******************************************************************************** Trades report produced on 21/06/2024 21:38 from 20/06/2024 21:38 to 21/06/2024 21:38 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 13454 AUD caleb_strategy_v3 [20240900] 2024-06-21 14:10:32.000 [1] 0.66615 13449 AUD caleb_strategy_v3 [20240900] 2024-06-21 14:02:04.000 [1] 0.66605 13439 BUND caleb_strategy_v3 [20240900] 2024-06-21 19:45:06.717 [0] NaN 13440 BUND caleb_strategy_v3 [20240900] 2024-06-21 07:10:54.000 [1] 132.61000 13444 COPPER _ROLL_PSEUDO_STRATEGY [20240700] 2024-06-21 13:07:22.000 [-1] 4.46250 13445 COPPER _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-21 13:15:46.000 [1] 4.43800 13448 EUR caleb_strategy_v3 [20240900] 2024-06-21 14:01:44.000 [-1] 1.07285 13455 FEEDCOW _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-21 14:30:58.000 [1] 260.05000 13458 FEEDCOW _ROLL_PSEUDO_STRATEGY [20241000] 2024-06-21 14:33:41.000 [-1] 260.87500 13457 FEEDCOW _ROLL_PSEUDO_STRATEGY [20240900] 2024-06-21 14:33:32.000 [1] 260.15000 13456 FEEDCOW _ROLL_PSEUDO_STRATEGY [20241000] 2024-06-21 14:31:18.000 [-1] 260.77500 13441 GASOIL caleb_strategy_v3 [20240900] 2024-06-21 08:00:42.000 [1] 780.00000 13447 GAS_US_mini caleb_strategy_v3 [20240900] 2024-06-21 13:18:10.000 [-1] 2.82500 13446 GAS_US_mini caleb_strategy_v3 [20240900] 2024-06-21 13:17:59.000 [-1] 2.82500 13442 GAS_US_mini caleb_strategy_v3 [20240900] 2024-06-21 13:01:00.000 [-1] 2.83000 13452 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-06-21 14:10:10.000 [1] 19962.25000 13450 RUSSELL caleb_strategy_v3 [20240900] 2024-06-21 14:04:08.000 [1] 2031.90000 13451 SP500_micro caleb_strategy_v3 [20240900] 2024-06-21 14:10:09.000 [1] 5530.25000 13443 SUGAR11 caleb_strategy_v3 [20241000] 2024-06-21 13:03:55.000 [1] 19.03000 13453 US5 caleb_strategy_v3 [20240900] 2024-06-21 14:10:11.000 [1] 106.84375 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13441 GASOIL caleb_strategy_v3 2024-06-20 00:00:00 2024-06-21 09:00:41.642 2024-06-21 08:00:42.000 118841.642 NaN 13443 SUGAR11 caleb_strategy_v3 2024-06-20 00:00:00 2024-06-21 14:01:01.578 2024-06-21 13:03:55.000 136861.578 NaN 13444 COPPER _ROLL_PSEUDO_STRATEGY 2024-06-20 19:00:00 2024-06-21 14:03:56.442 2024-06-21 13:07:22.000 68636.442 NaN 13445 COPPER _ROLL_PSEUDO_STRATEGY 2024-06-20 19:00:00 2024-06-21 14:07:23.902 2024-06-21 13:15:46.000 68843.902 NaN 13442 GAS_US_mini caleb_strategy_v3 2024-06-20 00:00:00 2024-06-21 14:01:00.630 2024-06-21 13:01:00.000 136860.63 NaN 13446 GAS_US_mini caleb_strategy_v3 2024-06-20 00:00:00 2024-06-21 14:15:49.990 2024-06-21 13:17:59.000 137749.99 NaN 13447 GAS_US_mini caleb_strategy_v3 2024-06-20 00:00:00 2024-06-21 14:18:03.049 2024-06-21 13:18:10.000 137883.049 NaN 13448 EUR caleb_strategy_v3 2024-06-20 00:00:00 2024-06-21 15:00:13.510 2024-06-21 14:01:44.000 140413.51 NaN 13450 RUSSELL caleb_strategy_v3 2024-06-20 00:00:00 2024-06-21 15:02:05.330 2024-06-21 14:04:08.000 140525.33 NaN 13451 SP500_micro caleb_strategy_v3 2024-06-20 00:00:00 2024-06-21 15:04:09.751 2024-06-21 14:10:09.000 140649.751 NaN 13452 NASDAQ_micro caleb_strategy_v3 2024-06-20 00:00:00 2024-06-21 15:10:10.338 2024-06-21 14:10:10.000 141010.338 NaN 13453 US5 caleb_strategy_v3 2024-06-20 00:00:00 2024-06-21 15:10:11.574 2024-06-21 14:10:11.000 141011.574 NaN 