******************************************************************************** Trades report produced on 11/09/2024 21:37 from 10/09/2024 21:37 to 11/09/2024 21:37 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14725 BTP caleb_strategy_v3 [20241200] 2024-09-11 07:01:24.000 [1] 120.480000 14747 CORN _ROLL_PSEUDO_STRATEGY [20251200] 2024-09-11 14:59:09.000 [-1] 441.750000 14745 CORN _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-11 14:54:24.000 [1] 402.000000 14744 CORN _ROLL_PSEUDO_STRATEGY [20251200] 2024-09-11 14:54:02.000 [-1] 441.750000 14743 CORN _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-11 14:52:17.000 [1] 401.750000 14742 CORN _ROLL_PSEUDO_STRATEGY [20251200] 2024-09-11 14:52:14.000 [-1] 441.750000 14741 CORN _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-11 14:44:08.000 [1] 402.000000 14740 CORN _ROLL_PSEUDO_STRATEGY [20251200] 2024-09-11 19:45:18.203 [0] NaN 14739 CORN _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-11 14:34:04.000 [1] 403.500000 14738 CORN _ROLL_PSEUDO_STRATEGY [20251200] 2024-09-11 14:33:24.000 [-1] 443.000000 14746 CORN _ROLL_PSEUDO_STRATEGY [20251200] 2024-09-11 14:58:02.000 [-1] 442.000000 14737 CORN _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-11 14:32:45.000 [1] 403.250000 14726 CRUDE_W caleb_strategy_v3 [20241200] 2024-09-11 13:01:00.000 [-1] 65.840000 14724 DAX caleb_strategy_v3 [20241200] 2024-09-11 07:00:36.000 [1] 18528.000000 14728 DOW caleb_strategy_v3 [20241200] 2024-09-11 14:01:45.000 [1] 40673.000000 14736 LIVECOW caleb_strategy_v3 [20241200] 2024-09-11 14:30:37.000 [1] 176.250000 14733 RUSSELL caleb_strategy_v3 [20241200] 2024-09-11 14:27:16.000 [-1] 2086.600000 14732 RUSSELL caleb_strategy_v3 [20241200] 2024-09-11 19:45:18.138 [0] NaN 14731 RUSSELL caleb_strategy_v3 [20241200] 2024-09-11 19:45:18.075 [0] NaN 14727 RUSSELL caleb_strategy_v3 [20241200] 2024-09-11 14:01:44.000 [-1] 2099.400000 14735 RUSSELL caleb_strategy_v3 [20241200] 2024-09-11 14:30:19.000 [-1] 2082.400000 14734 RUSSELL caleb_strategy_v3 [20241200] 2024-09-11 14:27:36.000 [-1] 2086.100000 14730 SP500_micro caleb_strategy_v3 [20241200] 2024-09-11 14:05:25.000 [1] 5512.000000 14729 US5 caleb_strategy_v3 [20241200] 2024-09-11 14:05:24.000 [1] 110.632813 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14724 DAX caleb_strategy_v3 2024-09-10 00:00:00 2024-09-11 08:00:35.747 2024-09-11 07:00:36.000 115235.747 NaN 14725 BTP caleb_strategy_v3 2024-09-10 00:00:00 2024-09-11 08:00:37.494 2024-09-11 07:01:24.000 115237.494 NaN 14726 CRUDE_W caleb_strategy_v3 2024-09-10 00:00:00 2024-09-11 14:00:59.027 2024-09-11 13:01:00.000 136859.027 NaN 14728 DOW caleb_strategy_v3 2024-09-10 00:00:00 2024-09-11 15:01:45.314 2024-09-11 14:01:45.000 140505.314 NaN 14729 US5 caleb_strategy_v3 2024-09-10 00:00:00 2024-09-11 15:01:46.606 2024-09-11 14:05:24.000 140506.606 