******************************************************************************** Trades report produced on 07/09/2023 21:38 from 06/09/2023 21:38 to 07/09/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 6438 BUND caleb_strategy_v3 [20231200] 2023-09-07 07:00:06 [1] 130.5500 6447 CHF caleb_strategy_v3 [20230900] 2023-09-07 14:01:02 [-1] 1.1202 6442 CRUDE_W caleb_strategy_v3 [20231200] 2023-09-07 13:00:04 [1] 85.8200 6454 DOW caleb_strategy_v3 [20230900] 2023-09-07 14:01:24 [-1] 34490.0000 6453 DOW caleb_strategy_v3 [20230900] 2023-09-07 14:01:20 [-1] 34488.0000 6452 DOW caleb_strategy_v3 [20230900] 2023-09-07 14:01:16 [-1] 34484.0000 6451 DOW caleb_strategy_v3 [20230900] 2023-09-07 14:01:13 [-1] 34481.0000 6449 DOW caleb_strategy_v3 [20230900] 2023-09-07 14:01:05 [-1] 34483.0000 6440 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-07 08:00:05 [1] 97.0500 6455 FEEDCOW caleb_strategy_v3 [20240100] 2023-09-07 14:30:02 [1] 258.6000 6450 GBP caleb_strategy_v3 [20230900] 2023-09-07 14:01:10 [-1] 1.2457 6441 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-07 13:00:03 [-1] 1928.5000 6444 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-07 13:00:09 [-1] 1928.3000 6445 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-07 13:00:11 [-1] 1928.3000 6456 LEANHOG caleb_strategy_v3 [20231200] 2023-09-07 14:30:21 [1] 75.6750 6439 SMI caleb_strategy_v3 [20230900] 2023-09-07 07:00:09 [-1] 10905.0000 6437 SMI caleb_strategy_v3 [20230900] 2023-09-07 07:00:03 [-1] 10903.0000 6448 SP500_micro caleb_strategy_v3 [20230900] 2023-09-07 14:01:03 [-1] 4440.7500 6443 SUGAR11 caleb_strategy_v3 [20240300] 2023-09-07 13:00:06 [1] 26.5300 6446 VIX caleb_strategy_v3 [20231100] 2023-09-07 14:00:51 [1] 17.6000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 6438 BUND caleb_strategy_v3 2023-09-06 2023-09-07 08:00:04.059 2023-09-07 07:00:06 115204 NaN 6437 SMI caleb_strategy_v3 2023-09-06 2023-09-07 08:00:02.049 2023-09-07 07:00:03 115202 NaN 6439 SMI caleb_strategy_v3 2023-09-06 2023-09-07 08:00:09.218 2023-09-07 07:00:09 115209 NaN 6440 EURIBOR-ICE caleb_strategy_v3 2023-09-06 2023-09-07 09:00:02.037 2023-09-07 08:00:05 118802 NaN 6442 CRUDE_W caleb_strategy_v3 2023-09-06 2023-09-07 14:00:04.447 2023-09-07 13:00:04 136804 NaN 6443 SUGAR11 caleb_strategy_v3 2023-09-06 2023-09-07 14:00:05.944 2023-09-07 13:00:06 136806 NaN 6441 GOLD_micro caleb_strategy_v3 2023-09-06 2023-09-07 14:00:01.891 2023-09-07 13:00:03 136802 NaN 6444 GOLD_micro caleb_strategy_v3 2023-09-06 2023-09-07 14:00:08.527 2023-09-07 13:00:09 136809 NaN 6445 GOLD_micro caleb_strategy_v3 2023-09-06 2023-09-07 14:00:11.439 2023-09-07 13:00:11 136811 NaN 6446 VIX caleb_strategy_v3 2023-09-06 2023-09-07 15:00:01.282 2023-09-07 14:00:51 140401 NaN 6447 CHF caleb_strategy_v3 2023-09-06 2023-09-07 15:00:53.694 2023-09-07 14:01:02 140454 NaN 6448 SP500_micro caleb_strategy_v3 2023-09-06 2023-09-07 