******************************************************************************** Trades report produced on 19/10/2023 21:38 from 18/10/2023 21:38 to 19/10/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 7863 BITCOIN caleb_strategy_v3 [20231000] 2023-10-19 14:00:32 [1] 28585.000000 7851 BUXL caleb_strategy_v3 [20231200] 2023-10-19 07:00:07 [-1] 119.520000 7855 CRUDE_W caleb_strategy_v3 [20241200] 2023-10-19 13:00:01 [1] 78.250000 7861 DOW caleb_strategy_v3 [20231200] 2023-10-19 14:00:18 [1] 33814.000000 7852 EUROSTX caleb_strategy_v3 [20231200] 2023-10-19 07:00:09 [-1] 4101.000000 7854 EUROSTX caleb_strategy_v3 [20231200] 2023-10-19 07:00:12 [-1] 4101.000000 7856 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-19 13:00:02 [1] 1966.300000 7857 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-19 13:00:05 [1] 1966.200000 7858 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-19 13:00:07 [1] 1966.300000 7862 JPY caleb_strategy_v3 [20231200] 2023-10-19 14:00:27 [-1] 0.006738 7868 LEANHOG caleb_strategy_v3 [20240200] 2023-10-19 14:30:01 [-1] 73.250000 7867 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-10-19 14:00:51 [-1] 15054.000000 7864 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-10-19 14:00:33 [-1] 15050.500000 7853 OAT caleb_strategy_v3 [20231200] 2023-10-19 07:00:11 [-1] 121.620000 7850 SMI caleb_strategy_v3 [20231200] 2023-10-19 07:00:04 [-1] 10582.000000 7869 SOYOIL caleb_strategy_v3 [20240300] 2023-10-19 14:30:03 [-1] 52.640000 7865 SP400 caleb_strategy_v3 [20231200] 2023-10-19 14:00:35 [1] 2460.100000 7860 US30 caleb_strategy_v3 [20231200] 2023-10-19 14:00:17 [1] 112.437500 7866 VIX caleb_strategy_v3 [20240100] 2023-10-19 14:00:50 [1] 20.350000 7859 VIX caleb_strategy_v3 [20240100] 2023-10-19 14:00:15 [1] 20.300000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7850 SMI caleb_strategy_v3 2023-10-18 2023-10-19 08:00:03.665 2023-10-19 07:00:04 115204 NaN 7851 BUXL caleb_strategy_v3 2023-10-18 2023-10-19 08:00:05.231 2023-10-19 07:00:07 115205 NaN 7853 OAT caleb_strategy_v3 2023-10-18 2023-10-19 08:00:11.126 2023-10-19 07:00:11 115211 NaN 7852 EUROSTX caleb_strategy_v3 2023-10-18 2023-10-19 08:00:08.726 2023-10-19 07:00:09 115209 NaN 7854 EUROSTX caleb_strategy_v3 2023-10-18 2023-10-19 08:00:11.998 2023-10-19 07:00:12 115212 NaN 7855 CRUDE_W caleb_strategy_v3 2023-10-18 2023-10-19 14:00:01.356 2023-10-19 13:00:01 136801 NaN 7856 GOLD_micro caleb_strategy_v3 2023-10-18 2023-10-19 14:00:02.418 2023-10-19 13:00:02 136802 NaN 7857 GOLD_micro caleb_strategy_v3 2023-10-18 2023-10-19 14:00:04.671 2023-10-19 13:00:05 136805 NaN 7858 GOLD_micro caleb_strategy_v3 2023-10-18 2023-10-19 14:00:07.308 2023-10-19 13:00:07 136807 NaN 7860 US30 caleb_strategy_v3 2023-10-18 2023-10-19 15:00:16.276 2023-10-19 14:00:17 140416 NaN 7861 DOW caleb_strategy_v3 2023-10-18 2023-10-19 15:00:18.279 2023-10-19 14:00:18 140418 NaN 