******************************************************************************** Trades report produced on 06/02/2024 21:37 from 05/02/2024 21:37 to 06/02/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10135 DOW caleb_strategy_v3 [20240300] 2024-02-06 15:02:41 [-1] 38549.00000 10131 DOW caleb_strategy_v3 [20240300] 2024-02-06 15:01:41 [-1] 38537.00000 10138 DOW caleb_strategy_v3 [20240300] 2024-02-06 15:03:41 [-1] 38540.00000 10126 DOW caleb_strategy_v3 [20240300] 2024-02-06 15:00:42 [-1] 38539.00000 10120 GAS_US_mini caleb_strategy_v3 [20240400] 2024-02-06 14:02:46 [-1] 2.02500 10116 GAS_US_mini caleb_strategy_v3 [20240400] 2024-02-06 14:01:02 [-1] 2.03500 10118 GAS_US_mini caleb_strategy_v3 [20240400] 2024-02-06 14:01:40 [-1] 2.03500 10119 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-06 14:02:39 [-1] 2045.20000 10121 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-06 14:03:39 [-1] 2045.50000 10122 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-06 14:04:39 [-1] 2046.00000 10123 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-06 14:05:39 [-1] 2046.20000 10124 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-06 14:06:39 [-1] 2046.00000 10115 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-06 14:00:40 [-1] 2044.90000 10117 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-06 14:01:39 [-1] 2045.90000 10128 MXP caleb_strategy_v3 [20240300] 2024-02-06 15:00:49 [1] 0.05829 10133 MXP caleb_strategy_v3 [20240300] 2024-02-06 15:02:16 [1] 0.05830 10127 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-06 15:00:42 [-1] 17646.75000 10136 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-06 15:02:42 [-1] 17644.25000 10132 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-06 15:01:42 [-1] 17641.00000 10137 RUSSELL caleb_strategy_v3 [20240300] 2024-02-06 15:03:41 [1] 1950.80000 10130 RUSSELL caleb_strategy_v3 [20240300] 2024-02-06 15:01:41 [1] 1951.60000 10125 RUSSELL caleb_strategy_v3 [20240300] 2024-02-06 15:00:41 [1] 1952.80000 10134 RUSSELL caleb_strategy_v3 [20240300] 2024-02-06 15:02:41 [1] 1953.30000 10129 SP500_micro caleb_strategy_v3 [20240300] 2024-02-06 15:00:50 [-1] 4962.50000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10120 GAS_US_mini caleb_strategy_v3 2024-02-05 2024-02-06 14:02:39.763 2024-02-06 14:02:46 136959.763 6.237 10116 GAS_US_mini caleb_strategy_v3 2024-02-05 2024-02-06 14:00:41.210 2024-02-06 14:01:02 136841.21 20.79 10118 GAS_US_mini caleb_strategy_v3 2024-02-05 2024-02-06 14:01:39.657 2024-02-06 14:01:40 136899.657 0.343 10115 GOLD_micro caleb_strategy_v3 2024-02-05 2024-02-06 14:00:39.350 2024-02-06 14:00:40 136839.35 0.65 10117 GOLD_micro caleb_strategy_v3 2024-02-05 2024-02-06 14:01:39.224 2024-02-06 14:01:39 136899.224 NaN 10119 GOLD_micro caleb_strategy_v3 2024-02-05 2024-02-06 14:02:39.075 2024-02-06 14:02:39 136959.075 NaN 10121 GOLD_micro caleb_strategy_v3 2024-02-05 2024-02-06 14:03:39.256 2024-02-06 14:03:39 137019.256 NaN 10122 GOLD_micro caleb_strategy_v3 2024-02-05 2024-02-06 14:04:39.263 2024-02-06 14:04:39 137079.263 NaN 10123 GOLD_micro caleb_strategy_v3 2024-02-05 2024-02-06 14:05:39.275 2024-02-06 14:05:39 137139.275 NaN 10124 GOLD_micro caleb_strategy_v3 2024-02-05 2024-02-06 14:06:39.313 2024-02-06 14:06:39 137199.313 NaN 10129 SP500_micro caleb_strategy_v3 2024-02-05 2024-02-06 15:00:49.935 2024-02-06 15:00:50 140449.935 0.065 10128 MXP caleb_strategy_v3 