******************************************************************************** Trades report produced on 15/07/2024 21:38 from 14/07/2024 21:38 to 15/07/2024 21:38 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 13813 COFFEE caleb_strategy_v3 [20241200] 2024-07-15 13:08:30.000 [1] 242.750000 13811 COPPER caleb_strategy_v3 [20240900] 2024-07-15 13:08:28.000 [1] 4.533500 13806 DAX caleb_strategy_v3 [20240900] 2024-07-15 07:01:02.000 [1] 18848.000000 13807 DAX caleb_strategy_v3 [20240900] 2024-07-15 07:01:29.000 [1] 18846.000000 13808 DAX caleb_strategy_v3 [20240900] 2024-07-15 07:02:34.000 [1] 18848.000000 13809 DAX caleb_strategy_v3 [20240900] 2024-07-15 07:04:24.000 [1] 18845.000000 13810 DAX caleb_strategy_v3 [20240900] 2024-07-15 07:05:55.000 [1] 18844.000000 13822 EUR caleb_strategy_v3 [20240900] 2024-07-15 14:11:45.000 [1] 1.094550 13829 FEEDCOW caleb_strategy_v3 [20241000] 2024-07-15 14:30:53.000 [-1] 257.650000 13814 GAS_US_mini caleb_strategy_v3 [20240900] 2024-07-15 13:10:02.000 [-1] 2.230000 13812 GOLD_micro caleb_strategy_v3 [20240800] 2024-07-15 13:08:29.000 [1] 2418.100000 13820 JPY caleb_strategy_v3 [20240900] 2024-07-15 14:11:19.000 [1] 0.006394 13823 MXP caleb_strategy_v3 [20240900] 2024-07-15 14:11:54.000 [1] 0.055480 13826 MXP caleb_strategy_v3 [20240900] 2024-07-15 14:15:31.000 [1] 0.055500 13830 REDWHEAT caleb_strategy_v3 [20241200] 2024-07-15 14:30:55.000 [-1] 574.500000 13824 RUSSELL caleb_strategy_v3 [20240900] 2024-07-15 14:12:14.000 [1] 2197.200000 13827 RUSSELL caleb_strategy_v3 [20240900] 2024-07-15 14:17:32.000 [1] 2197.600000 13819 RUSSELL caleb_strategy_v3 [20240900] 2024-07-15 19:45:09.070 [0] NaN 13828 SOYOIL caleb_strategy_v3 [20241200] 2024-07-15 14:30:52.000 [-1] 44.740000 13815 SUGAR11 caleb_strategy_v3 [20250300] 2024-07-15 13:10:03.000 [-1] 19.770000 13817 SUGAR11 caleb_strategy_v3 [20250300] 2024-07-15 13:11:07.000 [-1] 19.790000 13816 SUGAR11 caleb_strategy_v3 [20250300] 2024-07-15 13:10:07.000 [-1] 19.760000 13818 US10U caleb_strategy_v3 [20240900] 2024-07-15 14:00:16.000 [1] 114.531250 13825 US5 caleb_strategy_v3 [20240900] 2024-07-15 14:15:30.000 [1] 107.468750 13821 US5 caleb_strategy_v3 [20240900] 2024-07-15 14:11:44.000 [1] 107.476563 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13806 DAX caleb_strategy_v3 2024-07-12 2024-07-15 08:00:29.566 2024-07-15 07:01:02.000 288029.566 NaN 13807 DAX caleb_strategy_v3 2024-07-12 2024-07-15 08:01:28.991 2024-07-15 07:01:29.000 288088.991 NaN 13808 DAX caleb_strategy_v3 2024-07-12 2024-07-15 08:02:29.010 2024-07-15 07:02:34.000 288149.01 NaN 13809 DAX caleb_strategy_v3 2024-07-12 2024-07-15 08:03:29.044 2024-07-15 07:04:24.000 288209.044 NaN 13810 DAX caleb_strategy_v3 2024-07-12 2024-07-15 08:04:29.339 2024-07-15 07:05:55.000 288269.339 NaN 13811 COPPER caleb_strategy_v3 2024-07-12 2024-07-15 14:00:36.343 2024-07-15 13:08:28.000 309636.343 NaN 13812 GOLD_micro caleb_strategy_v3 2024-07-12 