7862 JPY caleb_strategy_v3 2023-10-18 2023-10-19 15:00:18.955 2023-10-19 14:00:27 140419 NaN 7863 BITCOIN caleb_strategy_v3 2023-10-18 2023-10-19 15:00:28.372 2023-10-19 14:00:32 140428 NaN 7865 SP400 caleb_strategy_v3 2023-10-18 2023-10-19 15:00:34.251 2023-10-19 14:00:35 140434 NaN 7866 VIX caleb_strategy_v3 2023-10-18 2023-10-19 15:00:50.682 2023-10-19 14:00:50 140451 NaN 7859 VIX caleb_strategy_v3 2023-10-18 2023-10-19 15:00:01.219 2023-10-19 14:00:15 140401 NaN 7864 NASDAQ_micro caleb_strategy_v3 2023-10-18 2023-10-19 15:00:33.266 2023-10-19 14:00:33 140433 NaN 7867 NASDAQ_micro caleb_strategy_v3 2023-10-18 2023-10-19 15:00:51.392 2023-10-19 14:00:51 140451 NaN 7868 LEANHOG caleb_strategy_v3 2023-10-18 2023-10-19 15:30:01.190 2023-10-19 14:30:01 142201 NaN 7869 SOYOIL caleb_strategy_v3 2023-10-18 2023-10-19 15:30:02.116 2023-10-19 14:30:03 142202 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 7850 SMI caleb_strategy_v3 [-1] 10659 None 10585.5 10584 10587 10587 10582 -73.5 -1.5 -2 -5 NaN -3.5 7851 BUXL caleb_strategy_v3 [-1] 120.4 None 119.51 119.5 119.52 119.52 119.52 -0.89 -0.01 0.02 -0 NaN 0.01 7853 OAT caleb_strategy_v3 [-1] 122.04 None 121.61 121.6 121.62 121.62 121.62 -0.43 -0.01 0.02 -0 NaN 0.01 7852 EUROSTX caleb_strategy_v3 [-1] 4107 None 4100.5 4100 4101 4101 4101 -6.5 -0.5 1 -0 NaN 0.5 7854 EUROSTX caleb_strategy_v3 [-1] 4107 None 4100.5 4100 4101 4101 4101 -6.5 -0.5 1 -0 NaN 0.5 7855 CRUDE_W caleb_strategy_v3 [1] 78.73 None 78.24 78.25 78.23 78.23 78.25 0.49 -0.01 0 -0.02 NaN -0.01 7856 GOLD_micro caleb_strategy_v3 [1] 1962.1 None 1966.35 1966.4 1966.3 1966.3 1966.3 -4.25 -0.05 0.1 2.27374e-13 NaN 0.05 7857 GOLD_micro caleb_strategy_v3 [1] 1962.1 None 1966.25 1966.3 1966.2 1966.2 1966.2 -4.15 -0.05 0.1 0 NaN 0.05 7858 GOLD_micro caleb_strategy_v3 [1] 1962.1 None 1966.2 1966.3 1966.1 1966.1 1966.3 -4.1 -0.1 0 -0.2 NaN -0.1 7860 US30 caleb_strategy_v3 [1] 112.906 None 112.453 112.469 112.438 112.438 112.438 0.453125 -0.015625 0.03125 0 NaN 0.015625 7861 DOW caleb_strategy_v3 [1] 33842 None 33815.5 33816 33815 33815 33814 26.5 -0.5 2 1 NaN 1.5 7862 JPY caleb_strategy_v3 [-1] 0.0067355 None 0.00673825 0.006738 0.0067385 0.0067385 0.006738 2.75e-06 -2.5e-07 -0 -5e-07 NaN -2.5e-07 7863 BITCOIN caleb_strategy_v3 [1] 28365 None 28570 28575 28565 28565 28585 -205 -5 -10 -20 NaN -15 7865 SP400 caleb_strategy_v3 [1] 2474.5 None 2459.7 2460.1 2459.3 2459.3 2460.1 14.8 -0.4 0 -0.8 NaN -0.4 7866 VIX caleb_strategy_v3 [1] 20.55 None 20.3 20.35 20.25 20.25 20.35 0.25 -0.05 0 -0.1 NaN -0.05 7859 VIX caleb_strategy_v3 [1] 20.55 None 20.325 20.35 20.3 20.3 20.3 0.225 -0.025 0.05 0 NaN 0.025 7864 NASDAQ_micro caleb_strategy_v3 [-1] 15035.2 None 15051.5 15051.2 15051.8 15051.8 15050.5 16.25 -0.25 -0.75 -1.25 NaN -1 7867 NASDAQ_micro caleb_strategy_v3 [-1] 15035.2 None 15050.8 15050.5 15051 15051 15054 15.5 -0.25 3.5 3 NaN 3.25 7868 LEANHOG