2024-02-05 2024-02-06 15:00:43.663 2024-02-06 15:00:49 140443.663 5.337 10133 MXP caleb_strategy_v3 2024-02-05 2024-02-06 15:01:43.026 2024-02-06 15:02:16 140503.026 32.974 10136 NASDAQ_micro caleb_strategy_v3 2024-02-05 2024-02-06 15:02:42.380 2024-02-06 15:02:42 140562.38 NaN 10132 NASDAQ_micro caleb_strategy_v3 2024-02-05 2024-02-06 15:01:42.362 2024-02-06 15:01:42 140502.362 NaN 10127 NASDAQ_micro caleb_strategy_v3 2024-02-05 2024-02-06 15:00:42.883 2024-02-06 15:00:42 140442.883 NaN 10137 RUSSELL caleb_strategy_v3 2024-02-05 2024-02-06 15:03:41.251 2024-02-06 15:03:41 140621.251 NaN 10130 RUSSELL caleb_strategy_v3 2024-02-05 2024-02-06 15:01:41.091 2024-02-06 15:01:41 140501.091 NaN 10125 RUSSELL caleb_strategy_v3 2024-02-05 2024-02-06 15:00:41.362 2024-02-06 15:00:41 140441.362 NaN 10134 RUSSELL caleb_strategy_v3 2024-02-05 2024-02-06 15:02:41.099 2024-02-06 15:02:41 140561.099 NaN 10138 DOW caleb_strategy_v3 2024-02-05 2024-02-06 15:03:41.775 2024-02-06 15:03:41 140621.775 NaN 10131 DOW caleb_strategy_v3 2024-02-05 2024-02-06 15:01:41.689 2024-02-06 15:01:41 140501.689 NaN 10126 DOW caleb_strategy_v3 2024-02-05 2024-02-06 15:00:42.098 2024-02-06 15:00:42 140442.098 NaN 10135 DOW caleb_strategy_v3 2024-02-05 2024-02-06 15:02:41.753 2024-02-06 15:02:41 140561.753 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 10120 GAS_US_mini caleb_strategy_v3 [-1] 2.075 None 2.0325 2.03 2.035 2.035 2.025 -0.0425 -0.0025 -0.005 -0.01 NaN -0.0075 10116 GAS_US_mini caleb_strategy_v3 [-1] 2.075 None 2.0325 2.03 2.035 2.035 2.035 -0.0425 -0.0025 0.005 -0.0 NaN 0.0025 10118 GAS_US_mini caleb_strategy_v3 [-1] 2.075 None 2.0375 2.035 2.04 NaN 2.035 -0.0375 -0.0025 -0.0 NaN NaN -0.0025 10115 GOLD_micro caleb_strategy_v3 [-1] 2041.4 None 2044.85 2044.8 2044.9 2044.9 2044.9 3.45 -0.05 0.1 -0.0 NaN 0.05 10117 GOLD_micro caleb_strategy_v3 [-1] 2041.4 None 2044.95 2044.9 2045.0 2045.0 2045.9 3.55 -0.05 1.0 0.9 NaN 0.95 10119 GOLD_micro caleb_strategy_v3 [-1] 2041.4 None 2046.0 2045.9 2046.1 2046.1 2045.2 4.6 -0.1 -0.7 -0.9 NaN -0.8 10121 GOLD_micro caleb_strategy_v3 [-1] 2041.4 None 2045.25 2045.2 2045.3 2045.3 2045.5 3.85 -0.05 0.3 0.2 NaN 0.25 10122 GOLD_micro caleb_strategy_v3 [-1] 2041.4 None 2045.55 2045.5 2045.6 2045.6 2046.0 4.15 -0.05 0.5 0.4 NaN 0.45 10123 GOLD_micro caleb_strategy_v3 [-1] 2041.4 None 2046.05 2046.0 2046.1 2046.1 2046.2 4.65 -0.05 0.2 0.1 NaN 0.15 10124 GOLD_micro caleb_strategy_v3 [-1] 2041.4 None 2046.25 2046.2 2046.3 2046.3 2046.0 4.85 -0.05 -0.2 -0.3 NaN -0.25 10129 SP500_micro caleb_strategy_v3 [-1] 4964.75 None 4962.375 4962.25 4962.5 4962.5 4962.5 -2.375 -0.125 0.25 -0.0 NaN 0.125 10128 MXP caleb_strategy_v3 [1] 0.05805 None 0.058295 0.0583 0.05829 0.05829 0.05829 -0.000245 -0.000005 0.00001 0.0 NaN 0.000005 10133 MXP caleb_strategy_v3 [1] 0.05805 None 0.058285 0.05829 0.05828 0.05828 0.0583 -0.000235 -0.000005 -0.00001 -0.00002 NaN -0.000015 10136 NASDAQ_micro caleb_strategy_v3 [-1] 17697.75 None 17641.0 17640.75 17641.25 17641.25 17644.25 -56.75 -0.25 3.5 3.0 NaN 3.25 10132 NASDAQ_micro caleb_strategy_v3 [-1] 17697.75 None 17646.625 17646.5 17646.75 17646.75 17641.0 -51.125 -0.125 -5.5 -5.75 NaN -5.625 10127 NASDAQ_micro caleb_strategy_v3 [-1] 17697.75 None 17646.5 17646.25 17646.75 17646.75 17646.75 -51.25 -0.25 0.5 -0.0 NaN 0.25 10137 RUSSELL caleb_strategy_v3 [1] 1949.2 None 1953.25 1953.3 1953.2 1953.2 1950.8 -4.05 -0.05 2.5 2.4 