******************************************************************************** Trades report produced on 20/09/2024 21:37 from 19/09/2024 21:37 to 20/09/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14851 BUXL caleb_strategy_v3 [20241200] 2024-09-20 07:10:13.000 [-1] 135.340000 14858 COTTON2 caleb_strategy_v3 [20241200] 2024-09-20 13:00:32.000 [1] 73.720000 14857 DAX caleb_strategy_v3 [20241200] 2024-09-20 07:46:48.000 [-1] 19010.000000 14855 DAX caleb_strategy_v3 [20241200] 2024-09-20 19:45:09.644 [0] NaN 14854 DAX caleb_strategy_v3 [20241200] 2024-09-20 07:26:00.000 [-1] 19033.000000 14853 DAX caleb_strategy_v3 [20241200] 2024-09-20 07:25:57.000 [-1] 19032.000000 14852 DAX caleb_strategy_v3 [20241200] 2024-09-20 19:45:09.590 [0] NaN 14850 DAX caleb_strategy_v3 [20241200] 2024-09-20 19:45:09.539 [0] NaN 14856 DAX caleb_strategy_v3 [20241200] 2024-09-20 07:46:44.000 [-1] 19008.000000 14867 DOW caleb_strategy_v3 [20241200] 2024-09-20 14:37:14.000 [-1] 42360.000000 14860 JPY caleb_strategy_v3 [20241200] 2024-09-20 14:08:58.000 [-1] 0.007018 14866 LEANHOG caleb_strategy_v3 [20241200] 2024-09-20 14:37:13.000 [1] 74.250000 14861 MXP caleb_strategy_v3 [20241200] 2024-09-20 14:18:32.000 [1] 0.051020 14870 MXP caleb_strategy_v3 [20241200] 2024-09-20 14:52:34.000 [1] 0.051070 14849 NIKKEI caleb_strategy_v3 [20241200] 2024-09-20 02:09:34.000 [1] 37695.000000 14859 PLAT caleb_strategy_v3 [20241000] 2024-09-20 13:00:34.000 [1] 991.900000 14871 RUSSELL caleb_strategy_v3 [20241200] 2024-09-20 14:52:35.000 [1] 2266.000000 14864 RUSSELL caleb_strategy_v3 [20241200] 2024-09-20 14:33:20.000 [1] 2264.500000 14865 SOYMEAL caleb_strategy_v3 [20250100] 2024-09-20 14:36:48.000 [-1] 318.100000 14869 SP400 caleb_strategy_v3 [20241200] 2024-09-20 14:43:53.000 [1] 3136.700000 14868 US10U caleb_strategy_v3 [20241200] 2024-09-20 14:38:04.000 [-1] 118.734375 14862 US5 caleb_strategy_v3 [20241200] 2024-09-20 14:23:24.000 [-1] 110.101563 14863 VIX caleb_strategy_v3 [20241200] 2024-09-20 14:33:19.000 [-1] 17.650000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14849 NIKKEI caleb_strategy_v3 2024-09-19 2024-09-20 03:01:18.199 2024-09-20 02:09:34.000 97278.199 NaN 14851 BUXL caleb_strategy_v3 2024-09-19 2024-09-20 08:10:13.370 2024-09-20 07:10:13.000 115813.37 NaN 14858 COTTON2 caleb_strategy_v3 2024-09-19 2024-09-20 14:00:19.155 2024-09-20 13:00:32.000 136819.155 NaN 14859 PLAT caleb_strategy_v3 2024-09-19 2024-09-20 14:00:33.919 2024-09-20 13:00:34.000 136833.919 NaN 14860 JPY caleb_strategy_v3 2024-09-19 2024-09-20 15:00:32.695 2024-09-20 14:08:58.000 140432.695 NaN 14862 US5 caleb_strategy_v3 2024-09-19 2024-09-20 15:18:33.091 2024-09-20 14:23:24.000 141513.091 NaN 14863 VIX caleb_strategy_v3 2024-09-19 