******************************************************************************** Trades report produced on 10/07/2024 21:38 from 09/07/2024 21:38 to 10/07/2024 21:38 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 13761 AUD caleb_strategy_v3 [20240900] 2024-07-10 14:01:55 [1] 0.67560 13760 EUR caleb_strategy_v3 [20240900] 2024-07-10 14:01:54 [1] 1.08560 13763 FEEDCOW caleb_strategy_v3 [20241000] 2024-07-10 14:30:05 [-1] 254.85000 13754 GAS_US_mini caleb_strategy_v3 [20240900] 2024-07-10 13:01:18 [-1] 2.35500 13755 GOLD_micro caleb_strategy_v3 [20240800] 2024-07-10 13:01:19 [1] 2385.50000 13756 GOLD_micro caleb_strategy_v3 [20240800] 2024-07-10 13:01:42 [1] 2385.10000 13757 GOLD_micro caleb_strategy_v3 [20240800] 2024-07-10 13:02:42 [1] 2385.40000 13762 MXP caleb_strategy_v3 [20240900] 2024-07-10 14:01:59 [1] 0.05551 13758 MXP caleb_strategy_v3 [20240900] 2024-07-10 14:00:47 [1] 0.05552 13759 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-07-10 14:00:48 [-1] 20759.50000 13753 NIKKEI caleb_strategy_v3 [20240900] 2024-07-10 02:01:21 [1] 41685.00000 13764 SOYOIL _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-10 14:30:07 [1] 46.45000 13765 SOYOIL _ROLL_PSEUDO_STRATEGY [20241200] 2024-07-10 14:39:14 [-1] 46.21000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13753 NIKKEI caleb_strategy_v3 2024-07-09 00:00:00 2024-07-10 03:01:20.851 2024-07-10 02:01:21 97280.851 NaN 13754 GAS_US_mini caleb_strategy_v3 2024-07-09 00:00:00 2024-07-10 14:00:42.582 2024-07-10 13:01:18 136842.582 NaN 13755 GOLD_micro caleb_strategy_v3 2024-07-09 00:00:00 2024-07-10 14:01:19.799 2024-07-10 13:01:19 136879.799 NaN 13756 GOLD_micro caleb_strategy_v3 2024-07-09 00:00:00 2024-07-10 14:01:42.251 2024-07-10 13:01:42 136902.251 NaN 13757 GOLD_micro caleb_strategy_v3 2024-07-09 00:00:00 2024-07-10 14:02:42.106 2024-07-10 13:02:42 136962.106 NaN 13759 NASDAQ_micro caleb_strategy_v3 2024-07-09 00:00:00 2024-07-10 15:00:48.102 2024-07-10 14:00:48 140448.102 NaN 13760 EUR caleb_strategy_v3 2024-07-09 00:00:00 2024-07-10 15:00:49.079 2024-07-10 14:01:54 140449.079 NaN 13761 AUD caleb_strategy_v3 2024-07-09 00:00:00 2024-07-10 15:01:55.074 2024-07-10 14:01:55 140515.074 NaN 13762 MXP caleb_strategy_v3 2024-07-09 00:00:00 2024-07-10 15:01:59.205 2024-07-10 14:01:59 140519.205 NaN 13758 MXP caleb_strategy_v3 2024-07-09 00:00:00 2024-07-10 15:00:47.076 2024-07-10 14:00:47 140447.076 NaN 13763 FEEDCOW caleb_strategy_v3 2024-07-09 00:00:00 2024-07-10 15:30:05.014 2024-07-10 14:30:05 142205.014 NaN 13764 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-07-09 19:00:00 2024-07-10 15:30:06.294 2024-07-10 14:30:07 73806.294 NaN 13765 SOYOIL _ROLL_PSEUDO_STRATEGY 2024-07-09 19:00:00 2024-07-10 15:30:08.622 2024-07-10 14:39:14 73808.622 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 13753 NIKKEI caleb_strategy_v3 [1] 41500.0 None 41727.5 41730.0 41725.0 41725.0 41685.0 -227.5 -2.5 45.0 40.0 NaN 42.5 13754 GAS_US_mini caleb_strategy_v3 [-1] 2.365 None 2.36 2.355 2.365 2.365 