******************************************************************************** Trades report produced on 05/08/2024 21:37 from 04/08/2024 21:37 to 05/08/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14246 CRUDE_W caleb_strategy_v3 [20241200] 2024-08-05 13:00:41.000 [1] 70.580000 14245 DAX caleb_strategy_v3 [20240900] 2024-08-05 07:19:09.000 [-1] 17290.000000 14243 DAX caleb_strategy_v3 [20240900] 2024-08-05 19:45:31.017 [0] NaN 14255 EUR caleb_strategy_v3 [20240900] 2024-08-05 14:23:29.000 [1] 1.098950 14244 EUROSTX caleb_strategy_v3 [20240900] 2024-08-05 07:17:59.000 [-1] 4516.000000 14260 FEEDCOW caleb_strategy_v3 [20241100] 2024-08-05 14:41:21.000 [-1] 240.775000 14247 HEATOIL caleb_strategy_v3 [20241100] 2024-08-05 13:00:44.000 [-1] 2.306500 14254 JPY caleb_strategy_v3 [20240900] 2024-08-05 14:22:22.000 [1] 0.007022 14259 LEANHOG caleb_strategy_v3 [20241000] 2024-08-05 14:41:20.000 [1] 75.475000 14253 MXP caleb_strategy_v3 [20240900] 2024-08-05 14:22:04.000 [-1] 0.050580 14248 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-08-05 14:09:24.000 [1] 17913.250000 14250 SP400 caleb_strategy_v3 [20240900] 2024-08-05 14:11:52.000 [-1] 2854.300000 14256 SP500_micro caleb_strategy_v3 [20240900] 2024-08-05 14:23:30.000 [1] 5206.500000 14258 SP500_micro caleb_strategy_v3 [20240900] 2024-08-05 14:33:34.000 [1] 5196.750000 14262 SP500_micro caleb_strategy_v3 [20240900] 2024-08-05 14:41:22.000 [1] 5210.250000 14263 SP500_micro caleb_strategy_v3 [20240900] 2024-08-05 14:41:27.000 [1] 5212.250000 14249 US10U caleb_strategy_v3 [20240900] 2024-08-05 14:10:09.000 [-1] 118.953125 14251 US30 caleb_strategy_v3 [20240900] 2024-08-05 14:15:34.000 [1] 134.656250 14252 VIX caleb_strategy_v3 [20241000] 2024-08-05 14:18:39.000 [1] 26.050000 14257 VIX caleb_strategy_v3 [20241000] 2024-08-05 19:45:31.071 [0] NaN 14261 VIX caleb_strategy_v3 [20241000] 2024-08-05 14:41:22.000 [1] 27.600000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14244 EUROSTX caleb_strategy_v3 2024-08-02 2024-08-05 08:10:31.930 2024-08-05 07:17:59.000 288631.93 NaN 14246 CRUDE_W caleb_strategy_v3 2024-08-02 2024-08-05 14:00:40.766 2024-08-05 13:00:41.000 309640.766 NaN 14247 HEATOIL caleb_strategy_v3 2024-08-02 2024-08-05 14:00:42.766 2024-08-05 13:00:44.000 309642.766 NaN 14248 NASDAQ_micro caleb_strategy_v3 2024-08-02 2024-08-05 15:00:50.518 2024-08-05 14:09:24.000 313250.518 NaN 14249 US10U caleb_strategy_v3 2024-08-02 2024-08-05 15:09:25.218 2024-08-05 14:10:09.000 313765.218 NaN 14250 SP400 caleb_strategy_v3 2024-08-02 2024-08-05 15:10:09.934 2024-08-05 14:11:52.000 313809.934 NaN 14251 US30 caleb_strategy_v3 2024-08-02 2024-08-05 15:11:53.690 2024-08-05 14:15:34.000 313913.69 NaN 14253 MXP caleb_strategy_v3 2024-08-02 2024-08-05 15:18:40.061 2024-08-05 14:22:04.000 314320.061 NaN 14254 JPY caleb_strategy_v3 2024-08-02 2024-08-05 15:22:04.874 2024-08-05 14:22:22.000 314524.874 NaN 14255 EUR caleb_strategy_v3 2024-08-02 2024-08-05 15:22:23.659 2024-08-05 14:23:29.000 314543.659 NaN 14259 LEANHOG caleb_strategy_v3 2024-08-02 2024-08-05 15:33:38.506 2024-08-05 14:41:20.000 315218.506 NaN 14260 FEEDCOW caleb_strategy_v3 2024-08-02 2024-08-05 15:41:21.434 2024-08-05 14:41:21.000 315681.434 NaN 14256 SP500_micro caleb_strategy_v3 2024-08-02 