2024-09-20 15:23:25.567 2024-09-20 14:33:19.000 141805.567 NaN 14865 SOYMEAL caleb_strategy_v3 2024-09-19 2024-09-20 15:33:22.072 2024-09-20 14:36:48.000 142402.072 NaN 14866 LEANHOG caleb_strategy_v3 2024-09-19 2024-09-20 15:36:49.358 2024-09-20 14:37:13.000 142609.358 NaN 14867 DOW caleb_strategy_v3 2024-09-19 2024-09-20 15:37:14.476 2024-09-20 14:37:14.000 142634.476 NaN 14868 US10U caleb_strategy_v3 2024-09-19 2024-09-20 15:37:15.791 2024-09-20 14:38:04.000 142635.791 NaN 14869 SP400 caleb_strategy_v3 2024-09-19 2024-09-20 15:38:05.394 2024-09-20 14:43:53.000 142685.394 NaN 14861 MXP caleb_strategy_v3 2024-09-19 2024-09-20 15:08:59.475 2024-09-20 14:18:32.000 140939.475 NaN 14870 MXP caleb_strategy_v3 2024-09-19 2024-09-20 15:44:18.926 2024-09-20 14:52:34.000 143058.926 NaN 14864 RUSSELL caleb_strategy_v3 2024-09-19 2024-09-20 15:33:20.671 2024-09-20 14:33:20.000 142400.671 NaN 14871 RUSSELL caleb_strategy_v3 2024-09-19 2024-09-20 15:52:35.126 2024-09-20 14:52:35.000 143555.126 NaN 14850 DAX caleb_strategy_v3 2024-09-19 2024-09-20 08:00:02.519 2024-09-20 19:45:09.539 115202.519 42307.02 14852 DAX caleb_strategy_v3 2024-09-19 2024-09-20 08:10:14.199 2024-09-20 19:45:09.590 115814.199 41695.391 14853 DAX caleb_strategy_v3 2024-09-19 2024-09-20 08:20:17.974 2024-09-20 07:25:57.000 116417.974 NaN 14854 DAX caleb_strategy_v3 2024-09-19 2024-09-20 08:26:00.669 2024-09-20 07:26:00.000 116760.669 NaN 14855 DAX caleb_strategy_v3 2024-09-19 2024-09-20 08:27:00.798 2024-09-20 19:45:09.644 116820.798 40688.846 14856 DAX caleb_strategy_v3 2024-09-19 2024-09-20 08:37:04.432 2024-09-20 07:46:44.000 117424.432 NaN 14857 DAX caleb_strategy_v3 2024-09-19 2024-09-20 08:46:47.970 2024-09-20 07:46:48.000 118007.97 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 14849 NIKKEI caleb_strategy_v3 [1] 37610.0 None 37677.5 37680.0 37675.0 37675.0 37695.0 -67.5 -2.5 -15.0 -20.0 NaN -17.5 14851 BUXL caleb_strategy_v3 [-1] 135.18 None 135.33 135.32 135.34 135.34 135.34 0.15 -0.01 0.02 -0.0 NaN 0.01 14858 COTTON2 caleb_strategy_v3 [1] 73.07 None 73.715 73.72 73.71 73.71 73.72 -0.645 -0.005 0.0 -0.01 NaN -0.005 14859 PLAT caleb_strategy_v3 [1] 990.1 None 994.25 994.4 994.1 994.1 991.9 -4.15 -0.15 2.5 2.2 NaN 2.35 14860 JPY caleb_strategy_v3 [-1] 0.007089 None 0.007027 0.007026 0.007027 0.007027 0.007018 -0.000061 -0.000001 -0.000008 -0.000009 NaN -0.000009 14862 US5 caleb_strategy_v3 [-1] 110.273438 None 110.128906 110.125 110.132812 110.132812 110.101563 -0.144531 -0.003906 -0.023437 -0.03125 NaN -0.027343 14863 VIX caleb_strategy_v3 [-1] 17.8 None 17.775 17.75 17.8 17.8 17.65 -0.025 -0.025 -0.1 -0.15 NaN -0.125 14865 SOYMEAL caleb_strategy_v3 [-1] 322.7 None 318.65 318.6 318.7 318.7 318.1 -4.05 -0.05 -0.5 -0.6 