******************************************************************************** Trades report produced on 27/10/2023 21:39 from 26/10/2023 21:39 to 27/10/2023 21:39 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8086 BITCOIN caleb_strategy_v3 [20231100] 2023-10-27 14:00:07 [1] 34515.000 8088 BITCOIN caleb_strategy_v3 [20231100] 2023-10-27 14:01:02 [1] 34525.000 8090 BITCOIN caleb_strategy_v3 [20231100] 2023-10-27 14:02:02 [1] 34465.000 8092 BITCOIN caleb_strategy_v3 [20231100] 2023-10-27 14:03:02 [1] 34435.000 8093 BITCOIN caleb_strategy_v3 [20231100] 2023-10-27 14:04:01 [1] 34445.000 8094 BITCOIN caleb_strategy_v3 [20231100] 2023-10-27 14:05:01 [1] 34430.000 8095 BITCOIN caleb_strategy_v3 [20231100] 2023-10-27 14:06:02 [1] 34450.000 8083 COCOA caleb_strategy_v3 [20240300] 2023-10-27 13:01:12 [1] 3871.000 8097 LIVECOW caleb_strategy_v3 [20240200] 2023-10-27 14:30:05 [-1] 180.475 8085 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-10-27 14:00:05 [1] 14316.250 8089 RUSSELL caleb_strategy_v3 [20231200] 2023-10-27 14:02:01 [-1] 1647.500 8091 RUSSELL caleb_strategy_v3 [20231200] 2023-10-27 14:03:01 [-1] 1646.400 8084 RUSSELL caleb_strategy_v3 [20231200] 2023-10-27 14:00:04 [-1] 1650.600 8087 RUSSELL caleb_strategy_v3 [20231200] 2023-10-27 14:01:01 [-1] 1649.200 8096 SOYOIL caleb_strategy_v3 [20240300] 2023-10-27 14:30:04 [-1] 50.870 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8083 COCOA caleb_strategy_v3 2023-10-26 2023-10-27 14:01:00.374 2023-10-27 13:01:12 136860 NaN 8085 NASDAQ_micro caleb_strategy_v3 2023-10-26 2023-10-27 15:00:05.351 2023-10-27 14:00:05 140405 NaN 8089 RUSSELL caleb_strategy_v3 2023-10-26 2023-10-27 15:02:01.625 2023-10-27 14:02:01 140522 NaN 8091 RUSSELL caleb_strategy_v3 2023-10-26 2023-10-27 15:03:01.604 2023-10-27 14:03:01 140582 NaN 8084 RUSSELL caleb_strategy_v3 2023-10-26 2023-10-27 15:00:02.116 2023-10-27 14:00:04 140402 NaN 8087 RUSSELL caleb_strategy_v3 2023-10-26 2023-10-27 15:01:01.567 2023-10-27 14:01:01 140462 NaN 8086 BITCOIN caleb_strategy_v3 2023-10-26 2023-10-27 15:00:06.708 2023-10-27 14:00:07 140407 NaN 8088 BITCOIN caleb_strategy_v3 2023-10-26 2023-10-27 15:01:02.568 2023-10-27 14:01:02 140463 NaN 8090 BITCOIN caleb_strategy_v3 2023-10-26 2023-10-27 15:02:02.390 2023-10-27 14:02:02 140522 NaN 8092 BITCOIN caleb_strategy_v3 2023-10-26 2023-10-27 15:03:02.400 2023-10-27 14:03:02 140582 NaN 8093 BITCOIN caleb_strategy_v3 2023-10-26 2023-10-27 15:04:01.627 2023-10-27 14:04:01 140642 NaN 8094 BITCOIN caleb_strategy_v3 2023-10-26 2023-10-27 15:05:01.602 2023-10-27 14:05:01 140702 NaN 8095 BITCOIN caleb_strategy_v3 2023-10-26 2023-10-27 15:06:01.671 2023-10-27 14:06:02 140762 NaN 8096 SOYOIL caleb_strategy_v3 2023-10-26 2023-10-27 15:30:02.822 2023-10-27 14:30:04 142203 NaN 8097 LIVECOW caleb_strategy_v3 2023-10-26 