******************************************************************************** Trades report produced on 20/05/2024 21:37 from 19/05/2024 21:37 to 20/05/2024 21:37 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 12589 BOBL caleb_strategy_v3 [20240600] 2024-05-20 07:00:28 [1] 116.590000 12590 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-20 13:00:44 [1] 2.820000 12592 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-20 13:01:41 [1] 2.820000 12594 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-20 13:02:38 [1] 2.825000 12595 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-20 13:03:42 [1] 2.820000 12596 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-20 13:05:03 [1] 2.820000 12593 GOLD_micro caleb_strategy_v3 [20240800] 2024-05-20 13:01:41 [1] 2441.900000 12591 GOLD_micro caleb_strategy_v3 [20240800] 2024-05-20 13:00:45 [1] 2442.300000 12602 LIVECOW caleb_strategy_v3 [20240800] 2024-05-20 14:30:44 [1] 178.900000 12600 MXP caleb_strategy_v3 [20240600] 2024-05-20 14:01:43 [1] 0.059940 12601 MXP caleb_strategy_v3 [20240600] 2024-05-20 14:03:03 [1] 0.059950 12597 MXP caleb_strategy_v3 [20240600] 2024-05-20 14:00:46 [1] 0.059940 12598 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-05-20 14:00:47 [1] 18744.000000 12599 US5 caleb_strategy_v3 [20240600] 2024-05-20 14:00:51 [1] 105.828125 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12589 BOBL caleb_strategy_v3 2024-05-17 2024-05-20 08:00:28.202 2024-05-20 07:00:28 288028.202 NaN 12593 GOLD_micro caleb_strategy_v3 2024-05-17 2024-05-20 14:01:41.839 2024-05-20 13:01:41 309701.839 NaN 12591 GOLD_micro caleb_strategy_v3 2024-05-17 2024-05-20 14:00:45.470 2024-05-20 13:00:45 309645.47 NaN 12590 GAS_US_mini caleb_strategy_v3 2024-05-17 2024-05-20 14:00:38.678 2024-05-20 13:00:44 309638.678 NaN 12592 GAS_US_mini caleb_strategy_v3 2024-05-17 2024-05-20 14:01:38.399 2024-05-20 13:01:41 309698.399 NaN 12594 GAS_US_mini caleb_strategy_v3 2024-05-17 2024-05-20 14:02:38.378 2024-05-20 13:02:38 309758.378 NaN 12595 GAS_US_mini caleb_strategy_v3 2024-05-17 2024-05-20 14:03:38.599 2024-05-20 13:03:42 309818.599 NaN 12596 GAS_US_mini caleb_strategy_v3 2024-05-17 2024-05-20 14:04:38.604 2024-05-20 13:05:03 309878.604 NaN 12598 NASDAQ_micro caleb_strategy_v3 2024-05-17 2024-05-20 15:00:47.266 2024-05-20 14:00:47 313247.266 NaN 12599 US5 caleb_strategy_v3 2024-05-17 2024-05-20 15:00:48.067 2024-05-20 14:00:51 313248.067 NaN 12600 MXP caleb_strategy_v3 2024-05-17 2024-05-20 15:01:43.589 2024-05-20 14:01:43 313303.589 NaN 12601 MXP caleb_strategy_v3 2024-05-17 2024-05-20 15:02:43.766 2024-05-20 14:03:03 313363.766 NaN 12597 MXP caleb_strategy_v3 2024-05-17 2024-05-20 15:00:43.910 2024-05-20 14:00:46 313243.91 NaN 12602 LIVECOW caleb_strategy_v3 2024-05-17 2024-05-20 15:30:44.546 2024-05-20 14:30:44 315044.546 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 12589 BOBL caleb_strategy_v3 [1] 116.63 None 116.595 116.6 116.59 116.59 116.59 0.035 -0.005 0.01 0.0 NaN 0.005 12593 GOLD_micro caleb_strategy_v3 [1] 2442.2 None 2442.15 2442.3 2442.0 2442.0 2441.9 0.05 -0.15 0.4 0.1 NaN 0.25 12591 GOLD_micro caleb_strategy_v3 [1] 2442.2 None 2441.95 2442.2 2441.7 2441.7 2442.3 0.25 -0.25 -0.1 -0.6 NaN -0.35 12590 GAS_US_mini caleb_strategy_v3 [1] 2.795 None 2.815 2.82 2.81 2.81 2.82 -0.02 -0.005 0.0 -0.01 NaN -0.005 12592 GAS_US_mini caleb_strategy_v3 [1] 2.795 None 2.8175 2.82 2.815 2.815 2.82 -0.0225 -0.0025 0.0 -0.005 NaN -0.0025 12594 GAS_US_mini caleb_strategy_v3 [1] 2.795 None 2.8175 2.82 2.815 NaN 2.825 -0.0225 -0.0025 -0.005 NaN NaN -0.0075 12595 GAS_US_mini caleb_strategy_v3 [1] 2.795 None 2.815 2.82 2.81 2.81 2.82 -0.02 -0.005 0.0 -0.01 NaN -0.005 12596 GAS_US_mini caleb_strategy_v3 [1] 2.795 None 2.8175 2.82 2.815 2.815 2.82 -0.0225 -0.0025 0.0 -0.005 NaN -0.0025 12598 NASDAQ_micro caleb_strategy_v3 [1] 18621.25 None 18744.25 18744.5 18744.0 18744.0 18744.0 -123.0 -0.25 0.5 0.0 NaN 0.25 12599 US5 caleb_strategy_v3 [1] 105.875 None 105.832031 105.835938 105.828125 105.828125 105.828125 0.042969 -0.003906 0.007812 0.0 NaN 0.003906 12600 MXP caleb_strategy_v3 [1] 0.05993 None 0.059945 0.05995 0.05994 0.05994 0.05994 -0.000015 -0.000005 0.00001 0.0 NaN 0.000005 12601 MXP caleb_strategy_v3 [1] 0.05993 None 0.059935 0.05994 0.05993 0.05993 0.05995 -0.000005 -0.000005 -0.00001 -0.00002 