******************************************************************************** Trades report produced on 30/09/2024 21:37 from 29/09/2024 21:37 to 30/09/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14934 DAX caleb_strategy_v3 [20241200] 2024-09-30 07:01:00 [-1] 19582.000000 14937 GAS_US_mini caleb_strategy_v3 [20241200] 2024-09-30 13:08:08 [1] 3.305000 14935 GAS_US_mini caleb_strategy_v3 [20241200] 2024-09-30 13:00:51 [1] 3.300000 14936 GOLD_micro caleb_strategy_v3 [20241200] 2024-09-30 13:08:04 [1] 2660.600000 14938 GOLD_micro caleb_strategy_v3 [20241200] 2024-09-30 13:08:23 [1] 2660.400000 14939 GOLD_micro caleb_strategy_v3 [20241200] 2024-09-30 13:09:21 [1] 2660.400000 14942 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-09-30 14:00:24 [1] 20203.250000 14941 NZD caleb_strategy_v3 [20241200] 2024-09-30 14:00:23 [1] 0.636000 14940 US5 caleb_strategy_v3 [20241200] 2024-09-30 14:00:22 [-1] 110.101563 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14934 DAX caleb_strategy_v3 2024-09-27 2024-09-30 08:00:28.894 2024-09-30 07:01:00 288028.894 NaN 14937 GAS_US_mini caleb_strategy_v3 2024-09-27 2024-09-30 14:08:08.371 2024-09-30 13:08:08 310088.371 NaN 14935 GAS_US_mini caleb_strategy_v3 2024-09-27 2024-09-30 14:00:39.102 2024-09-30 13:00:51 309639.102 NaN 14936 GOLD_micro caleb_strategy_v3 2024-09-27 2024-09-30 14:00:52.718 2024-09-30 13:08:04 309652.718 NaN 14938 GOLD_micro caleb_strategy_v3 2024-09-27 2024-09-30 14:08:09.182 2024-09-30 13:08:23 310089.182 NaN 14939 GOLD_micro caleb_strategy_v3 2024-09-27 2024-09-30 14:09:08.302 2024-09-30 13:09:21 310148.302 NaN 14940 US5 caleb_strategy_v3 2024-09-27 2024-09-30 15:00:19.046 2024-09-30 14:00:22 313219.046 NaN 14941 NZD caleb_strategy_v3 2024-09-27 2024-09-30 15:00:23.582 2024-09-30 14:00:23 313223.582 NaN 14942 NASDAQ_micro caleb_strategy_v3 2024-09-27 2024-09-30 15:00:24.882 2024-09-30 14:00:24 313224.882 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 14934 DAX caleb_strategy_v3 [-1] 19566.0 None 19582.5 19582.0 19583.0 19583.0 19582.0 16.5 -0.5 -0.0 -1.0 NaN -0.5 14937 GAS_US_mini caleb_strategy_v3 [1] 3.305 None 3.2975 3.3 3.295 3.295 3.305 0.0075 -0.0025 -0.005 -0.01 NaN -0.0075 14935 GAS_US_mini caleb_strategy_v3 [1] 3.305 None 3.295 3.3 3.29 3.29 3.3 0.01 -0.005 0.0 -0.01 NaN -0.005 14936 GOLD_micro caleb_strategy_v3 [1] 2670.5 None 2657.8 2657.9 2657.7 2657.7 2660.6 12.7 -0.1 -2.7 -2.9 NaN -2.8 14938 GOLD_micro caleb_strategy_v3 [1] 2670.5 None 2660.5 2660.6 2660.4 2660.4 2660.4 10.0 -0.1 0.2 0.0 NaN 0.1 14939 GOLD_micro caleb_strategy_v3 [1] 2670.5 None 2660.45 2660.5 2660.4 2660.4 2660.4 10.05 -0.05 0.1 0.0 NaN 0.05 14940 US5 caleb_strategy_v3 [-1] 110.226562 None 110.097656 110.09375 110.101562 110.101562 110.101563 -0.128906 -0.003906 0.007813 0.0 NaN 0.003907 14941 NZD caleb_strategy_v3 [1] 0.63545 None 0.63675 0.6368 0.6367 0.6367 0.636 -0.0013 -0.00005 0.0008 0.0007 NaN 0.00075 14942 NASDAQ_micro caleb_strategy_v3 [1] 20249.5 None 20256.125 20256.25 20256.0 20256.0 20203.25 -6.625 -0.125 53.0 52.75 NaN 52.875 =============================================================================================================================================================== 