******************************************************************************** Trades report produced on 23/08/2024 21:37 from 22/08/2024 21:37 to 23/08/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14473 DOW caleb_strategy_v3 [20240900] 2024-08-23 14:00:51.000 [-1] 41074.000000 14479 LEANHOG caleb_strategy_v3 [20241200] 2024-08-23 14:31:54.000 [1] 70.300000 14480 LIVECOW caleb_strategy_v3 [20241000] 2024-08-23 14:31:55.000 [-1] 176.175000 14475 MXP caleb_strategy_v3 [20240900] 2024-08-23 14:10:53.000 [-1] 0.052020 14471 NIKKEI caleb_strategy_v3 [20240900] 2024-08-23 02:01:16.000 [1] 38080.000000 14474 RUSSELL caleb_strategy_v3 [20240900] 2024-08-23 19:45:04.464 [0] NaN 14476 RUSSELL caleb_strategy_v3 [20240900] 2024-08-23 14:19:31.000 [1] 2199.300000 14477 RUSSELL caleb_strategy_v3 [20240900] 2024-08-23 14:19:44.000 [1] 2201.200000 14478 RUSSELL caleb_strategy_v3 [20240900] 2024-08-23 14:20:35.000 [1] 2201.900000 14472 US5 caleb_strategy_v3 [20240900] 2024-08-23 14:00:50.000 [-1] 109.109375 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14471 NIKKEI caleb_strategy_v3 2024-08-22 2024-08-23 03:01:15.967 2024-08-23 02:01:16.000 97275.967 NaN 14472 US5 caleb_strategy_v3 2024-08-22 2024-08-23 15:00:50.442 2024-08-23 14:00:50.000 140450.442 NaN 14473 DOW caleb_strategy_v3 2024-08-22 2024-08-23 15:00:51.538 2024-08-23 14:00:51.000 140451.538 NaN 14475 MXP caleb_strategy_v3 2024-08-22 2024-08-23 15:10:53.359 2024-08-23 14:10:53.000 141053.359 NaN 14479 LEANHOG caleb_strategy_v3 2024-08-22 2024-08-23 15:30:38.658 2024-08-23 14:31:54.000 142238.658 NaN 14480 LIVECOW caleb_strategy_v3 2024-08-22 2024-08-23 15:31:55.314 2024-08-23 14:31:55.000 142315.314 NaN 14474 RUSSELL caleb_strategy_v3 2024-08-22 2024-08-23 15:00:52.534 2024-08-23 19:45:04.464 140452.534 17051.93 14476 RUSSELL caleb_strategy_v3 2024-08-22 2024-08-23 15:10:56.935 2024-08-23 14:19:31.000 141056.935 NaN 14477 RUSSELL caleb_strategy_v3 2024-08-22 2024-08-23 15:19:34.951 2024-08-23 14:19:44.000 141574.951 NaN 14478 RUSSELL caleb_strategy_v3 2024-08-22 2024-08-23 15:20:34.988 2024-08-23 14:20:35.000 141634.988 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 14471 NIKKEI caleb_strategy_v3 [1] 38140.0 None 38097.5 38100.0 38095.0 38095.0 38080.0 42.5 -2.5 20.0 15.0 NaN 17.5 14472 US5 caleb_strategy_v3 [-1] 108.90625 None 108.917969 108.914062 108.921875 108.921875 109.109375 0.011719 -0.003906 0.195312 0.1875 NaN 0.191406 14473 DOW caleb_strategy_v3 [-1] 40797.0 None 40966.5 40966.0 40967.0 40967.0 41074.0 169.5 -0.5 108.0 107.0 NaN 107.5 14475 MXP caleb_strategy_v3 [-1] 0.05114 None 0.051815 0.05181 0.05182 NaN 0.05202 0.000675 -0.000005 0.00021 NaN NaN 0.000205 14479 LEANHOG caleb_strategy_v3 [1] 70.325 None 70.2375 70.25 70.225 70.225 70.3 0.0875 -0.0125 -0.05 -0.075 NaN -0.0625 14480 LIVECOW caleb_strategy_v3 [-1] 175.95 None 176.05 176.025 176.075 176.075 176.175 0.1 -0.025 0.15 0.1 NaN 0.125 14474 RUSSELL caleb_strategy_v3 [1] 2165.0 None 2176.1 2176.2 2176.0 2176.0 NaN -11.1 -0.1 NaN NaN NaN NaN 14476 RUSSELL caleb_strategy_v3 [1] 2165.0 None 2185.15 2185.5 2184.8 2184.8 2199.3 -20.15 -0.35 -13.8 -14.5 NaN -14.15 14477 RUSSELL caleb_strategy_v3 [1] 2165.0 None 2199.25 2199.3 2199.2 2199.2 2201.2 -34.25 -0.05 -1.9 -2.0 NaN -1.95 14478 RUSSELL caleb_strategy_v3 [1] 2165.0 None 2201.65 2201.7 2201.6 2201.6 2201.9 -36.65 -0.05 -0.2 -0.3 NaN -0.25 =============================================================================================================================================================== 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 14471 NIKKEI caleb_strategy_v3 [1] 14552.392917 29.204819 -1.717931 13.743444 10.307583 NaN 12.025514 14472 US5 caleb_strategy_v3 [-1] 4.838529 24.219654 -8.073218 403.660903 387.514467 NaN 395.587685 14473 DOW caleb_strategy_v3 [-1] 5248.556082 322.945963 -0.952643 205.770879 203.865593 NaN 204.818236 14475 MXP caleb_strategy_v3 [-1] 0.008958 753.479357 -5.581329 234.4158 NaN NaN 228.834471 14479 LEANHOG caleb_strategy_v3 [1] 20.69051 42.289919 -6.041417 -24.165668 -36.248502 NaN -30.207085 14480 LIVECOW caleb_strategy_v3 [-1] 24.013985 41.642401 -10.4106 62.463601 41.642401 NaN 52.053001 14474 RUSSELL caleb_strategy_v3 [1] 534.195377 -207.789144 -1.871974 NaN NaN NaN NaN 14476 RUSSELL caleb_strategy_v3 [1] 534.195377 -377.202815 -6.55191 -258.332449 -271.436269 NaN -264.884359 14477 RUSSELL caleb_strategy_v3 [1] 534.195377 -641.151187 -0.935987 -35.567511 -37.439485 NaN -36.503498 14478 RUSSELL caleb_strategy_v3 [1] 534.195377 -686.078569 -0.935987 -3.743949 -5.615923 NaN -4.679936 ======================================================================================================================================================================== 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 14471 NIKKEI caleb_strategy_v3 [1] 0.686441 29.173731 -1.716102 13.728815 10.296611 NaN 12.012713 14472 US5 caleb_strategy_v3 [-1] 1000.0 11.71875 -3.90625 195.3125 187.5 NaN 191.40625 14473 DOW caleb_strategy_v3 [-1] 0.5 84.75 -0.25 54.0 53.5 NaN 53.75 14475 MXP caleb_strategy_v3 [-1] 500000.0 337.5 -2.5 105.0 NaN NaN 102.5 14479 LEANHOG caleb_strategy_v3 [1] 400.0 35.0 -5.0 -20.0 -30.0 NaN -25.0 14480 LIVECOW caleb_strategy_v3 [-1] 400.0 40.0 -10.0 60.0 40.0 NaN 50.0 14474 RUSSELL caleb_strategy_v3 [1] 5.0 -55.5 -0.5 NaN NaN NaN NaN 14476 RUSSELL caleb_strategy_v3 [1] 5.0 -100.75 -1.75 -69.0 -72.5 NaN -70.75 14477 RUSSELL caleb_strategy_v3 [1] 5.0 -171.25 -0.25 -9.5 -10.0 NaN -9.75 14478 RUSSELL caleb_strategy_v3 [1] 5.0 -183.25 -0.25 -1.0 -1.5 NaN -1.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW 84.75 LEANHOG 35.0 LIVECOW 40.0 MXP 337.5 NIKKEI 29.173731 RUSSELL -510.75 US5 11.71875 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 27.392481 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -0.25 LEANHOG -5.0 LIVECOW -10.0 MXP -2.5 NIKKEI -1.716102 RUSSELL -2.75 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -26.122352 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW 54.0 LEANHOG -20.0 LIVECOW 60.0 MXP 105.0 NIKKEI 13.728815 RUSSELL -79.5 US5 195.3125 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 328.541315 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 53.5 LEANHOG -30.0 LIVECOW 40.0 MXP 0 NIKKEI 10.296611 RUSSELL -84.0 US5 187.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 177.296611 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 LEANHOG 0 LIVECOW 0 MXP 0 NIKKEI 0 RUSSELL 0 US5 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 DOW 53.75 LEANHOG -25.0 LIVECOW 50.0 MXP 102.5 NIKKEI 12.012713 RUSSELL -81.75 US5 191.40625 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 302.918963 ******************************************************************************** END OF REPORT ********************************************************************************