******************************************************************************** Trades report produced on 07/11/2023 21:39 from 06/11/2023 21:39 to 07/11/2023 21:39 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8226 AUD caleb_strategy_v3 [20231200] 2023-11-07 15:01:07 [1] 0.64220 8227 BITCOIN caleb_strategy_v3 [20231100] 2023-11-07 15:01:08 [-1] 35080.00000 8229 CAD caleb_strategy_v3 [20231200] 2023-11-07 15:01:09 [1] 0.72720 8224 COCOA caleb_strategy_v3 [20240300] 2023-11-07 14:00:57 [1] 3943.00000 8225 COPPER caleb_strategy_v3 [20231200] 2023-11-07 14:01:00 [1] 3.67050 8223 COTTON2 caleb_strategy_v3 [20240300] 2023-11-07 14:00:56 [-1] 80.22000 8230 EUR caleb_strategy_v3 [20231200] 2023-11-07 15:01:16 [1] 1.06930 8220 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-11-07 09:05:27 [1] 97.32500 8221 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-11-07 09:10:28 [1] 97.33000 8222 GOLD_micro caleb_strategy_v3 [20231200] 2023-11-07 14:00:55 [-1] 1972.90000 8241 LEANHOG caleb_strategy_v3 [20240200] 2023-11-07 15:30:26 [1] 77.27500 8235 MXP caleb_strategy_v3 [20231200] 2023-11-07 15:02:10 [1] 0.05674 8237 MXP caleb_strategy_v3 [20231200] 2023-11-07 15:02:22 [1] 0.05674 8238 MXP caleb_strategy_v3 [20231200] 2023-11-07 15:03:13 [1] 0.05673 8239 MXP caleb_strategy_v3 [20231200] 2023-11-07 15:04:13 [1] 0.05671 8228 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-11-07 15:01:09 [-1] 15315.50000 8233 NZD caleb_strategy_v3 [20231200] 2023-11-07 15:01:25 [1] 0.59240 8236 RUSSELL caleb_strategy_v3 [20231200] 2023-11-07 15:02:13 [1] 1743.30000 8231 RUSSELL caleb_strategy_v3 [20231200] 2023-11-07 15:01:17 [1] 1741.70000 8240 SOYMEAL caleb_strategy_v3 [20240300] 2023-11-07 15:30:25 [-1] 435.90000 8232 US30 caleb_strategy_v3 [20231200] 2023-11-07 15:01:24 [1] 117.46875 8234 VIX caleb_strategy_v3 [20240100] 2023-11-07 15:02:02 [-1] 17.60000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8220 EURIBOR-ICE caleb_strategy_v3 2023-11-06 2023-11-07 09:00:27.316 2023-11-07 09:05:27 118827 299.684 8221 EURIBOR-ICE caleb_strategy_v3 2023-11-06 2023-11-07 09:05:29.863 2023-11-07 09:10:28 119130 298.137 8222 GOLD_micro caleb_strategy_v3 2023-11-06 2023-11-07 14:00:54.090 2023-11-07 14:00:55 136854 0.91 8223 COTTON2 caleb_strategy_v3 2023-11-06 2023-11-07 14:00:56.118 2023-11-07 14:00:56 136856 NaN 8224 COCOA caleb_strategy_v3 2023-11-06 2023-11-07 14:00:57.016 2023-11-07 14:00:57 136857 NaN 8225 COPPER caleb_strategy_v3 2023-11-06 2023-11-07 14:00:57.950 2023-11-07 14:01:00 136858 2.05 8226 AUD caleb_strategy_v3 2023-11-06 2023-11-07 15:00:57.055 2023-11-07 15:01:07 