******************************************************************************** Trades report produced on 02/07/2024 21:38 from 01/07/2024 21:38 to 02/07/2024 21:38 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 13594 CANOLA caleb_strategy_v3 [20241100] 2024-07-02 13:00:40.000 [1] 647.90000 13597 CANOLA caleb_strategy_v3 [20241100] 2024-07-02 13:01:40.000 [1] 648.00000 13598 CANOLA caleb_strategy_v3 [20241100] 2024-07-02 13:02:40.000 [1] 647.30000 13593 DAX caleb_strategy_v3 [20240900] 2024-07-02 07:00:30.000 [1] 18396.00000 13596 DX caleb_strategy_v3 [20240900] 2024-07-02 13:00:48.000 [1] 105.54500 13602 FEEDCOW caleb_strategy_v3 [20241000] 2024-07-02 14:30:35.000 [-1] 259.90000 13595 GAS_US_mini caleb_strategy_v3 [20240900] 2024-07-02 13:00:47.000 [-1] 2.46500 13603 LEANHOG caleb_strategy_v3 [20241000] 2024-07-02 14:30:37.000 [1] 73.70000 13592 NIKKEI caleb_strategy_v3 [20240900] 2024-07-02 02:03:17.000 [1] 39855.00000 13590 NIKKEI caleb_strategy_v3 [20240900] 2024-07-02 02:01:17.000 [1] 39835.00000 13591 NIKKEI caleb_strategy_v3 [20240900] 2024-07-02 02:02:17.000 [1] 39835.00000 13599 RUSSELL caleb_strategy_v3 [20240900] 2024-07-02 14:01:11.000 [1] 2055.00000 13600 US30 caleb_strategy_v3 [20240900] 2024-07-02 19:45:04.847 [0] NaN 13601 US30 caleb_strategy_v3 [20240900] 2024-07-02 14:19:29.000 [-1] 123.03125 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13592 NIKKEI caleb_strategy_v3 2024-07-01 2024-07-02 03:03:17.123 2024-07-02 02:03:17.000 97397.123 NaN 13590 NIKKEI caleb_strategy_v3 2024-07-01 2024-07-02 03:01:17.002 2024-07-02 02:01:17.000 97277.002 NaN 13591 NIKKEI caleb_strategy_v3 2024-07-01 2024-07-02 03:02:17.054 2024-07-02 02:02:17.000 97337.054 NaN 13593 DAX caleb_strategy_v3 2024-07-01 2024-07-02 08:00:30.514 2024-07-02 07:00:30.000 115230.514 NaN 13595 GAS_US_mini caleb_strategy_v3 2024-07-01 2024-07-02 14:00:41.098 2024-07-02 13:00:47.000 136841.098 NaN 13596 DX caleb_strategy_v3 2024-07-01 2024-07-02 14:00:48.546 2024-07-02 13:00:48.000 136848.546 NaN 13594 CANOLA caleb_strategy_v3 2024-06-28 2024-07-02 14:00:40.230 2024-07-02 13:00:40.000 396040.23 NaN 13597 CANOLA caleb_strategy_v3 2024-06-28 2024-07-02 14:01:39.955 2024-07-02 13:01:40.000 396099.955 NaN 13598 CANOLA caleb_strategy_v3 2024-06-28 2024-07-02 14:02:39.989 2024-07-02 13:02:40.000 396159.989 NaN 13599 RUSSELL caleb_strategy_v3 2024-07-01 2024-07-02 15:00:47.146 2024-07-02 14:01:11.000 140447.146 NaN 13602 FEEDCOW caleb_strategy_v3 2024-07-01 2024-07-02 15:30:35.814 2024-07-02 14:30:35.000 142235.814 NaN 13603 LEANHOG caleb_strategy_v3 2024-07-01 2024-07-02 15:30:37.150 2024-07-02 14:30:37.000 142237.15 NaN 13600 US30 caleb_strategy_v3 2024-07-01 2024-07-02 15:01:12.610 2024-07-02 19:45:04.847 140472.61 17032.237 13601 US30 caleb_strategy_v3 2024-07-01 2024-07-02 15:11:16.516 2024-07-02 14:19:29.000 141076.516 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 13592 NIKKEI caleb_strategy_v3 [1] 39475.0 None 39917.5 39920.0 39915.0 39915.0 39855.0 -442.5 -2.5 65.0 60.0 NaN 62.5 13590 NIKKEI