******************************************************************************** Trades report produced on 14/08/2024 21:37 from 13/08/2024 21:37 to 14/08/2024 21:37 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14373 CAD caleb_strategy_v3 [20240900] 2024-08-14 14:00:33.000 [1] 0.73035 14377 CHF caleb_strategy_v3 [20240900] 2024-08-14 14:06:00.000 [1] 1.16140 14372 EUR caleb_strategy_v3 [20240900] 2024-08-14 14:00:31.000 [1] 1.10520 14366 EUROSTX caleb_strategy_v3 [20240900] 2024-08-14 07:01:02.000 [1] 4737.00000 14389 FEEDCOW _ROLL_PSEUDO_STRATEGY [20250100] 2024-08-14 14:47:54.000 [-1] 237.82500 14388 FEEDCOW _ROLL_PSEUDO_STRATEGY [20241100] 2024-08-14 14:47:53.000 [1] 240.25000 14387 FEEDCOW _ROLL_PSEUDO_STRATEGY [20250100] 2024-08-14 14:42:46.000 [-1] 238.02500 14386 FEEDCOW _ROLL_PSEUDO_STRATEGY [20241100] 2024-08-14 14:35:44.000 [1] 240.30000 14368 GASOIL caleb_strategy_v3 [20241100] 2024-08-14 08:00:31.000 [1] 737.50000 14369 GAS_US_mini caleb_strategy_v3 [20241000] 2024-08-14 19:45:03.802 [0] NaN 14370 GAS_US_mini caleb_strategy_v3 [20241000] 2024-08-14 13:14:18.000 [1] 2.33500 14385 LIVECOW caleb_strategy_v3 [20241000] 2024-08-14 14:30:35.000 [1] 181.72500 14376 MXP caleb_strategy_v3 [20240900] 2024-08-14 14:05:03.000 [1] 0.05280 14380 MXP caleb_strategy_v3 [20240900] 2024-08-14 14:12:49.000 [1] 0.05278 14383 MXP caleb_strategy_v3 [20240900] 2024-08-14 14:16:04.000 [1] 0.05280 14371 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-08-14 14:00:29.000 [1] 19016.50000 14381 NZD caleb_strategy_v3 [20240900] 2024-08-14 14:12:49.000 [1] 0.60165 14378 NZD caleb_strategy_v3 [20240900] 2024-08-14 14:06:02.000 [1] 0.60175 14367 OAT caleb_strategy_v3 [20240900] 2024-08-14 07:01:04.000 [1] 126.88000 14374 RUSSELL caleb_strategy_v3 [20240900] 2024-08-14 14:04:59.000 [-1] 2092.30000 14382 RUSSELL caleb_strategy_v3 [20240900] 2024-08-14 14:15:59.000 [-1] 2088.70000 14379 RUSSELL caleb_strategy_v3 [20240900] 2024-08-14 14:10:04.000 [-1] 2091.30000 14384 SOYMEAL caleb_strategy_v3 [20241200] 2024-08-14 14:30:33.000 [-1] 301.90000 14375 SP400 caleb_strategy_v3 [20240900] 2024-08-14 14:05:01.000 [1] 2961.50000 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14366 EUROSTX caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 08:00:29.826 2024-08-14 07:01:02.000 115229.826 NaN 14367 OAT caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 08:01:03.962 2024-08-14 07:01:04.000 115263.962 NaN 14368 GASOIL caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 09:00:30.650 2024-08-14 08:00:31.000 118830.65 NaN 14371 NASDAQ_micro caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 15:00:29.562 2024-08-14 14:00:29.000 140429.562 NaN 14372 EUR caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 15:00:31.622 2024-08-14 14:00:31.000 140431.622 NaN 14373 CAD caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 15:00:33.566 2024-08-14 14:00:33.000 140433.566 NaN 14375 SP400 caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 15:05:01.251 2024-08-14 14:05:01.000 