Before revision:  Extending the concept of  confusion matrix, we present a 'trade information matrix' to attribute the expected profit and loss of tick level predictive classifiers under execution constraints, such as fill probabilities and position dependent trade rules, to correct and incorrect predictions.
After revision:  Extending the concept of a confusion matrix, we present a 'trade information matrix' to attribute the expected profit and loss of tick level predictive classifiers under execution constraints, such as fill probabilities and position dependent trade rules, to correct and incorrect predictions.