140457 9.945 8227 BITCOIN caleb_strategy_v3 2023-11-06 2023-11-07 15:01:07.547 2023-11-07 15:01:08 140468 0.453 8228 NASDAQ_micro caleb_strategy_v3 2023-11-06 2023-11-07 15:01:08.950 2023-11-07 15:01:09 140469 0.05 8229 CAD caleb_strategy_v3 2023-11-06 2023-11-07 15:01:09.681 2023-11-07 15:01:09 140470 NaN 8230 EUR caleb_strategy_v3 2023-11-06 2023-11-07 15:01:10.365 2023-11-07 15:01:16 140470 5.635 8232 US30 caleb_strategy_v3 2023-11-06 2023-11-07 15:01:17.716 2023-11-07 15:01:24 140478 6.284 8233 NZD caleb_strategy_v3 2023-11-06 2023-11-07 15:01:25.307 2023-11-07 15:01:25 140485 NaN 8234 VIX caleb_strategy_v3 2023-11-06 2023-11-07 15:01:26.047 2023-11-07 15:02:02 140486 35.953 8236 RUSSELL caleb_strategy_v3 2023-11-06 2023-11-07 15:02:13.285 2023-11-07 15:02:13 140533 NaN 8231 RUSSELL caleb_strategy_v3 2023-11-06 2023-11-07 15:01:16.983 2023-11-07 15:01:17 140477 0.017 8235 MXP caleb_strategy_v3 2023-11-06 2023-11-07 15:02:02.899 2023-11-07 15:02:10 140523 7.101 8237 MXP caleb_strategy_v3 2023-11-06 2023-11-07 15:02:13.968 2023-11-07 15:02:22 140534 8.032 8238 MXP caleb_strategy_v3 2023-11-06 2023-11-07 15:03:13.307 2023-11-07 15:03:13 140593 NaN 8239 MXP caleb_strategy_v3 2023-11-06 2023-11-07 15:04:13.480 2023-11-07 15:04:13 140653 NaN 8240 SOYMEAL caleb_strategy_v3 2023-11-06 2023-11-07 15:30:20.298 2023-11-07 15:30:25 142220 4.702 8241 LEANHOG caleb_strategy_v3 2023-11-06 2023-11-07 15:30:25.871 2023-11-07 15:30:26 142226 0.129 ================================================================================================================================================================================================================================ 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 8220 EURIBOR-ICE caleb_strategy_v3 [1] 97.275 None 97.3225 97.325 97.32 97.32 97.325 -0.0475 -0.0025 0 -0.005 NaN -0.0025 8221 EURIBOR-ICE caleb_strategy_v3 [1] 97.275 None 97.3225 97.325 97.32 97.32 97.33 -0.0475 -0.0025 -0.005 -0.01 NaN -0.0075 8222 GOLD_micro caleb_strategy_v3 [-1] 1986.7 None 1973 1972.9 1973.1 1973.1 1972.9 -13.7 -0.1 -0 -0.2 NaN -0.1 8223 COTTON2 caleb_strategy_v3 [-1] 80.82 None 80.24 80.22 80.26 80.26 80.22 -0.58 -0.02 -0 -0.04 NaN -0.02 8224 COCOA caleb_strategy_v3 [1] 3960 None 3943 3944 3942 3942 3943 17 -1 1 -1 NaN 0 8225 COPPER caleb_strategy_v3 [1] 3.712 None 3.67075 3.671 3.6705 3.6705 3.6705 0.04125 -0.00025 0.0005 0 NaN 0.00025 8226 AUD caleb_strategy_v3 [1] 0.6499 None 0.642225 0.64225 0.6422 0.6422 0.6422 0.007675 -2.5e-05 5e-05 0 NaN 2.5e-05 8227 BITCOIN caleb_strategy_v3 [-1] 35325 None 35085 35080 35090 35090 35080 -240 -5 -0 -10 NaN -5 8228 NASDAQ_micro caleb_strategy_v3 [-1] 15204.5 None 15316.1 15316 15316.2 15316.2 15315.5 111.625 -0.125 -0.5 -0.75 NaN -0.625 8229 CAD caleb_strategy_v3 [1] 0.7308 None 0.727225 0.72725 0.7272 0.7272 0.7272 0.003575 -2.5e-05 5e-05 1.11022e-16 NaN 2.5e-05 8230 EUR caleb_strategy_v3 [1] 1.07405 None 1.06933 1.06935 1.0693 1.0693 1.0693 0.004725 -2.5e-05 5e-05 2.22045e-16 NaN 2.5e-05 8232 US30 caleb_strategy_v3 [1] 115.938 None 117.453 117.469 117.438 117.438 117.469 -1.51562 -0.015625 0 -0.03125 NaN -0.015625 8233 NZD caleb_strategy_v3 [1] 0.59655 None 0.592375 0.5924 0.59235 0.59235 0.5924 0.004175 -2.5e-05 0 -5e-05 NaN -2.5e-05 8234 VIX caleb_strategy_v3 [-1] 17.75 None 17.625 17.6 17.65 17.65 17.6 -0.125 -0.025 -0 -0.05 NaN -0.025 8236 RUSSELL caleb_strategy_v3 [1] 1745.1 None 1741.6 1741.7 1741.5 1741.5 1743.3 3.5 -0.1 -1.6 -1.8 NaN -1.7 8231 RUSSELL caleb_strategy_v3 [1] 1745.1 None 1741.4 1741.5 1741.3 1741.3 1741.7 3.7 -0.1 -0.2 -0.4 NaN -0.3 8235 MXP caleb_strategy_v3 [1] 0.05664 None 0.056745 0.05675 0.05674 0.05674 0.05674 -0.000105 -5e-06 1e-05 6.93889e-18 NaN 5e-06 8237 MXP caleb_strategy_v3 [1] 0.05664 None 0.056745 0.05675 0.05674 0.05674 0.05674 -0.000105 -5e-06 1e-05 6.93889e-18 NaN 5e-06 8238 MXP caleb_strategy_v3 [1] 0.05664 None 0.056745 0.05675 0.05674 0.05674 0.05673 -0.000105 -5e-06 2e-05 1e-05 NaN 1.5e-05 8239 MXP caleb_strategy_v3 [1] 0.05664 None 0.056725 0.05673 0.05672 0.05672 0.05671 -8.5e-05 -5e-06 2e-05 1e-05 NaN 1.5e-05 8240 SOYMEAL caleb_strategy_v3 [-1] 424.2 None 435.8 435.7 435.9 435.9 435.9 11.6 -0.1 0.2 -5.68434e-14 NaN 0.1 8241 LEANHOG caleb_strategy_v3 [1] 75.85 None 77.2625 77.275 77.25 77.25 77.275 -1.4125 -0.0125 0 -0.025 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 8220 EURIBOR-ICE caleb_strategy_v3 [1] 0.997948 -475.977 -25.0514 0 -50.1028 NaN -25.0514 8221 EURIBOR-ICE caleb_strategy_v3 [1] 0.997948 -475.977 -25.0514 -50.1028 -100.206 NaN -75.1542 8222 GOLD_micro caleb_strategy_v3 [-1] 253.925 -539.529 -3.93817 -0 -7.87634 NaN -3.93817 8223 COTTON2 caleb_strategy_v3 [-1] 21.3192 -272.055 -9.3812 -0 -18.7624 NaN -9.3812 8224 COCOA caleb_strategy_v3 [1] 655.79 259.229 -15.2488 15.2488 -15.2488 NaN 0 8225 COPPER caleb_strategy_v3 [1] 0.646315 638.234 -3.86808 7.73616 0 NaN 3.86808 8226 AUD caleb_strategy_v3 [1] 0.0722855 1061.76 -3.45851 6.91701 0 NaN 3.45851 8227 BITCOIN caleb_strategy_v3 [-1] 13200.9 -181.806 -3.78762 -0 -7.57524 NaN -3.78762 8228 NASDAQ_micro caleb_strategy_v3 [-1] 3069.15 363.7 -0.407279 -1.62911 -2.44367 NaN -2.03639 8229 CAD caleb_strategy_v3 [1] 0.0491784 726.946 -5.08354 10.1671 