caleb_strategy_v3 [1] 39475.0 None 39937.5 39940.0 39935.0 39935.0 39835.0 -462.5 -2.5 105.0 100.0 NaN 102.5 13591 NIKKEI caleb_strategy_v3 [1] 39475.0 None 39937.5 39940.0 39935.0 39935.0 39835.0 -462.5 -2.5 105.0 100.0 NaN 102.5 13593 DAX caleb_strategy_v3 [1] 18494.0 None 18440.5 18441.0 18440.0 18440.0 18396.0 53.5 -0.5 45.0 44.0 NaN 44.5 13595 GAS_US_mini caleb_strategy_v3 [-1] 2.495 None 2.46 2.455 2.465 2.465 2.465 -0.035 -0.005 0.01 -0.0 NaN 0.005 13596 DX caleb_strategy_v3 [1] 105.575 None 105.5575 105.56 105.555 105.555 105.545 0.0175 -0.0025 0.015 0.01 NaN 0.0125 13594 CANOLA caleb_strategy_v3 [1] 627.1 None 648.45 648.6 648.3 648.3 647.9 -21.35 -0.15 0.7 0.4 NaN 0.55 13597 CANOLA caleb_strategy_v3 [1] 627.1 None 648.45 648.6 648.3 648.3 648.0 -21.35 -0.15 0.6 0.3 NaN 0.45 13598 CANOLA caleb_strategy_v3 [1] 627.1 None 648.45 648.6 648.3 648.3 647.3 -21.35 -0.15 1.3 1.0 NaN 1.15 13599 RUSSELL caleb_strategy_v3 [1] 2049.3 None 2054.6 2054.7 2054.5 2054.5 2055.0 -5.3 -0.1 -0.3 -0.5 NaN -0.4 13602 FEEDCOW caleb_strategy_v3 [-1] 258.025 None 259.825 259.775 259.875 259.875 259.9 1.8 -0.05 0.125 0.025 NaN 0.075 13603 LEANHOG caleb_strategy_v3 [1] 74.125 None 73.775 73.8 73.75 73.75 73.7 0.35 -0.025 0.1 0.05 NaN 0.075 13600 US30 caleb_strategy_v3 [-1] 122.4375 None 123.328125 123.3125 123.34375 123.34375 NaN 0.890625 -0.015625 NaN NaN NaN NaN 13601 US30 caleb_strategy_v3 [-1] 122.4375 None 123.140625 123.125 123.15625 123.15625 123.03125 0.703125 -0.015625 -0.09375 -0.125 NaN -0.109375 ================================================================================================================================================================ 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 13592 NIKKEI caleb_strategy_v3 [1] 5532.166039 -799.867533 -4.519026 117.494666 108.456615 NaN 112.97564 13590 NIKKEI caleb_strategy_v3 [1] 5532.166039 -836.019738 -4.519026 189.799076 180.761024 NaN 185.28005 13591 NIKKEI caleb_strategy_v3 [1] 5532.166039 -836.019738 -4.519026 189.799076 180.761024 NaN 185.28005 13593 DAX caleb_strategy_v3 [1] 2194.554566 243.785235 -2.278367 205.053001 200.496268 NaN 202.774634 13595 GAS_US_mini caleb_strategy_v3 [-1] 1.683633 -207.883768 -29.697681 59.395362 -0.0 NaN 29.697681 13596 DX caleb_strategy_v3 [1] 5.813334 30.103208 -4.300458 25.802749 17.201833 NaN 21.502291 13594 CANOLA caleb_strategy_v3 [1] 146.525686 -1457.082414 -10.237113 47.773194 27.298968 NaN 37.536081 13597 CANOLA caleb_strategy_v3 [1] 146.525686 -1457.082414 -10.237113 40.948452 20.474226 NaN 30.711339 13598 CANOLA caleb_strategy_v3 [1] 146.525686 -1457.082414 -10.237113 88.721646 68.24742 NaN 78.484533 13599 RUSSELL caleb_strategy_v3 [1] 329.661085 -160.771175 -3.033418 -9.100255 -15.167092 NaN -12.133674 13602 FEEDCOW caleb_strategy_v3 [-1] 32.053728 561.557138 -15.598809 38.997023 7.799405 NaN 23.398214 13603 LEANHOG caleb_strategy_v3 [1] 18.905238 185.13388 -13.223849 52.895394 26.447697 NaN 39.671546 13600 US30 caleb_strategy_v3 [-1] 20.885791 426.426273 -7.481163 NaN NaN NaN NaN 13601 US30 