******************************************************************************** Trades report produced on 01/04/2024 21:37 from 31/03/2024 21:37 to 01/04/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11535 DOW caleb_strategy_v3 [20240600] 2024-04-01 14:00:46 [1] 40019.00000 11547 FEEDCOW caleb_strategy_v3 [20240800] 2024-04-01 14:30:49 [-1] 258.72500 11539 JPY caleb_strategy_v3 [20240600] 2024-04-01 14:00:53 [-1] 0.00667 11548 LIVECOW caleb_strategy_v3 [20240600] 2024-04-01 14:30:51 [1] 179.77500 11534 NIKKEI caleb_strategy_v3 [20240600] 2024-04-01 02:01:19 [1] 39945.00000 11538 NZD caleb_strategy_v3 [20240600] 2024-04-01 14:00:51 [-1] 0.59540 11537 RUSSELL caleb_strategy_v3 [20240600] 2024-04-01 14:00:49 [1] 2137.80000 11536 SP500_micro caleb_strategy_v3 [20240600] 2024-04-01 14:00:48 [1] 5315.00000 11541 SP500_micro caleb_strategy_v3 [20240600] 2024-04-01 14:01:47 [1] 5314.75000 11542 SP500_micro caleb_strategy_v3 [20240600] 2024-04-01 14:02:46 [1] 5311.75000 11543 SP500_micro caleb_strategy_v3 [20240600] 2024-04-01 14:03:46 [1] 5310.25000 11544 SP500_micro caleb_strategy_v3 [20240600] 2024-04-01 14:04:46 [1] 5307.25000 11545 SP500_micro caleb_strategy_v3 [20240600] 2024-04-01 14:05:46 [1] 5308.50000 11546 SP500_micro caleb_strategy_v3 [20240600] 2024-04-01 14:06:46 [1] 5309.00000 11540 US5 caleb_strategy_v3 [20240600] 2024-04-01 14:00:54 [-1] 106.62500 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11534 NIKKEI caleb_strategy_v3 2024-03-29 2024-04-01 03:01:16.898 2024-04-01 02:01:19 270076.898 NaN 11535 DOW caleb_strategy_v3 2024-03-28 2024-04-01 15:00:46.286 2024-04-01 14:00:46 399646.286 NaN 11537 RUSSELL caleb_strategy_v3 2024-03-28 2024-04-01 15:00:49.278 2024-04-01 14:00:49 399649.278 NaN 11538 NZD caleb_strategy_v3 2024-03-28 2024-04-01 15:00:50.583 2024-04-01 14:00:51 399650.583 NaN 11539 JPY caleb_strategy_v3 2024-03-28 2024-04-01 15:00:52.770 2024-04-01 14:00:53 399652.77 NaN 11540 US5 caleb_strategy_v3 2024-03-28 2024-04-01 15:00:53.957 2024-04-01 14:00:54 399653.957 NaN 11536 SP500_micro caleb_strategy_v3 2024-03-28 2024-04-01 15:00:47.651 2024-04-01 14:00:48 399647.651 NaN 11541 SP500_micro caleb_strategy_v3 2024-03-28 2024-04-01 15:01:45.958 2024-04-01 14:01:47 399705.958 NaN 11542 SP500_micro caleb_strategy_v3 2024-03-28 2024-04-01 15:02:46.016 2024-04-01 14:02:46 399766.016 NaN 11543 SP500_micro caleb_strategy_v3 2024-03-28 2024-04-01 15:03:46.000 2024-04-01 14:03:46 399826.0 NaN 11544 SP500_micro caleb_strategy_v3 2024-03-28 2024-04-01 15:04:46.027 2024-04-01 14:04:46 399886.027 NaN 11545 SP500_micro caleb_strategy_v3 2024-03-28 2024-04-01 15:05:46.059 2024-04-01 14:05:46 399946.059 NaN 11546 SP500_micro caleb_strategy_v3 2024-03-28 2024-04-01 15:06:46.078 2024-04-01 14:06:46 400006.078 NaN 11547 FEEDCOW caleb_strategy_v3 2024-03-28 2024-04-01 15:30:47.129 2024-04-01 14:30:49 401447.129 NaN 11548 LIVECOW caleb_strategy_v3 2024-03-28 2024-04-01 15:30:50.714 2024-04-01 14:30:51 401450.714 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 11534 NIKKEI caleb_strategy_v3 [1] 40565.0 None 39932.5 39935.0 39930.0 39930.0 39945.0 