10 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'SOFR'} Calculating buffered positions
2026-07-16 10:47:10 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'SOFR'} Calculating pandl for instrument for SOFR
2026-07-16 10:47:10 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:47:11 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'US10'} Calculating pandl for instrument for US10
2026-07-16 10:47:11 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'US10'} Calculating notional position for US10
2026-07-16 10:47:11 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'US10'} No risk overlay in config: won't apply risk scaling
2026-07-16 10:47:11 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'US10'} Calculating buffers for US10
2026-07-16 10:47:11 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'US10'} Calculating forecast method buffers for US10
2026-07-16 10:47:11 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'US10'} Calculating buffered positions
2026-07-16 10:47:11 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'US10'} Calculating pandl for instrument for US10
2026-07-16 10:47:11 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:47:12 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'V2X'} Calculating pandl for instrument for V2X
2026-07-16 10:47:12 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'V2X'} Calculating notional position for V2X
2026-07-16 10:47:12 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'V2X'} No risk overlay in config: won't apply risk scaling
2026-07-16 10:47:12 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'V2X'} Calculating buffers for V2X
2026-07-16 10:47:12 DEBUG base_system {'stage': 'portfolio', 'instrument_code': 'V2X'} Calculating forecast method buffers for V2X
2026-07-16 10:47:12 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'V2X'} Calculating buffered positions
2026-07-16 10:47:12 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'V2X'} Calculating pandl for instrument for V2X
2026-07-16 10:47:12 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X
0.5171775350389001
Private configuration '/app/private/private_config.yaml' is missing or misconfigured; no problem if running in sim mode
2026-07-16 10:47:14 INFO base_system {'stage': 'accounts'} Calculating pandl for portfolio
2026-07-16 10:47:14 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'CORN'} Calculating pandl for instrument for CORN
2026-07-16 10:47:14 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'CORN'} Calculating pandl for instrument for CORN
2026-07-16 10:47:14 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'CORN'} Calculating daily prices for CORN
2026-07-16 10:47:16 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'EUROSTX'} Calculating pandl for instrument for EUROSTX
2026-07-16 10:47:16 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'EUROSTX'} Calculating pandl for instrument for EUROSTX
2026-07-16 10:47:16 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'EUROSTX'} Calculating daily prices for EUROSTX
2026-07-16 10:47:16 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'MXP'} Calculating pandl for instrument for MXP
2026-07-16 10:47:16 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'MXP'} Calculating pandl for instrument for MXP
2026-07-16 10:47:16 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'MXP'} Calculating daily prices for MXP
2026-07-16 10:47:17 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'SOFR'} Calculating pandl for instrument for SOFR
2026-07-16 10:47:17 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'SOFR'} Calculating pandl for instrument for SOFR
2026-07-16 10:47:17 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'SOFR'} Calculating daily prices for SOFR
2026-07-16 10:47:19 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'US10'} Calculating pandl for instrument for US10
2026-07-16 10:47:19 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'US10'} Calculating pandl for instrument for US10
2026-07-16 10:47:19 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'US10'} Calculating daily prices for US10
2026-07-16 10:47:20 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'V2X'} Calculating pandl for instrument for V2X
2026-07-16 10:47:20 DEBUG base_system {'stage': 'accounts', 'instrument_code': 'V2X'} Calculating pandl for instrument for V2X
2026-07-16 10:47:20 DEBUG base_system {'stage': 'rawdata', 'instrument_code': 'V2X'} Calculating daily prices for V2X