2024-07-15 14:08:29.094 2024-07-15 13:08:29.000 310109.094 NaN 13813 COFFEE caleb_strategy_v3 2024-07-12 2024-07-15 14:08:30.132 2024-07-15 13:08:30.000 310110.132 NaN 13814 GAS_US_mini caleb_strategy_v3 2024-07-12 2024-07-15 14:08:31.090 2024-07-15 13:10:02.000 310111.09 NaN 13816 SUGAR11 caleb_strategy_v3 2024-07-12 2024-07-15 14:10:07.124 2024-07-15 13:10:07.000 310207.124 NaN 13817 SUGAR11 caleb_strategy_v3 2024-07-12 2024-07-15 14:11:07.355 2024-07-15 13:11:07.000 310267.355 NaN 13815 SUGAR11 caleb_strategy_v3 2024-07-12 2024-07-15 14:10:03.175 2024-07-15 13:10:03.000 310203.175 NaN 13818 US10U caleb_strategy_v3 2024-07-12 2024-07-15 15:00:16.479 2024-07-15 14:00:16.000 313216.479 NaN 13820 JPY caleb_strategy_v3 2024-07-12 2024-07-15 15:10:18.978 2024-07-15 14:11:19.000 313818.978 NaN 13822 EUR caleb_strategy_v3 2024-07-12 2024-07-15 15:11:45.330 2024-07-15 14:11:45.000 313905.33 NaN 13825 US5 caleb_strategy_v3 2024-07-12 2024-07-15 15:12:15.563 2024-07-15 14:15:30.000 313935.563 NaN 13821 US5 caleb_strategy_v3 2024-07-12 2024-07-15 15:11:20.670 2024-07-15 14:11:44.000 313880.67 NaN 13826 MXP caleb_strategy_v3 2024-07-12 2024-07-15 15:15:31.214 2024-07-15 14:15:31.000 314131.214 NaN 13823 MXP caleb_strategy_v3 2024-07-12 2024-07-15 15:11:46.622 2024-07-15 14:11:54.000 313906.622 NaN 13828 SOYOIL caleb_strategy_v3 2024-07-12 2024-07-15 15:30:38.814 2024-07-15 14:30:52.000 315038.814 NaN 13829 FEEDCOW caleb_strategy_v3 2024-07-12 2024-07-15 15:30:53.204 2024-07-15 14:30:53.000 315053.204 NaN 13830 REDWHEAT caleb_strategy_v3 2024-07-12 2024-07-15 15:30:54.590 2024-07-15 14:30:55.000 315054.59 NaN 13824 RUSSELL caleb_strategy_v3 2024-07-12 2024-07-15 15:12:14.834 2024-07-15 14:12:14.000 313934.834 NaN 13819 RUSSELL caleb_strategy_v3 2024-07-12 2024-07-15 15:00:17.729 2024-07-15 19:45:09.070 313217.729 17091.341 13827 RUSSELL caleb_strategy_v3 2024-07-12 2024-07-15 15:15:35.467 2024-07-15 14:17:32.000 314135.467 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 13806 DAX caleb_strategy_v3 [1] 18900.0 None 18850.5 18852.0 18849.0 18849.0 18848.0 49.5 -1.5 4.0 1.0 NaN 2.5 13807 DAX caleb_strategy_v3 [1] 18900.0 None 18847.0 18848.0 18846.0 18846.0 18846.0 53.0 -1.0 2.0 0.0 NaN 1.0 13808 DAX caleb_strategy_v3 [1] 18900.0 None 18847.0 18848.0 18846.0 18846.0 18848.0 53.0 -1.0 0.0 -2.0 NaN -1.0 13809 DAX caleb_strategy_v3 [1] 18900.0 None 18848.0 18849.0 18847.0 18847.0 18845.0 52.0 -1.0 4.0 2.0 NaN 3.0 13810 DAX caleb_strategy_v3 [1] 18900.0 None 18843.5 18845.0 18842.0 18842.0 18844.0 56.5 -1.5 1.0 -2.0 NaN -0.5 13811 COPPER caleb_strategy_v3 [1] 4.589 None 4.5355 4.536 4.535 4.535 4.5335 0.0535 -0.0005 0.0025 0.0015 NaN 0.002 13812 GOLD_micro caleb_strategy_v3 [1] 2418.8 None 2419.75 2419.8 2419.7 2419.7 2418.1 -0.95 -0.05 1.7 1.6 NaN 1.65 13813 COFFEE caleb_strategy_v3 [1] 246.9 None 242.95 243.05 242.85 NaN 242.75 3.95 -0.1 0.3 NaN NaN 0.2 13814 GAS_US_mini caleb_strategy_v3 [-1] 2.33 None 