******************************************************************************** Trades report produced on 28/06/2024 21:38 from 27/06/2024 21:38 to 28/06/2024 21:38 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 13580 AUD caleb_strategy_v3 [20240900] 2024-06-28 14:00:43.000 [1] 0.668300 13584 AUD caleb_strategy_v3 [20240900] 2024-06-28 14:12:13.000 [1] 0.668250 13572 BUXL caleb_strategy_v3 [20240900] 2024-06-28 07:14:25.000 [-1] 131.540000 13576 CANOLA caleb_strategy_v3 [20241100] 2024-06-28 13:04:34.000 [1] 623.200000 13578 CANOLA caleb_strategy_v3 [20241100] 2024-06-28 13:07:17.000 [1] 623.200000 13575 DAX caleb_strategy_v3 [20240900] 2024-06-28 07:33:06.000 [-1] 18436.000000 13573 DAX caleb_strategy_v3 [20240900] 2024-06-28 19:45:01.805 [0] NaN 13583 EUR caleb_strategy_v3 [20240900] 2024-06-28 14:12:09.000 [-1] 1.074000 13571 EUROSTX caleb_strategy_v3 [20240900] 2024-06-28 19:45:01.768 [0] NaN 13574 EUROSTX caleb_strategy_v3 [20240900] 2024-06-28 07:33:05.000 [-1] 4946.000000 13579 GAS_US_mini caleb_strategy_v3 [20240900] 2024-06-28 13:07:25.000 [-1] 2.705000 13577 GAS_US_mini caleb_strategy_v3 [20240900] 2024-06-28 13:07:13.000 [-1] 2.705000 13581 JPY caleb_strategy_v3 [20240900] 2024-06-28 14:02:07.000 [-1] 0.006309 13585 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-06-28 14:17:24.000 [1] 20232.500000 13586 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-06-28 14:17:28.000 [1] 20231.500000 13582 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-06-28 19:45:01.851 [0] NaN 13570 NIKKEI caleb_strategy_v3 [20240900] 2024-06-28 02:05:48.000 [1] 39760.000000 13569 NIKKEI caleb_strategy_v3 [20240900] 2024-06-28 02:05:29.000 [1] 39760.000000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13569 NIKKEI caleb_strategy_v3 2024-06-27 2024-06-28 03:01:16.782 2024-06-28 02:05:29.000 97276.782 NaN 13570 NIKKEI caleb_strategy_v3 2024-06-27 2024-06-28 03:05:33.345 2024-06-28 02:05:48.000 97533.345 NaN 13572 BUXL caleb_strategy_v3 2024-06-27 2024-06-28 08:10:57.854 2024-06-28 07:14:25.000 115857.854 NaN 13576 CANOLA caleb_strategy_v3 2024-06-27 2024-06-28 14:00:40.730 2024-06-28 13:04:34.000 136840.73 NaN 13578 CANOLA caleb_strategy_v3 2024-06-27 2024-06-28 14:07:17.144 2024-06-28 13:07:17.000 137237.144 NaN 13577 GAS_US_mini caleb_strategy_v3 2024-06-27 2024-06-28 14:04:35.130 2024-06-28 13:07:13.000 137075.13 NaN 13579 GAS_US_mini caleb_strategy_v3 2024-06-27 2024-06-28 14:07:17.828 2024-06-28 13:07:25.000 137237.828 NaN 13581 JPY caleb_strategy_v3 2024-06-27 2024-06-28 15:00:44.003 2024-06-28 14:02:07.000 140444.003 NaN 13583 EUR caleb_strategy_v3 2024-06-27 2024-06-28 15:12:09.014 2024-06-28 14:12:09.000 141129.014 NaN 13584 AUD caleb_strategy_v3 2024-06-27 2024-06-28 15:12:12.950 2024-06-28 14:12:13.000 141132.95 NaN 13580 AUD caleb_strategy_v3 