******************************************************************************** Trades report produced on 22/08/2024 21:37 from 21/08/2024 21:37 to 22/08/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14463 CHF caleb_strategy_v3 [20240900] 2024-08-22 14:04:57.000 [1] 1.17595 14458 CHF caleb_strategy_v3 [20240900] 2024-08-22 14:00:11.000 [1] 1.17655 14457 COFFEE caleb_strategy_v3 [20241200] 2024-08-22 13:09:57.000 [1] 243.95000 14456 COTTON2 caleb_strategy_v3 [20241200] 2024-08-22 13:05:06.000 [1] 69.24000 14455 CRUDE_W caleb_strategy_v3 [20241200] 2024-08-22 13:05:05.000 [-1] 71.19000 14453 DAX caleb_strategy_v3 [20240900] 2024-08-22 07:02:15.000 [1] 18513.00000 14460 DOW caleb_strategy_v3 [20240900] 2024-08-22 14:04:24.000 [1] 41013.00000 14464 DOW caleb_strategy_v3 [20240900] 2024-08-22 14:04:58.000 [1] 41010.00000 14470 LIVECOW caleb_strategy_v3 [20241000] 2024-08-22 14:30:34.000 [-1] 174.62500 14462 MXP caleb_strategy_v3 [20240900] 2024-08-22 14:04:36.000 [1] 0.05120 14452 NIKKEI caleb_strategy_v3 [20240900] 2024-08-22 02:01:29.000 [-1] 38315.00000 14465 RUSSELL caleb_strategy_v3 [20240900] 2024-08-22 14:04:58.000 [-1] 2172.70000 14466 RUSSELL caleb_strategy_v3 [20240900] 2024-08-22 19:45:00.507 [0] NaN 14467 RUSSELL caleb_strategy_v3 [20240900] 2024-08-22 14:21:29.000 [-1] 2167.10000 14468 RUSSELL caleb_strategy_v3 [20240900] 2024-08-22 14:21:34.000 [-1] 2167.00000 14469 RUSSELL caleb_strategy_v3 [20240900] 2024-08-22 14:22:33.000 [-1] 2166.30000 14461 RUSSELL caleb_strategy_v3 [20240900] 2024-08-22 14:04:35.000 [-1] 2172.60000 14454 SILVER-mini caleb_strategy_v3 [20241200] 2024-08-22 13:00:49.000 [1] 30.01250 14459 US30 caleb_strategy_v3 [20241200] 2024-08-22 14:00:13.000 [1] 133.93750 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14452 NIKKEI caleb_strategy_v3 2024-08-21 2024-08-22 03:01:20.274 2024-08-22 02:01:29.000 97280.274 NaN 14453 DAX caleb_strategy_v3 2024-08-21 2024-08-22 08:00:35.526 2024-08-22 07:02:15.000 115235.526 NaN 14454 SILVER-mini caleb_strategy_v3 2024-08-21 2024-08-22 14:00:48.954 2024-08-22 13:00:49.000 136848.954 NaN 14455 CRUDE_W caleb_strategy_v3 2024-08-21 2024-08-22 14:00:49.954 2024-08-22 13:05:05.000 136849.954 NaN 14456 COTTON2 caleb_strategy_v3 2024-08-21 2024-08-22 14:05:06.078 2024-08-22 13:05:06.000 137106.078 NaN 14457 COFFEE caleb_strategy_v3 2024-08-21 2024-08-22 14:05:07.086 2024-08-22 13:09:57.000 137107.086 NaN 14459 US30 caleb_strategy_v3 2024-08-21 2024-08-22 15:00:12.890 2024-08-22 14:00:13.000 140412.89 NaN 14462 MXP caleb_strategy_v3 2024-08-21 2024-08-22 15:04:36.346 2024-08-22 14:04:36.000 140676.346 NaN 14458 CHF caleb_strategy_v3 2024-08-21 2024-08-22 15:00:11.266 2024-08-22 14:00:11.000 140411.266 NaN 14463 CHF caleb_strategy_v3 2024-08-21 2024-08-22 15:04:57.630 2024-08-22 14:04:57.000 140697.63 NaN 14464 DOW caleb_strategy_v3 2024-08-21 2024-08-22 15:04:58.114 