632.5 -2.5 -10.0 -15.0 NaN -12.5 11535 DOW caleb_strategy_v3 [1] 40140.0 None 40013.5 40016.0 40011.0 40011.0 40019.0 126.5 -2.5 -3.0 -8.0 NaN -5.5 11537 RUSSELL caleb_strategy_v3 [1] 2145.1 None 2137.65 2137.8 2137.5 2137.5 2137.8 7.45 -0.15 0.0 -0.3 NaN -0.15 11538 NZD caleb_strategy_v3 [-1] 0.5975 None 0.595575 0.59555 0.5956 0.5956 0.5954 -0.001925 -0.000025 -0.00015 -0.0002 NaN -0.000175 11539 JPY caleb_strategy_v3 [-1] 0.006685 None 0.00667 0.00667 0.006671 0.00667 0.00667 -0.000015 -0.0 -0.0 -0.0 NaN -0.0 11540 US5 caleb_strategy_v3 [-1] 106.960938 None 106.621094 106.617188 106.625 106.625 106.625 -0.339844 -0.003906 0.007812 -0.0 NaN 0.003906 11536 SP500_micro caleb_strategy_v3 [1] 5303.75 None 5314.125 5314.25 5314.0 5314.0 5315.0 -10.375 -0.125 -0.75 -1.0 NaN -0.875 11541 SP500_micro caleb_strategy_v3 [1] 5303.75 None 5314.875 5315.0 5314.75 5314.75 5314.75 -11.125 -0.125 0.25 0.0 NaN 0.125 11542 SP500_micro caleb_strategy_v3 [1] 5303.75 None 5314.625 5314.75 5314.5 5314.5 5311.75 -10.875 -0.125 3.0 2.75 NaN 2.875 11543 SP500_micro caleb_strategy_v3 [1] 5303.75 None 5311.625 5311.75 5311.5 5311.5 5310.25 -7.875 -0.125 1.5 1.25 NaN 1.375 11544 SP500_micro caleb_strategy_v3 [1] 5303.75 None 5310.125 5310.25 5310.0 5310.0 5307.25 -6.375 -0.125 3.0 2.75 NaN 2.875 11545 SP500_micro caleb_strategy_v3 [1] 5303.75 None 5307.125 5307.25 5307.0 5307.0 5308.5 -3.375 -0.125 -1.25 -1.5 NaN -1.375 11546 SP500_micro caleb_strategy_v3 [1] 5303.75 None 5308.375 5308.5 5308.25 5308.25 5309.0 -4.625 -0.125 -0.5 -0.75 NaN -0.625 11547 FEEDCOW caleb_strategy_v3 [-1] 258.825 None 258.8125 258.75 258.875 258.875 258.725 -0.0125 -0.0625 -0.025 -0.15 NaN -0.0875 11548 LIVECOW caleb_strategy_v3 [1] 180.25 None 179.75 179.775 179.725 179.725 179.775 0.5 -0.025 0.0 -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 11534 NIKKEI caleb_strategy_v3 [1] 6123.460476 1032.912685 -4.082659 -16.330635 -24.495953 NaN -20.413294 11535 DOW caleb_strategy_v3 [1] 4058.889732 311.661583 -6.15932 -7.391184 -19.709823 NaN -13.550504 11537 RUSSELL caleb_strategy_v3 [1] 399.802723 186.341902 -3.75185 0.0 -7.503701 NaN -3.75185 11538 NZD caleb_strategy_v3 [-1] 0.052725 -365.100594 -4.741566 -28.449397 -37.932529 NaN -33.190963 11539 JPY caleb_strategy_v3 [-1] 0.000569 -259.106932 -4.391643 -0.0 -8.783286 NaN -4.391643 11540 US5 caleb_strategy_v3 [-1] 4.444579 -764.625236 -8.788796 17.577592 -0.0 NaN 8.788796 11536 SP500_micro caleb_strategy_v3 [1] 544.271181 -190.621888 -2.296649 -13.779896 -18.373194 NaN -16.076545 11541 SP500_micro caleb_strategy_v3 [1] 544.271181 -204.401783 -2.296649 4.593299 0.0 NaN 2.296649 11542 SP500_micro caleb_strategy_v3 [1] 544.271181 -199.808485 -2.296649 55.119582 50.526284 NaN 52.822933 11543 SP500_micro caleb_strategy_v3 [1] 544.271181 -144.688903 -2.296649 27.559791 22.966493 NaN 25.263142 11544 SP500_micro caleb_strategy_v3 [1] 544.271181 -117.129112 -2.296649 55.119582 50.526284 NaN 52.822933 11545 SP500_micro caleb_strategy_v3 [1] 544.271181 -62.00953 -2.296649 -22.966493 -27.559791 NaN -25.263142 11546 SP500_micro caleb_strategy_v3 [1] 544.271181 -84.976022 -2.296649 -9.186597 -13.779896 NaN -11.483246 11547 FEEDCOW caleb_strategy_v3 [-1] 32.784934 -3.812727 -19.063635 -7.625454 -45.752723 NaN -26.689088 11548 LIVECOW caleb_strategy_v3 [1] 22.07039 226.547877 -11.327394 0.0 -22.654788 NaN -11.327394 ========================================================================================================================================================================= 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 11534 NIKKEI caleb_strategy_v3 [1] 0.660668 417.872385 -1.65167 -6.606678 -9.910017 NaN -8.258348 11535 DOW caleb_strategy_v3 [1] 0.5 63.25 -1.25 -1.5 -4.0 NaN -2.75 11537 RUSSELL caleb_strategy_v3 [1] 5.0 37.25 -0.75 0.0 -1.5 NaN -0.75 11538 NZD caleb_strategy_v3 [-1] 100000.0 -192.5 -2.5 -15.0 -20.0 NaN -17.5 11539 JPY caleb_strategy_v3 [-1] 12500000.0 -184.375 -3.125 -0.0 -6.25 NaN -3.125 11540 US5 caleb_strategy_v3 [-1] 1000.0 -339.84375 -3.90625 7.8125 -0.0 NaN 3.90625 11536 SP500_micro caleb_strategy_v3 [1] 5.0 -51.875 -0.625 -3.75 -5.0 NaN -4.375 11541 SP500_micro caleb_strategy_v3 [1] 5.0 -55.625 -0.625 1.25 0.0 NaN 0.625 11542 SP500_micro caleb_strategy_v3 [1] 5.0 -54.375 -0.625 15.0 13.75 NaN 14.375 11543 SP500_micro caleb_strategy_v3 [1] 5.0 -39.375 -0.625 7.5 6.25 NaN 6.875 11544 SP500_micro caleb_strategy_v3 [1] 5.0 -31.875 -0.625 15.0 13.75 NaN 14.375 11545 SP500_micro caleb_strategy_v3 [1] 5.0 -16.875 -0.625 -6.25 -7.5 NaN -6.875 11546 SP500_micro caleb_strategy_v3 [1] 5.0 -23.125 -0.625 -2.5 -3.75 NaN -3.125 11547 FEEDCOW caleb_strategy_v3 [-1] 500.0 -6.25 -31.25 -12.5 -75.0 NaN -43.75 11548 LIVECOW caleb_strategy_v3 [1] 400.0 200.0 -10.0 0.0 -20.0 NaN -10.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW 63.25 FEEDCOW -6.25 JPY -184.375 LIVECOW 200.0 NIKKEI 417.872385 NZD -192.5 RUSSELL 37.25 SP500_micro -273.125 US5 -339.84375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -277.721365 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -1.25 FEEDCOW -31.25 JPY -3.125 LIVECOW -10.0 NIKKEI -1.65167 NZD -2.5 RUSSELL -0.75 SP500_micro -4.375 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -58.80792 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW -1.5 FEEDCOW -12.5 JPY -0.0 LIVECOW 0.0 NIKKEI -6.606678 NZD -15.0 RUSSELL 0.0 SP500_micro 26.25 US5 7.8125 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -1.544178 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW -4.0 FEEDCOW -75.0 JPY -6.25 LIVECOW -20.0 NIKKEI -9.910017 NZD -20.0 RUSSELL -1.5 SP500_micro 17.5 US5 -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -119.160017 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 FEEDCOW 0 JPY 0 LIVECOW 0 NIKKEI 0 NZD 0 RUSSELL 0 SP500_micro 0 US5 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 -2.75 FEEDCOW -43.75 JPY -3.125 LIVECOW -10.0 NIKKEI -8.258348 NZD -17.5 RUSSELL -0.75 SP500_micro 21.875 US5 3.90625 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -60.352098 ******************************************************************************** END OF REPORT ********************************************************************************