******************************************************************************** Trades report produced on 15/08/2023 21:38 from 14/08/2023 21:38 to 15/08/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 4184 COPPER caleb_strategy_v3 [20230900] 2023-08-15 17:36:40 [-1] 3.66700 4183 COTTON2 caleb_strategy_v3 [20231000] 2023-08-15 17:36:23 [1] 86.42000 4187 GBP caleb_strategy_v3 [20230900] 2023-08-15 17:37:36 [1] 1.27330 4179 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-15 17:30:07 [1] 1917.80000 4188 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-15 17:38:03 [1] 1917.20000 4189 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-15 17:38:13 [1] 1917.10000 4177 LEANHOG caleb_strategy_v3 [20231200] 2023-08-15 17:30:05 [-1] 71.92500 4185 PLAT caleb_strategy_v3 [20231000] 2023-08-15 17:36:50 [-1] 892.60000 4178 RUSSELL caleb_strategy_v3 [20230900] 2023-08-15 17:30:06 [-1] 1907.50000 4182 SOYBEAN caleb_strategy_v3 [20231100] 2023-08-15 17:31:21 [1] 1308.25000 4180 SP500_micro caleb_strategy_v3 [20230900] 2023-08-15 17:30:08 [1] 4471.75000 4186 US20 caleb_strategy_v3 [20230900] 2023-08-15 17:37:07 [-1] 120.31250 4181 US30 caleb_strategy_v3 [20230900] 2023-08-15 17:31:09 [-1] 126.03125 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 4177 LEANHOG caleb_strategy_v3 2023-08-11 2023-08-15 17:29:29.286 2023-08-15 17:30:05 408569 35.714 4178 RUSSELL caleb_strategy_v3 2023-08-11 2023-08-15 17:30:06.026 2023-08-15 17:30:06 408606 NaN 4180 SP500_micro caleb_strategy_v3 2023-08-11 2023-08-15 17:30:08.229 2023-08-15 17:30:08 408608 NaN 4181 US30 caleb_strategy_v3 2023-08-11 2023-08-15 17:30:09.972 2023-08-15 17:31:09 408610 59.028 4182 SOYBEAN caleb_strategy_v3 2023-08-11 2023-08-15 17:31:10.876 2023-08-15 17:31:21 408671 10.124 4183 COTTON2 caleb_strategy_v3 2023-08-14 2023-08-15 17:31:23.222 2023-08-15 17:36:23 149483 299.778 4184 COPPER caleb_strategy_v3 2023-08-14 2023-08-15 17:36:25.042 2023-08-15 17:36:40 149785 14.958 4185 PLAT caleb_strategy_v3 2023-08-11 2023-08-15 17:36:41.725 2023-08-15 17:36:50 409002 8.275 4186 US20 caleb_strategy_v3 2023-08-11 2023-08-15 17:36:51.510 2023-08-15 17:37:07 409012 15.49 4187 GBP caleb_strategy_v3 2023-08-11 2023-08-15 17:37:07.832 2023-08-15 17:37:36 409028 28.168 4179 GOLD_micro caleb_strategy_v3 2023-08-11 2023-08-15 17:30:07.144 2023-08-15 17:30:07 408607 NaN 4188 GOLD_micro caleb_strategy_v3 2023-08-11 2023-08-15 17:38:03.351 2023-08-15 17:38:03 409083 NaN 4189 GOLD_micro caleb_strategy_v3 2023-08-11 2023-08-15 17:38:06.405 2023-08-15 17:38:13 409086 6.595 ================================================================================================================================================================================================================================ Slippage (ticks per lot) ================================================================================================================================================================================================================================ instrument_code strategy_name trade parent_reference_price parent_limit_price mid_price side_price offside_price limit_price filled_price