******************************************************************************** Trades report produced on 07/10/2024 21:37 from 06/10/2024 21:37 to 07/10/2024 21:37 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14982 BOBL caleb_strategy_v3 [20241200] 2024-10-07 07:11:23.000 [1] 119.170000 14986 COTTON2 caleb_strategy_v3 [20241200] 2024-10-07 13:00:58.000 [-1] 73.560000 14984 DAX caleb_strategy_v3 [20241200] 2024-10-07 07:31:25.000 [-1] 19225.000000 14981 DAX caleb_strategy_v3 [20241200] 2024-10-07 19:45:02.089 [0] NaN 14983 DAX caleb_strategy_v3 [20241200] 2024-10-07 19:45:02.140 [0] NaN 14990 EUR caleb_strategy_v3 [20241200] 2024-10-07 14:12:25.000 [-1] 1.101200 14992 FEEDCOW caleb_strategy_v3 [20250100] 2024-10-07 14:32:49.000 [1] 244.200000 14985 GASOIL caleb_strategy_v3 [20250100] 2024-10-07 08:00:35.000 [1] 704.500000 14989 JPY caleb_strategy_v3 [20241200] 2024-10-07 14:10:05.000 [-1] 0.006818 14994 LEANHOG _ROLL_PSEUDO_STRATEGY [20250200] 2024-10-07 14:34:52.000 [1] 80.375000 14995 LEANHOG _ROLL_PSEUDO_STRATEGY [20241200] 2024-10-07 14:34:55.000 [-1] 76.775000 14996 LEANHOG _ROLL_PSEUDO_STRATEGY [20250200] 2024-10-07 14:34:56.000 [1] 80.375000 14997 LEANHOG _ROLL_PSEUDO_STRATEGY [20241200] 2024-10-07 14:35:56.000 [-1] 76.775000 14998 LEANHOG _ROLL_PSEUDO_STRATEGY [20250200] 2024-10-07 14:35:56.000 [1] 80.375000 14999 LEANHOG _ROLL_PSEUDO_STRATEGY [20241200] 2024-10-07 14:36:56.000 [-1] 76.800000 15000 LEANHOG _ROLL_PSEUDO_STRATEGY [20250200] 2024-10-07 14:36:57.000 [1] 80.450000 14993 LEANHOG _ROLL_PSEUDO_STRATEGY [20241200] 2024-10-07 14:32:50.000 [-1] 76.850000 14988 US10U caleb_strategy_v3 [20241200] 2024-10-07 14:10:04.000 [-1] 116.250000 14987 US30 caleb_strategy_v3 [20241200] 2024-10-07 14:07:51.000 [-1] 129.468750 14991 US5 caleb_strategy_v3 [20241200] 2024-10-07 14:12:26.000 [-1] 108.562500 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14982 BOBL caleb_strategy_v3 2024-10-04 00:00:00 2024-10-07 08:10:30.366 2024-10-07 07:11:23.000 288630.366 NaN 14985 GASOIL caleb_strategy_v3 2024-10-04 00:00:00 2024-10-07 09:00:34.870 2024-10-07 08:00:35.000 291634.87 NaN 14986 COTTON2 caleb_strategy_v3 2024-10-04 00:00:00 2024-10-07 14:00:55.794 2024-10-07 13:00:58.000 309655.794 NaN 14987 US30 caleb_strategy_v3 2024-10-04 00:00:00 2024-10-07 15:00:58.078 2024-10-07 14:07:51.000 313258.078 NaN 14988 US10U caleb_strategy_v3 2024-10-04 00:00:00 2024-10-07 15:07:51.774 2024-10-07 14:10:04.000 313671.774 NaN 14989 JPY caleb_strategy_v3 2024-10-04 00:00:00 2024-10-07 15:10:05.110 2024-10-07 14:10:05.000 313805.11 NaN 14990 EUR caleb_strategy_v3 2024-10-04 00:00:00 2024-10-07 15:10:06.135 2024-10-07 14:12:25.000 313806.135 NaN 14991 US5 caleb_strategy_v3 2024-10-04 00:00:00 2024-10-07 15:12:26.382 2024-10-07 14:12:26.000 313946.382 NaN 14992 FEEDCOW caleb_strategy_v3 2024-10-04 00:00:00 2024-10-07 15:30:33.298 2024-10-07 14:32:49.000 315033.298 NaN 14993 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-10-04 19:00:00 2024-10-07 15:32:50.790 2024-10-07 14:32:50.000 246770.79 NaN 14994 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-10-04 19:00:00 2024-10-07 15:32:52.170 2024-10-07 14:34:52.000 246772.17 NaN 14995 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-10-04 19:00:00 2024-10-07 15:34:55.781 2024-10-07 14:34:55.000 246895.781 NaN 14996 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-10-04 19:00:00 2024-10-07 15:34:56.161 2024-10-07 14:34:56.000 246896.161 NaN 14997 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-10-04 19:00:00 2024-10-07 15:35:55.975 2024-10-07 14:35:56.000 246955.975 NaN 14998 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-10-04 19:00:00 2024-10-07 15:35:56.571 2024-10-07 14:35:56.000 246956.571 NaN 14999 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-10-04 19:00:00 2024-10-07 15:36:55.993 2024-10-07 14:36:56.000 247015.993 NaN 15000 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-10-04 