******************************************************************************** Trades report produced on 12/09/2024 21:37 from 11/09/2024 21:37 to 12/09/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14748 BUND caleb_strategy_v3 [20241200] 2024-09-12 07:00:30 [1] 135.11 14750 COTTON2 caleb_strategy_v3 [20241200] 2024-09-12 13:00:37 [1] 69.32 14752 DOW caleb_strategy_v3 [20241200] 2024-09-12 14:00:41 [1] 41103.00 14749 EUROSTX caleb_strategy_v3 [20241200] 2024-09-12 07:00:56 [-1] 4857.00 14761 RUSSELL caleb_strategy_v3 [20241200] 2024-09-12 14:09:59 [-1] 2125.60 14755 RUSSELL caleb_strategy_v3 [20241200] 2024-09-12 14:02:07 [-1] 2123.90 14758 RUSSELL caleb_strategy_v3 [20241200] 2024-09-12 14:03:07 [-1] 2124.70 14751 RUSSELL caleb_strategy_v3 [20241200] 2024-09-12 14:00:40 [-1] 2123.70 14753 VIX _ROLL_PSEUDO_STRATEGY [20241100] 2024-09-12 14:00:42 [1] 18.70 14754 VIX _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-12 14:02:04 [-1] 18.35 14756 VIX _ROLL_PSEUDO_STRATEGY [20241100] 2024-09-12 14:02:08 [1] 18.65 14757 VIX _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-12 14:02:39 [-1] 18.30 14759 VIX _ROLL_PSEUDO_STRATEGY [20241100] 2024-09-12 14:03:08 [1] 18.70 14760 VIX _ROLL_PSEUDO_STRATEGY [20241200] 2024-09-12 14:03:08 [-1] 18.35 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14748 BUND caleb_strategy_v3 2024-09-11 00:00:00 2024-09-12 08:00:30.410 2024-09-12 07:00:30 115230.41 NaN 14749 EUROSTX caleb_strategy_v3 2024-09-11 00:00:00 2024-09-12 08:00:31.914 2024-09-12 07:00:56 115231.914 NaN 14750 COTTON2 caleb_strategy_v3 2024-09-11 00:00:00 2024-09-12 14:00:37.302 2024-09-12 13:00:37 136837.302 NaN 14752 DOW caleb_strategy_v3 2024-09-11 00:00:00 2024-09-12 15:00:41.486 2024-09-12 14:00:41 140441.486 NaN 14753 VIX _ROLL_PSEUDO_STRATEGY 2024-09-11 20:00:00 2024-09-12 15:00:42.314 2024-09-12 14:00:42 68442.314 NaN 14754 VIX _ROLL_PSEUDO_STRATEGY 2024-09-11 20:00:00 2024-09-12 15:00:43.498 2024-09-12 14:02:04 68443.498 NaN 14756 VIX _ROLL_PSEUDO_STRATEGY 2024-09-11 20:00:00 2024-09-12 15:02:08.052 2024-09-12 14:02:08 68528.052 NaN 14757 VIX _ROLL_PSEUDO_STRATEGY 2024-09-11 20:00:00 2024-09-12 15:02:08.630 2024-09-12 14:02:39 68528.63 NaN 14759 VIX _ROLL_PSEUDO_STRATEGY 2024-09-11 20:00:00 2024-09-12 15:03:08.150 2024-09-12 14:03:08 68588.15 NaN 14760 VIX _ROLL_PSEUDO_STRATEGY 2024-09-11 20:00:00 2024-09-12 15:03:08.735 2024-09-12 14:03:08 68588.735 NaN 14761 RUSSELL caleb_strategy_v3 2024-09-11 00:00:00 2024-09-12 15:04:08.098 2024-09-12 14:09:59 140648.098 NaN 14755 RUSSELL caleb_strategy_v3 2024-09-11 00:00:00 2024-09-12 15:02:07.491 2024-09-12 14:02:07 140527.491 NaN 14758 RUSSELL caleb_strategy_v3 2024-09-11 00:00:00 2024-09-12 15:03:07.694 2024-09-12 14:03:07 140587.694 NaN 14751 RUSSELL caleb_strategy_v3 2024-09-11 00:00:00 2024-09-12 15:00:40.666 2024-09-12 14:00:40 140440.666 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 14748 BUND caleb_strategy_v3 [1] 135.16 None 