******************************************************************************** Trades report produced on 28/02/2024 21:36 from 27/02/2024 21:36 to 28/02/2024 21:36 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10704 COCOA caleb_strategy_v3 [20240500] 2024-02-28 14:01:03 [-1] 6161.000000 10702 COPPER caleb_strategy_v3 [20240700] 2024-02-28 14:00:59 [1] 3.851000 10706 CRUDE_W caleb_strategy_v3 [20241200] 2024-02-28 14:01:37 [1] 73.970000 10703 CRUDE_W caleb_strategy_v3 [20241200] 2024-02-28 14:01:01 [1] 73.990000 10719 DOW caleb_strategy_v3 [20240300] 2024-02-28 15:08:10 [1] 38849.000000 10717 DOW caleb_strategy_v3 [20240300] 2024-02-28 15:06:09 [1] 38857.000000 10716 DOW caleb_strategy_v3 [20240300] 2024-02-28 15:05:09 [1] 38840.000000 10715 DOW caleb_strategy_v3 [20240300] 2024-02-28 15:04:09 [1] 38850.000000 10714 DOW caleb_strategy_v3 [20240300] 2024-02-28 15:03:09 [1] 38836.000000 10718 DOW caleb_strategy_v3 [20240300] 2024-02-28 15:07:10 [1] 38863.000000 10712 DOW caleb_strategy_v3 [20240300] 2024-02-28 15:01:24 [1] 38833.000000 10699 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-02-28 09:00:31 [-1] 97.550000 10698 EUROSTX caleb_strategy_v3 [20240300] 2024-02-28 08:00:37 [1] 4888.000000 10700 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-28 14:00:45 [-1] 2044.500000 10707 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-28 14:02:37 [-1] 2044.900000 10705 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-28 14:01:37 [-1] 2044.900000 10711 JPY caleb_strategy_v3 [20240300] 2024-02-28 15:01:23 [-1] 0.006654 10708 MXP caleb_strategy_v3 [20240300] 2024-02-28 15:01:16 [1] 0.058270 10710 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-28 15:01:18 [1] 17882.750000 10709 SP500_micro caleb_strategy_v3 [20240300] 2024-02-28 15:01:17 [1] 5071.750000 10701 SUGAR11 caleb_strategy_v3 [20240700] 2024-02-28 14:00:46 [1] 22.330000 10713 VIX caleb_strategy_v3 [20240500] 2024-02-28 15:02:50 [1] 15.950000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10698 EUROSTX caleb_strategy_v3 2024-02-27 2024-02-28 08:00:29.819 2024-02-28 08:00:37 115229.819 7.181 10699 EURIBOR-ICE caleb_strategy_v3 2024-02-27 2024-02-28 09:00:31.174 2024-02-28 09:00:31 118831.174 NaN 10701 SUGAR11 caleb_strategy_v3 2024-02-27 2024-02-28 14:00:46.678 2024-02-28 14:00:46 136846.678 NaN 10702 COPPER caleb_strategy_v3 2024-02-27 2024-02-28 14:00:48.058 2024-02-28 14:00:59 136848.058 10.942 10704 COCOA caleb_strategy_v3 2024-02-27 2024-02-28 14:01:02.186 2024-02-28 14:01:03 136862.186 0.814 10706 CRUDE_W caleb_strategy_v3 2024-02-27 2024-02-28 14:01:37.855 2024-02-28 14:01:37 136897.855 NaN 10703 CRUDE_W caleb_strategy_v3 2024-02-27 2024-02-28 14:01:00.455 2024-02-28 14:01:01 136860.455 0.545 10705 GOLD_micro caleb_strategy_v3 2024-02-27 2024-02-28 14:01:37.242 2024-02-28 14:01:37 136897.242 NaN 10707 GOLD_micro caleb_strategy_v3 2024-02-27 2024-02-28 14:02:37.422 2024-02-28 14:02:37 136957.422 NaN 10700 GOLD_micro caleb_strategy_v3 2024-02-27 2024-02-28 14:00:38.234 2024-02-28 14:00:45 136838.234 6.766 10708 MXP caleb_strategy_v3 2024-02-27 2024-02-28 15:00:39.706 2024-02-28 15:01:16 140439.706 36.294 10709 SP500_micro caleb_strategy_v3 2024-02-27 2024-02-28 15:01:17.086 