******************************************************************************** Trades report produced on 31/07/2024 21:37 from 30/07/2024 21:37 to 31/07/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14181 CANOLA caleb_strategy_v3 [20250100] 2024-07-31 13:00:40 [-1] 630.20000 14182 GOLD_micro caleb_strategy_v3 [20241000] 2024-07-31 13:01:24 [1] 2441.90000 14193 MXP caleb_strategy_v3 [20240900] 2024-07-31 14:07:53 [-1] 0.05305 14187 MXP caleb_strategy_v3 [20240900] 2024-07-31 14:05:16 [-1] 0.05306 14189 MXP caleb_strategy_v3 [20240900] 2024-07-31 14:06:49 [-1] 0.05304 14191 MXP caleb_strategy_v3 [20240900] 2024-07-31 14:06:53 [-1] 0.05305 14185 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-07-31 14:02:30 [-1] 19418.75000 14183 PLAT caleb_strategy_v3 [20241000] 2024-07-31 13:08:38 [-1] 982.10000 14186 SP500_micro caleb_strategy_v3 [20240900] 2024-07-31 14:02:30 [-1] 5545.75000 14188 SP500_micro caleb_strategy_v3 [20240900] 2024-07-31 14:05:19 [-1] 5544.25000 14190 SP500_micro caleb_strategy_v3 [20240900] 2024-07-31 14:06:52 [-1] 5547.00000 14192 SP500_micro caleb_strategy_v3 [20240900] 2024-07-31 14:07:52 [-1] 5547.75000 14194 SP500_micro caleb_strategy_v3 [20240900] 2024-07-31 14:08:52 [-1] 5549.25000 14195 SP500_micro caleb_strategy_v3 [20240900] 2024-07-31 14:09:52 [-1] 5549.00000 14184 VIX caleb_strategy_v3 [20241000] 2024-07-31 14:02:29 [1] 18.35000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14181 CANOLA caleb_strategy_v3 2024-07-30 2024-07-31 14:00:40.494 2024-07-31 13:00:40 136840.494 NaN 14182 GOLD_micro caleb_strategy_v3 2024-07-30 2024-07-31 14:00:41.866 2024-07-31 13:01:24 136841.866 NaN 14183 PLAT caleb_strategy_v3 2024-07-30 2024-07-31 14:01:24.902 2024-07-31 13:08:38 136884.902 NaN 14184 VIX caleb_strategy_v3 2024-07-30 2024-07-31 15:00:50.874 2024-07-31 14:02:29 140450.874 NaN 14185 NASDAQ_micro caleb_strategy_v3 2024-07-30 2024-07-31 15:02:29.930 2024-07-31 14:02:30 140549.93 NaN 14193 MXP caleb_strategy_v3 2024-07-30 2024-07-31 15:07:53.347 2024-07-31 14:07:53 140873.347 NaN 14187 MXP caleb_strategy_v3 2024-07-30 2024-07-31 15:02:31.822 2024-07-31 14:05:16 140551.822 NaN 14189 MXP caleb_strategy_v3 2024-07-30 2024-07-31 15:05:20.433 2024-07-31 14:06:49 140720.433 NaN 14191 MXP caleb_strategy_v3 2024-07-30 2024-07-31 15:06:53.043 2024-07-31 14:06:53 140813.043 NaN 14186 SP500_micro caleb_strategy_v3 2024-07-30 2024-07-31 15:02:30.923 2024-07-31 14:02:30 140550.923 NaN 14188 SP500_micro caleb_strategy_v3 2024-07-30 2024-07-31 15:05:19.836 2024-07-31 14:05:19 140719.836 NaN 14190 SP500_micro caleb_strategy_v3 2024-07-30 2024-07-31 15:06:52.571 2024-07-31 14:06:52 140812.571 NaN 14192 SP500_micro caleb_strategy_v3 2024-07-30 2024-07-31 15:07:52.742 2024-07-31 14:07:52 140872.742 NaN 14194 SP500_micro caleb_strategy_v3 2024-07-30 2024-07-31 15:08:52.695 2024-07-31 14:08:52 140932.695 NaN 14195 SP500_micro caleb_strategy_v3 2024-07-30 2024-07-31 15:09:52.883 2024-07-31 14:09:52 140992.883 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 14181 CANOLA caleb_strategy_v3 [-1] 625.1 None 630.0 629.8 630.2 630.2 630.2 4.9 -0.2 0.4 -0.0 NaN 0.2 