delay bid_ask execution versus_limit versus_parent_limit total_trading 4177 LEANHOG caleb_strategy_v3 [-1] 74.475 None 71.95 71.925 71.975 71.975 71.925 -2.525 -0.025 -0 -0.05 NaN -0.025 4178 RUSSELL caleb_strategy_v3 [-1] 1931.1 None 1907.5 1907.4 1907.6 1907.6 1907.5 -23.6 -0.1 0.1 -0.1 NaN 0 4180 SP500_micro caleb_strategy_v3 [1] 4481 None 4471.88 4472 4471.75 4471.75 4471.75 9.125 -0.125 0.25 0 NaN 0.125 4181 US30 caleb_strategy_v3 [-1] 126.688 None 126.078 126.062 126.094 126.094 126.031 -0.609375 -0.015625 -0.03125 -0.0625 NaN -0.046875 4182 SOYBEAN caleb_strategy_v3 [1] 1306.25 None 1308.12 1308.25 1308 1308 1308.25 -1.875 -0.125 0 -0.25 NaN -0.125 4183 COTTON2 caleb_strategy_v3 [1] 87.53 None 86 86 86 86 86.42 1.53 0 -0.42 -0.42 NaN -0.42 4184 COPPER caleb_strategy_v3 [-1] 3.7235 None 3.66775 3.6675 3.668 3.668 3.667 -0.05575 -0.00025 -0.0005 -0.001 NaN -0.00075 4185 PLAT caleb_strategy_v3 [-1] 913.8 None 892.45 892.3 892.6 892.6 892.6 -21.35 -0.15 0.3 -0 NaN 0.15 4186 US20 caleb_strategy_v3 [-1] 120.75 None 120.297 120.281 120.312 120.312 120.312 -0.453125 -0.015625 0.03125 -0 NaN 0.015625 4187 GBP caleb_strategy_v3 [1] 1.2697 None 1.27335 1.2734 1.2733 1.2733 1.2733 -0.00365 -5e-05 0.0001 0 NaN 5e-05 4179 GOLD_micro caleb_strategy_v3 [1] 1926.1 None 1917.65 1917.8 1917.5 1917.5 1917.8 8.45 -0.15 0 -0.3 NaN -0.15 4188 GOLD_micro caleb_strategy_v3 [1] 1926.1 None 1917.7 1917.8 1917.6 1917.6 1917.2 8.4 -0.1 0.6 0.4 NaN 0.5 4189 GOLD_micro caleb_strategy_v3 [1] 1926.1 None 1917.1 1917.2 1917 1917 1917.1 9 -0.1 0.1 -0.1 NaN 0 ============================================================================================================================================================ Slippage (normalised by annual vol, BP of annual SR) ============================================================================================================================================================ instrument_code strategy_name trade last_annual_vol delay_vol bid_ask_vol execution_vol versus_limit_vol versus_parent_limit_vol total_trading_vol 4177 LEANHOG caleb_strategy_v3 [-1] 23.6288 -1068.61 -10.5803 -0 -21.1606 NaN -10.5803 4178 RUSSELL caleb_strategy_v3 [-1] 329.618 -715.981 -3.03382 3.03382 -3.03382 NaN 0 4180 SP500_micro caleb_strategy_v3 [1] 548.194 166.456 -2.28021 4.56043 0 NaN 2.28021 4181 US30 caleb_strategy_v3 [-1] 21.401 -284.741 -7.30106 -14.6021 -29.2042 NaN -21.9032 4182 SOYBEAN caleb_strategy_v3 [1] 313.386 -59.8304 -3.98869 0 -7.97738 NaN -3.98869 4183 COTTON2 caleb_strategy_v3 [1] 26.3602 580.421 0 -159.331 -159.331 NaN -159.331 4184 COPPER caleb_strategy_v3 [-1] 0.88145 -632.481 -2.83624 -5.67247 -11.3449 NaN -8.50871 4185 PLAT caleb_strategy_v3 [-1] 245.098 -871.08 -6.12 12.24 -0 NaN 6.12 4186 US20 caleb_strategy_v3 [-1] 15.3578 -295.045 -10.174 20.3479 -0 NaN 10.174 4187 GBP caleb_strategy_v3 [1] 0.0979782 -372.532 -5.10318 10.2064 0 NaN 5.10318 4179 GOLD_micro caleb_strategy_v3 [1] 207.901 406.444 -7.21498 0 -14.43 NaN -7.21498 4188 GOLD_micro caleb_strategy_v3 [1] 207.901 404.039 -4.80999 28.8599 19.24 NaN 24.0499 4189 GOLD_micro caleb_strategy_v3 [1] 207.901 432.899 -4.80999 4.80999 -4.80999 