140701.251 NaN 14377 CHF caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 15:05:05.242 2024-08-14 14:06:00.000 140705.242 NaN 14378 NZD caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 15:06:02.306 2024-08-14 14:06:02.000 140762.306 NaN 14381 NZD caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 15:12:49.571 2024-08-14 14:12:49.000 141169.571 NaN 14382 RUSSELL caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 15:12:53.306 2024-08-14 14:15:59.000 141173.306 NaN 14379 RUSSELL caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 15:06:27.131 2024-08-14 14:10:04.000 140787.131 NaN 14374 RUSSELL caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 15:00:35.426 2024-08-14 14:04:59.000 140435.426 NaN 14376 MXP caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 15:05:03.414 2024-08-14 14:05:03.000 140703.414 NaN 14380 MXP caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 15:10:04.819 2024-08-14 14:12:49.000 141004.819 NaN 14383 MXP caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 15:15:59.663 2024-08-14 14:16:04.000 141359.663 NaN 14384 SOYMEAL caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 15:30:10.622 2024-08-14 14:30:33.000 142210.622 NaN 14385 LIVECOW caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 15:30:35.136 2024-08-14 14:30:35.000 142235.136 NaN 14386 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-08-13 19:00:00 2024-08-14 15:30:37.054 2024-08-14 14:35:44.000 73837.054 NaN 14387 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-08-13 19:00:00 2024-08-14 15:35:45.887 2024-08-14 14:42:46.000 74145.887 NaN 14388 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-08-13 19:00:00 2024-08-14 15:42:49.621 2024-08-14 14:47:53.000 74569.621 NaN 14389 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-08-13 19:00:00 2024-08-14 15:47:54.059 2024-08-14 14:47:54.000 74874.059 NaN 14369 GAS_US_mini caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 14:00:47.375 2024-08-14 19:45:03.802 136847.375 20656.427 14370 GAS_US_mini caleb_strategy_v3 2024-08-13 00:00:00 2024-08-14 14:10:51.081 2024-08-14 13:14:18.000 137451.081 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 14366 EUROSTX caleb_strategy_v3 [1] 4723.0 None 4737.5 4738.0 4737.0 4737.0 4737.0 -14.5 -0.5 1.0 0.0 NaN 0.5 14367 OAT caleb_strategy_v3 [1] 126.86 None 126.925 126.93 126.92 126.92 126.88 -0.065 -0.005 0.05 0.04 NaN 0.045 14368 GASOIL caleb_strategy_v3 [1] 734.5 None 738.625 738.75 738.5 738.5 737.5 -4.125 -0.125 1.25 1.0 NaN 1.125 14371 NASDAQ_micro caleb_strategy_v3 [1] 19081.25 None 19073.5 19073.75 19073.25 19073.25 19016.5 7.75 -0.25 57.25 56.75 NaN 57.0 14372 EUR caleb_strategy_v3 [1] 1.10155 None 1.105675 1.1057 1.10565 1.10565 1.1052 -0.004125 -0.000025 0.0005 0.00045 NaN 0.000475 14373 CAD caleb_strategy_v3 [1] 0.73015 None 0.730375 0.7304 0.73035 0.73035 0.73035 -0.000225 -0.000025 0.00005 0.0 NaN 0.000025 14375 SP400 caleb_strategy_v3 [1] 2962.3 None 2963.95 2964.3 2963.6 2963.6 2961.5 -1.65 -0.35 2.8 2.1 NaN 2.45 14377 CHF