135.155 135.16 135.15 135.15 135.11 0.005 -0.005 0.05 0.04 NaN 0.045 14749 EUROSTX caleb_strategy_v3 [-1] 4843.0 None 4856.5 4856.0 4857.0 4857.0 4857.0 13.5 -0.5 1.0 -0.0 NaN 0.5 14750 COTTON2 caleb_strategy_v3 [1] 69.63 None 69.455 69.47 69.44 69.44 69.32 0.175 -0.015 0.15 0.12 NaN 0.135 14752 DOW caleb_strategy_v3 [1] 41172.0 None 41156.0 41158.0 41154.0 41154.0 41103.0 16.0 -2.0 55.0 51.0 NaN 53.0 14753 VIX _ROLL_PSEUDO_STRATEGY [1] 18.75 None 18.725 18.75 18.7 18.7 18.7 0.025 -0.025 0.05 0.0 NaN 0.025 14754 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.4 None 18.425 18.4 18.45 18.45 18.35 0.025 -0.025 -0.05 -0.1 NaN -0.075 14756 VIX _ROLL_PSEUDO_STRATEGY [1] 18.75 None 18.725 18.75 18.7 18.7 18.65 0.025 -0.025 0.1 0.05 NaN 0.075 14757 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.4 None 18.375 18.35 18.4 18.4 18.3 -0.025 -0.025 -0.05 -0.1 NaN -0.075 14759 VIX _ROLL_PSEUDO_STRATEGY [1] 18.75 None 18.725 18.75 18.7 18.7 18.7 0.025 -0.025 0.05 0.0 NaN 0.025 14760 VIX _ROLL_PSEUDO_STRATEGY [-1] 18.4 None 18.325 18.3 18.35 18.35 18.35 -0.075 -0.025 0.05 -0.0 NaN 0.025 14761 RUSSELL caleb_strategy_v3 [-1] 2120.9 None 2127.3 2127.1 2127.5 2127.5 2125.6 6.4 -0.2 -1.5 -1.9 NaN -1.7 14755 RUSSELL caleb_strategy_v3 [-1] 2120.9 None 2121.2 2121.0 2121.4 2121.4 2123.9 0.3 -0.2 2.9 2.5 NaN 2.7 14758 RUSSELL caleb_strategy_v3 [-1] 2120.9 None 2121.2 2121.0 2121.4 2121.4 2124.7 0.3 -0.2 3.7 3.3 NaN 3.5 14751 RUSSELL caleb_strategy_v3 [-1] 2120.9 None 2121.2 2121.0 2121.4 2121.4 2123.7 0.3 -0.2 2.7 2.3 NaN 2.5 =================================================================================================================================================================== 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 14748 BUND caleb_strategy_v3 [1] 8.479938 5.89627 -5.89627 58.962698 47.170159 NaN 53.066429 14749 EUROSTX caleb_strategy_v3 [-1] 717.473366 188.160295 -6.9689 13.9378 -0.0 NaN 6.9689 14750 COTTON2 caleb_strategy_v3 [1] 17.085372 102.426799 -8.77944 87.794399 70.235519 NaN 79.014959 14752 DOW caleb_strategy_v3 [1] 4859.95448 32.922119 -4.115265 113.169784 104.939254 NaN 109.054519 14753 VIX _ROLL_PSEUDO_STRATEGY [1] 13.379073 18.685899 -18.685899 37.371798 0.0 NaN 18.685899 14754 VIX _ROLL_PSEUDO_STRATEGY [-1] 13.379073 18.685899 -18.685899 -37.371798 -74.743597 NaN -56.057697 14756 VIX _ROLL_PSEUDO_STRATEGY [1] 13.379073 18.685899 -18.685899 74.743597 37.371798 NaN 56.057697 14757 VIX _ROLL_PSEUDO_STRATEGY [-1] 13.379073 -18.685899 -18.685899 -37.371798 -74.743597 NaN -56.057697 14759 VIX _ROLL_PSEUDO_STRATEGY [1] 13.379073 18.685899 -18.685899 37.371798 0.0 NaN 18.685899 14760 VIX _ROLL_PSEUDO_STRATEGY [-1] 13.379073 -56.057697 -18.685899 37.371798 -0.0 NaN 18.685899 14761 RUSSELL caleb_strategy_v3 [-1] 463.159097 138.18146 -4.318171 -32.38628 -41.022621 NaN -36.70445 14755 RUSSELL caleb_strategy_v3 [-1] 463.159097 6.477256 -4.318171 62.613474 53.977133 NaN 58.295303 14758 RUSSELL