******************************************************************************** Trades report produced on 11/07/2024 21:38 from 10/07/2024 21:38 to 11/07/2024 21:38 ******************************************************************************** ======================================================================================================= Broker orders ======================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 13770 EUR caleb_strategy_v3 [20240900] 2024-07-11 14:10:03.000 [1] 1.09185 13779 FEEDCOW caleb_strategy_v3 [20241000] 2024-07-11 14:33:46.000 [-1] 256.07500 13768 GAS_US_mini caleb_strategy_v3 [20240900] 2024-07-11 13:09:38.000 [-1] 2.30500 13767 GOLD_micro caleb_strategy_v3 [20240800] 2024-07-11 13:00:38.000 [1] 2414.30000 13769 MXP caleb_strategy_v3 [20240900] 2024-07-11 14:10:02.000 [1] 0.05554 13766 NIKKEI caleb_strategy_v3 [20240900] 2024-07-11 02:01:26.000 [1] 42220.00000 13787 VIX _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-11 19:45:37.706 [0] NaN 13786 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-11 14:57:20.000 [1] 15.15000 13785 VIX _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-11 14:57:16.000 [-1] 17.50000 13784 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-11 14:52:16.000 [1] 15.15000 13783 VIX _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-11 14:50:04.000 [-1] 17.50000 13782 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-11 14:45:04.000 [1] 15.20000 13781 VIX _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-11 14:38:47.000 [-1] 17.50000 13780 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-11 14:33:46.000 [1] 15.15000 13776 VIX _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-11 14:28:29.000 [-1] 17.50000 13777 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-11 14:28:33.000 [1] 15.15000 13788 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-11 15:09:03.000 [49] 15.15000 13775 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-11 14:28:29.000 [1] 15.15000 13774 VIX _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-11 14:25:18.000 [-1] 17.50000 13773 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-11 14:25:18.000 [1] 15.15000 13772 VIX _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-11 14:20:06.000 [-1] 17.50000 13771 VIX _ROLL_PSEUDO_STRATEGY [20240900] 2024-07-11 19:45:37.648 [0] NaN 13778 VIX _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-11 14:33:40.000 [-1] 17.50000 13789 VIX _ROLL_PSEUDO_STRATEGY [20241000] 2024-07-11 15:17:19.000 [-49] 17.50000 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13766 NIKKEI caleb_strategy_v3 2024-07-10 00:00:00 2024-07-11 03:01:18.614 2024-07-11 02:01:26.000 97278.614 NaN 13767 GOLD_micro caleb_strategy_v3 2024-07-10 00:00:00 2024-07-11 14:00:38.722 2024-07-11 13:00:38.000 136838.722 NaN 13768 GAS_US_mini caleb_strategy_v3 2024-07-10 00:00:00 2024-07-11 14:00:39.722 2024-07-11 13:09:38.000 136839.722 NaN 13769 MXP caleb_strategy_v3 2024-07-10 00:00:00 2024-07-11 15:00:51.598 2024-07-11 14:10:02.000 140451.598 NaN 13770 EUR caleb_strategy_v3 2024-07-10 00:00:00 2024-07-11 15:10:03.866 2024-07-11 14:10:03.000 141003.866 NaN 13779 FEEDCOW caleb_strategy_v3 2024-07-10 00:00:00 2024-07-11 15:33:45.974 2024-07-11 14:33:46.000 142425.974 NaN 13771 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 15:10:04.938 2024-07-11 19:45:37.648 72604.938 16532.71 13772 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 15:20:06.030 2024-07-11 14:20:06.000 73206.03 NaN 13773 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 15:20:10.110 2024-07-11 14:25:18.000 73210.11 NaN 13774 