******************************************************************************** Trades report produced on 22/05/2024 21:37 from 21/05/2024 21:37 to 22/05/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 12641 LEANHOG caleb_strategy_v3 [20240800] 2024-05-22 14:30:57 [-1] 97.27500 12642 LIVECOW caleb_strategy_v3 [20240800] 2024-05-22 14:30:58 [1] 180.70000 12639 MXP caleb_strategy_v3 [20240600] 2024-05-22 14:05:45 [1] 0.05976 12640 VIX caleb_strategy_v3 [20240800] 2024-05-22 14:10:49 [-1] 14.90000 12638 VIX caleb_strategy_v3 [20240800] 2024-05-22 14:05:44 [-1] 14.90000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12639 MXP caleb_strategy_v3 2024-05-21 2024-05-22 15:05:45.178 2024-05-22 14:05:45 140745.178 NaN 12640 VIX caleb_strategy_v3 2024-05-21 2024-05-22 15:05:48.993 2024-05-22 14:10:49 140748.993 NaN 12638 VIX caleb_strategy_v3 2024-05-21 2024-05-22 15:00:44.326 2024-05-22 14:05:44 140444.326 NaN 12641 LEANHOG caleb_strategy_v3 2024-05-21 2024-05-22 15:30:56.934 2024-05-22 14:30:57 142256.934 NaN 12642 LIVECOW caleb_strategy_v3 2024-05-21 2024-05-22 15:30:57.962 2024-05-22 14:30:58 142257.962 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 12639 MXP caleb_strategy_v3 [1] 0.05985 None 0.059815 0.05982 0.05981 0.05981 0.05976 0.000035 -0.000005 0.00006 0.00005 NaN 0.000055 12640 VIX caleb_strategy_v3 [-1] 14.9 None 14.925 14.9 14.95 14.95 14.9 0.025 -0.025 -0.0 -0.05 NaN -0.025 12638 VIX caleb_strategy_v3 [-1] 14.9 None 14.925 14.9 14.95 14.95 14.9 0.025 -0.025 -0.0 -0.05 NaN -0.025 12641 LEANHOG caleb_strategy_v3 [-1] 98.825 None 97.5 97.5 97.5 97.5 97.275 -1.325 -0.0 -0.225 -0.225 NaN -0.225 12642 LIVECOW caleb_strategy_v3 [1] 180.325 None 180.675 180.7 180.65 NaN 180.7 -0.35 -0.025 0.0 NaN 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 12639 MXP caleb_strategy_v3 [1] 0.005132 68.194593 -9.742085 116.905017 97.420847 NaN 107.162932 12640 VIX caleb_strategy_v3 [-1] 5.514296 45.336706 -45.336706 -0.0 -90.673411 NaN -45.336706 12638 VIX caleb_strategy_v3 [-1] 5.514296 45.336706 -45.336706 -0.0 -90.673411 NaN -45.336706 12641 LEANHOG caleb_strategy_v3 [-1] 18.509855 -715.834883 -0.0 -121.556867 -121.556867 NaN -121.556867 12642 LIVECOW caleb_strategy_v3 [1] 22.769294 -153.715787 -10.979699 0.0 NaN NaN -10.979699 ======================================================================================================================================================================== 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 12639 MXP caleb_strategy_v3 [1] 500000.0 17.5 -2.5 30.0 25.0 NaN 27.5 12640 VIX caleb_strategy_v3 [-1] 1000.0 25.0 -25.0 -0.0 -50.0 NaN -25.0 12638 VIX caleb_strategy_v3 [-1] 1000.0 25.0 -25.0 -0.0 -50.0 NaN -25.0 12641 LEANHOG caleb_strategy_v3 [-1] 400.0 -530.0 -0.0 -90.0 -90.0 NaN -90.0 12642 LIVECOW caleb_strategy_v3 [1] 400.0 -140.0 -10.0 0.0 NaN NaN -10.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 LEANHOG -530.0 LIVECOW -140.0 MXP 17.5 VIX 50.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -602.5 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 LEANHOG -0.0 LIVECOW -10.0 MXP -2.5 VIX -50.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -62.5 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 LEANHOG -90.0 LIVECOW 0.0 MXP 30.0 VIX -0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -60.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 LEANHOG -90.0 LIVECOW 0 MXP 25.0 VIX -100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -165.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 LEANHOG 0 LIVECOW 0 MXP 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 LEANHOG -90.0 LIVECOW -10.0 MXP 27.5 VIX -50.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -122.5 ******************************************************************************** END OF REPORT ********************************************************************************