NaN 2.45 10130 RUSSELL caleb_strategy_v3 [1] 1949.2 None 1952.7 1952.8 1952.6 1952.6 1951.6 -3.5 -0.1 1.2 1.0 NaN 1.1 10125 RUSSELL caleb_strategy_v3 [1] 1949.2 None 1952.9 1953.0 1952.8 1952.8 1952.8 -3.7 -0.1 0.2 0.0 NaN 0.1 10134 RUSSELL caleb_strategy_v3 [1] 1949.2 None 1951.55 1951.6 1951.5 1951.5 1953.3 -2.35 -0.05 -1.7 -1.8 NaN -1.75 10138 DOW caleb_strategy_v3 [-1] 38525.0 None 38550.0 38549.0 38551.0 38551.0 38540.0 25.0 -1.0 -9.0 -11.0 NaN -10.0 10131 DOW caleb_strategy_v3 [-1] 38525.0 None 38540.0 38539.0 38541.0 38541.0 38537.0 15.0 -1.0 -2.0 -4.0 NaN -3.0 10126 DOW caleb_strategy_v3 [-1] 38525.0 None 38538.5 38538.0 38539.0 38539.0 38539.0 13.5 -0.5 1.0 -0.0 NaN 0.5 10135 DOW caleb_strategy_v3 [-1] 38525.0 None 38538.0 38537.0 38539.0 38539.0 38549.0 13.0 -1.0 12.0 10.0 NaN 11.0 =============================================================================================================================================================== 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 10120 GAS_US_mini caleb_strategy_v3 [-1] 1.736028 -244.811757 -14.400692 -28.801383 -57.602766 NaN -43.202075 10116 GAS_US_mini caleb_strategy_v3 [-1] 1.736028 -244.811757 -14.400692 28.801383 -0.0 NaN 14.400692 10118 GAS_US_mini caleb_strategy_v3 [-1] 1.736028 -216.010373 -14.400692 -0.0 NaN NaN -14.400692 10115 GOLD_micro caleb_strategy_v3 [-1] 234.3493 147.216143 -2.133567 4.267135 -0.0 NaN 2.133567 10117 GOLD_micro caleb_strategy_v3 [-1] 234.3493 151.483277 -2.133567 42.671346 38.404211 NaN 40.537778 10119 GOLD_micro caleb_strategy_v3 [-1] 234.3493 196.28819 -4.267135 -29.869942 -38.404211 NaN -34.137077 10121 GOLD_micro caleb_strategy_v3 [-1] 234.3493 164.284681 -2.133567 12.801404 8.534269 NaN 10.667836 10122 GOLD_micro caleb_strategy_v3 [-1] 234.3493 177.086085 -2.133567 21.335673 17.068538 NaN 19.202106 10123 GOLD_micro caleb_strategy_v3 [-1] 234.3493 198.421758 -2.133567 8.534269 4.267135 NaN 6.400702 10124 GOLD_micro caleb_strategy_v3 [-1] 234.3493 206.956027 -2.133567 -8.534269 -12.801404 NaN -10.667836 10129 SP500_micro caleb_strategy_v3 [-1] 604.078841 -39.31606 -2.069266 4.138533 -0.0 NaN 2.069266 10128 MXP caleb_strategy_v3 [1] 0.005453 -449.313868 -9.169671 18.339342 0.0 NaN 9.169671 10133 MXP caleb_strategy_v3 [1] 0.005453 -430.974527 -9.169671 -18.339342 -36.678683 NaN -27.509012 10136 NASDAQ_micro caleb_strategy_v3 [-1] 2777.577428 -204.314736 -0.900065 12.600909 10.800779 NaN 11.700844 10132 NASDAQ_micro caleb_strategy_v3 [-1] 2777.577428 -184.063276 -0.450032 -19.801428 -20.701493 NaN -20.251461 10127 NASDAQ_micro caleb_strategy_v3 [-1] 2777.577428 -184.513308 -0.900065 1.80013 -0.0 NaN 0.900065 10137 RUSSELL caleb_strategy_v3 [1] 405.277477 -99.931534 -1.233723 61.686132 59.218687 NaN 60.452409 10130 RUSSELL caleb_strategy_v3 [1] 405.277477 -86.360585 -2.467445 29.609343 24.674453 NaN 27.141898 10125 RUSSELL caleb_strategy_v3 [1] 405.277477 -91.295475 -2.467445 4.934891 0.0 NaN 2.467445 10134 RUSSELL caleb_strategy_v3 [1] 405.277477 -57.984964 -1.233723 -41.94657 -44.414015 NaN -43.180292 10138 DOW caleb_strategy_v3 [-1] 3732.138288 66.985728 -2.679429 -24.114862 -29.47372 NaN -26.794291 10131 DOW caleb_strategy_v3 [-1] 3732.138288 40.191437 -2.679429 -5.358858 -10.717716 NaN -8.038287 10126 DOW caleb_strategy_v3 [-1] 3732.138288 36.172293 -1.339715 2.679429 -0.0 NaN 1.339715 10135 DOW caleb_strategy_v3 [-1] 3732.138288 34.832579 -2.679429 32.153149 26.794291 NaN 29.47372 ======================================================================================================================================================================== 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 10120 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -106.25 -6.25 -12.5 -25.0 NaN -18.75 10116 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -106.25 -6.25 12.5 -0.0 NaN 6.25 10118 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -93.75 -6.25 -0.0 NaN NaN -6.25 10115 GOLD_micro caleb_strategy_v3 [-1] 10.0 34.5 -0.5 1.0 -0.0 NaN 0.5 10117 GOLD_micro caleb_strategy_v3 [-1] 10.0 35.5 -0.5 10.0 9.0 NaN 9.5 10119 GOLD_micro caleb_strategy_v3 [-1] 10.0 46.0 -1.0 -7.0 -9.0 NaN -8.0 10121 GOLD_micro caleb_strategy_v3 [-1] 10.0 38.5 -0.5 3.0 2.0 NaN 2.5 10122 GOLD_micro caleb_strategy_v3 [-1] 10.0 41.5 -0.5 5.0 4.0 NaN 4.5 10123 GOLD_micro caleb_strategy_v3 [-1] 10.0 46.5 -0.5 2.0 1.0 NaN 1.5 10124 GOLD_micro caleb_strategy_v3 [-1] 10.0 48.5 -0.5 -2.0 -3.0 NaN -2.5 10129 SP500_micro caleb_strategy_v3 [-1] 5.0 -11.875 -0.625 1.25 -0.0 NaN 0.625 10128 MXP caleb_strategy_v3 [1] 500000.0 -122.5 -2.5 5.0 0.0 NaN 2.5 10133 MXP caleb_strategy_v3 [1] 500000.0 -117.5 -2.5 -5.0 -10.0 NaN -7.5 10136 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -113.5 -0.5 7.0 6.0 NaN 6.5 10132 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -102.25 -0.25 -11.0 -11.5 NaN -11.25 10127 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -102.5 -0.5 1.0 -0.0 NaN 0.5 10137 RUSSELL caleb_strategy_v3 [1] 5.0 -20.25 -0.25 12.5 12.0 NaN 12.25 10130 RUSSELL caleb_strategy_v3 [1] 5.0 -17.5 -0.5 6.0 5.0 NaN 5.5 10125 RUSSELL caleb_strategy_v3 [1] 5.0 -18.5 -0.5 1.0 0.0 NaN 0.5 10134 RUSSELL caleb_strategy_v3 [1] 5.0 -11.75 -0.25 -8.5 -9.0 NaN -8.75 10138 DOW caleb_strategy_v3 [-1] 0.5 12.5 -0.5 -4.5 -5.5 NaN -5.0 10131 DOW caleb_strategy_v3 [-1] 0.5 7.5 -0.5 -1.0 -2.0 NaN -1.5 10126 DOW caleb_strategy_v3 [-1] 0.5 6.75 -0.25 0.5 -0.0 NaN 0.25 10135 DOW caleb_strategy_v3 [-1] 0.5 6.5 -0.5 6.0 5.0 NaN 5.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW 33.25 GAS_US_mini -306.25 GOLD_micro 291.0 MXP -240.0 NASDAQ_micro -318.25 RUSSELL -68.0 SP500_micro -11.875 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -620.125 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -1.75 GAS_US_mini -18.75 GOLD_micro -4.0 MXP -5.0 NASDAQ_micro -1.25 RUSSELL -1.5 SP500_micro -0.625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -32.875 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW 1.0 GAS_US_mini 0.0 GOLD_micro 12.0 MXP 0.0 NASDAQ_micro -3.0 RUSSELL 11.0 SP500_micro 1.25 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 22.25 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW -2.5 GAS_US_mini -25.0 GOLD_micro 4.0 MXP -10.0 NASDAQ_micro -5.5 RUSSELL 8.0 SP500_micro -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -31.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 GAS_US_mini 0 GOLD_micro 0 MXP 0 NASDAQ_micro 0 RUSSELL 0 SP500_micro 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 DOW -0.75 GAS_US_mini -18.75 GOLD_micro 8.0 MXP -5.0 NASDAQ_micro -4.25 RUSSELL 9.5 SP500_micro 0.625 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -10.625 ******************************************************************************** END OF REPORT 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