******************************************************************************** Trades report produced on 26/06/2024 21:37 from 25/06/2024 21:37 to 26/06/2024 21:37 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 13519 CHF caleb_strategy_v3 [20240900] 2024-06-26 14:01:43.000 [1] 1.125800 13512 DAX caleb_strategy_v3 [20240900] 2024-06-26 07:05:17.000 [1] 18449.000000 13513 DAX caleb_strategy_v3 [20240900] 2024-06-26 07:06:18.000 [1] 18454.000000 13511 DAX caleb_strategy_v3 [20240900] 2024-06-26 07:05:13.000 [1] 18454.000000 13520 JPY caleb_strategy_v3 [20240900] 2024-06-26 14:02:40.000 [-1] 0.006309 13517 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-06-26 14:01:22.000 [-1] 19976.250000 13518 RUSSELL caleb_strategy_v3 [20240900] 2024-06-26 14:01:26.000 [-1] 2034.400000 13521 SOYBEAN caleb_strategy_v3 [20241100] 2024-06-26 14:35:53.000 [-1] 1108.250000 13514 SUGAR11 _ROLL_PSEUDO_STRATEGY [20241000] 2024-06-26 13:00:45.000 [1] 19.440000 13515 SUGAR11 _ROLL_PSEUDO_STRATEGY [20250300] 2024-06-26 19:45:05.821 [0] NaN 13516 SUGAR11 _ROLL_PSEUDO_STRATEGY [20250300] 2024-06-26 13:15:02.000 [-1] 19.720000 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13512 DAX caleb_strategy_v3 2024-06-25 00:00:00 2024-06-26 08:05:17.305 2024-06-26 07:05:17.000 115517.305 NaN 13513 DAX caleb_strategy_v3 2024-06-25 00:00:00 2024-06-26 08:06:17.639 2024-06-26 07:06:18.000 115577.639 NaN 13511 DAX caleb_strategy_v3 2024-06-25 00:00:00 2024-06-26 08:00:28.630 2024-06-26 07:05:13.000 115228.63 NaN 13517 NASDAQ_micro caleb_strategy_v3 2024-06-25 00:00:00 2024-06-26 15:00:15.746 2024-06-26 14:01:22.000 140415.746 NaN 13518 RUSSELL caleb_strategy_v3 2024-06-25 00:00:00 2024-06-26 15:01:23.483 2024-06-26 14:01:26.000 140483.483 NaN 13519 CHF caleb_strategy_v3 2024-06-25 00:00:00 2024-06-26 15:01:27.594 2024-06-26 14:01:43.000 140487.594 NaN 13520 JPY caleb_strategy_v3 2024-06-25 00:00:00 2024-06-26 15:01:44.430 2024-06-26 14:02:40.000 140504.43 NaN 13521 SOYBEAN caleb_strategy_v3 2024-06-25 00:00:00 2024-06-26 15:30:07.183 2024-06-26 14:35:53.000 142207.183 NaN 13514 SUGAR11 _ROLL_PSEUDO_STRATEGY 2024-06-25 17:00:00 2024-06-26 14:00:45.190 2024-06-26 13:00:45.000 75645.19 NaN 13515 SUGAR11 _ROLL_PSEUDO_STRATEGY 2024-06-25 17:00:00 2024-06-26 14:00:46.286 2024-06-26 19:45:05.821 75646.286 20659.535 13516 SUGAR11 _ROLL_PSEUDO_STRATEGY 2024-06-25 17:00:00 2024-06-26 14:10:50.121 2024-06-26 13:15:02.000 76250.121 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 13512 DAX caleb_strategy_v3 [1] 18371.0 None 18454.0 18455.0 18453.0 18453.0 18449.0 -83.0 -1.0 6.0 4.0 NaN 5.0 13513 DAX caleb_strategy_v3 [1] 18371.0 None 18454.0 18455.0 18453.0 18453.0 18454.0 -83.0 -1.0 1.0 -1.0 NaN 0.0 13511 DAX caleb_strategy_v3 [1] 18371.0 None 18460.0 18461.0 18459.0 18459.0 18454.0 -89.0 -1.0 7.0 5.0 NaN 6.0 13517 NASDAQ_micro caleb_strategy_v3 [-1] 19948.75 None 19976.625 19976.5 19976.75 19976.75 19976.25 27.875 -0.125 -0.25 -0.5 NaN -0.375 13518 RUSSELL caleb_strategy_v3 [-1] 2041.9 None 2034.75 2034.7 2034.8 2034.8 2034.4 -7.15 -0.05 -0.3 -0.4 NaN -0.35 13519 CHF caleb_strategy_v3 [1] 1.12895 None 1.125825 1.12585 1.1258 1.1258 1.1258 0.003125 -0.000025 0.00005 0.0 NaN 0.000025 13520 JPY caleb_strategy_v3 [-1] 0.006341 None 0.00631 0.006309 0.00631 0.00631 0.006309 -0.000032 -0.0 -0.0 -0.000001 NaN -0.0 13521 SOYBEAN caleb_strategy_v3 [-1] 1111.25 None 1108.875 1108.75 1109.0 1109.0 1108.25 -2.375 -0.125 -0.5 -0.75 NaN -0.625 13514 SUGAR11 _ROLL_PSEUDO_STRATEGY [1] 19.54 None 19.575 19.58 19.57 19.57 19.44 -0.035 -0.005 0.14 0.13 NaN 0.135 13515 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1] 19.81 None 19.835 19.83 19.84 19.84 NaN 0.025 -0.005 NaN NaN NaN NaN 13516 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1] 19.81 None 19.785 19.78 19.79 19.79 19.72 -0.025 -0.005 -0.06 -0.07 NaN -0.065 =================================================================================================================================================================== 