2024-06-27 2024-06-28 15:00:43.131 2024-06-28 14:00:43.000 140443.131 NaN 13571 EUROSTX caleb_strategy_v3 2024-06-27 2024-06-28 08:00:56.610 2024-06-28 19:45:01.768 115256.61 42245.158 13574 EUROSTX caleb_strategy_v3 2024-06-27 2024-06-28 08:24:30.831 2024-06-28 07:33:05.000 116670.831 NaN 13585 NASDAQ_micro caleb_strategy_v3 2024-06-27 2024-06-28 15:12:13.546 2024-06-28 14:17:24.000 141133.546 NaN 13586 NASDAQ_micro caleb_strategy_v3 2024-06-27 2024-06-28 15:17:28.158 2024-06-28 14:17:28.000 141448.158 NaN 13582 NASDAQ_micro caleb_strategy_v3 2024-06-27 2024-06-28 15:02:08.175 2024-06-28 19:45:01.851 140528.175 16973.676 13573 DAX caleb_strategy_v3 2024-06-27 2024-06-28 08:14:26.833 2024-06-28 19:45:01.805 116066.833 41434.972 13575 DAX caleb_strategy_v3 2024-06-27 2024-06-28 08:33:06.451 2024-06-28 07:33:06.000 117186.451 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 13569 NIKKEI caleb_strategy_v3 [1] 39555.0 None 39717.5 39720.0 39715.0 39715.0 39760.0 -162.5 -2.5 -40.0 -45.0 NaN -42.5 13570 NIKKEI caleb_strategy_v3 [1] 39555.0 None 39762.5 39765.0 39760.0 39760.0 39760.0 -207.5 -2.5 5.0 0.0 NaN 2.5 13572 BUXL caleb_strategy_v3 [-1] 131.58 None 131.56 131.54 131.58 131.58 131.54 -0.02 -0.02 -0.0 -0.04 NaN -0.02 13576 CANOLA caleb_strategy_v3 [1] 623.0 None 622.35 622.4 622.3 622.3 623.2 0.65 -0.05 -0.8 -0.9 NaN -0.85 13578 CANOLA caleb_strategy_v3 [1] 623.0 None 623.15 623.3 623.0 623.0 623.2 -0.15 -0.15 0.1 -0.2 NaN -0.05 13577 GAS_US_mini caleb_strategy_v3 [-1] 2.675 None 2.7075 2.705 2.71 2.71 2.705 0.0325 -0.0025 -0.0 -0.005 NaN -0.0025 13579 GAS_US_mini caleb_strategy_v3 [-1] 2.675 None 2.71 2.705 2.715 2.715 2.705 0.035 -0.005 -0.0 -0.01 NaN -0.005 13581 JPY caleb_strategy_v3 [-1] 0.006294 None 0.006312 0.006312 0.006313 0.006312 0.006309 0.000018 -0.0 -0.000002 -0.000003 NaN -0.000003 13583 EUR caleb_strategy_v3 [-1] 1.07455 None 1.07375 1.0737 1.0738 1.0738 1.074 -0.0008 -0.00005 0.0003 0.0002 NaN 0.00025 13584 AUD caleb_strategy_v3 [1] 0.666 None 0.66895 0.669 0.6689 0.6689 0.66825 -0.00295 -0.00005 0.00075 0.00065 NaN 0.0007 13580 AUD caleb_strategy_v3 [1] 0.666 None 0.66895 0.669 0.6689 0.6689 0.6683 -0.00295 -0.00005 0.0007 0.0006 NaN 0.00065 13571 EUROSTX caleb_strategy_v3 [-1] 4942.0 None 4959.5 4959.0 4960.0 4960.0 NaN 17.5 -0.5 NaN NaN NaN NaN 13574 EUROSTX caleb_strategy_v3 [-1] 4942.0 None 4964.5 4964.0 4965.0 4965.0 4946.0 22.5 -0.5 -18.0 -19.0 NaN -18.5 13585 NASDAQ_micro caleb_strategy_v3 [1] 20042.0 None 20189.375 20189.5 20189.25 20189.25 20232.5 -147.375 -0.125 -43.0 -43.25 NaN -43.125 13586 NASDAQ_micro caleb_strategy_v3 [1] 20042.0 None 20232.875 20233.0 20232.75 20232.75 20231.5 -190.875 -0.125 1.5 1.25 NaN 1.375 13582 NASDAQ_micro caleb_strategy_v3 [1] 20042.0 None 20133.0 20133.25 20132.75 20132.75 NaN -91.0 -0.25 NaN NaN