2.25754e-11 NaN 5.08354 8230 EUR caleb_strategy_v3 [1] 0.0813358 580.925 -3.07368 6.14735 2.72997e-11 NaN 3.07368 8232 US30 caleb_strategy_v3 [1] 26.187 -578.769 -5.96669 0 -11.9334 NaN -5.96669 8233 NZD caleb_strategy_v3 [1] 0.0659892 632.679 -3.7885 0 -7.577 NaN -3.7885 8234 VIX caleb_strategy_v3 [-1] 10.4283 -119.867 -23.9733 -0 -47.9466 NaN -23.9733 8236 RUSSELL caleb_strategy_v3 [1] 397.047 88.1508 -2.51859 -40.2975 -45.3347 NaN -42.8161 8231 RUSSELL caleb_strategy_v3 [1] 397.047 93.188 -2.51859 -5.03719 -10.0744 NaN -7.55578 8235 MXP caleb_strategy_v3 [1] 0.0069136 -151.875 -7.23213 14.4643 1.00366e-11 NaN 7.23213 8237 MXP caleb_strategy_v3 [1] 0.0069136 -151.875 -7.23213 14.4643 1.00366e-11 NaN 7.23213 8238 MXP caleb_strategy_v3 [1] 0.0069136 -151.875 -7.23213 28.9285 14.4643 NaN 21.6964 8239 MXP caleb_strategy_v3 [1] 0.0069136 -122.946 -7.23213 28.9285 14.4643 NaN 21.6964 8240 SOYMEAL caleb_strategy_v3 [-1] 103.799 1117.54 -9.63397 19.2679 -5.47628e-12 NaN 9.63397 8241 LEANHOG caleb_strategy_v3 [1] 22.4263 -629.841 -5.57381 0 -11.1476 NaN -5.57381 ======================================================================================================================================================================= 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 8220 EURIBOR-ICE caleb_strategy_v3 [1] 2674.62 -127.045 -6.68656 0 -13.3731 NaN -6.68656 8221 EURIBOR-ICE caleb_strategy_v3 [1] 2674.62 -127.045 -6.68656 -13.3731 -26.7462 NaN -20.0597 8222 GOLD_micro caleb_strategy_v3 [-1] 10 -137 -1 -0 -2 NaN -1 8223 COTTON2 caleb_strategy_v3 [-1] 500 -290 -10 -0 -20 NaN -10 8224 COCOA caleb_strategy_v3 [1] 10 170 -10 10 -10 NaN 0 8225 COPPER caleb_strategy_v3 [1] 25000 1031.25 -6.25 12.5 0 NaN 6.25 8226 AUD caleb_strategy_v3 [1] 100000 767.5 -2.5 5 0 NaN 2.5 8227 BITCOIN caleb_strategy_v3 [-1] 0.1 -24 -0.5 -0 -1 NaN -0.5 8228 NASDAQ_micro caleb_strategy_v3 [-1] 2 223.25 -0.25 -1 -1.5 NaN -1.25 8229 CAD caleb_strategy_v3 [1] 100000 357.5 -2.5 5 1.11022e-11 NaN 2.5 8230 EUR caleb_strategy_v3 [1] 125000 590.625 -3.125 6.25 2.77556e-11 NaN 3.125 8232 US30 caleb_strategy_v3 [1] 1000 -1515.62 -15.625 0 -31.25 NaN -15.625 8233 NZD caleb_strategy_v3 [1] 100000 417.5 -2.5 0 -5 NaN -2.5 8234 VIX caleb_strategy_v3 [-1] 1000 -125 -25 -0 -50 NaN -25 8236 RUSSELL caleb_strategy_v3 [1] 5 17.5 -0.5 -8 -9 NaN -8.5 8231 RUSSELL caleb_strategy_v3 [1] 5 18.5 -0.5 -1 -2 NaN -1.5 8235 MXP caleb_strategy_v3 [1] 500000 -52.5 -2.5 5 3.46945e-12 NaN 2.5 8237 MXP caleb_strategy_v3 [1] 500000 -52.5 -2.5 5 3.46945e-12 NaN 2.5 8238 MXP caleb_strategy_v3 [1] 500000 -52.5 -2.5 10 5 NaN 7.5 