19:00:00 2024-10-07 15:36:56.599 2024-10-07 14:36:57.000 247016.599 NaN 14984 DAX caleb_strategy_v3 2024-10-04 00:00:00 2024-10-07 08:21:30.535 2024-10-07 07:31:25.000 289290.535 NaN 14981 DAX caleb_strategy_v3 2024-10-04 00:00:00 2024-10-07 08:00:29.634 2024-10-07 19:45:02.089 288029.634 42272.455 14983 DAX caleb_strategy_v3 2024-10-04 00:00:00 2024-10-07 08:11:27.074 2024-10-07 19:45:02.140 288687.074 41615.066 ======================================================================================================================================================================================================================================== 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 14982 BOBL caleb_strategy_v3 [1] 119.3 None 119.175 119.18 119.17 119.17 119.17 0.125 -0.005 0.01 0.0 NaN 0.005 14985 GASOIL caleb_strategy_v3 [1] 702.5 None 705.125 705.25 705.0 705.0 704.5 -2.625 -0.125 0.75 0.5 NaN 0.625 14986 COTTON2 caleb_strategy_v3 [-1] 73.3 None 73.58 73.56 73.6 73.6 73.56 0.28 -0.02 -0.0 -0.04 NaN -0.02 14987 US30 caleb_strategy_v3 [-1] 130.125 None 129.734375 129.71875 129.75 129.75 129.46875 -0.390625 -0.015625 -0.25 -0.28125 NaN -0.265625 14988 US10U caleb_strategy_v3 [-1] 116.609375 None 116.257812 116.25 116.265625 116.265625 116.25 -0.351562 -0.007812 -0.0 -0.015625 NaN -0.007812 14989 JPY caleb_strategy_v3 [-1] 0.006781 None 0.006823 0.006822 0.006823 NaN 0.006818 0.000042 -0.0 -0.000004 NaN NaN -0.000005 14990 EUR caleb_strategy_v3 [-1] 1.10045 None 1.101175 1.10115 1.1012 1.1012 1.1012 0.000725 -0.000025 0.00005 -0.0 NaN 0.000025 14991 US5 caleb_strategy_v3 [-1] 108.757812 None 108.542969 108.539062 108.546875 108.546875 108.5625 -0.214844 -0.003906 0.023438 0.015625 NaN 0.019531 14992 FEEDCOW caleb_strategy_v3 [1] 244.3 None 244.1375 244.175 244.1 244.1 244.2 0.1625 -0.0375 -0.025 -0.1 NaN -0.0625 14993 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 76.3 None 76.6125 76.6 76.625 76.625 76.85 0.3125 -0.0125 0.25 0.225 NaN 0.2375 14994 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 79.925 None 80.225 80.25 80.2 80.2 80.375 -0.3 -0.025 -0.125 -0.175 NaN -0.15 14995 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 76.3 None 76.6125 76.6 76.625 76.625 76.775 0.3125 -0.0125 0.175 0.15 NaN 0.1625 14996 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 79.925 None 80.3875 80.4 80.375 NaN 80.375 -0.4625 -0.0125 0.025 NaN NaN 0.0125 14997 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 76.3 None 76.6125 76.6 76.625 76.625 76.775 0.3125 -0.0125 0.175 0.15 NaN 0.1625 14998 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 79.925 None 80.45 80.475 80.425 80.425 80.375 -0.525 -0.025 0.1 0.05 NaN 0.075 14999 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 76.3 None 76.8375 76.825 76.85 76.85 76.8 0.5375 -0.0125 -0.025 -0.05 NaN -0.0375 15000 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 79.925 None 80.3875 80.4 80.375 NaN 80.45 -0.4625 -0.0125 -0.05 NaN NaN -0.0625 14984 DAX caleb_strategy_v3 [-1] 19325.0 None 19268.5 19268.0 19269.0 19269.0 19225.0 -56.5 -0.5 -43.0 -44.0 NaN -43.5 14981 DAX caleb_strategy_v3 [-1] 19325.0 None 19327.0 19326.0 19328.0 19328.0 NaN 2.0 -1.0 NaN NaN NaN NaN 14983 DAX caleb_strategy_v3 [-1] 19325.0 None 19338.0 19337.0 19339.0 19339.0 NaN 13.0 -1.0 NaN NaN NaN NaN =================================================================================================================================================================== 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 14982 BOBL caleb_strategy_v3 [1] 4.86196 257.097978 -10.283919 20.567838 0.0 NaN 10.283919 14985 GASOIL caleb_strategy_v3 [1] 214.996047 -122.095268 -5.81406 34.884362 23.256241 NaN 29.070302 14986 COTTON2 caleb_strategy_v3 [-1] 16.487342 169.827254 -12.130518 -0.0 -24.261036 NaN -12.130518 14987 US30 caleb_strategy_v3 [-1] 16.78015 -232.789934 -9.311597 -148.985558 -167.608752 