13449 AUD caleb_strategy_v3 2024-06-20 00:00:00 2024-06-21 15:01:45.394 2024-06-21 14:02:04.000 140505.394 NaN 13454 AUD caleb_strategy_v3 2024-06-20 00:00:00 2024-06-21 15:10:31.885 2024-06-21 14:10:32.000 141031.885 NaN 13456 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-06-20 19:00:00 2024-06-21 15:30:59.902 2024-06-21 14:31:18.000 73859.902 NaN 13457 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-06-20 19:00:00 2024-06-21 15:31:36.906 2024-06-21 14:33:32.000 73896.906 NaN 13458 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-06-20 19:00:00 2024-06-21 15:33:32.699 2024-06-21 14:33:41.000 74012.699 NaN 13455 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-06-20 19:00:00 2024-06-21 15:30:37.418 2024-06-21 14:30:58.000 73837.418 NaN 13440 BUND caleb_strategy_v3 2024-06-20 00:00:00 2024-06-21 08:10:33.195 2024-06-21 07:10:54.000 115833.195 NaN 13439 BUND caleb_strategy_v3 2024-06-20 00:00:00 2024-06-21 08:00:29.335 2024-06-21 19:45:06.717 115229.335 42277.382 ======================================================================================================================================================================================================================================== 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 13441 GASOIL caleb_strategy_v3 [1] 783.5 None 780.375 780.5 780.25 780.25 780.0 3.125 -0.125 0.5 0.25 NaN 0.375 13443 SUGAR11 caleb_strategy_v3 [1] 19.03 None 19.025 19.03 19.02 19.02 19.03 0.005 -0.005 0.0 -0.01 NaN -0.005 13444 COPPER _ROLL_PSEUDO_STRATEGY [-1] 4.5615 None 4.4685 4.468 4.469 4.469 4.4625 -0.093 -0.0005 -0.0055 -0.0065 NaN -0.006 13445 COPPER _ROLL_PSEUDO_STRATEGY [1] 4.5295 None 4.43075 4.431 4.4305 4.4305 4.438 0.09875 -0.00025 -0.007 -0.0075 NaN -0.00725 13442 GAS_US_mini caleb_strategy_v3 [-1] 2.835 None 2.8325 2.83 2.835 NaN 2.83 -0.0025 -0.0025 -0.0 NaN NaN -0.0025 13446 GAS_US_mini caleb_strategy_v3 [-1] 2.835 None 2.83 2.825 2.835 2.835 2.825 -0.005 -0.005 -0.0 -0.01 NaN -0.005 13447 GAS_US_mini caleb_strategy_v3 [-1] 2.835 None 2.83 2.825 2.835 2.835 2.825 -0.005 -0.005 -0.0 -0.01 NaN -0.005 13448 EUR caleb_strategy_v3 [-1] 1.07565 None 1.073125 1.0731 1.07315 1.07315 1.07285 -0.002525 -0.000025 -0.00025 -0.0003 NaN -0.000275 13450 RUSSELL caleb_strategy_v3 [1] 2040.9 None 2032.0 2032.1 2031.9 2031.9 2031.9 8.9 -0.1 0.2 0.0 NaN 0.1 13451 SP500_micro caleb_strategy_v3 [1] 5539.5 None 5524.875 5525.0 5524.75 5524.75 5530.25 14.625 -0.125 -5.25 -5.5 NaN -5.375 13452 NASDAQ_micro caleb_strategy_v3 [1] 20023.5 None 19964.0 19964.25 19963.75 19963.75 19962.25 59.5 -0.25 2.0 1.5 NaN 1.75 13453 US5 caleb_strategy_v3 [1] 106.875 None 106.878906 106.882812 106.875 106.875 106.84375 -0.003906 -0.003906 0.039062 0.03125 NaN 0.035156 13449 AUD caleb_strategy_v3 [1] 0.66775 None 0.665975 0.666 0.66595 0.66595 0.66605 0.001775 -0.000025 -0.00005 -0.0001 NaN -0.000075 13454 AUD caleb_strategy_v3 [1] 0.66775 None 0.666075 0.6661 0.66605 0.66605 0.66615 0.001675 -0.000025 -0.00005 -0.0001 NaN -0.000075 13456 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 261.8 None 260.8375 260.775 260.9 260.9 260.775 -0.9625 -0.0625 -0.0 -0.125 NaN -0.0625 13457 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 261.1 None 260.05 260.1 260.0 260.0 260.15 1.05 -0.05 -0.05 -0.15 NaN -0.1 13458 