2024-08-05 15:23:30.030 2024-08-05 14:23:30.000 314610.03 NaN 14258 SP500_micro caleb_strategy_v3 2024-08-02 2024-08-05 15:33:34.167 2024-08-05 14:33:34.000 315214.167 NaN 14262 SP500_micro caleb_strategy_v3 2024-08-02 2024-08-05 15:41:22.770 2024-08-05 14:41:22.000 315682.77 NaN 14263 SP500_micro caleb_strategy_v3 2024-08-02 2024-08-05 15:41:26.972 2024-08-05 14:41:27.000 315686.972 NaN 14243 DAX caleb_strategy_v3 2024-08-02 2024-08-05 08:00:30.926 2024-08-05 19:45:31.017 288030.926 42300.091 14245 DAX caleb_strategy_v3 2024-08-02 2024-08-05 08:18:03.641 2024-08-05 07:19:09.000 289083.641 NaN 14257 VIX caleb_strategy_v3 2024-08-01 2024-08-05 15:23:33.759 2024-08-05 19:45:31.071 401013.759 15717.312 14252 VIX caleb_strategy_v3 2024-08-01 2024-08-05 15:15:35.174 2024-08-05 14:18:39.000 400535.174 NaN 14261 VIX caleb_strategy_v3 2024-08-01 2024-08-05 15:41:22.048 2024-08-05 14:41:22.000 402082.048 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 14244 EUROSTX caleb_strategy_v3 [-1] 4675.0 None 4549.5 4549.0 4550.0 4550.0 4516.0 -125.5 -0.5 -33.0 -34.0 NaN -33.5 14246 CRUDE_W caleb_strategy_v3 [1] 71.53 None 70.66 70.67 70.65 70.65 70.58 0.87 -0.01 0.09 0.07 NaN 0.08 14247 HEATOIL caleb_strategy_v3 [-1] 2.3447 None 2.3079 2.3074 2.3084 2.3084 2.3065 -0.0368 -0.0005 -0.0009 -0.0019 NaN -0.0014 14248 NASDAQ_micro caleb_strategy_v3 [1] 18514.75 None 17918.25 17918.5 17918.0 17918.0 17913.25 596.5 -0.25 5.25 4.75 NaN 5.0 14249 US10U caleb_strategy_v3 [-1] 118.375 None 119.21875 119.203125 119.234375 119.234375 118.953125 0.84375 -0.015625 -0.25 -0.28125 NaN -0.265625 14250 SP400 caleb_strategy_v3 [-1] 2958.2 None 2849.45 2844.6 2854.3 2854.3 2854.3 -108.75 -4.85 9.7 -0.0 NaN 4.85 14251 US30 caleb_strategy_v3 [1] 133.5625 None 134.453125 134.46875 134.4375 134.4375 134.65625 -0.890625 -0.015625 -0.1875 -0.21875 NaN -0.203125 14253 MXP caleb_strategy_v3 [-1] 0.05179 None 0.05067 0.05066 0.05068 0.05068 0.05058 -0.00112 -0.00001 -0.00008 -0.0001 NaN -0.00009 14254 JPY caleb_strategy_v3 [1] 0.006872 None 0.00702 0.00702 0.007019 0.007019 0.007022 -0.000148 -0.0 -0.000001 -0.000002 NaN -0.000002 14255 EUR caleb_strategy_v3 [1] 1.09365 None 1.098675 1.0987 1.09865 1.09865 1.09895 -0.005025 -0.000025 -0.00025 -0.0003 NaN -0.000275 14259 LEANHOG caleb_strategy_v3 [1] 76.55 None 74.6625 74.675 74.65 74.65 75.475 1.8875 -0.0125 -0.8 -0.825 NaN -0.8125 14260 FEEDCOW caleb_strategy_v3 [-1] 244.75 None 239.425 239.35 239.5 NaN 240.775 -5.325 -0.075 1.425 NaN NaN 1.35 14256 SP500_micro caleb_strategy_v3 [1] 5363.5 None 5215.375 5215.5 5215.25 5215.25 5206.5 148.125 -0.125 9.0 8.75 NaN 8.875 14258 SP500_micro caleb_strategy_v3 [1] 5363.5 None 5215.375 5215.5 5215.25 5215.25 5196.75 148.125 -0.125 18.75 18.5 NaN 18.625 14262 SP500_micro caleb_strategy_v3 [1] 5363.5 None 5215.375 5215.5 5215.25 5215.25 5210.25 148.125 -0.125 5.25 5.0 NaN 5.125 14263 SP500_micro caleb_strategy_v3 [1] 5363.5 None 5215.375 5215.5 5215.25 5215.25 5212.25 148.125 -0.125 3.25 3.0 NaN 3.125 14243 DAX caleb_strategy_v3 [-1] 17803.0 None 17382.5 17380.0 17385.0 17385.0 NaN -420.5 -2.5 NaN NaN NaN NaN 14245 DAX caleb_strategy_v3 [-1] 17803.0 None 17385.0 17383.0 17387.0 17387.0 17290.0 -418.0 -2.0 -93.0 -97.0 NaN -95.0 14257 VIX caleb_strategy_v3 [1] 19.5 