2.355 -0.005 -0.005 -0.0 -0.01 NaN -0.005 13755 GOLD_micro caleb_strategy_v3 [1] 2371.1 None 2387.65 2387.7 2387.6 2387.6 2385.5 -16.55 -0.05 2.2 2.1 NaN 2.15 13756 GOLD_micro caleb_strategy_v3 [1] 2371.1 None 2387.65 2387.7 2387.6 2387.6 2385.1 -16.55 -0.05 2.6 2.5 NaN 2.55 13757 GOLD_micro caleb_strategy_v3 [1] 2371.1 None 2387.85 2387.9 2387.8 2387.8 2385.4 -16.75 -0.05 2.5 2.4 NaN 2.45 13759 NASDAQ_micro caleb_strategy_v3 [-1] 20671.25 None 20765.375 20765.25 20765.5 NaN 20759.5 94.125 -0.125 -5.75 NaN NaN -5.875 13760 EUR caleb_strategy_v3 [1] 1.0847 None 1.085475 1.0855 1.08545 1.08545 1.0856 -0.000775 -0.000025 -0.0001 -0.00015 NaN -0.000125 13761 AUD caleb_strategy_v3 [1] 0.6753 None 0.675625 0.67565 0.6756 0.6756 0.6756 -0.000325 -0.000025 0.00005 0.0 NaN 0.000025 13762 MXP caleb_strategy_v3 [1] 0.05526 None 0.055525 0.05553 0.05552 0.05552 0.05551 -0.000265 -0.000005 0.00002 0.00001 NaN 0.000015 13758 MXP caleb_strategy_v3 [1] 0.05526 None 0.055525 0.05553 0.05552 0.05552 0.05552 -0.000265 -0.000005 0.00001 0.0 NaN 0.000005 13763 FEEDCOW caleb_strategy_v3 [-1] 257.325 None 254.55 254.5 254.6 254.6 254.85 -2.775 -0.05 0.35 0.25 NaN 0.3 13764 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 46.36 None 46.56 46.57 46.55 46.55 46.45 -0.2 -0.01 0.12 0.1 NaN 0.11 13765 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 46.24 None 46.35 46.34 46.36 46.36 46.21 0.11 -0.01 -0.13 -0.15 NaN -0.14 =================================================================================================================================================================== 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 13753 NIKKEI caleb_strategy_v3 [1] 5833.944704 -389.95913 -4.285265 77.134773 68.564243 NaN 72.849508 13754 GAS_US_mini caleb_strategy_v3 [-1] 1.543913 -32.385235 -32.385235 -0.0 -64.770471 NaN -32.385235 13755 GOLD_micro caleb_strategy_v3 [1] 354.494654 -466.861765 -1.410459 62.060174 59.239257 NaN 60.649716 13756 GOLD_micro caleb_strategy_v3 [1] 354.494654 -466.861765 -1.410459 73.343842 70.522925 NaN 71.933384 13757 GOLD_micro caleb_strategy_v3 [1] 354.494654 -472.503599 -1.410459 70.522925 67.702008 NaN 69.112467 13759 NASDAQ_micro caleb_strategy_v3 [-1] 2463.889008 382.01802 -0.507328 -23.33709 NaN NaN -23.844418 13760 EUR caleb_strategy_v3 [1] 0.059756 -129.694603 -4.183697 -16.734787 -25.102181 NaN -20.918484 13761 AUD caleb_strategy_v3 [1] 0.051155 -63.532733 -4.887133 9.774267 0.0 NaN 4.887133 13762 MXP caleb_strategy_v3 [1] 0.00824 -321.620532 -6.068312 24.273248 12.136624 NaN 18.204936 13758 MXP caleb_strategy_v3 [1] 0.00824 -321.620532 -6.068312 12.136624 0.0 NaN 6.068312 13763 FEEDCOW caleb_strategy_v3 [-1] 32.880739 -843.959134 -15.206471 106.445296 76.032354 NaN 91.238825 13764 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 15.338604 -130.389962 -6.519498 78.233977 65.194981 NaN 71.714479 13765 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 15.338604 71.714479 -6.519498 -84.753475 -97.792472 NaN -91.272974 ============================================================================================================================================================================= 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 13753 NIKKEI caleb_strategy_v3 [1] 0.619291 -140.888682 -1.548227 27.868091 24.771636 NaN 26.319864 13754 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -12.5 -12.5 -0.0 -25.0 NaN -12.5 13755 GOLD_micro caleb_strategy_v3 [1] 10.0 -165.5 -0.5 22.0 21.0 NaN 21.5 13756 GOLD_micro caleb_strategy_v3 [1] 10.0 -165.5 -0.5 26.0 25.0 NaN 25.5 13757 GOLD_micro caleb_strategy_v3 [1] 10.0 -167.5 -0.5 25.0 24.0 NaN 24.5 13759 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 188.25 -0.25 -11.5 NaN NaN -11.75 13760 EUR caleb_strategy_v3 [1] 125000.0 -96.875 -3.125 -12.5 -18.75 NaN -15.625 13761 AUD caleb_strategy_v3 [1] 100000.0 -32.5 -2.5 5.0 0.0 NaN 2.5 13762 MXP caleb_strategy_v3 [1] 500000.0 -132.5 -2.5 10.0 5.0 NaN 7.5 13758 MXP caleb_strategy_v3 [1] 500000.0 -132.5 -2.5 5.0 0.0 NaN 2.5 13763 FEEDCOW caleb_strategy_v3 [-1] 500.0 -1387.5 -25.0 175.0 125.0 NaN 150.0 13764 SOYOIL _ROLL_PSEUDO_STRATEGY [1] 600.0 -120.0 -6.0 72.0 60.0 NaN 66.0 13765 SOYOIL _ROLL_PSEUDO_STRATEGY [-1] 600.0 66.0 -6.0 -78.0 -90.0 NaN -84.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SOYOIL -54.0 caleb_strategy_v3 AUD -32.5 EUR -96.875 FEEDCOW -1387.5 GAS_US_mini -12.5 GOLD_micro -498.5 MXP -265.0 NASDAQ_micro 188.25 NIKKEI -140.888682 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -54.0 caleb_strategy_v3 -2245.513682 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SOYOIL -12.0 caleb_strategy_v3 AUD -2.5 EUR -3.125 FEEDCOW -25.0 GAS_US_mini -12.5 GOLD_micro -1.5 MXP -5.0 NASDAQ_micro -0.25 NIKKEI -1.548227 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -12.0 caleb_strategy_v3 -51.423227 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SOYOIL -6.0 caleb_strategy_v3 AUD 5.0 EUR -12.5 FEEDCOW 175.0 GAS_US_mini -0.0 GOLD_micro 73.0 MXP 15.0 NASDAQ_micro -11.5 NIKKEI 27.868091 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -6.0 caleb_strategy_v3 271.868091 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SOYOIL -30.0 caleb_strategy_v3 AUD 0.0 EUR -18.75 FEEDCOW 125.0 GAS_US_mini -25.0 GOLD_micro 70.0 MXP 5.0 NASDAQ_micro 0 NIKKEI 24.771636 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -30.0 caleb_strategy_v3 181.021636 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SOYOIL 0 caleb_strategy_v3 AUD 0 EUR 0 FEEDCOW 0 GAS_US_mini 0 GOLD_micro 0 MXP 0 NASDAQ_micro 0 NIKKEI 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 SOYOIL -18.0 caleb_strategy_v3 AUD 2.5 EUR -15.625 FEEDCOW 150.0 GAS_US_mini -12.5 GOLD_micro 71.5 MXP 10.0 NASDAQ_micro -11.75 NIKKEI 26.319864 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -18.0 caleb_strategy_v3 220.444864 ******************************************************************************** END OF REPORT ********************************************************************************