NaN -0.55 14866 LEANHOG caleb_strategy_v3 [1] 74.325 None 74.2 74.225 74.175 74.175 74.25 0.125 -0.025 -0.025 -0.075 NaN -0.05 14867 DOW caleb_strategy_v3 [-1] 42484.0 None 42352.5 42352.0 42353.0 NaN 42360.0 -131.5 -0.5 8.0 NaN NaN 7.5 14868 US10U caleb_strategy_v3 [-1] 118.984375 None 118.757812 118.75 118.765625 118.765625 118.734375 -0.226562 -0.007812 -0.015625 -0.03125 NaN -0.023438 14869 SP400 caleb_strategy_v3 [1] 3152.6 None 3135.35 3135.8 3134.9 3134.9 3136.7 17.25 -0.45 -0.9 -1.8 NaN -1.35 14861 MXP caleb_strategy_v3 [1] 0.05114 None 0.050915 0.05092 0.05091 0.05091 0.05102 0.000225 -0.000005 -0.0001 -0.00011 NaN -0.000105 14870 MXP caleb_strategy_v3 [1] 0.05114 None 0.051015 0.05102 0.05101 0.05101 0.05107 0.000125 -0.000005 -0.00005 -0.00006 NaN -0.000055 14864 RUSSELL caleb_strategy_v3 [1] 2275.9 None 2264.6 2264.7 2264.5 2264.5 2264.5 11.3 -0.1 0.2 0.0 NaN 0.1 14871 RUSSELL caleb_strategy_v3 [1] 2275.9 None 2264.6 2264.7 2264.5 2264.5 2266.0 11.3 -0.1 -1.3 -1.5 NaN -1.4 14850 DAX caleb_strategy_v3 [-1] 19198.0 None 19107.0 19106.0 19108.0 19108.0 NaN -91.0 -1.0 NaN NaN NaN NaN 14852 DAX caleb_strategy_v3 [-1] 19198.0 None 19096.5 19096.0 19097.0 19097.0 NaN -101.5 -0.5 NaN NaN NaN NaN 14853 DAX caleb_strategy_v3 [-1] 19198.0 None 19066.0 19065.0 19067.0 19067.0 19032.0 -132.0 -1.0 -33.0 -35.0 NaN -34.0 14854 DAX caleb_strategy_v3 [-1] 19198.0 None 19032.5 19032.0 19033.0 19033.0 19033.0 -165.5 -0.5 1.0 -0.0 NaN 0.5 14855 DAX caleb_strategy_v3 [-1] 19198.0 None 19032.5 19032.0 19033.0 19033.0 NaN -165.5 -0.5 NaN NaN NaN NaN 14856 DAX caleb_strategy_v3 [-1] 19198.0 None 19051.0 19050.0 19052.0 19052.0 19008.0 -147.0 -1.0 -42.0 -44.0 NaN -43.0 14857 DAX caleb_strategy_v3 [-1] 19198.0 None 19009.0 19008.0 19010.0 19010.0 19010.0 -189.0 -1.0 2.0 -0.0 NaN 1.0 =============================================================================================================================================================== 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 14849 NIKKEI caleb_strategy_v3 [1] 11480.178542 -58.796995 -2.177666 -13.065999 -17.421332 NaN -15.243665 14851 BUXL caleb_strategy_v3 [-1] 19.501486 76.917214 -5.127814 10.255629 -0.0 NaN 5.127814 14858 COTTON2 caleb_strategy_v3 [1] 19.149747 -336.819065 -2.611001 0.0 -5.222001 NaN -2.611001 14859 PLAT caleb_strategy_v3 [1] 249.591155 -166.271917 -6.009828 100.163806 88.144149 NaN 94.153977 14860 JPY caleb_strategy_v3 [-1] 0.000795 -773.236612 -6.286477 -106.870101 -119.443054 NaN -113.156577 14862 US5 caleb_strategy_v3 [-1] 3.981342 -363.021425 -9.81139 -58.867083 -78.489863 NaN -68.678473 14863 VIX caleb_strategy_v3 [-1] 11.666758 -21.428404 -21.428404 -85.713617 -128.570425 NaN -107.142021 14865 SOYMEAL