******************************************************************************** Trades report produced on 12/07/2024 21:38 from 11/07/2024 21:38 to 12/07/2024 21:38 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 13793 DAX caleb_strategy_v3 [20240900] 2024-07-12 07:00:35.000 [-1] 18724.00000 13792 EUROSTX caleb_strategy_v3 [20240900] 2024-07-12 07:00:34.000 [-1] 5026.00000 13795 GOLD_micro caleb_strategy_v3 [20240800] 2024-07-12 13:02:01.000 [1] 2403.30000 13794 HEATOIL caleb_strategy_v3 [20241000] 2024-07-12 13:01:58.000 [-1] 2.56050 13801 MXP caleb_strategy_v3 [20240900] 2024-07-12 14:25:34.000 [1] 0.05592 13798 MXP caleb_strategy_v3 [20240900] 2024-07-12 14:21:34.000 [1] 0.05593 13802 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-07-12 14:25:38.000 [1] 20556.50000 13804 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-07-12 14:30:05.000 [1] 20553.50000 13796 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-07-12 19:45:35.459 [0] NaN 13799 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-07-12 14:21:55.000 [1] 20547.00000 13790 NIKKEI caleb_strategy_v3 [20240900] 2024-07-12 02:01:54.000 [1] 41410.00000 13791 NIKKEI caleb_strategy_v3 [20240900] 2024-07-12 02:02:19.000 [1] 41420.00000 13800 RUSSELL caleb_strategy_v3 [20240900] 2024-07-12 14:25:34.000 [1] 2182.80000 13805 RUSSELL caleb_strategy_v3 [20240900] 2024-07-12 14:31:26.000 [1] 2184.30000 13803 RUSSELL caleb_strategy_v3 [20240900] 2024-07-12 14:30:00.000 [1] 2184.50000 13797 RUSSELL caleb_strategy_v3 [20240900] 2024-07-12 19:45:35.501 [0] NaN ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13790 NIKKEI caleb_strategy_v3 2024-07-11 2024-07-12 03:01:18.198 2024-07-12 02:01:54.000 97278.198 NaN 13791 NIKKEI caleb_strategy_v3 2024-07-11 2024-07-12 03:02:18.660 2024-07-12 02:02:19.000 97338.66 NaN 13792 EUROSTX caleb_strategy_v3 2024-07-11 2024-07-12 08:00:33.866 2024-07-12 07:00:34.000 115233.866 NaN 13793 DAX caleb_strategy_v3 2024-07-11 2024-07-12 08:00:35.350 2024-07-12 07:00:35.000 115235.35 NaN 13794 HEATOIL caleb_strategy_v3 2024-07-11 2024-07-12 14:00:43.866 2024-07-12 13:01:58.000 136843.866 NaN 13795 GOLD_micro caleb_strategy_v3 2024-07-11 2024-07-12 14:01:59.346 2024-07-12 13:02:01.000 136919.346 NaN 13801 MXP caleb_strategy_v3 2024-07-11 2024-07-12 15:25:34.694 2024-07-12 14:25:34.000 141934.694 NaN 13798 MXP caleb_strategy_v3 2024-07-11 2024-07-12 15:20:19.818 2024-07-12 14:21:34.000 141619.818 NaN 13802 NASDAQ_micro caleb_strategy_v3 2024-07-11 2024-07-12 15:25:38.762 2024-07-12 14:25:38.000 141938.762 NaN 13804 NASDAQ_micro caleb_strategy_v3 2024-07-11 2024-07-12 15:30:05.780 2024-07-12 14:30:05.000 142205.78 NaN 13796 NASDAQ_micro caleb_strategy_v3 2024-07-11 2024-07-12 15:00:17.580 2024-07-12 19:45:35.459 140417.58 17117.879 13799 NASDAQ_micro caleb_strategy_v3 2024-07-11 2024-07-12 15:21:55.831 2024-07-12 14:21:55.000 141715.831 NaN 13800 RUSSELL caleb_strategy_v3 2024-07-11 2024-07-12 15:21:56.460 2024-07-12 14:25:34.000 141716.46 NaN 13805 RUSSELL caleb_strategy_v3 2024-07-11 2024-07-12 15:30:06.411 2024-07-12 14:31:26.000 142206.411 NaN 13803 RUSSELL caleb_strategy_v3 2024-07-11 2024-07-12 15:25:39.376 2024-07-12 14:30:00.000 141939.376 NaN 13797 RUSSELL caleb_strategy_v3 2024-07-11 2024-07-12 15:10:18.766 2024-07-12 19:45:35.501 141018.766 16516.735 ================================================================================================================================================================================================================================== 