14182 GOLD_micro caleb_strategy_v3 [1] 2425.8 None 2440.55 2440.7 2440.4 2440.4 2441.9 -14.75 -0.15 -1.2 -1.5 NaN -1.35 14183 PLAT caleb_strategy_v3 [-1] 970.7 None 982.2 982.1 982.3 982.3 982.1 11.5 -0.1 -0.0 -0.2 NaN -0.1 14184 VIX caleb_strategy_v3 [1] 18.7 None 18.325 18.35 18.3 18.3 18.35 0.375 -0.025 0.0 -0.05 NaN -0.025 14185 NASDAQ_micro caleb_strategy_v3 [-1] 18947.75 None 19369.0 19368.75 19369.25 19369.25 19418.75 421.25 -0.25 50.0 49.5 NaN 49.75 14193 MXP caleb_strategy_v3 [-1] 0.05297 None 0.053045 0.05304 0.05305 0.05305 0.05305 0.000075 -0.000005 0.00001 -0.0 NaN 0.000005 14187 MXP caleb_strategy_v3 [-1] 0.05297 None 0.053055 0.05305 0.05306 0.05306 0.05306 0.000085 -0.000005 0.00001 -0.0 NaN 0.000005 14189 MXP caleb_strategy_v3 [-1] 0.05297 None 0.053115 0.05311 0.05312 0.05312 0.05304 0.000145 -0.000005 -0.00007 -0.00008 NaN -0.000075 14191 MXP caleb_strategy_v3 [-1] 0.05297 None 0.053045 0.05304 0.05305 0.05305 0.05305 0.000075 -0.000005 0.00001 -0.0 NaN 0.000005 14186 SP500_micro caleb_strategy_v3 [-1] 5463.75 None 5536.125 5536.0 5536.25 5536.25 5545.75 72.375 -0.125 9.75 9.5 NaN 9.625 14188 SP500_micro caleb_strategy_v3 [-1] 5463.75 None 5536.125 5536.0 5536.25 5536.25 5544.25 72.375 -0.125 8.25 8.0 NaN 8.125 14190 SP500_micro caleb_strategy_v3 [-1] 5463.75 None 5536.125 5536.0 5536.25 5536.25 5547.0 72.375 -0.125 11.0 10.75 NaN 10.875 14192 SP500_micro caleb_strategy_v3 [-1] 5463.75 None 5536.125 5536.0 5536.25 5536.25 5547.75 72.375 -0.125 11.75 11.5 NaN 11.625 14194 SP500_micro caleb_strategy_v3 [-1] 5463.75 None 5537.625 5537.5 5537.75 5537.75 5549.25 73.875 -0.125 11.75 11.5 NaN 11.625 14195 SP500_micro caleb_strategy_v3 [-1] 5463.75 None 5539.375 5539.25 5539.5 5539.5 5549.0 75.625 -0.125 9.75 9.5 NaN 9.625 =============================================================================================================================================================== 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 14181 CANOLA caleb_strategy_v3 [-1] 175.687667 278.90404 -11.383838 22.767677 -0.0 NaN 11.383838 14182 GOLD_micro caleb_strategy_v3 [1] 364.657506 -404.489137 -4.113449 -32.907591 -41.134489 NaN -37.02104 14183 PLAT caleb_strategy_v3 [-1] 239.688685 479.789022 -4.172078 -0.0 -8.344157 NaN -4.172078 14184 VIX caleb_strategy_v3 [1] 7.551712 496.576166 -33.105078 0.0 -66.210156 NaN -33.105078 14185 NASDAQ_micro caleb_strategy_v3 [-1] 4336.788789 971.340825 -0.576463 115.29268 114.139753 NaN 114.716216 14193 MXP caleb_strategy_v3 [-1] 0.007465 100.465406 -6.697694 13.395387 -0.0 NaN 6.697694 14187 MXP caleb_strategy_v3 [-1] 0.007465 113.860793 -6.697694 13.395387 -0.0 NaN 6.697694 14189 MXP caleb_strategy_v3 [-1] 0.007465 194.233118 -6.697694 -93.767712 -107.163099 NaN -100.465406 14191 MXP caleb_strategy_v3 [-1] 0.007465 100.465406 -6.697694 13.395387 -0.0 NaN 6.697694 14186 SP500_micro caleb_strategy_v3 [-1] 806.588083 897.298156 -1.549738 120.879544 117.780069 NaN 119.329807 14188 SP500_micro caleb_strategy_v3 [-1] 806.588083 897.298156 -1.549738 102.282691 99.183216 NaN 100.732954 14190 SP500_micro caleb_strategy_v3 [-1] 806.588083 897.298156 -1.549738 136.376922 133.277446 NaN 134.827184 14192 SP500_micro caleb_strategy_v3 [-1] 806.588083 897.298156 -1.549738 145.675348 142.575873 NaN 144.125611 14194 SP500_micro caleb_strategy_v3 [-1] 806.588083 915.895009 -1.549738 145.675348 142.575873 NaN 144.125611 14195 SP500_micro caleb_strategy_v3 [-1] 806.588083 937.591338 -1.549738 120.879544 117.780069 NaN 119.329807 ======================================================================================================================================================================== 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 14181 CANOLA caleb_strategy_v3 [-1] 14.446692 70.788789 -2.889338 5.778677 -0.0 NaN 2.889338 14182 GOLD_micro caleb_strategy_v3 [1] 10.0 -147.5 -1.5 -12.0 -15.0 NaN -13.5 14183 PLAT caleb_strategy_v3 [-1] 50.0 575.0 -5.0 -0.0 -10.0 NaN -5.0 14184 VIX caleb_strategy_v3 [1] 1000.0 375.0 -25.0 0.0 -50.0 NaN -25.0 14185 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 842.5 -0.5 100.0 99.0 NaN 99.5 14193 MXP caleb_strategy_v3 [-1] 500000.0 37.5 -2.5 5.0 -0.0 NaN 2.5 14187 MXP caleb_strategy_v3 [-1] 500000.0 42.5 -2.5 5.0 -0.0 NaN 2.5 14189 MXP caleb_strategy_v3 [-1] 500000.0 72.5 -2.5 -35.0 -40.0 NaN -37.5 14191 MXP caleb_strategy_v3 [-1] 500000.0 37.5 -2.5 5.0 -0.0 NaN 2.5 14186 SP500_micro caleb_strategy_v3 [-1] 5.0 361.875 -0.625 48.75 47.5 NaN 48.125 14188 SP500_micro caleb_strategy_v3 [-1] 5.0 361.875 -0.625 41.25 40.0 NaN 40.625 14190 SP500_micro caleb_strategy_v3 [-1] 5.0 361.875 -0.625 55.0 53.75 NaN 54.375 14192 SP500_micro caleb_strategy_v3 [-1] 5.0 361.875 -0.625 58.75 57.5 NaN 58.125 14194 SP500_micro caleb_strategy_v3 [-1] 5.0 369.375 -0.625 58.75 57.5 NaN 58.125 14195 SP500_micro caleb_strategy_v3 [-1] 5.0 378.125 -0.625 48.75 47.5 NaN 48.125 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CANOLA 70.788789 GOLD_micro -147.5 MXP 190.0 NASDAQ_micro 842.5 PLAT 575.0 SP500_micro 2195.0 VIX 375.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 4100.788789 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CANOLA -2.889338 GOLD_micro -1.5 MXP -10.0 NASDAQ_micro -0.5 PLAT -5.0 SP500_micro -3.75 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -48.639338 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CANOLA 5.778677 GOLD_micro -12.0 MXP -20.0 NASDAQ_micro 100.0 PLAT -0.0 SP500_micro 311.25 VIX 0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 385.028677 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CANOLA -0.0 GOLD_micro -15.0 MXP -40.0 NASDAQ_micro 99.0 PLAT -10.0 SP500_micro 303.75 VIX -50.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 287.75 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CANOLA 0 GOLD_micro 0 MXP 0 NASDAQ_micro 0 PLAT 0 SP500_micro 0 VIX 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 2.889338 GOLD_micro -13.5 MXP -30.0 NASDAQ_micro 99.5 PLAT -5.0 SP500_micro 307.5 VIX -25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 336.389338 ******************************************************************************** END OF REPORT ********************************************************************************