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 15:25:18.890 2024-07-11 14:25:18.000 73518.89 NaN 13775 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 15:25:22.939 2024-07-11 14:28:29.000 73522.939 NaN 13776 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 15:28:29.719 2024-07-11 14:28:29.000 73709.719 NaN 13777 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 15:28:33.708 2024-07-11 14:28:33.000 73713.708 NaN 13778 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 15:28:34.280 2024-07-11 14:33:40.000 73714.28 NaN 13780 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 15:33:46.621 2024-07-11 14:33:46.000 74026.621 NaN 13781 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 15:33:47.109 2024-07-11 14:38:47.000 74027.109 NaN 13782 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 15:38:51.215 2024-07-11 14:45:04.000 74331.215 NaN 13783 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 15:45:04.624 2024-07-11 14:50:04.000 74704.624 NaN 13784 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 15:50:08.604 2024-07-11 14:52:16.000 75008.604 NaN 13785 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 15:52:16.548 2024-07-11 14:57:16.000 75136.548 NaN 13786 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 15:57:20.619 2024-07-11 14:57:20.000 75440.619 NaN 13787 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 15:57:21.538 2024-07-11 19:45:37.706 75441.538 13696.168 13788 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 16:07:42.694 2024-07-11 15:09:03.000 76062.694 NaN 13789 VIX _ROLL_PSEUDO_STRATEGY 2024-07-10 19:00:00 2024-07-11 16:09:03.508 2024-07-11 15:17:19.000 76143.508 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 13766 NIKKEI caleb_strategy_v3 [1] 42445.0 None 42222.5 42225.0 42220.0 42220.0 42220.0 222.5 -2.5 5.0 0.0 NaN 2.5 13767 GOLD_micro caleb_strategy_v3 [1] 2379.0 None 2414.4 2414.5 2414.3 2414.3 2414.3 -35.4 -0.1 0.2 0.0 NaN 0.1 13768 GAS_US_mini caleb_strategy_v3 [-1] 2.345 None 2.3125 2.31 2.315 2.315 2.305 -0.0325 -0.0025 -0.005 -0.01 NaN -0.0075 13769 MXP caleb_strategy_v3 [1] 0.05552 None 0.055455 0.05546 0.05545 0.05545 0.05554 0.000065 -0.000005 -0.00008 -0.00009 NaN -0.000085 13770 EUR caleb_strategy_v3 [1] 1.0859 None 1.091975 1.092 1.09195 1.09195 1.09185 -0.006075 -0.000025 0.00015 0.0001 NaN 0.000125 13779 FEEDCOW caleb_strategy_v3 [-1] 255.05 None 255.8125 255.775 255.85 255.85 256.075 0.7625 -0.0375 0.3 0.225 NaN 0.2625 13771 VIX _ROLL_PSEUDO_STRATEGY [1] 15.05 None 15.075 15.1 15.05 15.05 NaN -0.025 -0.025 NaN NaN NaN NaN 13772 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.4 None 17.475 17.45 17.5 17.5 17.5 0.075 -0.025 0.05 -0.0 NaN 0.025 13773 VIX _ROLL_PSEUDO_STRATEGY [1] 15.05 None 15.075 15.1 15.05 15.05 15.15 -0.025 -0.025 -0.05 -0.1 NaN -0.075 13774 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.4 None 17.475 17.45 17.5 17.5 17.5 0.075 -0.025 0.05 -0.0 NaN 0.025 13775 VIX _ROLL_PSEUDO_STRATEGY [1] 15.05 None 15.125 15.15 15.1 15.1 15.15 -0.075 -0.025 0.0 -0.05 NaN -0.025 13776 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.4 None 17.475 17.45 17.5 17.5 17.5 0.075 -0.025 0.05 -0.0 NaN 0.025 13777 VIX _ROLL_PSEUDO_STRATEGY [1] 15.05 None 15.175 15.2 15.15 15.15 15.15 -0.125 -0.025 0.05 0.0 NaN 0.025 13778 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.4 None 17.525 17.5 17.55 17.55 17.5 0.125 -0.025 -0.0 -0.05 NaN -0.025 13780 VIX _ROLL_PSEUDO_STRATEGY [1] 15.05 None 15.175 15.2 15.15 15.15 15.15 -0.125 -0.025 0.05 0.0 NaN 0.025 13781 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.4 None 17.525 17.5 17.55 17.55 17.5 0.125 -0.025 -0.0 -0.05 NaN -0.025 13782 