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 13512 DAX caleb_strategy_v3 [1] 2308.67386 -359.513751 -4.331491 25.988946 17.325964 NaN 21.657455 13513 DAX caleb_strategy_v3 [1] 2308.67386 -359.513751 -4.331491 4.331491 -4.331491 NaN 0.0 13511 DAX caleb_strategy_v3 [1] 2308.67386 -385.502697 -4.331491 30.320437 21.657455 NaN 25.988946 13517 NASDAQ_micro caleb_strategy_v3 [-1] 2714.301489 102.696772 -0.460524 -0.921047 -1.842095 NaN -1.381571 13518 RUSSELL caleb_strategy_v3 [-1] 337.510136 -211.84549 -1.481437 -8.888622 -11.851496 NaN -10.370059 13519 CHF caleb_strategy_v3 [1] 0.078611 397.528999 -3.180232 6.360464 0.0 NaN 3.180232 13520 JPY caleb_strategy_v3 [-1] 0.000562 -569.58359 -8.899744 -0.0 -17.799487 NaN -8.899744 13521 SOYBEAN caleb_strategy_v3 [-1] 181.303083 -130.996118 -6.894533 -27.57813 -41.367195 NaN -34.472663 13514 SUGAR11 _ROLL_PSEUDO_STRATEGY [1] 5.020232 -69.717895 -9.959699 278.871579 258.95218 NaN 268.91188 13515 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1] 5.020232 49.798496 -9.959699 NaN NaN NaN NaN 13516 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1] 5.020232 -49.798496 -9.959699 -119.516391 -139.435789 NaN -129.47609 ============================================================================================================================================================================ 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 13512 DAX caleb_strategy_v3 [1] 1.07035 -88.83905 -1.07035 6.4221 4.2814 NaN 5.35175 13513 DAX caleb_strategy_v3 [1] 1.07035 -88.83905 -1.07035 1.07035 -1.07035 NaN 0.0 13511 DAX caleb_strategy_v3 [1] 1.07035 -95.26115 -1.07035 7.49245 5.35175 NaN 6.4221 13517 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 55.75 -0.25 -0.5 -1.0 NaN -0.75 13518 RUSSELL caleb_strategy_v3 [-1] 5.0 -35.75 -0.25 -1.5 -2.0 NaN -1.75 13519 CHF caleb_strategy_v3 [1] 125000.0 390.625 -3.125 6.25 0.0 NaN 3.125 13520 JPY caleb_strategy_v3 [-1] 12500000.0 -400.0 -6.25 -0.0 -12.5 NaN -6.25 13521 SOYBEAN caleb_strategy_v3 [-1] 50.0 -118.75 -6.25 -25.0 -37.5 NaN -31.25 13514 SUGAR11 _ROLL_PSEUDO_STRATEGY [1] 1120.0 -39.2 -5.6 156.8 145.6 NaN 151.2 13515 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1] 1120.0 28.0 -5.6 NaN NaN NaN NaN 13516 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1] 1120.0 -28.0 -5.6 -67.2 -78.4 NaN -72.8 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SUGAR11 -39.2 caleb_strategy_v3 CHF 390.625 DAX -272.93925 JPY -400.0 NASDAQ_micro 55.75 RUSSELL -35.75 SOYBEAN -118.75 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -39.2 caleb_strategy_v3 -381.06425 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SUGAR11 -16.8 caleb_strategy_v3 CHF -3.125 DAX -3.21105 JPY -6.25 NASDAQ_micro -0.25 RUSSELL -0.25 SOYBEAN -6.25 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -16.8 caleb_strategy_v3 -19.33605 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SUGAR11 89.6 caleb_strategy_v3 CHF 6.25 DAX 14.9849 JPY -0.0 NASDAQ_micro -0.5 RUSSELL -1.5 SOYBEAN -25.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 89.6 caleb_strategy_v3 -5.7651 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SUGAR11 67.2 caleb_strategy_v3 CHF 0.0 DAX 8.5628 JPY -12.5 NASDAQ_micro -1.0 RUSSELL -2.0 SOYBEAN -37.5 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 67.2 caleb_strategy_v3 -44.4372 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SUGAR11 0 caleb_strategy_v3 CHF 0 DAX 0 JPY 0 NASDAQ_micro 0 RUSSELL 0 SOYBEAN 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 SUGAR11 78.4 caleb_strategy_v3 CHF 3.125 DAX 11.77385 JPY -6.25 NASDAQ_micro -0.75 RUSSELL -1.75 SOYBEAN -31.25 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 78.4 caleb_strategy_v3 -25.10115 ******************************************************************************** END OF REPORT ********************************************************************************