caleb_strategy_v3 [-1] 72.35 None 73.275 73.25 73.3 73.3 73.25 0.925 -0.025 -0 -0.05 NaN -0.025 7869 SOYOIL caleb_strategy_v3 [-1] 53.63 None 53 53 53 53 52.64 -0.63 -0 -0.36 -0.36 NaN -0.36 ============================================================================================================================================================ 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 7850 SMI caleb_strategy_v3 [-1] 1400.82 -524.694 -10.708 -14.2774 -35.6935 NaN -24.9854 7851 BUXL caleb_strategy_v3 [-1] 27.0292 -329.273 -3.6997 7.3994 -0 NaN 3.6997 7853 OAT caleb_strategy_v3 [-1] 11.6862 -367.956 -8.55712 17.1142 -0 NaN 8.55712 7852 EUROSTX caleb_strategy_v3 [-1] 668.02 -97.3025 -7.48481 14.9696 -0 NaN 7.48481 7854 EUROSTX caleb_strategy_v3 [-1] 668.02 -97.3025 -7.48481 14.9696 -0 NaN 7.48481 7855 CRUDE_W caleb_strategy_v3 [1] 25.313 193.576 -3.95054 0 -7.90108 NaN -3.95054 7856 GOLD_micro caleb_strategy_v3 [1] 295.386 -143.879 -1.6927 3.3854 7.69751e-12 NaN 1.6927 7857 GOLD_micro caleb_strategy_v3 [1] 295.386 -140.494 -1.6927 3.3854 0 NaN 1.6927 7858 GOLD_micro caleb_strategy_v3 [1] 295.386 -138.801 -3.3854 0 -6.7708 NaN -3.3854 7860 US30 caleb_strategy_v3 [1] 25.0959 180.558 -6.22612 12.4522 0 NaN 6.22612 7861 DOW caleb_strategy_v3 [1] 4060.23 65.2673 -1.23146 4.92583 2.46292 NaN 3.69437 7862 JPY caleb_strategy_v3 [-1] 0.000520588 52.8249 -4.80226 -0 -9.60452 NaN -4.80226 7863 BITCOIN caleb_strategy_v3 [1] 11839.3 -173.152 -4.22323 -8.44646 -16.8929 NaN -12.6697 7865 SP400 caleb_strategy_v3 [1] 487.639 303.503 -8.2028 0 -16.4056 NaN -8.2028 7866 VIX caleb_strategy_v3 [1] 10.5466 237.044 -47.4088 0 -94.8175 NaN -47.4088 7859 VIX caleb_strategy_v3 [1] 10.5466 213.339 -23.7044 47.4088 0 NaN 23.7044 7864 NASDAQ_micro caleb_strategy_v3 [-1] 2913.08 55.7828 -0.858197 -2.57459 -4.29099 NaN -3.43279 7867 NASDAQ_micro caleb_strategy_v3 [-1] 2913.08 53.2082 -0.858197 12.0148 10.2984 NaN 11.1566 7868 LEANHOG caleb_strategy_v3 [-1] 23.9751 385.816 -10.4275 -0 -20.8549 NaN -10.4275 7869 SOYOIL caleb_strategy_v3 [-1] 16.1839 -389.275 -0 -222.443 -222.443 NaN -222.443 ======================================================================================================================================================================= 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 7850 SMI caleb_strategy_v3 [-1] 11.1245 -817.651 -16.6867 -22.249 -55.6225 NaN -38.9357 7851 BUXL caleb_strategy_v3 [-1] 1052.95 -937.126 -10.5295 21.059 -0 NaN 10.5295 7853 OAT caleb_strategy_v3 [-1] 1052.95 -452.769 -10.5295 21.059 -0 NaN 10.5295 7852 EUROSTX caleb_strategy_v3 [-1] 10.5295 -68.4417 -5.26475 10.5295 -0 NaN 5.26475 7854 EUROSTX caleb_strategy_v3 [-1] 10.5295 -68.4417 -5.26475 10.5295 -0 NaN 5.26475 7855 CRUDE_W caleb_strategy_v3 [1] 1000 490 -10 0 -20 NaN -10 7856 GOLD_micro caleb_strategy_v3 [1] 10 -42.5 -0.5 1 2.27374e-12 NaN 0.5 7857 GOLD_micro