2024-08-22 14:04:58.000 140698.114 NaN 14460 DOW caleb_strategy_v3 2024-08-21 2024-08-22 15:00:14.426 2024-08-22 14:04:24.000 140414.426 NaN 14470 LIVECOW caleb_strategy_v3 2024-08-21 2024-08-22 15:30:34.818 2024-08-22 14:30:34.000 142234.818 NaN 14465 RUSSELL caleb_strategy_v3 2024-08-21 2024-08-22 15:04:58.793 2024-08-22 14:04:58.000 140698.793 NaN 14466 RUSSELL caleb_strategy_v3 2024-08-21 2024-08-22 15:05:57.643 2024-08-22 19:45:00.507 140757.643 16742.864 14467 RUSSELL caleb_strategy_v3 2024-08-21 2024-08-22 15:16:01.108 2024-08-22 14:21:29.000 141361.108 NaN 14468 RUSSELL caleb_strategy_v3 2024-08-21 2024-08-22 15:21:32.938 2024-08-22 14:21:34.000 141692.938 NaN 14469 RUSSELL caleb_strategy_v3 2024-08-21 2024-08-22 15:22:33.023 2024-08-22 14:22:33.000 141753.023 NaN 14461 RUSSELL caleb_strategy_v3 2024-08-21 2024-08-22 15:04:25.618 2024-08-22 14:04:35.000 140665.618 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 14452 NIKKEI caleb_strategy_v3 [-1] 37850.0 None 38322.5 38320.0 38325.0 38325.0 38315.0 472.5 -2.5 -5.0 -10.0 NaN -7.5 14453 DAX caleb_strategy_v3 [1] 18534.0 None 18508.0 18509.0 18507.0 18507.0 18513.0 26.0 -1.0 -4.0 -6.0 NaN -5.0 14454 SILVER-mini caleb_strategy_v3 [1] 30.15 None 30.08125 30.1 30.0625 30.0625 30.0125 0.06875 -0.01875 0.0875 0.05 NaN 0.06875 14455 CRUDE_W caleb_strategy_v3 [-1] 70.83 None 71.175 71.17 71.18 71.18 71.19 0.345 -0.005 0.02 0.01 NaN 0.015 14456 COTTON2 caleb_strategy_v3 [1] 70.41 None 69.715 69.73 69.7 69.7 69.24 0.695 -0.015 0.49 0.46 NaN 0.475 14457 COFFEE caleb_strategy_v3 [1] 248.55 None 243.175 243.25 243.1 243.1 243.95 5.375 -0.075 -0.7 -0.85 NaN -0.775 14459 US30 caleb_strategy_v3 [1] 135.1875 None 133.953125 133.96875 133.9375 133.9375 133.9375 1.234375 -0.015625 0.03125 0.0 NaN 0.015625 14462 MXP caleb_strategy_v3 [1] 0.05146 None 0.051235 0.05124 0.05123 0.05123 0.0512 0.000225 -0.000005 0.00004 0.00003 NaN 0.000035 14458 CHF caleb_strategy_v3 [1] 1.17925 None 1.177225 1.17725 1.1772 1.1772 1.17655 0.002025 -0.000025 0.0007 0.00065 NaN 0.000675 14463 CHF caleb_strategy_v3 [1] 1.17925 None 1.177225 1.17725 1.1772 1.1772 1.17595 0.002025 -0.000025 0.0013 0.00125 NaN 0.001275 14464 DOW caleb_strategy_v3 [1] 41008.0 None 41018.0 41019.0 41017.0 41017.0 41010.0 -10.0 -1.0 9.0 7.0 NaN 8.0 14460 DOW caleb_strategy_v3 [1] 41008.0 None 40984.5 40985.0 40984.0 40984.0 41013.0 23.5 -0.5 -28.0 -29.0 NaN -28.5 14470 LIVECOW caleb_strategy_v3 [-1] 174.675 None 174.325 174.3 174.35 174.35 174.625 -0.35 -0.025 0.325 0.275 NaN 0.3 14465 RUSSELL caleb_strategy_v3 [-1] 2173.8 None 2172.65 2172.6 2172.7 2172.7 2172.7 -1.15 -0.05 0.1 -0.0 NaN 0.05 14466 RUSSELL caleb_strategy_v3 [-1] 2173.8 None 2173.15 2173.1 2173.2 2173.2 NaN -0.65 -0.05 NaN NaN NaN NaN 14467 RUSSELL caleb_strategy_v3 [-1] 2173.8 None 2171.65 2171.6 2171.7 2171.7 2167.1 -2.15 -0.05 -4.5 -4.6 NaN -4.55 14468 RUSSELL caleb_strategy_v3 [-1] 2173.8 None 2167.2 2167.1 2167.3 2167.3 2167.0 -6.6 -0.1 -0.1 -0.3 NaN -0.2 14469 RUSSELL caleb_strategy_v3 [-1] 2173.8 None 2166.2 2166.1 2166.3 2166.3 2166.3 -7.6 -0.1 0.2 -0.0 NaN 0.1 14461 RUSSELL caleb_strategy_v3 [-1] 2173.8 None 2172.5 2172.4 2172.6 2172.6 2172.6 -1.3 -0.1 0.2 -0.0 NaN 0.1 =============================================================================================================================================================== 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 14452 NIKKEI caleb_strategy_v3 [-1] 14927.975061 316.519821 -1.674708 -3.349416 -6.698832 NaN -5.024124 14453 DAX caleb_strategy_v3 [1] 2582.525487 100.676644 -3.872179 -15.488715 -23.233072 NaN -19.360893 14454 SILVER-mini caleb_strategy_v3 [1] 8.775467 78.343406 -21.366383 99.709789 56.977023 NaN 78.343406 14455 CRUDE_W caleb_strategy_v3 [-1] 18.835418 183.16557 -2.654573 10.618294 5.309147 NaN 7.96372 14456 COTTON2 caleb_strategy_v3 [1] 16.429225 423.026662 -9.130072 298.249013 279.98887 NaN 289.118941 14457 COFFEE caleb_strategy_v3 [1] 80.975162 663.783789 -9.262099 -86.446261 -104.97046 NaN -95.70836 14459 US30 caleb_strategy_v3 [1] 20.022899 616.481662 -7.803565 15.607131 0.0 NaN 7.803565 14462 MXP caleb_strategy_v3 [1] 0.008213 273.951028 -6.087801 48.702405 36.526804 NaN 42.614604 14458 CHF caleb_strategy_v3 [1] 0.10055 201.39323 -2.486336 69.617413 64.64474 NaN 67.131077 14463 CHF caleb_strategy_v3 [1] 0.10055 201.39323 -2.486336 129.289481 124.316808 NaN 126.803145 14464 DOW caleb_strategy_v3 [1] 5308.362957 -18.838199 -1.88382 16.954379 13.18674 NaN 15.07056 14460 DOW caleb_strategy_v3 [1] 5308.362957 44.269769 -0.94191 -52.746958 -54.630778 NaN -53.688868 14470 LIVECOW caleb_strategy_v3 [-1] 24.533864 -142.659959 -10.189997 132.469962 112.089968 NaN 122.279965 14465 RUSSELL caleb_strategy_v3 [-1] 515.483729 -22.309143 -0.969963 1.939925 -0.0 NaN 0.969963 14466 RUSSELL caleb_strategy_v3 [-1] 515.483729 -12.609515 -0.969963 NaN NaN NaN NaN 14467 RUSSELL caleb_strategy_v3 [-1] 515.483729 -41.708397 -0.969963 -87.296645 -89.23657 NaN -88.266608 14468 RUSSELL caleb_strategy_v3 [-1] 515.483729 -128.035079 -1.939925 -1.939925 -5.819776 NaN -3.879851 14469 RUSSELL caleb_strategy_v3 [-1] 515.483729 -147.434334 -1.939925 3.879851 -0.0 NaN 1.939925 14461 RUSSELL caleb_strategy_v3 [-1] 515.483729 -25.219031 -1.939925 3.879851 -0.0 NaN 1.939925 ========================================================================================================================================================================= 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 14452 NIKKEI caleb_strategy_v3 [-1] 0.687957 325.059508 -1.719892 -3.439783 -6.879566 NaN -5.159675 14453 DAX caleb_strategy_v3 [1] 1.1143 28.9718 -1.1143 -4.4572 -6.6858 NaN -5.5715 14454 SILVER-mini caleb_strategy_v3 [1] 2500.0 171.875 -46.875 218.75 125.0 NaN 171.875 