caleb_strategy_v3 [1] 1.1622 None 1.1613 1.16135 1.16125 1.16125 1.1614 0.0009 -0.00005 -0.00005 -0.00015 NaN -0.0001 14378 NZD caleb_strategy_v3 [1] 0.608 None 0.6018 0.60185 0.60175 0.60175 0.60175 0.0062 -0.00005 0.0001 0.0 NaN 0.00005 14381 NZD caleb_strategy_v3 [1] 0.608 None 0.6018 0.60185 0.60175 0.60175 0.60165 0.0062 -0.00005 0.0002 0.0001 NaN 0.00015 14382 RUSSELL caleb_strategy_v3 [-1] 2099.6 None 2091.4 2091.3 2091.5 2091.5 2088.7 -8.2 -0.1 -2.6 -2.8 NaN -2.7 14379 RUSSELL caleb_strategy_v3 [-1] 2099.6 None 2092.35 2092.3 2092.4 2092.4 2091.3 -7.25 -0.05 -1.0 -1.1 NaN -1.05 14374 RUSSELL caleb_strategy_v3 [-1] 2099.6 None 2100.75 2100.7 2100.8 2100.8 2092.3 1.15 -0.05 -8.4 -8.5 NaN -8.45 14376 MXP caleb_strategy_v3 [1] 0.05239 None 0.052725 0.05273 0.05272 NaN 0.0528 -0.000335 -0.000005 -0.00007 NaN NaN -0.000075 14380 MXP caleb_strategy_v3 [1] 0.05239 None 0.05273 0.05274 0.05272 0.05272 0.05278 -0.00034 -0.00001 -0.00004 -0.00006 NaN -0.00005 14383 MXP caleb_strategy_v3 [1] 0.05239 None 0.0528 0.05281 0.05279 0.05279 0.0528 -0.00041 -0.00001 0.00001 -0.00001 NaN 0.0 14384 SOYMEAL caleb_strategy_v3 [-1] 299.0 None 302.2 302.1 302.3 302.3 301.9 3.2 -0.1 -0.2 -0.4 NaN -0.3 14385 LIVECOW caleb_strategy_v3 [1] 181.05 None 181.0875 181.1 181.075 NaN 181.725 -0.0375 -0.0125 -0.625 NaN NaN -0.6375 14386 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 238.925 None 239.9875 240.025 239.95 239.95 240.3 -1.0625 -0.0375 -0.275 -0.35 NaN -0.3125 14387 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 237.0 None 238.025 237.95 238.1 238.1 238.025 1.025 -0.075 0.075 -0.075 NaN 0.0 14388 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 238.925 None 240.3375 240.4 240.275 240.275 240.25 -1.4125 -0.0625 0.15 0.025 NaN 0.0875 14389 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 237.0 None 237.9625 237.9 238.025 238.025 237.825 0.9625 -0.0625 -0.075 -0.2 NaN -0.1375 14369 GAS_US_mini caleb_strategy_v3 [1] 2.29 None 2.3125 2.315 2.31 2.31 NaN -0.0225 -0.0025 NaN NaN NaN NaN 14370 GAS_US_mini caleb_strategy_v3 [1] 2.29 None 2.3225 2.325 2.32 2.32 2.335 -0.0325 -0.0025 -0.01 -0.015 NaN -0.0125 ==================================================================================================================================================================== 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 14366 EUROSTX caleb_strategy_v3 [1] 800.928031 -181.039987 -6.242758 12.485516 0.0 NaN 6.242758 14367 OAT caleb_strategy_v3 [1] 7.696843 -84.450208 -6.49617 64.961699 51.969359 NaN 58.465529 14368 GASOIL caleb_strategy_v3 [1] 201.15034 -205.070496 -6.214257 62.142574 49.71406 NaN 55.928317 14371 NASDAQ_micro caleb_strategy_v3 [1] 4747.696902 16.323704 -0.526571 120.584783 119.531641 NaN 120.058212 14372 EUR caleb_strategy_v3 [1] 0.063629 -648.291174 -3.929037 78.580748 70.722674 NaN 74.651711 14373 CAD caleb_strategy_v3 [1] 0.031688 -71.004472 -7.889386 15.778772 0.0 NaN 7.889386 14375 SP400 caleb_strategy_v3 [1] 596.167382 -27.676791 -5.870834 46.966676 35.225007 