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 261.8 None 260.825 260.775 260.875 260.875 260.875 -0.975 -0.05 0.1 -0.0 NaN 0.05 13455 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 261.1 None 260.1 260.15 260.05 260.05 260.05 1.0 -0.05 0.1 0.0 NaN 0.05 13440 BUND caleb_strategy_v3 [1] 132.42 None 132.585 132.59 132.58 132.58 132.61 -0.165 -0.005 -0.02 -0.03 NaN -0.025 13439 BUND caleb_strategy_v3 [1] 132.42 None 132.545 132.55 132.54 132.54 NaN -0.125 -0.005 NaN NaN NaN NaN =================================================================================================================================================================== 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 13441 GASOIL caleb_strategy_v3 [1] 192.61375 162.241792 -6.489672 25.958687 12.979343 NaN 19.469015 13443 SUGAR11 caleb_strategy_v3 [1] 4.913085 10.176905 -10.176905 0.0 -20.35381 NaN -10.176905 13444 COPPER _ROLL_PSEUDO_STRATEGY [-1] 1.303155 -713.652555 -3.836842 -42.205259 -49.878942 NaN -46.0421 13445 COPPER _ROLL_PSEUDO_STRATEGY [1] 1.303155 757.776234 -1.918421 -53.715784 -57.552625 NaN -55.634205 13442 GAS_US_mini caleb_strategy_v3 [-1] 1.762451 -14.184793 -14.184793 -0.0 NaN NaN -14.184793 13446 GAS_US_mini caleb_strategy_v3 [-1] 1.762451 -28.369585 -28.369585 -0.0 -56.739171 NaN -28.369585 13447 GAS_US_mini caleb_strategy_v3 [-1] 1.762451 -28.369585 -28.369585 -0.0 -56.739171 NaN -28.369585 13448 EUR caleb_strategy_v3 [-1] 0.066628 -378.967792 -3.752156 -37.521564 -45.025876 NaN -41.27372 13450 RUSSELL caleb_strategy_v3 [1] 354.773235 250.864472 -2.818702 5.637404 0.0 NaN 2.818702 13451 SP500_micro caleb_strategy_v3 [1] 539.214611 271.227814 -2.318186 -97.363831 -102.000203 NaN -99.682017 13452 NASDAQ_micro caleb_strategy_v3 [1] 2623.51359 226.79509 -0.952921 7.623364 5.717523 NaN 6.670444 13453 US5 caleb_strategy_v3 [1] 4.795092 -8.146351 -8.146351 81.463513 65.17081 NaN 73.317162 13449 AUD caleb_strategy_v3 [1] 0.059117 300.25444 -4.228936 -8.457872 -16.915743 NaN -12.686807 13454 AUD caleb_strategy_v3 [1] 0.059117 283.338697 -4.228936 -8.457872 -16.915743 NaN -12.686807 13456 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 33.511047 -287.218719 -18.650566 -0.0 -37.301132 NaN -18.650566 13457 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 33.511047 313.329512 -14.920453 -14.920453 -44.761359 NaN -29.840906 13458 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 33.511047 -290.948832 -14.920453 29.840906 -0.0 NaN 14.920453 13455 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 33.511047 298.409059 -14.920453 29.840906 0.0 NaN 14.920453 13440 BUND caleb_strategy_v3 [1] 10.573803 -156.046027 -4.728667 -18.91467 -28.372005 NaN -23.643337 13439 BUND caleb_strategy_v3 [1] 10.573803 -118.216687 -4.728667 NaN NaN NaN NaN ============================================================================================================================================================================ 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 13441 GASOIL caleb_strategy_v3 [1] 100.0 312.5 -12.5 50.0 25.0 NaN 37.5 13443 SUGAR11 caleb_strategy_v3 [1] 1120.0 5.6 -5.6 0.0 -11.2 NaN -5.6 13444 COPPER _ROLL_PSEUDO_STRATEGY [-1] 25000.0 -2325.0 -12.5 -137.5 -162.5 NaN -150.0 13445 COPPER _ROLL_PSEUDO_STRATEGY [1] 25000.0 2468.75 -6.25 -175.0 -187.5 NaN -181.25 