VIX _ROLL_PSEUDO_STRATEGY [1] 15.05 None 15.175 15.2 15.15 15.15 15.2 -0.125 -0.025 0.0 -0.05 NaN -0.025 13783 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.4 None 17.525 17.5 17.55 17.55 17.5 0.125 -0.025 -0.0 -0.05 NaN -0.025 13784 VIX _ROLL_PSEUDO_STRATEGY [1] 15.05 None 15.175 15.2 15.15 15.15 15.15 -0.125 -0.025 0.05 0.0 NaN 0.025 13785 VIX _ROLL_PSEUDO_STRATEGY [-1] 17.4 None 17.525 17.5 17.55 17.55 17.5 0.125 -0.025 -0.0 -0.05 NaN -0.025 13786 VIX _ROLL_PSEUDO_STRATEGY [1] 15.05 None 15.175 15.2 15.15 15.15 15.15 -0.125 -0.025 0.05 0.0 NaN 0.025 13787 VIX _ROLL_PSEUDO_STRATEGY [-49] 17.4 None 17.525 17.5 17.55 17.55 NaN 0.125 -0.025 NaN NaN NaN NaN 13788 VIX _ROLL_PSEUDO_STRATEGY [49] 15.05 None 15.175 15.2 15.15 15.15 15.15 -0.125 -0.025 0.05 0.0 NaN 0.025 13789 VIX _ROLL_PSEUDO_STRATEGY [-49] 17.4 None 17.525 17.5 17.55 17.55 17.5 0.125 -0.025 -0.0 -0.05 NaN -0.025 ===================================================================================================================================================================== 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 13766 NIKKEI caleb_strategy_v3 [1] 5587.050416 398.242334 -4.474633 8.949266 0.0 NaN 4.474633 13767 GOLD_micro caleb_strategy_v3 [1] 375.149746 -943.623189 -2.665602 5.331204 0.0 NaN 2.665602 13768 GAS_US_mini caleb_strategy_v3 [-1] 1.522201 -213.506694 -16.423592 -32.847184 -65.694367 NaN -49.270775 13769 MXP caleb_strategy_v3 [1] 0.008081 80.434765 -6.18729 -98.996634 -111.371213 NaN -105.183923 13770 EUR caleb_strategy_v3 [1] 0.05995 -1013.347038 -4.170152 25.020915 16.68061 NaN 20.850762 13779 FEEDCOW caleb_strategy_v3 [-1] 32.362162 235.61467 -11.587607 92.700854 69.52564 NaN 81.113247 13771 VIX _ROLL_PSEUDO_STRATEGY [1] 4.231908 -59.075015 -59.075015 NaN NaN NaN NaN 13772 VIX _ROLL_PSEUDO_STRATEGY [-1] 4.231908 177.225045 -59.075015 118.15003 -0.0 NaN 59.075015 13773 VIX _ROLL_PSEUDO_STRATEGY [1] 4.231908 -59.075015 -59.075015 -118.15003 -236.30006 NaN -177.225045 13774 VIX _ROLL_PSEUDO_STRATEGY [-1] 4.231908 177.225045 -59.075015 118.15003 -0.0 NaN 59.075015 13775 VIX _ROLL_PSEUDO_STRATEGY [1] 4.231908 -177.225045 -59.075015 0.0 -118.15003 NaN -59.075015 13776 VIX _ROLL_PSEUDO_STRATEGY [-1] 4.231908 177.225045 -59.075015 118.15003 -0.0 NaN 59.075015 13777 VIX _ROLL_PSEUDO_STRATEGY [1] 4.231908 -295.375075 -59.075015 118.15003 0.0 NaN 59.075015 13778 VIX _ROLL_PSEUDO_STRATEGY [-1] 4.231908 295.375075 -59.075015 -0.0 -118.15003 NaN -59.075015 13780 VIX _ROLL_PSEUDO_STRATEGY [1] 4.231908 -295.375075 -59.075015 118.15003 0.0 NaN 59.075015 13781 VIX _ROLL_PSEUDO_STRATEGY [-1] 4.231908 295.375075 -59.075015 -0.0 -118.15003 NaN -59.075015 13782 VIX _ROLL_PSEUDO_STRATEGY [1] 4.231908 -295.375075 -59.075015 0.0 -118.15003 NaN -59.075015 13783 VIX _ROLL_PSEUDO_STRATEGY [-1] 4.231908 295.375075 -59.075015 -0.0 -118.15003 NaN -59.075015 13784 VIX _ROLL_PSEUDO_STRATEGY [1] 4.231908 -295.375075 -59.075015 118.15003 0.0 NaN 59.075015 13785 VIX _ROLL_PSEUDO_STRATEGY [-1] 4.231908 295.375075 -59.075015 -0.0 -118.15003 NaN -59.075015 13786 VIX _ROLL_PSEUDO_STRATEGY [1] 4.231908 -295.375075 -59.075015 118.15003 0.0 NaN 59.075015 13787 VIX _ROLL_PSEUDO_STRATEGY [-49] 4.231908 295.375075 -59.075015 NaN NaN NaN NaN 13788 VIX _ROLL_PSEUDO_STRATEGY [49] 4.231908 -295.375075 -59.075015 118.15003 0.0 NaN 59.075015 13789 VIX _ROLL_PSEUDO_STRATEGY [-49] 4.231908 295.375075 -59.075015 -0.0 -118.15003 NaN -59.075015 ============================================================================================================================================================================== 