2024-02-28 15:01:17 140477.086 NaN 10710 NASDAQ_micro caleb_strategy_v3 2024-02-27 2024-02-28 15:01:18.403 2024-02-28 15:01:18 140478.403 NaN 10711 JPY caleb_strategy_v3 2024-02-27 2024-02-28 15:01:19.386 2024-02-28 15:01:23 140479.386 3.614 10713 VIX caleb_strategy_v3 2024-02-27 2024-02-28 15:01:26.507 2024-02-28 15:02:50 140486.507 83.493 10712 DOW caleb_strategy_v3 2024-02-27 2024-02-28 15:01:23.909 2024-02-28 15:01:24 140483.909 0.091 10714 DOW caleb_strategy_v3 2024-02-27 2024-02-28 15:03:09.359 2024-02-28 15:03:09 140589.359 NaN 10715 DOW caleb_strategy_v3 2024-02-27 2024-02-28 15:04:09.618 2024-02-28 15:04:09 140649.618 NaN 10716 DOW caleb_strategy_v3 2024-02-27 2024-02-28 15:05:09.633 2024-02-28 15:05:09 140709.633 NaN 10717 DOW caleb_strategy_v3 2024-02-27 2024-02-28 15:06:09.634 2024-02-28 15:06:09 140769.634 NaN 10718 DOW caleb_strategy_v3 2024-02-27 2024-02-28 15:07:10.092 2024-02-28 15:07:10 140830.092 NaN 10719 DOW caleb_strategy_v3 2024-02-27 2024-02-28 15:08:10.179 2024-02-28 15:08:10 140890.179 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 10698 EUROSTX caleb_strategy_v3 [1] 4894.0 None 4888.5 4889.0 4888.0 4888.0 4888.0 5.5 -0.5 1.0 0.0 NaN 0.5 10699 EURIBOR-ICE caleb_strategy_v3 [-1] 97.525 None 97.5525 97.55 97.555 97.555 97.55 0.0275 -0.0025 -0.0 -0.005 NaN -0.0025 10701 SUGAR11 caleb_strategy_v3 [1] 22.25 None 22.0 22.0 22.0 22.0 22.33 0.25 0.0 -0.33 -0.33 NaN -0.33 10702 COPPER caleb_strategy_v3 [1] 3.8725 None 3.8515 3.852 3.851 3.851 3.851 0.021 -0.0005 0.001 0.0 NaN 0.0005 10704 COCOA caleb_strategy_v3 [-1] 6385.0 None 6164.0 6162.0 6166.0 6166.0 6161.0 -221.0 -2.0 -1.0 -5.0 NaN -3.0 10706 CRUDE_W caleb_strategy_v3 [1] 73.73 None 73.975 73.98 73.97 73.97 73.97 -0.245 -0.005 0.01 0.0 NaN 0.005 10703 CRUDE_W caleb_strategy_v3 [1] 73.73 None 73.97 73.98 73.96 73.96 73.99 -0.24 -0.01 -0.01 -0.03 NaN -0.02 10705 GOLD_micro caleb_strategy_v3 [-1] 2038.6 None 2044.5 2044.4 2044.6 2044.6 2044.9 5.9 -0.1 0.5 0.3 NaN 0.4 10707 GOLD_micro caleb_strategy_v3 [-1] 2038.6 None 2044.95 2044.9 2045.0 2045.0 2044.9 6.35 -0.05 -0.0 -0.1 NaN -0.05 10700 GOLD_micro caleb_strategy_v3 [-1] 2038.6 None 2044.4 2044.3 2044.5 2044.5 2044.5 5.8 -0.1 0.2 -0.0 NaN 0.1 10708 MXP caleb_strategy_v3 [1] 0.05843 None 0.058275 0.05828 0.05827 0.05827 0.05827 0.000155 -0.000005 0.00001 0.0 NaN 0.000005 10709 SP500_micro caleb_strategy_v3 [1] 5085.5 None 5071.375 5071.5 5071.25 5071.25 5071.75 14.125 -0.125 -0.25 -0.5 NaN -0.375 10710 NASDAQ_micro caleb_strategy_v3 [1] 18020.25 None 17883.0 17883.25 17882.75 17882.75 17882.75 137.25 -0.25 0.5 0.0 NaN 0.25 10711 JPY caleb_strategy_v3 [-1] 0.006665 None 0.006654 0.006653 0.006654 0.006654 0.006654 -0.000011 -0.0 0.000001 0.0 NaN 0.0 10713 VIX caleb_strategy_v3 [1] 15.75 None 15.875 15.9 15.85 15.85 15.95 -0.125 -0.025 -0.05 -0.1 NaN -0.075 10712 DOW caleb_strategy_v3 [1] 38986.0 None 38831.0 38832.0 38830.0 38830.0 38833.0 155.0 -1.0 -1.0 -3.0 NaN -2.0 10714 DOW caleb_strategy_v3 [1] 38986.0 None 38832.0 38833.0 38831.0 38831.0 38836.0 154.0 -1.0 -3.0 -5.0 NaN -4.0 10715 DOW caleb_strategy_v3 [1] 38986.0 None 38835.0 38836.0 38834.0 38834.0 38850.0 151.0 -1.0 -14.0 -16.0 NaN -15.0 10716 DOW caleb_strategy_v3 [1] 38986.0 