13442 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -6.25 -6.25 -0.0 NaN NaN -6.25 13446 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -12.5 -12.5 -0.0 -25.0 NaN -12.5 13447 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -12.5 -12.5 -0.0 -25.0 NaN -12.5 13448 EUR caleb_strategy_v3 [-1] 125000.0 -315.625 -3.125 -31.25 -37.5 NaN -34.375 13450 RUSSELL caleb_strategy_v3 [1] 5.0 44.5 -0.5 1.0 0.0 NaN 0.5 13451 SP500_micro caleb_strategy_v3 [1] 5.0 73.125 -0.625 -26.25 -27.5 NaN -26.875 13452 NASDAQ_micro caleb_strategy_v3 [1] 2.0 119.0 -0.5 4.0 3.0 NaN 3.5 13453 US5 caleb_strategy_v3 [1] 1000.0 -3.90625 -3.90625 39.0625 31.25 NaN 35.15625 13449 AUD caleb_strategy_v3 [1] 100000.0 177.5 -2.5 -5.0 -10.0 NaN -7.5 13454 AUD caleb_strategy_v3 [1] 100000.0 167.5 -2.5 -5.0 -10.0 NaN -7.5 13456 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 500.0 -481.25 -31.25 -0.0 -62.5 NaN -31.25 13457 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 500.0 525.0 -25.0 -25.0 -75.0 NaN -50.0 13458 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 500.0 -487.5 -25.0 50.0 -0.0 NaN 25.0 13455 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 500.0 500.0 -25.0 50.0 0.0 NaN 25.0 13440 BUND caleb_strategy_v3 [1] 1071.9 -176.8635 -5.3595 -21.438 -32.157 NaN -26.7975 13439 BUND caleb_strategy_v3 [1] 1071.9 -133.9875 -5.3595 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COPPER 143.75 FEEDCOW 56.25 caleb_strategy_v3 AUD 345.0 BUND -310.851 EUR -315.625 GASOIL 312.5 GAS_US_mini -31.25 NASDAQ_micro 119.0 RUSSELL 44.5 SP500_micro 73.125 SUGAR11 5.6 US5 -3.90625 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 200.0 caleb_strategy_v3 238.09275 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COPPER -18.75 FEEDCOW -106.25 caleb_strategy_v3 AUD -5.0 BUND -10.719 EUR -3.125 GASOIL -12.5 GAS_US_mini -31.25 NASDAQ_micro -0.5 RUSSELL -0.5 SP500_micro -0.625 SUGAR11 -5.6 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -125.0 caleb_strategy_v3 -73.72525 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COPPER -312.5 FEEDCOW 75.0 caleb_strategy_v3 AUD -10.0 BUND -21.438 EUR -31.25 GASOIL 50.0 GAS_US_mini -0.0 NASDAQ_micro 4.0 RUSSELL 1.0 SP500_micro -26.25 SUGAR11 0.0 US5 39.0625 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -237.5 caleb_strategy_v3 5.1245 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COPPER -350.0 FEEDCOW -137.5 caleb_strategy_v3 AUD -20.0 BUND -32.157 EUR -37.5 GASOIL 25.0 GAS_US_mini -50.0 NASDAQ_micro 3.0 RUSSELL 0.0 SP500_micro -27.5 SUGAR11 -11.2 US5 31.25 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -487.5 caleb_strategy_v3 -119.107 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COPPER 0 FEEDCOW 0 caleb_strategy_v3 AUD 0 BUND 0 EUR 0 GASOIL 0 GAS_US_mini 0 NASDAQ_micro 0 RUSSELL 0 SP500_micro 0 SUGAR11 0 US5 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COPPER -331.25 FEEDCOW -31.25 caleb_strategy_v3 AUD -15.0 BUND -26.7975 EUR -34.375 GASOIL 37.5 GAS_US_mini -31.25 NASDAQ_micro 3.5 RUSSELL 0.5 SP500_micro -26.875 SUGAR11 -5.6 US5 35.15625 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -362.5 caleb_strategy_v3 -63.24125 ******************************************************************************** END OF REPORT ********************************************************************************