NaN -0.000015 12597 MXP caleb_strategy_v3 [1] 0.05993 None 0.059945 0.05995 0.05994 0.05994 0.05994 -0.000015 -0.000005 0.00001 0.0 NaN 0.000005 12602 LIVECOW caleb_strategy_v3 [1] 178.85 None 178.8875 178.9 178.875 178.875 178.9 -0.0375 -0.0125 0.0 -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 12589 BOBL caleb_strategy_v3 [1] 5.25841 66.560045 -9.508578 19.017156 0.0 NaN 9.508578 12593 GOLD_micro caleb_strategy_v3 [1] 347.326333 1.439568 -4.318705 11.516547 2.879137 NaN 7.197842 12591 GOLD_micro caleb_strategy_v3 [1] 347.326333 7.197842 -7.197842 -2.879137 -17.27482 NaN -10.076979 12590 GAS_US_mini caleb_strategy_v3 [1] 1.482084 -134.945117 -33.736279 0.0 -67.472558 NaN -33.736279 12592 GAS_US_mini caleb_strategy_v3 [1] 1.482084 -151.813256 -16.86814 0.0 -33.736279 NaN -16.86814 12594 GAS_US_mini caleb_strategy_v3 [1] 1.482084 -151.813256 -16.86814 -33.736279 NaN NaN -50.604419 12595 GAS_US_mini caleb_strategy_v3 [1] 1.482084 -134.945117 -33.736279 0.0 -67.472558 NaN -33.736279 12596 GAS_US_mini caleb_strategy_v3 [1] 1.482084 -151.813256 -16.86814 0.0 -33.736279 NaN -16.86814 12598 NASDAQ_micro caleb_strategy_v3 [1] 2854.541319 -430.892344 -0.875797 1.751595 0.0 NaN 0.875797 12599 US5 caleb_strategy_v3 [1] 4.566497 94.095652 -8.55415 17.1083 0.0 NaN 8.55415 12600 MXP caleb_strategy_v3 [1] 0.005199 -28.851019 -9.617006 19.234012 0.0 NaN 9.617006 12601 MXP caleb_strategy_v3 [1] 0.005199 -9.617006 -9.617006 -19.234012 -38.468025 NaN -28.851019 12597 MXP caleb_strategy_v3 [1] 0.005199 -28.851019 -9.617006 19.234012 0.0 NaN 9.617006 12602 LIVECOW caleb_strategy_v3 [1] 22.995334 -16.307656 -5.435885 0.0 -10.871771 NaN -5.435885 ======================================================================================================================================================================== 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 12589 BOBL caleb_strategy_v3 [1] 1088.15 38.08525 -5.44075 10.8815 0.0 NaN 5.44075 12593 GOLD_micro caleb_strategy_v3 [1] 10.0 0.5 -1.5 4.0 1.0 NaN 2.5 12591 GOLD_micro caleb_strategy_v3 [1] 10.0 2.5 -2.5 -1.0 -6.0 NaN -3.5 12590 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -50.0 -12.5 0.0 -25.0 NaN -12.5 12592 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -56.25 -6.25 0.0 -12.5 NaN -6.25 12594 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -56.25 -6.25 -12.5 NaN NaN -18.75 12595 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -50.0 -12.5 0.0 -25.0 NaN -12.5 12596 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -56.25 -6.25 0.0 -12.5 NaN -6.25 12598 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -246.0 -0.5 1.0 0.0 NaN 0.5 12599 US5 caleb_strategy_v3 [1] 1000.0 42.96875 -3.90625 7.8125 0.0 NaN 3.90625 12600 MXP caleb_strategy_v3 [1] 500000.0 -7.5 -2.5 5.0 0.0 NaN 2.5 12601 MXP caleb_strategy_v3 [1] 500000.0 -2.5 -2.5 -5.0 -10.0 NaN -7.5 12597 MXP caleb_strategy_v3 [1] 500000.0 -7.5 -2.5 5.0 0.0 NaN 2.5 12602 LIVECOW caleb_strategy_v3 [1] 400.0 -15.0 -5.0 0.0 -10.0 NaN -5.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BOBL 38.08525 GAS_US_mini -268.75 GOLD_micro 3.0 LIVECOW -15.0 MXP -17.5 NASDAQ_micro -246.0 US5 42.96875 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -463.196 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BOBL -5.44075 GAS_US_mini -43.75 GOLD_micro -4.0 LIVECOW -5.0 MXP -7.5 NASDAQ_micro -0.5 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -70.097 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BOBL 10.8815 GAS_US_mini -12.5 GOLD_micro 3.0 LIVECOW 0.0 MXP 5.0 NASDAQ_micro 1.0 US5 7.8125 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 15.194 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0.0 GAS_US_mini -75.0 GOLD_micro -5.0 LIVECOW -10.0 MXP -10.0 NASDAQ_micro 0.0 US5 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -100.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0 GAS_US_mini 0 GOLD_micro 0 LIVECOW 0 MXP 0 NASDAQ_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 BOBL 5.44075 GAS_US_mini -56.25 GOLD_micro -1.0 LIVECOW -5.0 MXP -2.5 NASDAQ_micro 0.5 US5 3.90625 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -54.903 ******************************************************************************** END OF REPORT ********************************************************************************