8239 MXP caleb_strategy_v3 [1] 500000 -42.5 -2.5 10 5 NaN 7.5 8240 SOYMEAL caleb_strategy_v3 [-1] 100 1160 -10 20 -5.68434e-12 NaN 10 8241 LEANHOG caleb_strategy_v3 [1] 400 -565 -5 0 -10 NaN -5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD 767.500000 BITCOIN -24.000000 CAD 357.500000 COCOA 170.000000 COPPER 1031.250000 COTTON2 -290.000000 EUR 590.625000 EURIBOR-ICE -254.089375 GOLD_micro -137.000000 LEANHOG -565.000000 MXP -200.000000 NASDAQ_micro 223.250000 NZD 417.500000 RUSSELL 36.000000 SOYMEAL 1160.000000 US30 -1515.625000 VIX -125.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1642.910625 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -2.500000 BITCOIN -0.500000 CAD -2.500000 COCOA -10.000000 COPPER -6.250000 COTTON2 -10.000000 EUR -3.125000 EURIBOR-ICE -13.373125 GOLD_micro -1.000000 LEANHOG -5.000000 MXP -10.000000 NASDAQ_micro -0.250000 NZD -2.500000 RUSSELL -1.000000 SOYMEAL -10.000000 US30 -15.625000 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -118.623125 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 5.000000 BITCOIN -0.000000 CAD 5.000000 COCOA 10.000000 COPPER 12.500000 COTTON2 -0.000000 EUR 6.250000 EURIBOR-ICE -13.373125 GOLD_micro -0.000000 LEANHOG 0.000000 MXP 30.000000 NASDAQ_micro -1.000000 NZD 0.000000 RUSSELL -9.000000 SOYMEAL 20.000000 US30 0.000000 VIX -0.000000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 65.376875 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0.000000e+00 BITCOIN -1.000000e+00 CAD 1.110223e-11 COCOA -1.000000e+01 COPPER 0.000000e+00 COTTON2 -2.000000e+01 EUR 2.775558e-11 EURIBOR-ICE -4.011937e+01 GOLD_micro -2.000000e+00 LEANHOG -1.000000e+01 MXP 1.000000e+01 NASDAQ_micro -1.500000e+00 NZD -5.000000e+00 RUSSELL -1.100000e+01 SOYMEAL -5.684342e-12 US30 -3.125000e+01 VIX -5.000000e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -171.869375 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 BITCOIN 0 CAD 0 COCOA 0 COPPER 0 COTTON2 0 EUR 0 EURIBOR-ICE 0 GOLD_micro 0 LEANHOG 0 MXP 0 NASDAQ_micro 0 NZD 0 RUSSELL 0 SOYMEAL 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 AUD 2.50000 BITCOIN -0.50000 CAD 2.50000 COCOA 0.00000 COPPER 6.25000 COTTON2 -10.00000 EUR 3.12500 EURIBOR-ICE -26.74625 GOLD_micro -1.00000 LEANHOG -5.00000 MXP 20.00000 NASDAQ_micro -1.25000 NZD -2.50000 RUSSELL -10.00000 SOYMEAL 10.00000 US30 -15.62500 VIX -25.00000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -53.24625 ******************************************************************************** END OF REPORT ********************************************************************************