15:01:03.755 2023-09-07 14:01:03 140464 NaN 6450 GBP caleb_strategy_v3 2023-09-06 2023-09-07 15:01:06.194 2023-09-07 14:01:10 140466 NaN 6449 DOW caleb_strategy_v3 2023-09-06 2023-09-07 15:01:04.719 2023-09-07 14:01:05 140465 NaN 6451 DOW caleb_strategy_v3 2023-09-06 2023-09-07 15:01:13.696 2023-09-07 14:01:13 140474 NaN 6452 DOW caleb_strategy_v3 2023-09-06 2023-09-07 15:01:16.736 2023-09-07 14:01:16 140477 NaN 6453 DOW caleb_strategy_v3 2023-09-06 2023-09-07 15:01:19.966 2023-09-07 14:01:20 140480 NaN 6454 DOW caleb_strategy_v3 2023-09-06 2023-09-07 15:01:23.228 2023-09-07 14:01:24 140483 NaN 6455 FEEDCOW caleb_strategy_v3 2023-09-06 2023-09-07 15:30:01.560 2023-09-07 14:30:02 142202 NaN 6456 LEANHOG caleb_strategy_v3 2023-09-06 2023-09-07 15:30:03.797 2023-09-07 14:30:21 142204 NaN ============================================================================================================================================================================================================================= 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 6438 BUND caleb_strategy_v3 [1] 130.48 None 130.535 130.54 130.53 130.53 130.55 -0.055 -0.005 -0.01 -0.02 NaN -0.015 6437 SMI caleb_strategy_v3 [-1] 10927 None 10906.5 10906 10907 10907 10903 -20.5 -0.5 -3 -4 NaN -3.5 6439 SMI caleb_strategy_v3 [-1] 10927 None 10904 10903 10905 10905 10905 -23 -1 2 -0 NaN 1 6440 EURIBOR-ICE caleb_strategy_v3 [1] 97.025 None 97.0525 97.055 97.05 97.05 97.05 -0.0275 -0.0025 0.005 0 NaN 0.0025 6442 CRUDE_W caleb_strategy_v3 [1] 85.98 None 85.81 85.82 85.8 85.8 85.82 0.17 -0.01 0 -0.02 NaN -0.01 6443 SUGAR11 caleb_strategy_v3 [1] 26.41 None 26.53 26.54 26.52 26.52 26.53 -0.12 -0.01 0.01 -0.01 NaN 0 6441 GOLD_micro caleb_strategy_v3 [-1] 1923.6 None 1928.7 1928.6 1928.8 1928.8 1928.5 5.1 -0.1 -0.1 -0.3 NaN -0.2 6444 GOLD_micro caleb_strategy_v3 [-1] 1923.6 None 1928.55 1928.5 1928.6 1928.6 1928.3 4.95 -0.05 -0.2 -0.3 NaN -0.25 6445 GOLD_micro caleb_strategy_v3 [-1] 1923.6 None 1928.4 1928.3 1928.5 1928.5 1928.3 4.8 -0.1 -0 -0.2 NaN -0.1 6446 VIX caleb_strategy_v3 [1] 17.25 None 17.625 17.65 17.6 17.6 17.6 -0.375 -0.025 0.05 0 NaN 0.025 6447 CHF caleb_strategy_v3 [-1] 1.123 None 1.12015 1.1201 1.1202 1.1202 1.1202 -0.00285 -5e-05 0.0001 -0 NaN 5e-05 6448 SP500_micro caleb_strategy_v3 [-1] 4465.5 None 4440.62 4440.5 4440.75 4440.75 4440.75 -24.875 -0.125 0.25 -0 NaN 0.125 6450 GBP caleb_strategy_v3 [-1] 1.2503 None 1.24565 1.2456 1.2457 1.2457 1.2457 -0.00465 -5e-05 0.0001 -0 NaN 5e-05 6449 DOW caleb_strategy_v3 [-1] 34454 None 34483.5 34483 34484 34484 34483 29.5 -0.5 -0 -1 NaN -0.5 6451 DOW caleb_strategy_v3 [-1] 34454 None 34483.5 34483 34484 NaN 34481 29.5 -0.5 -2 NaN NaN -2.5 6452 DOW caleb_strategy_v3 [-1] 34454 None 34485.5 34485 34486 34486 34484 31.5 -0.5 -1 -2 NaN -1.5 6453 DOW caleb_strategy_v3 [-1] 34454 None 34487 34486 34488 34488 34488 33 -1 2 -0 NaN 1 6454 DOW