NaN 14730 SP500_micro caleb_strategy_v3 2024-09-10 00:00:00 2024-09-11 15:05:25.390 2024-09-11 14:05:25.000 140725.39 NaN 14736 LIVECOW caleb_strategy_v3 2024-09-10 00:00:00 2024-09-11 15:30:20.370 2024-09-11 14:30:37.000 142220.37 NaN 14727 RUSSELL caleb_strategy_v3 2024-09-10 00:00:00 2024-09-11 15:00:01.623 2024-09-11 14:01:44.000 140401.623 NaN 14731 RUSSELL caleb_strategy_v3 2024-09-10 00:00:00 2024-09-11 15:05:46.096 2024-09-11 19:45:18.075 140746.096 16771.979 14732 RUSSELL caleb_strategy_v3 2024-09-10 00:00:00 2024-09-11 15:15:49.349 2024-09-11 19:45:18.138 141349.349 16168.789 14733 RUSSELL caleb_strategy_v3 2024-09-10 00:00:00 2024-09-11 15:25:52.768 2024-09-11 14:27:16.000 141952.768 NaN 14734 RUSSELL caleb_strategy_v3 2024-09-10 00:00:00 2024-09-11 15:27:19.449 2024-09-11 14:27:36.000 142039.449 NaN 14735 RUSSELL caleb_strategy_v3 2024-09-10 00:00:00 2024-09-11 15:28:19.707 2024-09-11 14:30:19.000 142099.707 NaN 14737 CORN _ROLL_PSEUDO_STRATEGY 2024-09-10 19:00:00 2024-09-11 15:30:38.682 2024-09-11 14:32:45.000 73838.682 NaN 14738 CORN _ROLL_PSEUDO_STRATEGY 2024-09-10 19:00:00 2024-09-11 15:32:46.146 2024-09-11 14:33:24.000 73966.146 NaN 14739 CORN _ROLL_PSEUDO_STRATEGY 2024-09-10 19:00:00 2024-09-11 15:33:27.533 2024-09-11 14:34:04.000 74007.533 NaN 14740 CORN _ROLL_PSEUDO_STRATEGY 2024-09-10 19:00:00 2024-09-11 15:34:04.661 2024-09-11 19:45:18.203 74044.661 15073.542 14741 CORN _ROLL_PSEUDO_STRATEGY 2024-09-10 19:00:00 2024-09-11 15:44:08.230 2024-09-11 14:44:08.000 74648.23 NaN 14742 CORN _ROLL_PSEUDO_STRATEGY 2024-09-10 19:00:00 2024-09-11 15:44:08.681 2024-09-11 14:52:14.000 74648.681 NaN 14743 CORN _ROLL_PSEUDO_STRATEGY 2024-09-10 19:00:00 2024-09-11 15:52:17.807 2024-09-11 14:52:17.000 75137.807 NaN 14744 CORN _ROLL_PSEUDO_STRATEGY 2024-09-10 19:00:00 2024-09-11 15:52:18.262 2024-09-11 14:54:02.000 75138.262 NaN 14745 CORN _ROLL_PSEUDO_STRATEGY 2024-09-10 19:00:00 2024-09-11 15:54:05.897 2024-09-11 14:54:24.000 75245.897 NaN 14746 CORN _ROLL_PSEUDO_STRATEGY 2024-09-10 19:00:00 2024-09-11 15:54:24.632 2024-09-11 14:58:02.000 75264.632 NaN 14747 CORN _ROLL_PSEUDO_STRATEGY 2024-09-10 19:00:00 2024-09-11 15:58:05.685 2024-09-11 14:59:09.000 75485.685 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 14724 DAX caleb_strategy_v3 [1] 18500.0 None 18541.0 18545.0 18537.0 18537.0 18528.0 -41.0 -4.0 17.0 9.0 NaN 13.0 14725 BTP caleb_strategy_v3 [1] 120.16 None 120.455 120.46 120.45 120.45 120.48 -0.295 -0.005 -0.02 -0.03 NaN -0.025 14726 CRUDE_W caleb_strategy_v3 [-1] 64.97 None 65.84 65.83 65.85 65.85 65.84 0.87 -0.01 0.01 -0.01 NaN 0.0 14728 DOW caleb_strategy_v3 [1] 41157.0 None 40700.5 40702.0 40699.0 40699.0 40673.0 456.5 -1.5 29.0 26.0 NaN 27.5 14729 US5 caleb_strategy_v3 [1] 110.65625 None 110.605469 110.609375 110.601562 110.601562 110.632813 0.050781 -0.003906 -0.023438 -0.03125 NaN -0.027344 14730 SP500_micro caleb_strategy_v3 [1] 5553.75 None 5523.5 5523.75 5523.25 5523.25 5512.0 30.25 -0.25 11.75 11.25 NaN 11.5 14736 LIVECOW caleb_strategy_v3 [1] 176.375 None 176.2625 176.275 176.25 176.25 176.25 0.1125 -0.0125 0.025 0.0 NaN 0.0125 14727 RUSSELL caleb_strategy_v3 [-1] 2117.8 None 2105.1 2104.7 2105.5 2105.5 2099.4 -12.7 -0.4 -5.3 -6.1 NaN -5.7 14731 RUSSELL caleb_strategy_v3 [-1] 2117.8 None 2099.8 2099.3 2100.3 2100.3 NaN -18.0 -0.5 NaN NaN NaN NaN 14732 RUSSELL caleb_strategy_v3 [-1] 2117.8 None 2092.05 2091.7 2092.4 2092.4 NaN -25.75 -0.35 NaN NaN NaN NaN 14733 RUSSELL caleb_strategy_v3 [-1] 2117.8 None 2088.3 2087.8 2088.8 2088.8 2086.6 -29.5 -0.5 -1.2 -2.2 NaN -1.7 14734 RUSSELL caleb_strategy_v3 [-1] 2117.8 None 2087.0 2086.6 2087.4 2087.4 2086.1 -30.8 -0.4 -0.5 -1.3 NaN -0.9 14735 RUSSELL caleb_strategy_v3 [-1] 2117.8 None 2086.45 2086.1 2086.8 2086.8 2082.4 -31.35 -0.35 -3.7 -4.4 NaN -4.05 14737 CORN _ROLL_PSEUDO_STRATEGY [1] 404.0 None 402.875 403.0 402.75 402.75 403.25 1.125 -0.125 -0.25 -0.5 NaN -0.375 14738 CORN _ROLL_PSEUDO_STRATEGY [-1] 443.5 None 443.5 443.25 443.75 443.75 443.0 -0.0 -0.25 -0.25 -0.75 NaN -0.5 14739 CORN _ROLL_PSEUDO_STRATEGY [1] 404.0 None 403.125 403.25 403.0 403.0 403.5 0.875 -0.125 -0.25 -0.5 NaN -0.375 14740 CORN _ROLL_PSEUDO_STRATEGY [-1] 443.5 None 443.125 443.0 443.25 443.25 NaN -0.375 -0.125 NaN NaN NaN NaN 14741 CORN _ROLL_PSEUDO_STRATEGY [1] 404.0 None 403.375 403.5 403.25 403.25 402.0 0.625 -0.125 1.5 1.25 NaN 1.375 14742 CORN _ROLL_PSEUDO_STRATEGY [-1] 443.5 None 443.125 443.0 443.25 443.25 441.75 -0.375 -0.125 -1.25 -1.5 NaN -1.375 14743 CORN _ROLL_PSEUDO_STRATEGY [1] 404.0 None 403.375 403.5 403.25 403.25 401.75 0.625 -0.125 1.75 1.5 NaN 1.625 14744 CORN _ROLL_PSEUDO_STRATEGY [-1] 443.5 None 442.0 441.75 442.25 442.25 441.75 -1.5 -0.25 -0.0 -0.5 NaN -0.25 14745 CORN _ROLL_PSEUDO_STRATEGY [1] 404.0 None 401.875 402.0 401.75 401.75 402.0 2.125 -0.125 0.0 -0.25 NaN -0.125 14746 CORN _ROLL_PSEUDO_STRATEGY [-1] 443.5 None 441.875 441.75 442.0 442.0 442.0 -1.625 -0.125 0.25 -0.0 NaN 0.125 14747 CORN _ROLL_PSEUDO_STRATEGY [-1] 443.5 None 442.125 442.0 442.25 442.25 441.75 -1.375 -0.125 -0.25 -0.5 NaN -0.375 =================================================================================================================================================================== 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 14724 DAX caleb_strategy_v3 [1] 2450.388988 -167.320373 -16.323939 69.37674 36.728862 NaN 53.052801 14725 BTP caleb_strategy_v3 [1] 7.455878 -395.660993 -6.706119 -26.824474 -40.236711 NaN -33.530593 14726 CRUDE_W caleb_strategy_v3 [-1] 19.791149 439.590454 -5.052764 5.052764 -5.052764 NaN 0.0 14728 DOW caleb_strategy_v3 [1] 4959.875682 920.385972 -3.024269 58.469207 52.420669 NaN 55.444938 14729 US5 caleb_strategy_v3 [1] 4.325892 