Before revision:  We apply the  execution model and trade information matrix to Level II E-mini S&P 500 futures history and demonstrate an estimation approach for measuring the sensitivity of the P&L to classification error .
After revision:  We apply the execution model and trade information matrix to Level II E-mini S&P 500 futures history and demonstrate an estimation approach for measuring the sensitivity of the P&L to the error of a Recurrent Neural Network .