2.2325 2.23 2.235 2.235 2.23 -0.0975 -0.0025 -0.0 -0.005 NaN -0.0025 13816 SUGAR11 caleb_strategy_v3 [-1] 19.62 None 19.735 19.73 19.74 NaN 19.76 0.115 -0.005 0.03 NaN NaN 0.025 13817 SUGAR11 caleb_strategy_v3 [-1] 19.62 None 19.75 19.74 19.76 19.76 19.79 0.13 -0.01 0.05 0.03 NaN 0.04 13815 SUGAR11 caleb_strategy_v3 [-1] 19.62 None 19.745 19.74 19.75 19.75 19.77 0.125 -0.005 0.03 0.02 NaN 0.025 13818 US10U caleb_strategy_v3 [1] 114.890625 None 114.539062 114.546875 114.53125 114.53125 114.53125 0.351562 -0.007812 0.015625 0.0 NaN 0.007812 13820 JPY caleb_strategy_v3 [1] 0.006393 None 0.006392 0.006392 0.006392 0.006392 0.006394 0.000001 -0.0 -0.000002 -0.000002 NaN -0.000002 13822 EUR caleb_strategy_v3 [1] 1.0939 None 1.094775 1.0948 1.09475 1.09475 1.09455 -0.000875 -0.000025 0.00025 0.0002 NaN 0.000225 13825 US5 caleb_strategy_v3 [1] 107.523438 None 107.472656 107.476562 107.46875 107.46875 107.46875 0.050781 -0.003906 0.007812 0.0 NaN 0.003906 13821 US5 caleb_strategy_v3 [1] 107.523438 None 107.464844 107.46875 107.460938 107.460938 107.476563 0.058594 -0.003906 -0.007813 -0.015625 NaN -0.011719 13826 MXP caleb_strategy_v3 [1] 0.05617 None 0.05548 0.05549 0.05547 0.05547 0.0555 0.00069 -0.00001 -0.00001 -0.00003 NaN -0.00002 13823 MXP caleb_strategy_v3 [1] 0.05617 None 0.055465 0.05547 0.05546 0.05546 0.05548 0.000705 -0.000005 -0.00001 -0.00002 NaN -0.000015 13828 SOYOIL caleb_strategy_v3 [-1] 45.59 None 44.795 44.79 44.8 44.8 44.74 -0.795 -0.005 -0.05 -0.06 NaN -0.055 13829 FEEDCOW caleb_strategy_v3 [-1] 257.65 None 257.5625 257.525 257.6 257.6 257.65 -0.0875 -0.0375 0.125 0.05 NaN 0.0875 13830 REDWHEAT caleb_strategy_v3 [-1] 587.25 None 573.875 573.75 574.0 574.0 574.5 -13.375 -0.125 0.75 0.5 NaN 0.625 13824 RUSSELL caleb_strategy_v3 [1] 2174.0 None 2195.45 2195.5 2195.4 2195.4 2197.2 -21.45 -0.05 -1.7 -1.8 NaN -1.75 13819 RUSSELL caleb_strategy_v3 [1] 2174.0 None 2187.2 2187.3 2187.1 2187.1 NaN -13.2 -0.1 NaN NaN NaN NaN 13827 RUSSELL caleb_strategy_v3 [1] 2174.0 None 2197.65 2197.7 2197.6 2197.6 2197.6 -23.65 -0.05 0.1 0.0 NaN 0.05 =============================================================================================================================================================== 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 13806 DAX caleb_strategy_v3 [1] 2415.448669 204.930871 -6.210026 16.56007 4.140018 NaN 10.350044 13807 DAX caleb_strategy_v3 [1] 2415.448669 219.420933 -4.140018 8.280035 0.0 NaN 4.140018 13808 DAX caleb_strategy_v3 [1] 2415.448669 219.420933 -4.140018 0.0 -8.280035 NaN -4.140018 13809 DAX caleb_strategy_v3 [1] 2415.448669 215.280915 -4.140018 16.56007 8.280035 NaN 12.420053 13810 DAX caleb_strategy_v3 [1] 2415.448669 233.910994 -6.210026 4.140018 -8.280035 NaN -2.070009 13811 COPPER caleb_strategy_v3 [1] 1.063812 502.908528 -4.70008 23.500399 14.100239 NaN 18.800319 13812 GOLD_micro caleb_strategy_v3 [1] 357.523244 -26.571699 -1.39851 47.549356 