NaN 41.095841 14377 CHF caleb_strategy_v3 [1] 0.097937 91.895617 -5.105312 -5.105312 -15.315936 NaN -10.210624 14378 NZD caleb_strategy_v3 [1] 0.057847 1071.795695 -8.643514 17.287027 0.0 NaN 8.643514 14381 NZD caleb_strategy_v3 [1] 0.057847 1071.795695 -8.643514 34.574055 17.287027 NaN 25.930541 14382 RUSSELL caleb_strategy_v3 [-1] 540.787683 -151.630672 -1.849155 -48.078018 -51.776327 NaN -49.927173 14379 RUSSELL caleb_strategy_v3 [-1] 540.787683 -134.063704 -0.924577 -18.491545 -20.3407 NaN -19.416123 14374 RUSSELL caleb_strategy_v3 [-1] 540.787683 21.265277 -0.924577 -155.328982 -157.178136 NaN -156.253559 14376 MXP caleb_strategy_v3 [1] 0.008273 -404.907329 -6.043393 -84.607502 NaN NaN -90.650895 14380 MXP caleb_strategy_v3 [1] 0.008273 -410.950722 -12.086786 -48.347144 -72.520716 NaN -60.43393 14383 MXP caleb_strategy_v3 [1] 0.008273 -495.558224 -12.086786 12.086786 -12.086786 NaN 0.0 14384 SOYMEAL caleb_strategy_v3 [-1] 86.174107 371.341242 -11.604414 -23.208828 -46.417655 NaN -34.813241 14385 LIVECOW caleb_strategy_v3 [1] 23.236435 -16.138448 -5.379483 -268.97413 NaN NaN -274.353612 14386 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 37.262401 -285.139971 -10.063764 -73.800934 -93.928461 NaN -83.864697 14387 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 37.262401 275.076207 -20.127527 20.127527 -20.127527 NaN 0.0 14388 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 37.262401 -379.068432 -16.772939 40.255055 6.709176 NaN 23.482115 14389 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 37.262401 258.303268 -16.772939 -20.127527 -53.673406 NaN -36.900467 14369 GAS_US_mini caleb_strategy_v3 [1] 1.320235 -170.424252 -18.936028 NaN NaN NaN NaN 14370 GAS_US_mini caleb_strategy_v3 [1] 1.320235 -246.168363 -18.936028 -75.744112 -113.616168 NaN -94.68014 ============================================================================================================================================================================ 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 14366 EUROSTX caleb_strategy_v3 [1] 10.989 -159.3405 -5.4945 10.989 0.0 NaN 5.4945 14367 OAT caleb_strategy_v3 [1] 1098.9 -71.4285 -5.4945 54.945 43.956 NaN 49.4505 14368 GASOIL caleb_strategy_v3 [1] 100.0 -412.5 -12.5 125.0 100.0 NaN 112.5 14371 NASDAQ_micro caleb_strategy_v3 [1] 2.0 15.5 -0.5 114.5 113.5 NaN 114.0 14372 EUR caleb_strategy_v3 [1] 125000.0 -515.625 -3.125 62.5 56.25 NaN 59.375 14373 CAD caleb_strategy_v3 [1] 100000.0 -22.5 -2.5 5.0 0.0 NaN 2.5 14375 SP400 caleb_strategy_v3 [1] 100.0 -165.0 -35.0 280.0 210.0 NaN 245.0 14377 CHF caleb_strategy_v3 [1] 125000.0 112.5 -6.25 -6.25 -18.75 NaN -12.5 14378 NZD caleb_strategy_v3 [1] 100000.0 620.0 -5.0 10.0 0.0 NaN 5.0 14381 NZD caleb_strategy_v3 [1] 100000.0 620.0 -5.0 20.0 10.0 NaN 15.0 14382 RUSSELL caleb_strategy_v3 [-1] 5.0 -41.0 -0.5 -13.0 -14.0 NaN -13.5 14379 RUSSELL caleb_strategy_v3 [-1] 5.0 -36.25 -0.25 -5.0 -5.5 NaN -5.25 14374 RUSSELL caleb_strategy_v3 [-1] 5.0 5.75 -0.25 -42.0 -42.5 NaN -42.25 14376 MXP