None 38849.0 38850.0 38848.0 38848.0 38840.0 137.0 -1.0 10.0 8.0 NaN 9.0 10717 DOW caleb_strategy_v3 [1] 38986.0 None 38839.5 38840.0 38839.0 38839.0 38857.0 146.5 -0.5 -17.0 -18.0 NaN -17.5 10718 DOW caleb_strategy_v3 [1] 38986.0 None 38856.5 38857.0 38856.0 38856.0 38863.0 129.5 -0.5 -6.0 -7.0 NaN -6.5 10719 DOW caleb_strategy_v3 [1] 38986.0 None 38862.5 38863.0 38862.0 38862.0 38849.0 123.5 -0.5 14.0 13.0 NaN 13.5 =============================================================================================================================================================== 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 10698 EUROSTX caleb_strategy_v3 [1] 529.036427 103.962595 -9.451145 18.90229 0.0 NaN 9.451145 10699 EURIBOR-ICE caleb_strategy_v3 [-1] 0.980406 280.496104 -25.499646 -0.0 -50.999292 NaN -25.499646 10701 SUGAR11 caleb_strategy_v3 [1] 5.381301 464.571662 0.0 -613.234594 -613.234594 NaN -613.234594 10702 COPPER caleb_strategy_v3 [1] 0.654797 320.710075 -7.635954 15.271908 0.0 NaN 7.635954 10704 COCOA caleb_strategy_v3 [-1] 2423.649597 -911.847985 -8.252018 -4.126009 -20.630045 NaN -12.378027 10706 CRUDE_W caleb_strategy_v3 [1] 16.478011 -148.68299 -3.034347 6.068693 0.0 NaN 3.034347 10703 CRUDE_W caleb_strategy_v3 [1] 16.478011 -145.648643 -6.068693 -6.068693 -18.20608 NaN -12.137387 10705 GOLD_micro caleb_strategy_v3 [-1] 203.903737 289.352225 -4.904275 24.521375 14.712825 NaN 19.6171 10707 GOLD_micro caleb_strategy_v3 [-1] 203.903737 311.421462 -2.452137 -0.0 -4.904275 NaN -2.452137 10700 GOLD_micro caleb_strategy_v3 [-1] 203.903737 284.44795 -4.904275 9.80855 -0.0 NaN 4.904275 10708 MXP caleb_strategy_v3 [1] 0.004637 334.245189 -10.782103 21.564206 0.0 NaN 10.782103 10709 SP500_micro caleb_strategy_v3 [1] 600.328521 235.287838 -2.082193 -4.164387 -8.328773 NaN -6.24658 10710 NASDAQ_micro caleb_strategy_v3 [1] 2722.676456 504.099559 -0.918214 1.836428 0.0 NaN 0.918214 10711 JPY caleb_strategy_v3 [-1] 0.000571 -188.154046 -4.375675 8.751351 0.0 NaN 4.375675 10713 VIX caleb_strategy_v3 [1] 5.750524 -217.371495 -43.474299 -86.948598 -173.897196 NaN -130.422897 10712 DOW caleb_strategy_v3 [1] 3930.976424 394.304069 -2.543897 -2.543897 -7.631692 NaN -5.087794 10714 DOW caleb_strategy_v3 [1] 3930.976424 391.760172 -2.543897 -7.631692 -12.719486 NaN -10.175589 10715 DOW caleb_strategy_v3 [1] 3930.976424 384.12848 -2.543897 -35.614561 -40.702356 NaN -38.158458 10716 DOW caleb_strategy_v3 [1] 3930.976424 348.513919 -2.543897 25.438972 20.351178 NaN 22.895075 10717 DOW caleb_strategy_v3 [1] 3930.976424 372.680943 -1.271949 -43.246253 -45.79015 NaN -44.518201 10718 DOW caleb_strategy_v3 [1] 3930.976424 329.43469 -1.271949 -15.263383 -17.807281 NaN -16.535332 10719 DOW caleb_strategy_v3 [1] 3930.976424 314.171307 -1.271949 35.614561 33.070664 NaN 34.342612 ======================================================================================================================================================================== 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 10698 EUROSTX caleb_strategy_v3 [1] 10.8235 59.52925 -5.41175 10.8235 0.0 NaN 5.41175 10699 EURIBOR-ICE caleb_strategy_v3 [-1] 2705.875 74.411563 -6.764688 -0.0 -13.529375 NaN -6.764688 