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 13790 NIKKEI caleb_strategy_v3 [1] 41555.0 None 41392.5 41395.0 41390.0 41390.0 41410.0 162.5 -2.5 -15.0 -20.0 NaN -17.5 13791 NIKKEI caleb_strategy_v3 [1] 41555.0 None 41407.5 41410.0 41405.0 41405.0 41420.0 147.5 -2.5 -10.0 -15.0 NaN -12.5 13792 EUROSTX caleb_strategy_v3 [-1] 5006.0 None 5018.0 5017.0 5019.0 5019.0 5026.0 12.0 -1.0 9.0 7.0 NaN 8.0 13793 DAX caleb_strategy_v3 [-1] 18670.0 None 18710.5 18709.0 18712.0 18712.0 18724.0 40.5 -1.5 15.0 12.0 NaN 13.5 13794 HEATOIL caleb_strategy_v3 [-1] 2.5525 None 2.5609 2.5606 2.5612 2.5612 2.5605 0.0084 -0.0003 -0.0001 -0.0007 NaN -0.0004 13795 GOLD_micro caleb_strategy_v3 [1] 2421.8 None 2403.4 2403.5 2403.3 2403.3 2403.3 18.4 -0.1 0.2 0.0 NaN 0.1 13801 MXP caleb_strategy_v3 [1] 0.05574 None 0.055925 0.05593 0.05592 0.05592 0.05592 -0.000185 -0.000005 0.00001 0.0 NaN 0.000005 13798 MXP caleb_strategy_v3 [1] 0.05574 None 0.055915 0.05592 0.05591 0.05591 0.05593 -0.000175 -0.000005 -0.00001 -0.00002 NaN -0.000015 13802 NASDAQ_micro caleb_strategy_v3 [1] 20460.25 None 20580.75 20581.0 20580.5 20580.5 20556.5 -120.5 -0.25 24.5 24.0 NaN 24.25 13804 NASDAQ_micro caleb_strategy_v3 [1] 20460.25 None 20557.375 20557.5 20557.25 20557.25 20553.5 -97.125 -0.125 4.0 3.75 NaN 3.875 13796 NASDAQ_micro caleb_strategy_v3 [1] 20460.25 None 20493.0 20493.25 20492.75 20492.75 NaN -32.75 -0.25 NaN NaN NaN NaN 13799 NASDAQ_micro caleb_strategy_v3 [1] 20460.25 None 20549.125 20549.5 20548.75 20548.75 20547.0 -88.875 -0.375 2.5 1.75 NaN 2.125 13800 RUSSELL caleb_strategy_v3 [1] 2140.0 None 2175.7 2175.8 2175.6 2175.6 2182.8 -35.7 -0.1 -7.0 -7.2 NaN -7.1 13805 RUSSELL caleb_strategy_v3 [1] 2140.0 None 2184.4 2184.5 2184.3 2184.3 2184.3 -44.4 -0.1 0.2 0.0 NaN 0.1 13803 RUSSELL caleb_strategy_v3 [1] 2140.0 None 2182.7 2182.8 2182.6 2182.6 2184.5 -42.7 -0.1 -1.7 -1.9 NaN -1.8 13797 RUSSELL caleb_strategy_v3 [1] 2140.0 None 2171.8 2171.9 2171.7 2171.7 NaN -31.8 -0.1 NaN NaN NaN NaN ================================================================================================================================================================ 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 13790 NIKKEI caleb_strategy_v3 [1] 6315.957497 257.284822 -3.958228 -23.749368 -31.665824 NaN -27.707596 13791 NIKKEI caleb_strategy_v3 [1] 6315.957497 233.535454 -3.958228 -15.832912 -23.749368 NaN -19.79114 13792 EUROSTX caleb_strategy_v3 [-1] 698.556617 171.782783 -14.315232 128.837088 100.206624 NaN 114.521856 13793 DAX caleb_strategy_v3 [-1] 2356.399579 171.872378 -6.365644 63.656436 50.925149 NaN 57.290793 13794 HEATOIL caleb_strategy_v3 [-1] 0.596373 140.851341 -5.030405 -1.676802 -11.737612 NaN -6.707207 13795 GOLD_micro caleb_strategy_v3 [1] 364.713667 504.505361 -2.741877 5.483754 0.0 NaN 2.741877 13801 MXP caleb_strategy_v3 [1] 0.007997 -231.327888 -6.252105 12.50421 0.0 NaN 6.252105 13798 MXP caleb_strategy_v3 [1] 0.007997 -218.823678 -6.252105 -12.50421 -25.00842 NaN -18.756315 13802 NASDAQ_micro caleb_strategy_v3 [1] 3049.034264 -395.207104 -0.819932 80.353312 78.713448 NaN 79.53338 13804 NASDAQ_micro caleb_strategy_v3 [1] 3049.034264 -318.543485 -0.409966 13.118908 12.298976 NaN 12.708942 13796 NASDAQ_micro caleb_strategy_v3 [1] 3049.034264 -107.411059 -0.819932 NaN NaN NaN NaN 13799 NASDAQ_micro caleb_strategy_v3 [1] 3049.034264 -291.485737 -1.229898 8.199318 5.739522 NaN 6.96942 13800 RUSSELL caleb_strategy_v3 [1] 406.629237 -877.94966 -2.459243 -172.146992 -177.065478 NaN -174.606235 13805 RUSSELL caleb_strategy_v3 [1] 406.629237 -1091.903779 -2.459243 4.918485 0.0 NaN 2.459243 13803 RUSSELL caleb_strategy_v3 [1] 406.629237 -1050.096652 -2.459243 -41.807127 -46.725612 NaN -44.266369 13797 RUSSELL caleb_strategy_v3 [1] 406.629237 -782.039193 -2.459243 NaN NaN NaN NaN ========================================================================================================================================================================= 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 13790 NIKKEI caleb_strategy_v3 [1] 0.628378 102.111348 -1.570944 -9.425663 -12.567551 NaN -10.996607 13791 NIKKEI caleb_strategy_v3 [1] 0.628378 92.685686 -1.570944 -6.283775 -9.425663 NaN -7.854719 13792 EUROSTX caleb_strategy_v3 [-1] 10.868 130.416 -10.868 97.812 76.076 NaN 86.944 13793 DAX caleb_strategy_v3 [-1] 1.0868 44.0154 -1.6302 16.302 13.0416 NaN 14.6718 13794 HEATOIL caleb_strategy_v3 [-1] 42000.0 352.8 -12.6 -4.2 -29.4 NaN -16.8 13795 GOLD_micro caleb_strategy_v3 [1] 10.0 184.0 -1.0 2.0 0.0 NaN 1.0 13801 MXP caleb_strategy_v3 [1] 500000.0 -92.5 -2.5 5.0 0.0 NaN 2.5 13798 MXP caleb_strategy_v3 [1] 500000.0 -87.5 -2.5 -5.0 -10.0 NaN -7.5 13802 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -241.0 -0.5 49.0 48.0 NaN 48.5 13804 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -194.25 -0.25 8.0 7.5 NaN 7.75 13796 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -65.5 -0.5 NaN NaN NaN NaN 13799 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -177.75 -0.75 5.0 3.5 NaN 4.25 13800 RUSSELL caleb_strategy_v3 [1] 5.0 -178.5 -0.5 -35.0 -36.0 NaN -35.5 13805 RUSSELL caleb_strategy_v3 [1] 5.0 -222.0 -0.5 1.0 0.0 NaN 0.5 13803 RUSSELL caleb_strategy_v3 [1] 5.0 -213.5 -0.5 -8.5 -9.5 NaN -9.0 13797 RUSSELL caleb_strategy_v3 [1] 5.0 -159.0 -0.5 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DAX 44.0154 EUROSTX 130.416 GOLD_micro 184.0 HEATOIL 352.8 MXP -180.0 NASDAQ_micro -678.5 NIKKEI 194.797034 RUSSELL -773.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -725.471566 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DAX -1.6302 EUROSTX -10.868 GOLD_micro -1.0 HEATOIL -12.6 MXP -5.0 NASDAQ_micro -2.0 NIKKEI -3.141888 RUSSELL -2.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -38.240088 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DAX 16.302 EUROSTX 97.812 GOLD_micro 2.0 HEATOIL -4.2 MXP 0.0 NASDAQ_micro 62.0 NIKKEI -15.709438 RUSSELL -42.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 115.704562 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX 13.0416 EUROSTX 76.076 GOLD_micro 0.0 HEATOIL -29.4 MXP -10.0 NASDAQ_micro 59.0 NIKKEI -21.993214 RUSSELL -45.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 41.224386 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX 0 EUROSTX 0 GOLD_micro 0 HEATOIL 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 RUSSELL 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 DAX 14.6718 EUROSTX 86.944 GOLD_micro 1.0 HEATOIL -16.8 MXP -5.0 NASDAQ_micro 60.5 NIKKEI -18.851326 RUSSELL -44.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 78.464474 ******************************************************************************** END OF REPORT ********************************************************************************