caleb_strategy_v3 [1] 10 -41.5 -0.5 1 0 NaN 0.5 7858 GOLD_micro caleb_strategy_v3 [1] 10 -41 -1 0 -2 NaN -1 7860 US30 caleb_strategy_v3 [1] 1000 453.125 -15.625 31.25 0 NaN 15.625 7861 DOW caleb_strategy_v3 [1] 0.5 13.25 -0.25 1 0.5 NaN 0.75 7862 JPY caleb_strategy_v3 [-1] 1.25e+07 34.375 -3.125 -0 -6.25 NaN -3.125 7863 BITCOIN caleb_strategy_v3 [1] 0.1 -20.5 -0.5 -1 -2 NaN -1.5 7865 SP400 caleb_strategy_v3 [1] 100 1480 -40 0 -80 NaN -40 7866 VIX caleb_strategy_v3 [1] 1000 250 -50 0 -100 NaN -50 7859 VIX caleb_strategy_v3 [1] 1000 225 -25 50 0 NaN 25 7864 NASDAQ_micro caleb_strategy_v3 [-1] 2 32.5 -0.5 -1.5 -2.5 NaN -2 7867 NASDAQ_micro caleb_strategy_v3 [-1] 2 31 -0.5 7 6 NaN 6.5 7868 LEANHOG caleb_strategy_v3 [-1] 400 370 -10 -0 -20 NaN -10 7869 SOYOIL caleb_strategy_v3 [-1] 600 -378 -0 -216 -216 NaN -216 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -20.50000 BUXL -937.12550 CRUDE_W 490.00000 DOW 13.25000 EUROSTX -136.88350 GOLD_micro -125.00000 JPY 34.37500 LEANHOG 370.00000 NASDAQ_micro 63.50000 OAT -452.76850 SMI -817.65075 SOYOIL -378.00000 SP400 1480.00000 US30 453.12500 VIX 475.00000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 511.32175 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -0.50000 BUXL -10.52950 CRUDE_W -10.00000 DOW -0.25000 EUROSTX -10.52950 GOLD_micro -2.00000 JPY -3.12500 LEANHOG -10.00000 NASDAQ_micro -1.00000 OAT -10.52950 SMI -16.68675 SOYOIL -0.00000 SP400 -40.00000 US30 -15.62500 VIX -75.00000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -205.77525 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -1.000 BUXL 21.059 CRUDE_W 0.000 DOW 1.000 EUROSTX 21.059 GOLD_micro 2.000 JPY -0.000 LEANHOG -0.000 NASDAQ_micro 5.500 OAT 21.059 SMI -22.249 SOYOIL -216.000 SP400 0.000 US30 31.250 VIX 50.000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -86.322 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -2.0000 BUXL -0.0000 CRUDE_W -20.0000 DOW 0.5000 EUROSTX -0.0000 GOLD_micro -2.0000 JPY -6.2500 LEANHOG -20.0000 NASDAQ_micro 3.5000 OAT -0.0000 SMI -55.6225 SOYOIL -216.0000 SP400 -80.0000 US30 0.0000 VIX -100.0000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -497.8725 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0 BUXL 0 CRUDE_W 0 DOW 0 EUROSTX 0 GOLD_micro 0 JPY 0 LEANHOG 0 NASDAQ_micro 0 OAT 0 SMI 0 SOYOIL 0 SP400 0 US30 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 BITCOIN -1.500000e+00 BUXL 1.052950e+01 CRUDE_W -1.000000e+01 DOW 7.500000e-01 EUROSTX 1.052950e+01 GOLD_micro -2.273737e-12 JPY -3.125000e+00 LEANHOG -1.000000e+01 NASDAQ_micro 4.500000e+00 OAT 1.052950e+01 SMI -3.893575e+01 SOYOIL -2.160000e+02 SP400 -4.000000e+01 US30 1.562500e+01 VIX -2.500000e+01 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -292.09725 ******************************************************************************** END OF REPORT 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