10701 SUGAR11 caleb_strategy_v3 [1] 1120.0 280.0 0.0 -369.6 -369.6 NaN -369.6 10702 COPPER caleb_strategy_v3 [1] 25000.0 525.0 -12.5 25.0 0.0 NaN 12.5 10704 COCOA caleb_strategy_v3 [-1] 10.0 -2210.0 -20.0 -10.0 -50.0 NaN -30.0 10706 CRUDE_W caleb_strategy_v3 [1] 1000.0 -245.0 -5.0 10.0 0.0 NaN 5.0 10703 CRUDE_W caleb_strategy_v3 [1] 1000.0 -240.0 -10.0 -10.0 -30.0 NaN -20.0 10705 GOLD_micro caleb_strategy_v3 [-1] 10.0 59.0 -1.0 5.0 3.0 NaN 4.0 10707 GOLD_micro caleb_strategy_v3 [-1] 10.0 63.5 -0.5 -0.0 -1.0 NaN -0.5 10700 GOLD_micro caleb_strategy_v3 [-1] 10.0 58.0 -1.0 2.0 -0.0 NaN 1.0 10708 MXP caleb_strategy_v3 [1] 500000.0 77.5 -2.5 5.0 0.0 NaN 2.5 10709 SP500_micro caleb_strategy_v3 [1] 5.0 70.625 -0.625 -1.25 -2.5 NaN -1.875 10710 NASDAQ_micro caleb_strategy_v3 [1] 2.0 274.5 -0.5 1.0 0.0 NaN 0.5 10711 JPY caleb_strategy_v3 [-1] 12500000.0 -134.375 -3.125 6.25 0.0 NaN 3.125 10713 VIX caleb_strategy_v3 [1] 1000.0 -125.0 -25.0 -50.0 -100.0 NaN -75.0 10712 DOW caleb_strategy_v3 [1] 0.5 77.5 -0.5 -0.5 -1.5 NaN -1.0 10714 DOW caleb_strategy_v3 [1] 0.5 77.0 -0.5 -1.5 -2.5 NaN -2.0 10715 DOW caleb_strategy_v3 [1] 0.5 75.5 -0.5 -7.0 -8.0 NaN -7.5 10716 DOW caleb_strategy_v3 [1] 0.5 68.5 -0.5 5.0 4.0 NaN 4.5 10717 DOW caleb_strategy_v3 [1] 0.5 73.25 -0.25 -8.5 -9.0 NaN -8.75 10718 DOW caleb_strategy_v3 [1] 0.5 64.75 -0.25 -3.0 -3.5 NaN -3.25 10719 DOW caleb_strategy_v3 [1] 0.5 61.75 -0.25 7.0 6.5 NaN 6.75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 COCOA -2210.0 COPPER 525.0 CRUDE_W -485.0 DOW 498.25 EURIBOR-ICE 74.411563 EUROSTX 59.52925 GOLD_micro 180.5 JPY -134.375 MXP 77.5 NASDAQ_micro 274.5 SP500_micro 70.625 SUGAR11 280.0 VIX -125.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -914.059187 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 COCOA -20.0 COPPER -12.5 CRUDE_W -15.0 DOW -2.75 EURIBOR-ICE -6.764688 EUROSTX -5.41175 GOLD_micro -2.5 JPY -3.125 MXP -2.5 NASDAQ_micro -0.5 SP500_micro -0.625 SUGAR11 0.0 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -96.676438 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 COCOA -10.0 COPPER 25.0 CRUDE_W 0.0 DOW -8.5 EURIBOR-ICE -0.0 EUROSTX 10.8235 GOLD_micro 7.0 JPY 6.25 MXP 5.0 NASDAQ_micro 1.0 SP500_micro -1.25 SUGAR11 -369.6 VIX -50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -384.2765 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 COCOA -50.0 COPPER 0.0 CRUDE_W -30.0 DOW -14.0 EURIBOR-ICE -13.529375 EUROSTX 0.0 GOLD_micro 2.0 JPY 0.0 MXP 0.0 NASDAQ_micro 0.0 SP500_micro -2.5 SUGAR11 -369.6 VIX -100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -577.629375 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 COCOA 0 COPPER 0 CRUDE_W 0 DOW 0 EURIBOR-ICE 0 EUROSTX 0 GOLD_micro 0 JPY 0 MXP 0 NASDAQ_micro 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 COCOA -30.0 COPPER 12.5 CRUDE_W -15.0 DOW -11.25 EURIBOR-ICE -6.764688 EUROSTX 5.41175 GOLD_micro 4.5 JPY 3.125 MXP 2.5 NASDAQ_micro 0.5 SP500_micro -1.875 SUGAR11 -369.6 VIX -75.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -480.952938 ******************************************************************************** END OF REPORT ********************************************************************************