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 14934 DAX caleb_strategy_v3 [-1] 2569.628612 64.211614 -1.945806 -0.0 -3.891613 NaN -1.945806 14937 GAS_US_mini caleb_strategy_v3 [1] 1.334183 56.214169 -18.738056 -37.476113 -74.952225 NaN -56.214169 14935 GAS_US_mini caleb_strategy_v3 [1] 1.334183 74.952225 -37.476113 0.0 -74.952225 NaN -37.476113 14936 GOLD_micro caleb_strategy_v3 [1] 326.661945 388.78113 -3.061269 -82.654256 -88.776793 NaN -85.715525 14938 GOLD_micro caleb_strategy_v3 [1] 326.661945 306.126874 -3.061269 6.122537 0.0 NaN 3.061269 14939 GOLD_micro caleb_strategy_v3 [1] 326.661945 307.657508 -1.530634 3.061269 0.0 NaN 1.530634 14940 US5 caleb_strategy_v3 [-1] 4.131499 -312.008413 -9.4548 18.910811 0.00121 NaN 9.456011 14941 NZD caleb_strategy_v3 [1] 0.062766 -207.118018 -7.966078 127.457242 111.525087 NaN 119.491164 14942 NASDAQ_micro caleb_strategy_v3 [1] 3455.357963 -19.173122 -0.361757 153.384977 152.661462 NaN 153.02322 ======================================================================================================================================================================== 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 14934 DAX caleb_strategy_v3 [-1] 1.11665 18.424725 -0.558325 -0.0 -1.11665 NaN -0.558325 14937 GAS_US_mini caleb_strategy_v3 [1] 2500.0 18.75 -6.25 -12.5 -25.0 NaN -18.75 14935 GAS_US_mini caleb_strategy_v3 [1] 2500.0 25.0 -12.5 0.0 -25.0 NaN -12.5 14936 GOLD_micro caleb_strategy_v3 [1] 10.0 127.0 -1.0 -27.0 -29.0 NaN -28.0 14938 GOLD_micro caleb_strategy_v3 [1] 10.0 100.0 -1.0 2.0 0.0 NaN 1.0 14939 GOLD_micro caleb_strategy_v3 [1] 10.0 100.5 -0.5 1.0 0.0 NaN 0.5 14940 US5 caleb_strategy_v3 [-1] 1000.0 -128.90625 -3.90625 7.813 0.0005 NaN 3.90675 14941 NZD caleb_strategy_v3 [1] 100000.0 -130.0 -5.0 80.0 70.0 NaN 75.0 14942 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -13.25 -0.25 106.0 105.5 NaN 105.75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DAX 18.424725 GAS_US_mini 43.75 GOLD_micro 327.5 NASDAQ_micro -13.25 NZD -130.0 US5 -128.90625 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 117.518475 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DAX -0.558325 GAS_US_mini -18.75 GOLD_micro -2.5 NASDAQ_micro -0.25 NZD -5.0 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -30.964575 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DAX -0.0 GAS_US_mini -12.5 GOLD_micro -24.0 NASDAQ_micro 106.0 NZD 80.0 US5 7.813 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 157.313 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX -1.11665 GAS_US_mini -50.0 GOLD_micro -29.0 NASDAQ_micro 105.5 NZD 70.0 US5 0.0005 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 95.38385 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX 0 GAS_US_mini 0 GOLD_micro 0 NASDAQ_micro 0 NZD 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 DAX -0.558325 GAS_US_mini -31.25 GOLD_micro -26.5 NASDAQ_micro 105.75 NZD 75.0 US5 3.90675 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 126.348425 ******************************************************************************** END OF REPORT ********************************************************************************