14455 CRUDE_W caleb_strategy_v3 [-1] 1000.0 345.0 -5.0 20.0 10.0 NaN 15.0 14456 COTTON2 caleb_strategy_v3 [1] 500.0 347.5 -7.5 245.0 230.0 NaN 237.5 14457 COFFEE caleb_strategy_v3 [1] 375.0 2015.625 -28.125 -262.5 -318.75 NaN -290.625 14459 US30 caleb_strategy_v3 [1] 1000.0 1234.375 -15.625 31.25 0.0 NaN 15.625 14462 MXP caleb_strategy_v3 [1] 500000.0 112.5 -2.5 20.0 15.0 NaN 17.5 14458 CHF caleb_strategy_v3 [1] 125000.0 253.125 -3.125 87.5 81.25 NaN 84.375 14463 CHF caleb_strategy_v3 [1] 125000.0 253.125 -3.125 162.5 156.25 NaN 159.375 14464 DOW caleb_strategy_v3 [1] 0.5 -5.0 -0.5 4.5 3.5 NaN 4.0 14460 DOW caleb_strategy_v3 [1] 0.5 11.75 -0.25 -14.0 -14.5 NaN -14.25 14470 LIVECOW caleb_strategy_v3 [-1] 400.0 -140.0 -10.0 130.0 110.0 NaN 120.0 14465 RUSSELL caleb_strategy_v3 [-1] 5.0 -5.75 -0.25 0.5 -0.0 NaN 0.25 14466 RUSSELL caleb_strategy_v3 [-1] 5.0 -3.25 -0.25 NaN NaN NaN NaN 14467 RUSSELL caleb_strategy_v3 [-1] 5.0 -10.75 -0.25 -22.5 -23.0 NaN -22.75 14468 RUSSELL caleb_strategy_v3 [-1] 5.0 -33.0 -0.5 -0.5 -1.5 NaN -1.0 14469 RUSSELL caleb_strategy_v3 [-1] 5.0 -38.0 -0.5 1.0 -0.0 NaN 0.5 14461 RUSSELL caleb_strategy_v3 [-1] 5.0 -6.5 -0.5 1.0 -0.0 NaN 0.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CHF 506.25 COFFEE 2015.625 COTTON2 347.5 CRUDE_W 345.0 DAX 28.9718 DOW 6.75 LIVECOW -140.0 MXP 112.5 NIKKEI 325.059508 RUSSELL -97.25 SILVER-mini 171.875 US30 1234.375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 4856.656308 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CHF -6.25 COFFEE -28.125 COTTON2 -7.5 CRUDE_W -5.0 DAX -1.1143 DOW -0.75 LIVECOW -10.0 MXP -2.5 NIKKEI -1.719892 RUSSELL -2.25 SILVER-mini -46.875 US30 -15.625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -127.709192 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CHF 250.0 COFFEE -262.5 COTTON2 245.0 CRUDE_W 20.0 DAX -4.4572 DOW -9.5 LIVECOW 130.0 MXP 20.0 NIKKEI -3.439783 RUSSELL -20.5 SILVER-mini 218.75 US30 31.25 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 614.603017 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF 237.5 COFFEE -318.75 COTTON2 230.0 CRUDE_W 10.0 DAX -6.6858 DOW -11.0 LIVECOW 110.0 MXP 15.0 NIKKEI -6.879566 RUSSELL -24.5 SILVER-mini 125.0 US30 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 359.684634 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF 0 COFFEE 0 COTTON2 0 CRUDE_W 0 DAX 0 DOW 0 LIVECOW 0 MXP 0 NIKKEI 0 RUSSELL 0 SILVER-mini 0 US30 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 CHF 243.75 COFFEE -290.625 COTTON2 237.5 CRUDE_W 15.0 DAX -5.5715 DOW -10.25 LIVECOW 120.0 MXP 17.5 NIKKEI -5.159675 RUSSELL -22.5 SILVER-mini 171.875 US30 15.625 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 487.143825 ******************************************************************************** END OF REPORT ********************************************************************************