NaN NaN 13573 DAX caleb_strategy_v3 [-1] 18390.0 None 18463.5 18462.0 18465.0 18465.0 NaN 73.5 -1.5 NaN NaN NaN NaN 13575 DAX caleb_strategy_v3 [-1] 18390.0 None 18465.0 18464.0 18466.0 18466.0 18436.0 75.0 -1.0 -28.0 -30.0 NaN -29.0 =============================================================================================================================================================== 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 13569 NIKKEI caleb_strategy_v3 [1] 5556.41178 -292.454927 -4.499307 -71.988905 -80.987518 NaN -76.488212 13570 NIKKEI caleb_strategy_v3 [1] 5556.41178 -373.442445 -4.499307 8.998613 0.0 NaN 4.499307 13572 BUXL caleb_strategy_v3 [-1] 24.033662 -8.321661 -8.321661 -0.0 -16.643323 NaN -8.321661 13576 CANOLA caleb_strategy_v3 [1] 147.256902 44.140546 -3.395427 -54.326825 -61.117679 NaN -57.722252 13578 CANOLA caleb_strategy_v3 [1] 147.256902 -10.18628 -10.18628 6.790853 -13.581706 NaN -3.395427 13577 GAS_US_mini caleb_strategy_v3 [-1] 1.723348 188.586447 -14.50665 -0.0 -29.0133 NaN -14.50665 13579 GAS_US_mini caleb_strategy_v3 [-1] 1.723348 203.093097 -29.0133 -0.0 -58.026599 NaN -29.0133 13581 JPY caleb_strategy_v3 [-1] 0.000544 321.890625 -9.196875 -45.984375 -64.378125 NaN -55.18125 13583 EUR caleb_strategy_v3 [-1] 0.064294 -124.429293 -7.776831 46.660985 31.107323 NaN 38.884154 13584 AUD caleb_strategy_v3 [1] 0.054777 -538.547732 -9.127928 136.918915 118.66306 NaN 127.790987 13580 AUD caleb_strategy_v3 [1] 0.054777 -538.547732 -9.127928 127.790987 109.535132 NaN 118.66306 13571 EUROSTX caleb_strategy_v3 [-1] 667.858061 262.031725 -7.486621 NaN NaN NaN NaN 13574 EUROSTX caleb_strategy_v3 [-1] 667.858061 336.897933 -7.486621 -269.518346 -284.491587 NaN -277.004967 13585 NASDAQ_micro caleb_strategy_v3 [1] 2630.806738 -560.189382 -0.475139 -163.447962 -164.398241 NaN -163.923102 13586 NASDAQ_micro caleb_strategy_v3 [1] 2630.806738 -725.537901 -0.475139 5.701673 4.751394 NaN 5.226534 13582 NASDAQ_micro caleb_strategy_v3 [1] 2630.806738 -345.901501 -0.950279 NaN NaN NaN NaN 13573 DAX caleb_strategy_v3 [-1] 2217.384731 331.471571 -6.764726 NaN NaN NaN NaN 13575 DAX caleb_strategy_v3 [-1] 2217.384731 338.236297 -4.509817 -126.274884 -135.294519 NaN -130.784701 ========================================================================================================================================================================= 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 13569 NIKKEI caleb_strategy_v3 [1] 0.621207 -100.946098 -1.553017 -24.84827 -27.954304 NaN -26.401287 13570 NIKKEI caleb_strategy_v3 [1] 0.621207 -128.900402 -1.553017 3.106034 0.0 NaN 1.553017 13572 BUXL caleb_strategy_v3 [-1] 1069.1 -21.382 -21.382 -0.0 -42.764 NaN -21.382 13576 CANOLA caleb_strategy_v3 [1] 14.571418 9.471422 -0.728571 -11.657135 -13.114276 