NaN 0 ======================================================================================================================================================================= Slippage (In base currency) ======================================================================================================================================================================= instrument_code strategy_name trade value_of_price_point delay_cash bid_ask_cash execution_cash versus_limit_cash versus_parent_limit_cash total_trading_cash 4177 LEANHOG caleb_strategy_v3 [-1] 400 -1010 -10 -0 -20 NaN -10 4178 RUSSELL caleb_strategy_v3 [-1] 5 -118 -0.5 0.5 -0.5 NaN 0 4180 SP500_micro caleb_strategy_v3 [1] 5 45.625 -0.625 1.25 0 NaN 0.625 4181 US30 caleb_strategy_v3 [-1] 1000 -609.375 -15.625 -31.25 -62.5 NaN -46.875 4182 SOYBEAN caleb_strategy_v3 [1] 50 -93.75 -6.25 0 -12.5 NaN -6.25 4183 COTTON2 caleb_strategy_v3 [1] 500 765 0 -210 -210 NaN -210 4184 COPPER caleb_strategy_v3 [-1] 25000 -1393.75 -6.25 -12.5 -25 NaN -18.75 4185 PLAT caleb_strategy_v3 [-1] 50 -1067.5 -7.5 15 -0 NaN 7.5 4186 US20 caleb_strategy_v3 [-1] 1000 -453.125 -15.625 31.25 -0 NaN 15.625 4187 GBP caleb_strategy_v3 [1] 62500 -228.125 -3.125 6.25 0 NaN 3.125 4179 GOLD_micro caleb_strategy_v3 [1] 10 84.5 -1.5 0 -3 NaN -1.5 4188 GOLD_micro caleb_strategy_v3 [1] 10 84 -1 6 4 NaN 5 4189 GOLD_micro caleb_strategy_v3 [1] 10 90 -1 1 -1 NaN 0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 COPPER -1393.750 COTTON2 765.000 GBP -228.125 GOLD_micro 258.500 LEANHOG -1010.000 PLAT -1067.500 RUSSELL -118.000 SOYBEAN -93.750 SP500_micro 45.625 US20 -453.125 US30 -609.375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -3904.5 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 COPPER -6.250 COTTON2 0.000 GBP -3.125 GOLD_micro -3.500 LEANHOG -10.000 PLAT -7.500 RUSSELL -0.500 SOYBEAN -6.250 SP500_micro -0.625 US20 -15.625 US30 -15.625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -69.0 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 COPPER -12.50 COTTON2 -210.00 GBP 6.25 GOLD_micro 7.00 LEANHOG -0.00 PLAT 15.00 RUSSELL 0.50 SOYBEAN 0.00 SP500_micro 1.25 US20 31.25 US30 -31.25 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -192.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 COPPER -2.500000e+01 COTTON2 -2.100000e+02 GBP 0.000000e+00 GOLD_micro 2.273737e-12 LEANHOG -2.000000e+01 PLAT -0.000000e+00 RUSSELL -5.000000e-01 SOYBEAN -1.250000e+01 SP500_micro 0.000000e+00 US20 -0.000000e+00 US30 -6.250000e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -330.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 COPPER 0 COTTON2 0 GBP 0 GOLD_micro 0 LEANHOG 0 PLAT 0 RUSSELL 0 SOYBEAN 0 SP500_micro 0 US20 0 US30 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v3 COPPER -18.750 COTTON2 -210.000 GBP 3.125 GOLD_micro 3.500 LEANHOG -10.000 PLAT 7.500 RUSSELL 0.000 SOYBEAN -6.250 SP500_micro 0.625 US20 15.625 US30 -46.875 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -261.5 ******************************************************************************** END OF REPORT ********************************************************************************