117.389071 -9.029929 -54.180727 -72.240584 NaN -63.210656 14730 SP500_micro caleb_strategy_v3 [1] 816.758661 370.366443 -3.06088 143.861346 137.739586 NaN 140.800466 14736 LIVECOW caleb_strategy_v3 [1] 23.618865 47.631418 -5.29238 10.584759 0.0 NaN 5.29238 14727 RUSSELL caleb_strategy_v3 [-1] 465.729878 -272.690257 -8.58867 -113.799871 -130.97721 NaN -122.38854 14731 RUSSELL caleb_strategy_v3 [-1] 465.729878 -386.490128 -10.735837 NaN NaN NaN NaN 14732 RUSSELL caleb_strategy_v3 [-1] 465.729878 -552.8956 -7.515086 NaN NaN NaN NaN 14733 RUSSELL caleb_strategy_v3 [-1] 465.729878 -633.414376 -10.735837 -25.766009 -47.237682 NaN -36.501845 14734 RUSSELL caleb_strategy_v3 [-1] 465.729878 -661.327552 -8.58867 -10.735837 -27.913176 NaN -19.324506 14735 RUSSELL caleb_strategy_v3 [-1] 465.729878 -673.136973 -7.515086 -79.445193 -94.475365 NaN -86.960279 14737 CORN _ROLL_PSEUDO_STRATEGY [1] 79.231563 141.988869 -15.776541 -31.553082 -63.106164 NaN -47.329623 14738 CORN _ROLL_PSEUDO_STRATEGY [-1] 79.231563 -0.0 -31.553082 -31.553082 -94.659246 NaN -63.106164 14739 CORN _ROLL_PSEUDO_STRATEGY [1] 79.231563 110.435787 -15.776541 -31.553082 -63.106164 NaN -47.329623 14740 CORN _ROLL_PSEUDO_STRATEGY [-1] 79.231563 -47.329623 -15.776541 NaN NaN NaN NaN 14741 CORN _ROLL_PSEUDO_STRATEGY [1] 79.231563 78.882705 -15.776541 189.318492 157.76541 NaN 173.541951 14742 CORN _ROLL_PSEUDO_STRATEGY [-1] 79.231563 -47.329623 -15.776541 -157.76541 -189.318492 NaN -173.541951 14743 CORN _ROLL_PSEUDO_STRATEGY [1] 79.231563 78.882705 -15.776541 220.871574 189.318492 NaN 205.095033 14744 CORN _ROLL_PSEUDO_STRATEGY [-1] 79.231563 -189.318492 -31.553082 -0.0 -63.106164 NaN -31.553082 14745 CORN _ROLL_PSEUDO_STRATEGY [1] 79.231563 268.201197 -15.776541 0.0 -31.553082 NaN -15.776541 14746 CORN _ROLL_PSEUDO_STRATEGY [-1] 79.231563 -205.095033 -15.776541 31.553082 -0.0 NaN 15.776541 14747 CORN _ROLL_PSEUDO_STRATEGY [-1] 79.231563 -173.541951 -15.776541 -31.553082 -63.106164 NaN -47.329623 ============================================================================================================================================================================ 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 14724 DAX caleb_strategy_v3 [1] 1.10455 -45.28655 -4.4182 18.77735 9.94095 NaN 14.35915 14725 BTP caleb_strategy_v3 [1] 1104.55 -325.84225 -5.52275 -22.091 -33.1365 NaN -27.61375 14726 CRUDE_W caleb_strategy_v3 [-1] 1000.0 870.0 -10.0 10.0 -10.0 NaN 0.0 14728 DOW caleb_strategy_v3 [1] 0.5 228.25 -0.75 14.5 13.0 NaN 13.75 14729 US5 caleb_strategy_v3 [1] 1000.0 50.78125 -3.90625 -23.438 -31.2505 NaN -27.34425 14730 SP500_micro caleb_strategy_v3 [1] 5.0 151.25 -1.25 58.75 56.25 NaN 57.5 14736 LIVECOW caleb_strategy_v3 [1] 400.0 45.0 -5.0 10.0 0.0 NaN 5.0 14727 RUSSELL caleb_strategy_v3 [-1] 5.0 -63.5 -2.0 -26.5 -30.5 NaN -28.5 14731 RUSSELL