caleb_strategy_v3 [1] 500000.0 -167.5 -2.5 -35.0 NaN NaN -37.5 14380 MXP caleb_strategy_v3 [1] 500000.0 -170.0 -5.0 -20.0 -30.0 NaN -25.0 14383 MXP caleb_strategy_v3 [1] 500000.0 -205.0 -5.0 5.0 -5.0 NaN 0.0 14384 SOYMEAL caleb_strategy_v3 [-1] 100.0 320.0 -10.0 -20.0 -40.0 NaN -30.0 14385 LIVECOW caleb_strategy_v3 [1] 400.0 -15.0 -5.0 -250.0 NaN NaN -255.0 14386 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 500.0 -531.25 -18.75 -137.5 -175.0 NaN -156.25 14387 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 500.0 512.5 -37.5 37.5 -37.5 NaN 0.0 14388 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 500.0 -706.25 -31.25 75.0 12.5 NaN 43.75 14389 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 500.0 481.25 -31.25 -37.5 -100.0 NaN -68.75 14369 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -56.25 -6.25 NaN NaN NaN NaN 14370 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -81.25 -6.25 -25.0 -37.5 NaN -31.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -243.75 caleb_strategy_v3 CAD -22.5 CHF 112.5 EUR -515.625 EUROSTX -159.3405 GASOIL -412.5 GAS_US_mini -137.5 LIVECOW -15.0 MXP -542.5 NASDAQ_micro 15.5 NZD 1240.0 OAT -71.4285 RUSSELL -71.5 SOYMEAL 320.0 SP400 -165.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -243.75 caleb_strategy_v3 -424.894 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -118.75 caleb_strategy_v3 CAD -2.5 CHF -6.25 EUR -3.125 EUROSTX -5.4945 GASOIL -12.5 GAS_US_mini -12.5 LIVECOW -5.0 MXP -12.5 NASDAQ_micro -0.5 NZD -10.0 OAT -5.4945 RUSSELL -1.0 SOYMEAL -10.0 SP400 -35.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -118.75 caleb_strategy_v3 -121.864 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -62.5 caleb_strategy_v3 CAD 5.0 CHF -6.25 EUR 62.5 EUROSTX 10.989 GASOIL 125.0 GAS_US_mini -25.0 LIVECOW -250.0 MXP -50.0 NASDAQ_micro 114.5 NZD 30.0 OAT 54.945 RUSSELL -60.0 SOYMEAL -20.0 SP400 280.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -62.5 caleb_strategy_v3 271.684 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -300.0 caleb_strategy_v3 CAD 0.0 CHF -18.75 EUR 56.25 EUROSTX 0.0 GASOIL 100.0 GAS_US_mini -37.5 LIVECOW 0 MXP -35.0 NASDAQ_micro 113.5 NZD 10.0 OAT 43.956 RUSSELL -62.0 SOYMEAL -40.0 SP400 210.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -300.0 caleb_strategy_v3 340.456 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 0 caleb_strategy_v3 CAD 0 CHF 0 EUR 0 EUROSTX 0 GASOIL 0 GAS_US_mini 0 LIVECOW 0 MXP 0 NASDAQ_micro 0 NZD 0 OAT 0 RUSSELL 0 SOYMEAL 0 SP400 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -181.25 caleb_strategy_v3 CAD 2.5 CHF -12.5 EUR 59.375 EUROSTX 5.4945 GASOIL 112.5 GAS_US_mini -31.25 LIVECOW -255.0 MXP -62.5 NASDAQ_micro 114.0 NZD 20.0 OAT 49.4505 RUSSELL -61.0 SOYMEAL -30.0 SP400 245.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -181.25 caleb_strategy_v3 156.07 ******************************************************************************** END OF REPORT ********************************************************************************