2023-10-27 15:30:04.733 2023-10-27 14:30:05 142205 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 8083 COCOA caleb_strategy_v3 [1] 3862 None 3870 3871 3869 3869 3871 -8 -1 0 -2 NaN -1 8085 NASDAQ_micro caleb_strategy_v3 [1] 14286.8 None 14315.8 14317 14314.5 14314.5 14316.2 -29 -1.25 0.75 -1.75 NaN -0.5 8089 RUSSELL caleb_strategy_v3 [-1] 1673 None 1649.35 1649.3 1649.4 1649.4 1647.5 -23.65 -0.05 -1.8 -1.9 NaN -1.85 8091 RUSSELL caleb_strategy_v3 [-1] 1673 None 1647.55 1647.5 1647.6 1647.6 1646.4 -25.45 -0.05 -1.1 -1.2 NaN -1.15 8084 RUSSELL caleb_strategy_v3 [-1] 1673 None 1651.05 1650.4 1651.7 1651.7 1650.6 -21.95 -0.65 0.2 -1.1 NaN -0.45 8087 RUSSELL caleb_strategy_v3 [-1] 1673 None 1651.15 1650.6 1651.7 1651.7 1649.2 -21.85 -0.55 -1.4 -2.5 NaN -1.95 8086 BITCOIN caleb_strategy_v3 [1] 34370 None 34507.5 34515 34500 34500 34515 -137.5 -7.5 0 -15 NaN -7.5 8088 BITCOIN caleb_strategy_v3 [1] 34370 None 34507.5 34515 34500 34500 34525 -137.5 -7.5 -10 -25 NaN -17.5 8090 BITCOIN caleb_strategy_v3 [1] 34370 None 34520 34525 34515 34515 34465 -150 -5 60 50 NaN 55 8092 BITCOIN caleb_strategy_v3 [1] 34370 None 34457.5 34465 34450 34450 34435 -87.5 -7.5 30 15 NaN 22.5 8093 BITCOIN caleb_strategy_v3 [1] 34370 None 34427.5 34435 34420 34420 34445 -57.5 -7.5 -10 -25 NaN -17.5 8094 BITCOIN caleb_strategy_v3 [1] 34370 None 34440 34445 34435 34435 34430 -70 -5 15 5 NaN 10 8095 BITCOIN caleb_strategy_v3 [1] 34370 None 34445 34450 34440 34440 34450 -75 -5 0 -10 NaN -5 8096 SOYOIL caleb_strategy_v3 [-1] 50.6 None 51 51 51 51 50.87 0.4 -0 -0.13 -0.13 NaN -0.13 8097 LIVECOW caleb_strategy_v3 [-1] 180.2 None 180.5 180.475 180.525 180.525 180.475 0.3 -0.025 -0 -0.05 NaN -0.025 ============================================================================================================================================================ 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 8083 COCOA caleb_strategy_v3 [1] 690.51 -115.856 -14.4821 0 -28.9641 NaN -14.4821 8085 NASDAQ_micro caleb_strategy_v3 [1] 3013.46 -96.235 -4.14806 2.48884 -5.80728 NaN -1.65922 8089 RUSSELL caleb_strategy_v3 [-1] 358.076 -660.473 -1.39635 -50.2686 -53.0613 NaN -51.6649 8091 RUSSELL caleb_strategy_v3 [-1] 358.076 -710.742 -1.39635 -30.7197 -33.5124 NaN -32.116 8084 RUSSELL caleb_strategy_v3 [-1] 358.076 -612.998 -18.1525 5.5854 -30.7197 NaN -12.5671 8087 RUSSELL caleb_strategy_v3 [-1] 358.076 -610.205 -15.3598 -39.0978 -69.8175 NaN -54.4576 8086 BITCOIN caleb_strategy_v3 [1] 14356.1 -95.7781 -5.22426 0 -10.4485 NaN -5.22426 8088 BITCOIN caleb_strategy_v3 [1] 14356.1 -95.7781 -5.22426 -6.96568 -17.4142 NaN -12.1899 8090 BITCOIN caleb_strategy_v3 [1] 14356.1 -104.485 -3.48284 41.7941 34.8284 NaN 38.3112 8092 BITCOIN caleb_strategy_v3 [1] 14356.1 -60.9497 -5.22426 20.897 10.4485 NaN 15.6728 8093 BITCOIN caleb_strategy_v3 [1] 14356.1 -40.0527 -5.22426 -6.96568 -17.4142 NaN -12.1899 8094 BITCOIN caleb_strategy_v3 [1] 14356.1 -48.7598 -3.48284 10.4485 3.48284 NaN 6.96568 8095 BITCOIN caleb_strategy_v3 [1] 14356.1 -52.2426 -3.48284 0 -6.96568 NaN -3.48284 8096 SOYOIL caleb_strategy_v3 [-1] 15.9811 250.296 -0 -81.3462 -81.3462 NaN -81.3462 8097 LIVECOW caleb_strategy_v3 [-1] 27.182 110.367 -9.19726 -0 -18.3945 NaN -9.19726 ======================================================================================================================================================================= 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 8083 COCOA caleb_strategy_v3 [1] 10 -80 -10 0 -20 NaN -10 8085 NASDAQ_micro caleb_strategy_v3 [1] 2 -58 -2.5 1.5 -3.5 NaN -1 8089 RUSSELL caleb_strategy_v3 [-1] 5 -118.25 -0.25 -9 -9.5 NaN -9.25 8091 RUSSELL caleb_strategy_v3 [-1] 5 -127.25 -0.25 -5.5 -6 NaN -5.75 8084 RUSSELL caleb_strategy_v3 [-1] 5 -109.75 -3.25 1 -5.5 NaN -2.25 8087 RUSSELL caleb_strategy_v3 [-1] 5 -109.25 -2.75 -7 -12.5 NaN -9.75 8086 BITCOIN caleb_strategy_v3 [1] 0.1 -13.75 -0.75 0 -1.5 NaN -0.75 8088 BITCOIN caleb_strategy_v3 [1] 0.1 -13.75 -0.75 -1 -2.5 NaN -1.75 8090 BITCOIN caleb_strategy_v3 [1] 0.1 -15 -0.5 6 5 NaN 5.5 8092 BITCOIN caleb_strategy_v3 [1] 0.1 -8.75 -0.75 3 1.5 NaN 2.25 8093 BITCOIN caleb_strategy_v3 [1] 0.1 -5.75 -0.75 -1 -2.5 NaN -1.75 8094 BITCOIN caleb_strategy_v3 [1] 0.1 -7 -0.5 1.5 0.5 NaN 1 8095 BITCOIN caleb_strategy_v3 [1] 0.1 -7.5 -0.5 0 -1 NaN -0.5 8096 SOYOIL caleb_strategy_v3 [-1] 600 240 -0 -78 -78 NaN -78 8097 LIVECOW caleb_strategy_v3 [-1] 400 120 -10 -0 -20 NaN -10 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -71.5 COCOA -80.0 LIVECOW 120.0 NASDAQ_micro -58.0 RUSSELL -464.5 SOYOIL 240.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -314.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -4.5 COCOA -10.0 LIVECOW -10.0 NASDAQ_micro -2.5 RUSSELL -6.5 SOYOIL -0.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -33.5 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 8.5 COCOA 0.0 LIVECOW -0.0 NASDAQ_micro 1.5 RUSSELL -20.5 SOYOIL -78.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -88.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -0.5 COCOA -20.0 LIVECOW -20.0 NASDAQ_micro -3.5 RUSSELL -33.5 SOYOIL -78.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -155.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0 COCOA 0 LIVECOW 0 NASDAQ_micro 0 RUSSELL 0 SOYOIL 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 4.0 COCOA -10.0 LIVECOW -10.0 NASDAQ_micro -1.0 RUSSELL -27.0 SOYOIL -78.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -122.0 ******************************************************************************** END OF REPORT ********************************************************************************