None 26.05 26.1 26.0 26.0 NaN -6.55 -0.05 NaN NaN NaN NaN 14252 VIX caleb_strategy_v3 [1] 19.5 None 25.425 25.45 25.4 25.4 26.05 -5.925 -0.025 -0.6 -0.65 NaN -0.625 14261 VIX caleb_strategy_v3 [1] 19.5 None 27.175 27.2 27.15 27.15 27.6 -7.675 -0.025 -0.4 -0.45 NaN -0.425 ================================================================================================================================================================ 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 14244 EUROSTX caleb_strategy_v3 [-1] 829.849602 -1512.322229 -6.025188 -397.662419 -409.712795 NaN -403.687607 14246 CRUDE_W caleb_strategy_v3 [1] 19.441653 447.492821 -5.143596 46.292361 36.005169 NaN 41.148765 14247 HEATOIL caleb_strategy_v3 [-1] 0.685738 -536.648043 -7.291414 -13.124545 -27.707372 NaN -20.415958 14248 NASDAQ_micro caleb_strategy_v3 [1] 4844.374676 1231.325073 -0.516062 10.837312 9.805187 NaN 10.32125 14249 US10U caleb_strategy_v3 [-1] 9.598895 879.007435 -16.277915 -260.446647 -293.002478 NaN -276.724563 14250 SP400 caleb_strategy_v3 [-1] 640.030558 -1699.137623 -75.777632 151.555264 -0.0 NaN 75.777632 14251 US30 caleb_strategy_v3 [1] 21.036343 -423.374453 -7.427622 -89.131464 -103.986708 NaN -96.559086 14253 MXP caleb_strategy_v3 [-1] 0.007635 -1466.935004 -13.097634 -104.781072 -130.97634 NaN -117.878706 14254 JPY caleb_strategy_v3 [1] 0.000838 -1766.442295 -5.96771 -17.903131 -29.838552 NaN -23.870842 14255 EUR caleb_strategy_v3 [1] 0.067776 -741.416604 -3.68864 -36.886398 -44.263678 NaN -40.575038 14259 LEANHOG caleb_strategy_v3 [1] 20.970735 900.063846 -5.960688 -381.484014 -393.40539 NaN -387.444702 14260 FEEDCOW caleb_strategy_v3 [-1] 38.33212 -1389.174423 -19.565837 371.750902 NaN NaN 352.185065 14256 SP500_micro caleb_strategy_v3 [1] 945.986692 1565.825411 -1.321372 95.138759 92.496016 NaN 93.817387 14258 SP500_micro caleb_strategy_v3 [1] 945.986692 1565.825411 -1.321372 198.205748 195.563005 NaN 196.884377 14262 SP500_micro caleb_strategy_v3 [1] 945.986692 1565.825411 -1.321372 55.497609 52.854866 NaN 54.176238 14263 SP500_micro caleb_strategy_v3 [1] 945.986692 1565.825411 -1.321372 34.355663 31.71292 NaN 33.034291 14243 DAX caleb_strategy_v3 [-1] 2869.830725 -1465.243216 -8.711315 NaN NaN NaN NaN 14245 DAX caleb_strategy_v3 [-1] 2869.830725 -1456.5319 -6.969052 -324.060925 -337.99903 NaN -331.029977 14257 VIX caleb_strategy_v3 [1] 11.512108 -5689.66186 -43.432533 NaN NaN NaN NaN 14252 VIX caleb_strategy_v3 [1] 11.512108 -5146.755194 -21.716267 -521.190399 -564.622933 NaN -542.906666 14261 VIX caleb_strategy_v3 [1] 11.512108 -6666.893859 -21.716267 -347.460266 -390.8928 NaN -369.176533 ========================================================================================================================================================================= 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 14244 EUROSTX caleb_strategy_v3 [-1] 10.9095 -1369.14225 -5.45475 -360.0135 -370.923 NaN -365.46825 14246 CRUDE_W caleb_strategy_v3 [1] 1000.0 870.0 -10.0 90.0 70.0 NaN 80.0 14247 HEATOIL caleb_strategy_v3 [-1] 42000.0 -1545.6 -21.0 -37.8 -79.8 NaN -58.8 14248 NASDAQ_micro caleb_strategy_v3 [1] 2.0 1193.0 -0.5 10.5 9.5 NaN 10.0 14249 US10U caleb_strategy_v3 [-1] 1000.0 843.75 -15.625 -250.0 -281.25 NaN -265.625 14250 SP400 caleb_strategy_v3 [-1] 100.0 -10875.0 -485.0 970.0 -0.0 NaN 485.0 14251 US30 caleb_strategy_v3 [1] 1000.0 -890.625 -15.625 -187.5 -218.75 NaN -203.125 14253 MXP caleb_strategy_v3 [-1] 500000.0 -560.0 -5.0 -40.0 -50.0 NaN -45.0 14254 JPY caleb_strategy_v3 [1] 12500000.0 -1850.0 -6.25 -18.75 -31.25 NaN -25.0 14255 EUR caleb_strategy_v3 [1] 125000.0 -628.125 -3.125 -31.25 -37.5 NaN -34.375 14259 LEANHOG caleb_strategy_v3 [1] 400.0 755.0 -5.0 -320.0 -330.0 NaN -325.0 14260 FEEDCOW caleb_strategy_v3 [-1] 500.0 -2662.5 -37.5 712.5 NaN NaN 675.0 14256 SP500_micro caleb_strategy_v3 [1] 5.0 740.625 -0.625 45.0 43.75 NaN 44.375 14258 SP500_micro caleb_strategy_v3 [1] 5.0 740.625 -0.625 93.75 92.5 NaN 93.125 14262 SP500_micro caleb_strategy_v3 [1] 5.0 740.625 -0.625 26.25 25.0 NaN 25.625 14263 SP500_micro caleb_strategy_v3 [1] 5.0 740.625 -0.625 16.25 15.0 NaN 15.625 14243 DAX caleb_strategy_v3 [-1] 1.09095 -458.744475 -2.727375 NaN NaN NaN NaN 14245 DAX caleb_strategy_v3 [-1] 1.09095 -456.0171 -2.1819 -101.45835 -105.82215 NaN -103.64025 14257 VIX caleb_strategy_v3 [1] 1000.0 -6550.0 -50.0 NaN NaN NaN NaN 14252 VIX caleb_strategy_v3 [1] 1000.0 -5925.0 -25.0 -600.0 -650.0 NaN -625.0 14261 VIX caleb_strategy_v3 [1] 1000.0 -7675.0 -25.0 -400.0 -450.0 NaN -425.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CRUDE_W 870.0 DAX -914.761575 EUR -628.125 EUROSTX -1369.14225 FEEDCOW -2662.5 HEATOIL -1545.6 JPY -1850.0 LEANHOG 755.0 MXP -560.0 NASDAQ_micro 1193.0 SP400 -10875.0 SP500_micro 2962.5 US10U 843.75 US30 -890.625 VIX -20150.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -34821.503825 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CRUDE_W -10.0 DAX -4.909275 EUR -3.125 EUROSTX -5.45475 FEEDCOW -37.5 HEATOIL -21.0 JPY -6.25 LEANHOG -5.0 MXP -5.0 NASDAQ_micro -0.5 SP400 -485.0 SP500_micro -2.5 US10U -15.625 US30 -15.625 VIX -100.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -717.489025 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CRUDE_W 90.0 DAX -101.45835 EUR -31.25 EUROSTX -360.0135 FEEDCOW 712.5 HEATOIL -37.8 JPY -18.75 LEANHOG -320.0 MXP -40.0 NASDAQ_micro 10.5 SP400 970.0 SP500_micro 181.25 US10U -250.0 US30 -187.5 VIX -1000.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -382.52185 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CRUDE_W 70.0 DAX -105.82215 EUR -37.5 EUROSTX -370.923 FEEDCOW 0 HEATOIL -79.8 JPY -31.25 LEANHOG -330.0 MXP -50.0 NASDAQ_micro 9.5 SP400 -0.0 SP500_micro 176.25 US10U -281.25 US30 -218.75 VIX -1100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -2349.54515 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CRUDE_W 0 DAX 0 EUR 0 EUROSTX 0 FEEDCOW 0 HEATOIL 0 JPY 0 LEANHOG 0 MXP 0 NASDAQ_micro 0 SP400 0 SP500_micro 0 US10U 0 US30 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 CRUDE_W 80.0 DAX -103.64025 EUR -34.375 EUROSTX -365.46825 FEEDCOW 675.0 HEATOIL -58.8 JPY -25.0 LEANHOG -325.0 MXP -45.0 NASDAQ_micro 10.0 SP400 485.0 SP500_micro 178.75 US10U -265.625 US30 -203.125 VIX -1050.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -1047.2835 ******************************************************************************** END OF REPORT ********************************************************************************