caleb_strategy_v3 [-1] 20.885791 336.65232 -7.481163 -44.886976 -59.849301 NaN -52.368139 ========================================================================================================================================================================= 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 13592 NIKKEI caleb_strategy_v3 [1] 0.618477 -273.676073 -1.546193 40.201005 37.10862 NaN 38.654813 13590 NIKKEI caleb_strategy_v3 [1] 0.618477 -286.045613 -1.546193 64.940085 61.8477 NaN 63.393893 13591 NIKKEI caleb_strategy_v3 [1] 0.618477 -286.045613 -1.546193 64.940085 61.8477 NaN 63.393893 13593 DAX caleb_strategy_v3 [1] 1.07355 57.434925 -0.536775 48.30975 47.2362 NaN 47.772975 13595 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -87.5 -12.5 25.0 -0.0 NaN 12.5 13596 DX caleb_strategy_v3 [1] 1000.0 17.5 -2.5 15.0 10.0 NaN 12.5 13594 CANOLA caleb_strategy_v3 [1] 14.549158 -310.624523 -2.182374 10.184411 5.819663 NaN 8.002037 13597 CANOLA caleb_strategy_v3 [1] 14.549158 -310.624523 -2.182374 8.729495 4.364747 NaN 6.547121 13598 CANOLA caleb_strategy_v3 [1] 14.549158 -310.624523 -2.182374 18.913905 14.549158 NaN 16.731532 13599 RUSSELL caleb_strategy_v3 [1] 5.0 -26.5 -0.5 -1.5 -2.5 NaN -2.0 13602 FEEDCOW caleb_strategy_v3 [-1] 500.0 900.0 -25.0 62.5 12.5 NaN 37.5 13603 LEANHOG caleb_strategy_v3 [1] 400.0 140.0 -10.0 40.0 20.0 NaN 30.0 13600 US30 caleb_strategy_v3 [-1] 1000.0 890.625 -15.625 NaN NaN NaN NaN 13601 US30 caleb_strategy_v3 [-1] 1000.0 703.125 -15.625 -93.75 -125.0 NaN -109.375 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CANOLA -931.873568 DAX 57.434925 DX 17.5 FEEDCOW 900.0 GAS_US_mini -87.5 LEANHOG 140.0 NIKKEI -845.767298 RUSSELL -26.5 US30 1593.75 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 817.044059 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CANOLA -6.547121 DAX -0.536775 DX -2.5 FEEDCOW -25.0 GAS_US_mini -12.5 LEANHOG -10.0 NIKKEI -4.638578 RUSSELL -0.5 US30 -31.25 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -93.472474 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CANOLA 37.827811 DAX 48.30975 DX 15.0 FEEDCOW 62.5 GAS_US_mini 25.0 LEANHOG 40.0 NIKKEI 170.081175 RUSSELL -1.5 US30 -93.75 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 303.468736 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CANOLA 24.733569 DAX 47.2362 DX 10.0 FEEDCOW 12.5 GAS_US_mini -0.0 LEANHOG 20.0 NIKKEI 160.80402 RUSSELL -2.5 US30 -125.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 147.773789 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CANOLA 0 DAX 0 DX 0 FEEDCOW 0 GAS_US_mini 0 LEANHOG 0 NIKKEI 0 RUSSELL 0 US30 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 CANOLA 31.28069 DAX 47.772975 DX 12.5 FEEDCOW 37.5 GAS_US_mini 12.5 LEANHOG 30.0 NIKKEI 165.442598 RUSSELL -2.0 US30 -109.375 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 225.621262 ******************************************************************************** END OF REPORT ********************************************************************************