caleb_strategy_v3 [-1] 34454 None 34490.5 34490 34491 34491 34490 36.5 -0.5 -0 -1 NaN -0.5 6455 FEEDCOW caleb_strategy_v3 [1] 257.575 None 257.5 257.5 257.5 257.5 258.6 0.075 0 -1.1 -1.1 NaN -1.1 6456 LEANHOG caleb_strategy_v3 [1] 74.65 None 75.6875 75.7 75.675 75.675 75.675 -1.0375 -0.0125 0.025 0 NaN 0.0125 ============================================================================================================================================================ 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 6438 BUND caleb_strategy_v3 [1] 11.2335 -48.9606 -4.45097 -8.90193 -17.8039 NaN -13.3529 6437 SMI caleb_strategy_v3 [-1] 1212.19 -169.115 -4.12477 -24.7486 -32.9981 NaN -28.8734 6439 SMI caleb_strategy_v3 [-1] 1212.19 -189.739 -8.24953 16.4991 -0 NaN 8.24953 6440 EURIBOR-ICE caleb_strategy_v3 [1] 1.07331 -256.217 -23.2924 46.5849 0 NaN 23.2924 6442 CRUDE_W caleb_strategy_v3 [1] 19.3964 87.6452 -5.1556 0 -10.3112 NaN -5.1556 6443 SUGAR11 caleb_strategy_v3 [1] 5.63563 -212.931 -17.7443 17.7443 -17.7443 NaN 0 6441 GOLD_micro caleb_strategy_v3 [-1] 190.09 268.294 -5.26067 -5.26067 -15.782 NaN -10.5213 6444 GOLD_micro caleb_strategy_v3 [-1] 190.09 260.403 -2.63033 -10.5213 -15.782 NaN -13.1517 6445 GOLD_micro caleb_strategy_v3 [-1] 190.09 252.512 -5.26067 -0 -10.5213 NaN -5.26067 6446 VIX caleb_strategy_v3 [1] 7.21044 -520.079 -34.6719 69.3439 0 NaN 34.6719 6447 CHF caleb_strategy_v3 [-1] 0.0775851 -367.339 -6.44454 12.8891 -0 NaN 6.44454 6448 SP500_micro caleb_strategy_v3 [-1] 637.016 -390.492 -1.96227 3.92455 -0 NaN 1.96227 6450 GBP caleb_strategy_v3 [-1] 0.0962861 -482.936 -5.19286 10.3857 -0 NaN 5.19286 6449 DOW caleb_strategy_v3 [-1] 3946.49 74.7499 -1.26695 -0 -2.53389 NaN -1.26695 6451 DOW caleb_strategy_v3 [-1] 3946.49 74.7499 -1.26695 -5.06779 NaN NaN -6.33474 6452 DOW caleb_strategy_v3 [-1] 3946.49 79.8177 -1.26695 -2.53389 -5.06779 NaN -3.80084 6453 DOW caleb_strategy_v3 [-1] 3946.49 83.6185 -2.53389 5.06779 -0 NaN 2.53389 6454 DOW caleb_strategy_v3 [-1] 3946.49 92.4872 -1.26695 -0 -2.53389 NaN -1.26695 6455 FEEDCOW caleb_strategy_v3 [1] 24.302 30.8616 0 -452.637 -452.637 NaN -452.637 6456 LEANHOG caleb_strategy_v3 [1] 21.4282 -484.175 -5.83343 11.6669 0 NaN 5.83343 ======================================================================================================================================================================= 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 6438 BUND caleb_strategy_v3 [1] 1072.25 -58.9738 -5.36125 -10.7225 -21.445 NaN -16.0838 6437 SMI caleb_strategy_v3 [-1] 11.217 -229.948 -5.6085 -33.651 -44.868 NaN -39.2595 6439 SMI caleb_strategy_v3 [-1] 11.217 -257.991 -11.217 22.434 -0 NaN 11.217 6440 EURIBOR-ICE caleb_strategy_v3 [1] 2680.62 -73.7172 -6.70156 13.4031 0 NaN 6.70156 6442 CRUDE_W caleb_strategy_v3 [1] 1000 170 -10 0 -20 NaN -10 6443 SUGAR11 caleb_strategy_v3 [1] 1120 -134.4 -11.2 11.2 -11.2 NaN 