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 13766 NIKKEI caleb_strategy_v3 [1] 0.618259 137.562637 -1.545648 3.091295 0.0 NaN 1.545648 13767 GOLD_micro caleb_strategy_v3 [1] 10.0 -354.0 -1.0 2.0 0.0 NaN 1.0 13768 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -81.25 -6.25 -12.5 -25.0 NaN -18.75 13769 MXP caleb_strategy_v3 [1] 500000.0 32.5 -2.5 -40.0 -45.0 NaN -42.5 13770 EUR caleb_strategy_v3 [1] 125000.0 -759.375 -3.125 18.75 12.5 NaN 15.625 13779 FEEDCOW caleb_strategy_v3 [-1] 500.0 381.25 -18.75 150.0 112.5 NaN 131.25 13771 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -25.0 -25.0 NaN NaN NaN NaN 13772 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 75.0 -25.0 50.0 -0.0 NaN 25.0 13773 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -25.0 -25.0 -50.0 -100.0 NaN -75.0 13774 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 75.0 -25.0 50.0 -0.0 NaN 25.0 13775 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -75.0 -25.0 0.0 -50.0 NaN -25.0 13776 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 75.0 -25.0 50.0 -0.0 NaN 25.0 13777 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -125.0 -25.0 50.0 0.0 NaN 25.0 13778 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 125.0 -25.0 -0.0 -50.0 NaN -25.0 13780 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -125.0 -25.0 50.0 0.0 NaN 25.0 13781 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 125.0 -25.0 -0.0 -50.0 NaN -25.0 13782 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -125.0 -25.0 0.0 -50.0 NaN -25.0 13783 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 125.0 -25.0 -0.0 -50.0 NaN -25.0 13784 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -125.0 -25.0 50.0 0.0 NaN 25.0 13785 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 125.0 -25.0 -0.0 -50.0 NaN -25.0 13786 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 -125.0 -25.0 50.0 0.0 NaN 25.0 13787 VIX _ROLL_PSEUDO_STRATEGY [-49] 1000.0 125.0 -25.0 NaN NaN NaN NaN 13788 VIX _ROLL_PSEUDO_STRATEGY [49] 1000.0 -125.0 -25.0 50.0 0.0 NaN 25.0 13789 VIX _ROLL_PSEUDO_STRATEGY [-49] 1000.0 125.0 -25.0 -0.0 -50.0 NaN -25.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 100.0 caleb_strategy_v3 EUR -759.375 FEEDCOW 381.25 GAS_US_mini -81.25 GOLD_micro -354.0 MXP 32.5 NIKKEI 137.562637 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 100.0 caleb_strategy_v3 -643.312363 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -450.0 caleb_strategy_v3 EUR -3.125 FEEDCOW -18.75 GAS_US_mini -6.25 GOLD_micro -1.0 MXP -2.5 NIKKEI -1.545648 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -450.0 caleb_strategy_v3 -33.170648 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 350.0 caleb_strategy_v3 EUR 18.75 FEEDCOW 150.0 GAS_US_mini -12.5 GOLD_micro 2.0 MXP -40.0 NIKKEI 3.091295 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 350.0 caleb_strategy_v3 121.341295 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -450.0 caleb_strategy_v3 EUR 12.5 FEEDCOW 112.5 GAS_US_mini -25.0 GOLD_micro 0.0 MXP -45.0 NIKKEI 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -450.0 caleb_strategy_v3 55.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v3 EUR 0 FEEDCOW 0 GAS_US_mini 0 GOLD_micro 0 MXP 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 VIX -50.0 caleb_strategy_v3 EUR 15.625 FEEDCOW 131.25 GAS_US_mini -18.75 GOLD_micro 1.0 MXP -42.5 NIKKEI 1.545648 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -50.0 caleb_strategy_v3 88.170648 ******************************************************************************** END OF REPORT ********************************************************************************