caleb_strategy_v3 [-1] 69.218577 -585.103041 -7.223494 -72.234943 -86.681932 NaN -79.458438 14866 LEANHOG caleb_strategy_v3 [1] 16.63999 75.120239 -15.024048 -15.024048 -45.072143 NaN -30.048095 14867 DOW caleb_strategy_v3 [-1] 4609.374636 -285.288158 -1.084746 17.355934 NaN NaN 16.271188 14868 US10U caleb_strategy_v3 [-1] 7.745718 -292.500325 -10.086218 -20.172436 -40.344872 NaN -30.258654 14869 SP400 caleb_strategy_v3 [1] 492.205359 350.463474 -9.142525 -18.285051 -36.570102 NaN -27.427576 14861 MXP caleb_strategy_v3 [1] 0.007816 287.865484 -6.397011 -127.940215 -140.734237 NaN -134.337226 14870 MXP caleb_strategy_v3 [1] 0.007816 159.925269 -6.397011 -63.970108 -76.764129 NaN -70.367118 14864 RUSSELL caleb_strategy_v3 [1] 452.170994 249.90546 -2.211553 4.423105 0.0 NaN 2.211553 14871 RUSSELL caleb_strategy_v3 [1] 452.170994 249.90546 -2.211553 -28.750186 -33.173291 NaN -30.961738 14850 DAX caleb_strategy_v3 [-1] 2533.843167 -359.13825 -3.946574 NaN NaN NaN NaN 14852 DAX caleb_strategy_v3 [-1] 2533.843167 -400.577279 -1.973287 NaN NaN NaN NaN 14853 DAX caleb_strategy_v3 [-1] 2533.843167 -520.947791 -3.946574 -130.236948 -138.130096 NaN -134.183522 14854 DAX caleb_strategy_v3 [-1] 2533.843167 -653.158026 -1.973287 3.946574 -0.0 NaN 1.973287 14855 DAX caleb_strategy_v3 [-1] 2533.843167 -653.158026 -1.973287 NaN NaN NaN NaN 14856 DAX caleb_strategy_v3 [-1] 2533.843167 -580.146403 -3.946574 -165.756115 -173.649264 NaN -169.702689 14857 DAX caleb_strategy_v3 [-1] 2533.843167 -745.902519 -3.946574 7.893148 -0.0 NaN 3.946574 ========================================================================================================================================================================= 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 14849 NIKKEI caleb_strategy_v3 [1] 0.703386 -47.478538 -1.758464 -10.550786 -14.067715 NaN -12.309251 14851 BUXL caleb_strategy_v3 [-1] 1116.85 167.5275 -11.1685 22.337 -0.0 NaN 11.1685 14858 COTTON2 caleb_strategy_v3 [1] 500.0 -322.5 -2.5 0.0 -5.0 NaN -2.5 14859 PLAT caleb_strategy_v3 [1] 50.0 -207.5 -7.5 125.0 110.0 NaN 117.5 14860 JPY caleb_strategy_v3 [-1] 12500000.0 -768.75 -6.25 -106.25 -118.75 NaN -112.5 14862 US5 caleb_strategy_v3 [-1] 1000.0 -144.53125 -3.90625 -23.437 -31.2495 NaN -27.34325 14863 VIX caleb_strategy_v3 [-1] 1000.0 -25.0 -25.0 -100.0 -150.0 NaN -125.0 14865 SOYMEAL caleb_strategy_v3 [-1] 100.0 -405.0 -5.0 -50.0 -60.0 NaN -55.0 14866 LEANHOG caleb_strategy_v3 [1] 400.0 50.0 -10.0 -10.0 -30.0 NaN -20.0 14867 DOW caleb_strategy_v3 [-1] 0.5 -65.75 -0.25 4.0 NaN NaN 3.75 14868 US10U caleb_strategy_v3 [-1] 1000.0 -226.5625 -7.8125 -15.625 -31.25 NaN -23.4375 14869 SP400 caleb_strategy_v3 [1] 100.0 1725.0 -45.0 -90.0 -180.0 NaN -135.0 14861 MXP