caleb_strategy_v3 [-1] 5.0 -90.0 -2.5 NaN NaN NaN NaN 14732 RUSSELL caleb_strategy_v3 [-1] 5.0 -128.75 -1.75 NaN NaN NaN NaN 14733 RUSSELL caleb_strategy_v3 [-1] 5.0 -147.5 -2.5 -6.0 -11.0 NaN -8.5 14734 RUSSELL caleb_strategy_v3 [-1] 5.0 -154.0 -2.0 -2.5 -6.5 NaN -4.5 14735 RUSSELL caleb_strategy_v3 [-1] 5.0 -156.75 -1.75 -18.5 -22.0 NaN -20.25 14737 CORN _ROLL_PSEUDO_STRATEGY [1] 50.0 56.25 -6.25 -12.5 -25.0 NaN -18.75 14738 CORN _ROLL_PSEUDO_STRATEGY [-1] 50.0 -0.0 -12.5 -12.5 -37.5 NaN -25.0 14739 CORN _ROLL_PSEUDO_STRATEGY [1] 50.0 43.75 -6.25 -12.5 -25.0 NaN -18.75 14740 CORN _ROLL_PSEUDO_STRATEGY [-1] 50.0 -18.75 -6.25 NaN NaN NaN NaN 14741 CORN _ROLL_PSEUDO_STRATEGY [1] 50.0 31.25 -6.25 75.0 62.5 NaN 68.75 14742 CORN _ROLL_PSEUDO_STRATEGY [-1] 50.0 -18.75 -6.25 -62.5 -75.0 NaN -68.75 14743 CORN _ROLL_PSEUDO_STRATEGY [1] 50.0 31.25 -6.25 87.5 75.0 NaN 81.25 14744 CORN _ROLL_PSEUDO_STRATEGY [-1] 50.0 -75.0 -12.5 -0.0 -25.0 NaN -12.5 14745 CORN _ROLL_PSEUDO_STRATEGY [1] 50.0 106.25 -6.25 0.0 -12.5 NaN -6.25 14746 CORN _ROLL_PSEUDO_STRATEGY [-1] 50.0 -81.25 -6.25 12.5 -0.0 NaN 6.25 14747 CORN _ROLL_PSEUDO_STRATEGY [-1] 50.0 -68.75 -6.25 -12.5 -25.0 NaN -18.75 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CORN 6.25 caleb_strategy_v3 BTP -325.84225 CRUDE_W 870.0 DAX -45.28655 DOW 228.25 LIVECOW 45.0 RUSSELL -740.5 SP500_micro 151.25 US5 50.78125 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 6.25 caleb_strategy_v3 233.65245 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CORN -81.25 caleb_strategy_v3 BTP -5.52275 CRUDE_W -10.0 DAX -4.4182 DOW -0.75 LIVECOW -5.0 RUSSELL -12.5 SP500_micro -1.25 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -81.25 caleb_strategy_v3 -43.3472 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CORN 62.5 caleb_strategy_v3 BTP -22.091 CRUDE_W 10.0 DAX 18.77735 DOW 14.5 LIVECOW 10.0 RUSSELL -53.5 SP500_micro 58.75 US5 -23.438 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 62.5 caleb_strategy_v3 12.99835 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CORN -87.5 caleb_strategy_v3 BTP -33.1365 CRUDE_W -10.0 DAX 9.94095 DOW 13.0 LIVECOW 0.0 RUSSELL -70.0 SP500_micro 56.25 US5 -31.2505 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -87.5 caleb_strategy_v3 -65.19605 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CORN 0 caleb_strategy_v3 BTP 0 CRUDE_W 0 DAX 0 DOW 0 LIVECOW 0 RUSSELL 0 SP500_micro 0 US5 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 CORN -12.5 caleb_strategy_v3 BTP -27.61375 CRUDE_W 0.0 DAX 14.35915 DOW 13.75 LIVECOW 5.0 RUSSELL -61.75 SP500_micro 57.5 US5 -27.34425 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -12.5 caleb_strategy_v3 -26.09885 ******************************************************************************** END OF REPORT ********************************************************************************