0 6441 GOLD_micro caleb_strategy_v3 [-1] 10 51 -1 -1 -3 NaN -2 6444 GOLD_micro caleb_strategy_v3 [-1] 10 49.5 -0.5 -2 -3 NaN -2.5 6445 GOLD_micro caleb_strategy_v3 [-1] 10 48 -1 -0 -2 NaN -1 6446 VIX caleb_strategy_v3 [1] 1000 -375 -25 50 0 NaN 25 6447 CHF caleb_strategy_v3 [-1] 125000 -356.25 -6.25 12.5 -0 NaN 6.25 6448 SP500_micro caleb_strategy_v3 [-1] 5 -124.375 -0.625 1.25 -0 NaN 0.625 6450 GBP caleb_strategy_v3 [-1] 62500 -290.625 -3.125 6.25 -0 NaN 3.125 6449 DOW caleb_strategy_v3 [-1] 0.5 14.75 -0.25 -0 -0.5 NaN -0.25 6451 DOW caleb_strategy_v3 [-1] 0.5 14.75 -0.25 -1 NaN NaN -1.25 6452 DOW caleb_strategy_v3 [-1] 0.5 15.75 -0.25 -0.5 -1 NaN -0.75 6453 DOW caleb_strategy_v3 [-1] 0.5 16.5 -0.5 1 -0 NaN 0.5 6454 DOW caleb_strategy_v3 [-1] 0.5 18.25 -0.25 -0 -0.5 NaN -0.25 6455 FEEDCOW caleb_strategy_v3 [1] 500 37.5 0 -550 -550 NaN -550 6456 LEANHOG caleb_strategy_v3 [1] 400 -415 -5 10 0 NaN 5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BUND -58.973750 CHF -356.250000 CRUDE_W 170.000000 DOW 80.000000 EURIBOR-ICE -73.717188 FEEDCOW 37.500000 GBP -290.625000 GOLD_micro 148.500000 LEANHOG -415.000000 SMI -487.939500 SP500_micro -124.375000 SUGAR11 -134.400000 VIX -375.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1880.280437 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BUND -5.361250 CHF -6.250000 CRUDE_W -10.000000 DOW -1.500000 EURIBOR-ICE -6.701562 FEEDCOW 0.000000 GBP -3.125000 GOLD_micro -2.500000 LEANHOG -5.000000 SMI -16.825500 SP500_micro -0.625000 SUGAR11 -11.200000 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -94.088312 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BUND -10.722500 CHF 12.500000 CRUDE_W 0.000000 DOW -0.500000 EURIBOR-ICE 13.403125 FEEDCOW -550.000000 GBP 6.250000 GOLD_micro -3.000000 LEANHOG 10.000000 SMI -11.217000 SP500_micro 1.250000 SUGAR11 11.200000 VIX 50.000000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -470.836375 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BUND -21.445 CHF -0.000 CRUDE_W -20.000 DOW -2.000 EURIBOR-ICE 0.000 FEEDCOW -550.000 GBP -0.000 GOLD_micro -8.000 LEANHOG 0.000 SMI -44.868 SP500_micro -0.000 SUGAR11 -11.200 VIX 0.000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -657.513 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BUND 0 CHF 0 CRUDE_W 0 DOW 0 EURIBOR-ICE 0 FEEDCOW 0 GBP 0 GOLD_micro 0 LEANHOG 0 SMI 0 SP500_micro 0 SUGAR11 0 VIX 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 BUND -16.083750 CHF 6.250000 CRUDE_W -10.000000 DOW -2.000000 EURIBOR-ICE 6.701563 FEEDCOW -550.000000 GBP 3.125000 GOLD_micro -5.500000 LEANHOG 5.000000 SMI -28.042500 SP500_micro 0.625000 SUGAR11 0.000000 VIX 25.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -564.924687 ******************************************************************************** END OF REPORT ********************************************************************************