caleb_strategy_v3 [1] 500000.0 112.5 -2.5 -50.0 -55.0 NaN -52.5 14870 MXP caleb_strategy_v3 [1] 500000.0 62.5 -2.5 -25.0 -30.0 NaN -27.5 14864 RUSSELL caleb_strategy_v3 [1] 5.0 56.5 -0.5 1.0 0.0 NaN 0.5 14871 RUSSELL caleb_strategy_v3 [1] 5.0 56.5 -0.5 -6.5 -7.5 NaN -7.0 14850 DAX caleb_strategy_v3 [-1] 1.11685 -101.63335 -1.11685 NaN NaN NaN NaN 14852 DAX caleb_strategy_v3 [-1] 1.11685 -113.360275 -0.558425 NaN NaN NaN NaN 14853 DAX caleb_strategy_v3 [-1] 1.11685 -147.4242 -1.11685 -36.85605 -39.08975 NaN -37.9729 14854 DAX caleb_strategy_v3 [-1] 1.11685 -184.838675 -0.558425 1.11685 -0.0 NaN 0.558425 14855 DAX caleb_strategy_v3 [-1] 1.11685 -184.838675 -0.558425 NaN NaN NaN NaN 14856 DAX caleb_strategy_v3 [-1] 1.11685 -164.17695 -1.11685 -46.9077 -49.1414 NaN -48.02455 14857 DAX caleb_strategy_v3 [-1] 1.11685 -211.08465 -1.11685 2.2337 -0.0 NaN 1.11685 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BUXL 167.5275 COTTON2 -322.5 DAX -1107.356775 DOW -65.75 JPY -768.75 LEANHOG 50.0 MXP 175.0 NIKKEI -47.478538 PLAT -207.5 RUSSELL 113.0 SOYMEAL -405.0 SP400 1725.0 US10U -226.5625 US5 -144.53125 VIX -25.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1089.901563 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BUXL -11.1685 COTTON2 -2.5 DAX -6.142675 DOW -0.25 JPY -6.25 LEANHOG -10.0 MXP -5.0 NIKKEI -1.758464 PLAT -7.5 RUSSELL -1.0 SOYMEAL -5.0 SP400 -45.0 US10U -7.8125 US5 -3.90625 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -138.288389 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BUXL 22.337 COTTON2 0.0 DAX -80.4132 DOW 4.0 JPY -106.25 LEANHOG -10.0 MXP -75.0 NIKKEI -10.550786 PLAT 125.0 RUSSELL -5.5 SOYMEAL -50.0 SP400 -90.0 US10U -15.625 US5 -23.437 VIX -100.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -415.438986 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BUXL -0.0 COTTON2 -5.0 DAX -88.23115 DOW 0 JPY -118.75 LEANHOG -30.0 MXP -85.0 NIKKEI -14.067715 PLAT 110.0 RUSSELL -7.5 SOYMEAL -60.0 SP400 -180.0 US10U -31.25 US5 -31.2495 VIX -150.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -691.048365 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BUXL 0 COTTON2 0 DAX 0 DOW 0 JPY 0 LEANHOG 0 MXP 0 NIKKEI 0 PLAT 0 RUSSELL 0 SOYMEAL 0 SP400 0 US10U 0 US5 0 VIX 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 BUXL 11.1685 COTTON2 -2.5 DAX -84.322175 DOW 3.75 JPY -112.5 LEANHOG -20.0 MXP -80.0 NIKKEI -12.309251 PLAT 117.5 RUSSELL -6.5 SOYMEAL -55.0 SP400 -135.0 US10U -23.4375 US5 -27.34325 VIX -125.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -551.493676 ******************************************************************************** END OF REPORT ********************************************************************************