NaN -12.385705 13578 CANOLA caleb_strategy_v3 [1] 14.571418 -2.185713 -2.185713 1.457142 -2.914284 NaN -0.728571 13577 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 81.25 -6.25 -0.0 -12.5 NaN -6.25 13579 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 87.5 -12.5 -0.0 -25.0 NaN -12.5 13581 JPY caleb_strategy_v3 [-1] 12500000.0 218.75 -6.25 -31.25 -43.75 NaN -37.5 13583 EUR caleb_strategy_v3 [-1] 125000.0 -100.0 -6.25 37.5 25.0 NaN 31.25 13584 AUD caleb_strategy_v3 [1] 100000.0 -295.0 -5.0 75.0 65.0 NaN 70.0 13580 AUD caleb_strategy_v3 [1] 100000.0 -295.0 -5.0 70.0 60.0 NaN 65.0 13571 EUROSTX caleb_strategy_v3 [-1] 10.691 187.0925 -5.3455 NaN NaN NaN NaN 13574 EUROSTX caleb_strategy_v3 [-1] 10.691 240.5475 -5.3455 -192.438 -203.129 NaN -197.7835 13585 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -294.75 -0.25 -86.0 -86.5 NaN -86.25 13586 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -381.75 -0.25 3.0 2.5 NaN 2.75 13582 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -182.0 -0.5 NaN NaN NaN NaN 13573 DAX caleb_strategy_v3 [-1] 1.0691 78.57885 -1.60365 NaN NaN NaN NaN 13575 DAX caleb_strategy_v3 [-1] 1.0691 80.1825 -1.0691 -29.9348 -32.073 NaN -31.0039 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD -590.0 BUXL -21.382 CANOLA 7.285709 DAX 158.76135 EUR -100.0 EUROSTX 427.64 GAS_US_mini 168.75 JPY 218.75 NASDAQ_micro -858.5 NIKKEI -229.8465 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -818.541441 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -10.0 BUXL -21.382 CANOLA -2.914284 DAX -2.67275 EUR -6.25 EUROSTX -10.691 GAS_US_mini -18.75 JPY -6.25 NASDAQ_micro -1.0 NIKKEI -3.106034 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -83.016067 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 145.0 BUXL -0.0 CANOLA -10.199993 DAX -29.9348 EUR 37.5 EUROSTX -192.438 GAS_US_mini -0.0 JPY -31.25 NASDAQ_micro -83.0 NIKKEI -21.742236 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -186.065029 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 125.0 BUXL -42.764 CANOLA -16.02856 DAX -32.073 EUR 25.0 EUROSTX -203.129 GAS_US_mini -37.5 JPY -43.75 NASDAQ_micro -84.0 NIKKEI -27.954304 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -337.198864 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 BUXL 0 CANOLA 0 DAX 0 EUR 0 EUROSTX 0 GAS_US_mini 0 JPY 0 NASDAQ_micro 0 NIKKEI 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 AUD 135.0 BUXL -21.382 CANOLA -13.114276 DAX -31.0039 EUR 31.25 EUROSTX -197.7835 GAS_US_mini -18.75 JPY -37.5 NASDAQ_micro -83.5 NIKKEI -24.84827 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -261.631947 ******************************************************************************** END OF REPORT ********************************************************************************