44.752335 NaN 46.150846 13813 COFFEE caleb_strategy_v3 [1] 85.002162 464.694061 -11.764407 35.29322 NaN NaN 23.528813 13814 GAS_US_mini caleb_strategy_v3 [-1] 1.539647 -633.262 -16.237487 -0.0 -32.474974 NaN -16.237487 13816 SUGAR11 caleb_strategy_v3 [-1] 5.198309 221.225785 -9.618512 57.711074 NaN NaN 48.092562 13817 SUGAR11 caleb_strategy_v3 [-1] 5.198309 250.081322 -19.237025 96.185124 57.711074 NaN 76.948099 13815 SUGAR11 caleb_strategy_v3 [-1] 5.198309 240.46281 -9.618512 57.711074 38.47405 NaN 48.092562 13818 US10U caleb_strategy_v3 [1] 8.97979 391.504123 -8.700092 17.400183 0.0 NaN 8.700092 13820 JPY caleb_strategy_v3 [1] 0.000625 11.991878 -3.997293 -23.983755 -31.97834 NaN -27.981048 13822 EUR caleb_strategy_v3 [1] 0.059457 -147.165602 -4.204731 42.047315 33.637852 NaN 37.842583 13825 US5 caleb_strategy_v3 [1] 4.375091 116.069012 -8.928386 17.856771 0.0 NaN 8.928386 13821 US5 caleb_strategy_v3 [1] 4.375091 133.925783 -8.928386 -17.857914 -35.714685 NaN -26.7863 13826 MXP caleb_strategy_v3 [1] 0.008034 858.897625 -12.447792 -12.447792 -37.343375 NaN -24.895583 13823 MXP caleb_strategy_v3 [1] 0.008034 877.569313 -6.223896 -12.447792 -24.895583 NaN -18.671688 13828 SOYOIL caleb_strategy_v3 [-1] 14.800253 -537.152988 -3.378321 -33.783207 -40.539848 NaN -37.161527 13829 FEEDCOW caleb_strategy_v3 [-1] 31.604022 -27.68635 -11.865579 39.551928 15.820771 NaN 27.68635 13830 REDWHEAT caleb_strategy_v3 [-1] 201.274852 -664.514214 -6.210413 37.262479 24.841653 NaN 31.052066 13824 RUSSELL caleb_strategy_v3 [1] 413.595773 -518.622322 -1.20891 -41.102935 -43.520754 NaN -42.311844 13819 RUSSELL caleb_strategy_v3 [1] 413.595773 -319.152198 -2.41782 NaN NaN NaN NaN 13827 RUSSELL caleb_strategy_v3 [1] 413.595773 -571.814355 -1.20891 2.41782 0.0 NaN 1.20891 ======================================================================================================================================================================== 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 13806 DAX caleb_strategy_v3 [1] 1.08945 53.927775 -1.634175 4.3578 1.08945 NaN 2.723625 13807 DAX caleb_strategy_v3 [1] 1.08945 57.74085 -1.08945 2.1789 0.0 NaN 1.08945 13808 DAX caleb_strategy_v3 [1] 1.08945 57.74085 -1.08945 0.0 -2.1789 NaN -1.08945 13809 DAX caleb_strategy_v3 [1] 1.08945 56.6514 -1.08945 4.3578 2.1789 NaN 3.26835 13810 DAX caleb_strategy_v3 [1] 1.08945 61.553925 -1.634175 1.08945 -2.1789 NaN -0.544725 13811 COPPER caleb_strategy_v3 [1] 25000.0 1337.5 -12.5 62.5 37.5 NaN 50.0 13812 GOLD_micro caleb_strategy_v3 [1] 10.0 -9.5 -0.5 17.0 16.0 NaN 16.5 13813 COFFEE caleb_strategy_v3 [1] 375.0 1481.25 -37.5 112.5 NaN NaN 75.0 13814 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -243.75 -6.25 -0.0 -12.5 NaN -6.25 13816 SUGAR11 caleb_strategy_v3 [-1] 1120.0 128.8 -5.6 33.6 NaN NaN 28.0 13817 SUGAR11 caleb_strategy_v3 [-1] 1120.0 145.6 -11.2 56.0 33.6 NaN 44.8 13815 SUGAR11 caleb_strategy_v3 [-1] 1120.0 140.0 -5.6 33.6 22.4 NaN 28.0 13818 US10U caleb_strategy_v3 [1] 1000.0 351.5625 -7.8125 15.625 0.0 NaN 7.8125 13820 JPY caleb_strategy_v3 [1] 12500000.0 9.375 -3.125 -18.75 -25.0 NaN -21.875 13822 EUR caleb_strategy_v3 [1] 125000.0 -109.375 -3.125 31.25 25.0 NaN 28.125 13825 US5 caleb_strategy_v3 [1] 1000.0 50.78125 -3.90625 7.8125 0.0 NaN 3.90625 13821 US5 caleb_strategy_v3 [1] 1000.0 58.59375 -3.90625 -7.813 -15.6255 NaN -11.71925 13826 MXP caleb_strategy_v3 [1] 500000.0 345.0 -5.0 -5.0 -15.0 NaN -10.0 13823 MXP caleb_strategy_v3 [1] 500000.0 352.5 -2.5 -5.0 -10.0 NaN -7.5 13828 SOYOIL caleb_strategy_v3 [-1] 600.0 -477.0 -3.0 -30.0 -36.0 NaN -33.0 13829 FEEDCOW caleb_strategy_v3 [-1] 500.0 -43.75 -18.75 62.5 25.0 NaN 43.75 13830 REDWHEAT caleb_strategy_v3 [-1] 50.0 -668.75 -6.25 37.5 25.0 NaN 31.25 13824 RUSSELL caleb_strategy_v3 [1] 5.0 -107.25 -0.25 -8.5 -9.0 NaN -8.75 13819 RUSSELL caleb_strategy_v3 [1] 5.0 -66.0 -0.5 NaN NaN NaN NaN 13827 RUSSELL caleb_strategy_v3 [1] 5.0 -118.25 -0.25 0.5 0.0 NaN 0.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 COFFEE 1481.25 COPPER 1337.5 DAX 287.6148 EUR -109.375 FEEDCOW -43.75 GAS_US_mini -243.75 GOLD_micro -9.5 JPY 9.375 MXP 697.5 REDWHEAT -668.75 RUSSELL -291.5 SOYOIL -477.0 SUGAR11 414.4 US10U 351.5625 US5 109.375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 2844.9523 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 COFFEE -37.5 COPPER -12.5 DAX -6.5367 EUR -3.125 FEEDCOW -18.75 GAS_US_mini -6.25 GOLD_micro -0.5 JPY -3.125 MXP -7.5 REDWHEAT -6.25 RUSSELL -1.0 SOYOIL -3.0 SUGAR11 -22.4 US10U -7.8125 US5 -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -144.0617 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 COFFEE 112.5 COPPER 62.5 DAX 11.98395 EUR 31.25 FEEDCOW 62.5 GAS_US_mini -0.0 GOLD_micro 17.0 JPY -18.75 MXP -10.0 REDWHEAT 37.5 RUSSELL -8.0 SOYOIL -30.0 SUGAR11 123.2 US10U 15.625 US5 -0.0005 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 407.30845 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 COFFEE 0 COPPER 37.5 DAX -1.08945 EUR 25.0 FEEDCOW 25.0 GAS_US_mini -12.5 GOLD_micro 16.0 JPY -25.0 MXP -25.0 REDWHEAT 25.0 RUSSELL -9.0 SOYOIL -36.0 SUGAR11 56.0 US10U 0.0 US5 -15.6255 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 60.28505 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 COFFEE 0 COPPER 0 DAX 0 EUR 0 FEEDCOW 0 GAS_US_mini 0 GOLD_micro 0 JPY 0 MXP 0 REDWHEAT 0 RUSSELL 0 SOYOIL 0 SUGAR11 0 US10U 0 US5 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 COFFEE 75.0 COPPER 50.0 DAX 5.44725 EUR 28.125 FEEDCOW 43.75 GAS_US_mini -6.25 GOLD_micro 16.5 JPY -21.875 MXP -17.5 REDWHEAT 31.25 RUSSELL -8.5 SOYOIL -33.0 SUGAR11 100.8 US10U 7.8125 US5 -7.813 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 263.74675 ******************************************************************************** END OF REPORT ********************************************************************************