caleb_strategy_v3 [-1] 463.159097 6.477256 -4.318171 79.886156 71.249815 NaN 75.567986 14751 RUSSELL caleb_strategy_v3 [-1] 463.159097 6.477256 -4.318171 58.295303 49.658962 NaN 53.977133 ============================================================================================================================================================================ 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 14748 BUND caleb_strategy_v3 [1] 1101.95 5.50975 -5.50975 55.0975 44.078 NaN 49.58775 14749 EUROSTX caleb_strategy_v3 [-1] 11.0195 148.76325 -5.50975 11.0195 -0.0 NaN 5.50975 14750 COTTON2 caleb_strategy_v3 [1] 500.0 87.5 -7.5 75.0 60.0 NaN 67.5 14752 DOW caleb_strategy_v3 [1] 0.5 8.0 -1.0 27.5 25.5 NaN 26.5 14753 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 25.0 -25.0 50.0 0.0 NaN 25.0 14754 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 25.0 -25.0 -50.0 -100.0 NaN -75.0 14756 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 25.0 -25.0 100.0 50.0 NaN 75.0 14757 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -25.0 -25.0 -50.0 -100.0 NaN -75.0 14759 VIX _ROLL_PSEUDO_STRATEGY [1] 1000.0 25.0 -25.0 50.0 0.0 NaN 25.0 14760 VIX _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -75.0 -25.0 50.0 -0.0 NaN 25.0 14761 RUSSELL caleb_strategy_v3 [-1] 5.0 32.0 -1.0 -7.5 -9.5 NaN -8.5 14755 RUSSELL caleb_strategy_v3 [-1] 5.0 1.5 -1.0 14.5 12.5 NaN 13.5 14758 RUSSELL caleb_strategy_v3 [-1] 5.0 1.5 -1.0 18.5 16.5 NaN 17.5 14751 RUSSELL caleb_strategy_v3 [-1] 5.0 1.5 -1.0 13.5 11.5 NaN 12.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0.0 caleb_strategy_v3 BUND 5.50975 COTTON2 87.5 DOW 8.0 EUROSTX 148.76325 RUSSELL 36.5 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.0 caleb_strategy_v3 286.273 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -150.0 caleb_strategy_v3 BUND -5.50975 COTTON2 -7.5 DOW -1.0 EUROSTX -5.50975 RUSSELL -4.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -150.0 caleb_strategy_v3 -23.5195 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 150.0 caleb_strategy_v3 BUND 55.0975 COTTON2 75.0 DOW 27.5 EUROSTX 11.0195 RUSSELL 39.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 150.0 caleb_strategy_v3 207.617 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX -150.0 caleb_strategy_v3 BUND 44.078 COTTON2 60.0 DOW 25.5 EUROSTX -0.0 RUSSELL 31.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -150.0 caleb_strategy_v3 160.578 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY VIX 0 caleb_strategy_v3 BUND 0 COTTON2 0 DOW 0 EUROSTX 0 RUSSELL 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 VIX 0.0 caleb_strategy_v3 BUND 49.58775 COTTON2 67.5 DOW 26.5 EUROSTX 5.50975 RUSSELL 35.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.0 caleb_strategy_v3 184.0975 ******************************************************************************** END OF REPORT ********************************************************************************