******************************************************************************** Trades report produced on 01/08/2024 21:37 from 31/07/2024 21:37 to 01/08/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14204 CORN caleb_strategy_v3 [20241200] 2024-08-01 14:40:51.000 [1] 395.75 14196 DAX caleb_strategy_v3 [20240900] 2024-08-01 07:00:29.000 [1] 18497.00 14197 DAX caleb_strategy_v3 [20240900] 2024-08-01 07:01:28.000 [1] 18518.00 14198 PLAT caleb_strategy_v3 [20241000] 2024-08-01 13:00:59.000 [1] 981.60 14203 SOYBEAN caleb_strategy_v3 [20241100] 2024-08-01 19:45:00.757 [0] NaN 14205 SOYBEAN caleb_strategy_v3 [20241100] 2024-08-01 14:41:11.000 [-1] 1015.50 14201 SP500_micro caleb_strategy_v3 [20240900] 2024-08-01 14:01:48.000 [1] 5585.00 14202 SP500_micro caleb_strategy_v3 [20240900] 2024-08-01 14:03:09.000 [1] 5592.25 14199 SP500_micro caleb_strategy_v3 [20240900] 2024-08-01 14:00:48.000 [1] 5584.75 14200 VIX caleb_strategy_v3 [20241000] 2024-08-01 14:00:54.000 [1] 18.30 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14196 DAX caleb_strategy_v3 2024-07-31 2024-08-01 08:00:29.202 2024-08-01 07:00:29.000 115229.202 NaN 14197 DAX caleb_strategy_v3 2024-07-31 2024-08-01 08:01:28.649 2024-08-01 07:01:28.000 115288.649 NaN 14198 PLAT caleb_strategy_v3 2024-07-31 2024-08-01 14:00:40.990 2024-08-01 13:00:59.000 136840.99 NaN 14200 VIX caleb_strategy_v3 2024-07-31 2024-08-01 15:00:49.498 2024-08-01 14:00:54.000 140449.498 NaN 14201 SP500_micro caleb_strategy_v3 2024-07-31 2024-08-01 15:01:48.181 2024-08-01 14:01:48.000 140508.181 NaN 14202 SP500_micro caleb_strategy_v3 2024-07-31 2024-08-01 15:02:48.058 2024-08-01 14:03:09.000 140568.058 NaN 14199 SP500_micro caleb_strategy_v3 2024-07-31 2024-08-01 15:00:48.527 2024-08-01 14:00:48.000 140448.527 NaN 14204 CORN caleb_strategy_v3 2024-07-31 2024-08-01 15:40:51.166 2024-08-01 14:40:51.000 142851.166 NaN 14203 SOYBEAN caleb_strategy_v3 2024-07-31 2024-08-01 15:30:49.870 2024-08-01 19:45:00.757 142249.87 15250.887 14205 SOYBEAN caleb_strategy_v3 2024-07-31 2024-08-01 15:40:54.723 2024-08-01 14:41:11.000 142854.723 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 14196 DAX caleb_strategy_v3 [1] 18677.0 None 18534.0 18535.0 18533.0 18533.0 18497.0 143.0 -1.0 38.0 36.0 NaN 37.0 14197 DAX caleb_strategy_v3 [1] 18677.0 None 18534.0 18535.0 18533.0 18533.0 18518.0 143.0 -1.0 17.0 15.0 NaN 16.0 14198 PLAT caleb_strategy_v3 [1] 986.2 None 981.25 981.4 981.1 981.1 981.6 4.95 -0.15 -0.2 -0.5 NaN -0.35 14200 VIX caleb_strategy_v3 [1] 17.9 None 18.325 18.35 18.3 18.3 18.3 -0.425 -0.025 0.05 0.0 NaN 0.025 14201 SP500_micro caleb_strategy_v3 [1] 5585.5 None 5590.875 5591.0 5590.75 5590.75 5585.0 -5.375 -0.125 6.0 5.75 NaN 5.875 14202 SP500_micro caleb_strategy_v3 [1] 5585.5 None 5590.875 5591.0 5590.75 5590.75 5592.25 -5.375 -0.125 -1.25 -1.5 NaN -1.375 14199 SP500_micro caleb_strategy_v3 [1] 5585.5 None 5590.875 5591.0 5590.75 5590.75 5584.75 -5.375 -0.125 6.25 6.0 NaN 6.125 14204 CORN caleb_strategy_v3 [1] 400.0 None 396.625 396.75 396.5 396.5 395.75 3.375 -0.125 1.0 0.75 NaN 0.875 14203 SOYBEAN caleb_strategy_v3 [-1] 1023.5 None 1019.375 1019.25 1019.5 1019.5 NaN -4.125 -0.125 NaN NaN NaN NaN 14205 SOYBEAN caleb_strategy_v3 [-1] 1023.5 None 1016.125 1016.0 1016.25 1016.25 1015.5 -7.375 -0.125 -0.5 -0.75 NaN -0.625 =============================================================================================================================================================== 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 14196 DAX caleb_strategy_v3 [1] 2739.297219 522.031706 -3.650571 138.721712 131.420569 NaN 135.071141 14197 DAX caleb_strategy_v3 [1] 2739.297219 522.031706 -3.650571 62.059713 54.758571 NaN 58.409142 14198 PLAT caleb_strategy_v3 [1] 240.927423 205.456064 -6.225941 -8.301255 -20.753138 NaN -14.527196 14200 VIX caleb_strategy_v3 [1] 8.162481 -520.675033 -30.627943 61.255886 0.0 NaN 30.627943 14201 SP500_micro caleb_strategy_v3 [1] 846.626177 -63.487288 -1.476449 70.869531 67.916634 NaN 69.393082 14202 SP500_micro caleb_strategy_v3 [1] 846.626177 -63.487288 -1.476449 -14.764486 -17.717383 NaN -16.240934 14199 SP500_micro caleb_strategy_v3 [1] 846.626177 -63.487288 -1.476449 73.822428 70.869531 NaN 72.345979 14204 CORN caleb_strategy_v3 [1] 97.95633 344.541287 -12.760788 102.086307 76.56473 NaN 89.325519 14203 SOYBEAN caleb_strategy_v3 [-1] 224.419022 -183.807948 -5.569938 NaN NaN NaN NaN 14205 SOYBEAN caleb_strategy_v3 [-1] 224.419022 -328.626331 -5.569938 -22.279751 -33.419627 NaN -27.849689 ======================================================================================================================================================================== 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 14196 DAX caleb_strategy_v3 [1] 1.0827 154.8261 -1.0827 41.1426 38.9772 NaN 40.0599 14197 DAX caleb_strategy_v3 [1] 1.0827 154.8261 -1.0827 18.4059 16.2405 NaN 17.3232 14198 PLAT caleb_strategy_v3 [1] 50.0 247.5 -7.5 -10.0 -25.0 NaN -17.5 14200 VIX caleb_strategy_v3 [1] 1000.0 -425.0 -25.0 50.0 0.0 NaN 25.0 14201 SP500_micro caleb_strategy_v3 [1] 5.0 -26.875 -0.625 30.0 28.75 NaN 29.375 14202 SP500_micro caleb_strategy_v3 [1] 5.0 -26.875 -0.625 -6.25 -7.5 NaN -6.875 14199 SP500_micro caleb_strategy_v3 [1] 5.0 -26.875 -0.625 31.25 30.0 NaN 30.625 14204 CORN caleb_strategy_v3 [1] 50.0 168.75 -6.25 50.0 37.5 NaN 43.75 14203 SOYBEAN caleb_strategy_v3 [-1] 50.0 -206.25 -6.25 NaN NaN NaN NaN 14205 SOYBEAN caleb_strategy_v3 [-1] 50.0 -368.75 -6.25 -25.0 -37.5 NaN -31.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CORN 168.75 DAX 309.6522 PLAT 247.5 SOYBEAN -575.0 SP500_micro -80.625 VIX -425.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -354.7228 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CORN -6.25 DAX -2.1654 PLAT -7.5 SOYBEAN -12.5 SP500_micro -1.875 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -55.2904 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CORN 50.0 DAX 59.5485 PLAT -10.0 SOYBEAN -25.0 SP500_micro 55.0 VIX 50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 179.5485 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CORN 37.5 DAX 55.2177 PLAT -25.0 SOYBEAN -37.5 SP500_micro 51.25 VIX 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 81.4677 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CORN 0 DAX 0 PLAT 0 SOYBEAN 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 CORN 43.75 DAX 57.3831 PLAT -17.5 SOYBEAN -31.25 SP500_micro 53.125 VIX 25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 130.5081 ******************************************************************************** END OF REPORT ********************************************************************************