NaN -158.297155 14988 US10U caleb_strategy_v3 [-1] 8.389091 -419.071031 -9.31269 -0.0 -18.625379 NaN -9.31269 14989 JPY caleb_strategy_v3 [-1] 0.000914 462.478553 -2.736559 -49.258071 NaN NaN -51.99463 14990 EUR caleb_strategy_v3 [-1] 0.066114 109.659798 -3.781372 7.562745 -0.0 NaN 3.781372 14991 US5 caleb_strategy_v3 [-1] 4.841161 -443.78562 -8.068829 48.412977 32.275318 NaN 40.344147 14992 FEEDCOW caleb_strategy_v3 [1] 29.825285 54.483973 -12.573224 -8.38215 -33.528598 NaN -20.955374 14993 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 16.190443 193.015101 -7.720604 154.412081 138.970873 NaN 146.691477 14994 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 16.190443 -185.294497 -15.441208 -77.20604 -108.088457 NaN -92.647249 14995 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 16.190443 193.015101 -7.720604 108.088457 92.647249 NaN 100.367853 14996 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 16.190443 -285.66235 -7.720604 15.441208 NaN NaN 7.720604 14997 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 16.190443 193.015101 -7.720604 108.088457 92.647249 NaN 100.367853 14998 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 16.190443 -324.26537 -15.441208 61.764832 30.882416 NaN 46.323624 14999 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 16.190443 331.985974 -7.720604 -15.441208 -30.882416 NaN -23.161812 15000 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 16.190443 -285.66235 -7.720604 -30.882416 NaN NaN -38.60302 14984 DAX caleb_strategy_v3 [-1] 2504.134783 -225.626833 -1.996698 -171.715997 -175.709392 NaN -173.712694 14981 DAX caleb_strategy_v3 [-1] 2504.134783 7.986791 -3.993395 NaN NaN NaN NaN 14983 DAX caleb_strategy_v3 [-1] 2504.134783 51.914139 -3.993395 NaN NaN NaN NaN ============================================================================================================================================================================ 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 14982 BOBL caleb_strategy_v3 [1] 1096.45 137.05625 -5.48225 10.9645 0.0 NaN 5.48225 14985 GASOIL caleb_strategy_v3 [1] 100.0 -262.5 -12.5 75.0 50.0 NaN 62.5 14986 COTTON2 caleb_strategy_v3 [-1] 500.0 140.0 -10.0 -0.0 -20.0 NaN -10.0 14987 US30 caleb_strategy_v3 [-1] 1000.0 -390.625 -15.625 -250.0 -281.25 NaN -265.625 14988 US10U caleb_strategy_v3 [-1] 1000.0 -351.5625 -7.8125 -0.0 -15.625 NaN -7.8125 14989 JPY caleb_strategy_v3 [-1] 12500000.0 528.125 -3.125 -56.25 NaN NaN -59.375 14990 EUR caleb_strategy_v3 [-1] 125000.0 90.625 -3.125 6.25 -0.0 NaN 3.125 14991 US5 caleb_strategy_v3 [-1] 1000.0 -214.84375 -3.90625 23.4375 15.625 NaN 19.53125 14992 FEEDCOW caleb_strategy_v3 [1] 500.0 81.25 -18.75 -12.5 -50.0 NaN -31.25 14993 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 125.0 -5.0 100.0 90.0 NaN 95.0 14994 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400.0 -120.0 -10.0 -50.0 -70.0 NaN -60.0 14995 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 125.0 -5.0 70.0 60.0 NaN 65.0 14996 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400.0 -185.0 -5.0 10.0 NaN NaN 5.0 14997 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 125.0 -5.0 70.0 60.0 NaN 65.0 14998 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400.0 -210.0 -10.0 40.0 20.0 NaN 30.0 14999 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400.0 215.0 -5.0 -10.0 -20.0 NaN -15.0 15000 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400.0 -185.0 -5.0 -20.0 NaN NaN -25.0 14984 DAX caleb_strategy_v3 [-1] 1.09645 -61.949425 -0.548225 -47.14735 -48.2438 NaN -47.695575 14981 DAX caleb_strategy_v3 [-1] 1.09645 2.1929 -1.09645 NaN NaN NaN NaN 14983 DAX caleb_strategy_v3 [-1] 1.09645 14.25385 -1.09645 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -110.0 caleb_strategy_v3 BOBL 137.05625 COTTON2 140.0 DAX -45.502675 EUR 90.625 FEEDCOW 81.25 GASOIL -262.5 JPY 528.125 US10U -351.5625 US30 -390.625 US5 -214.84375 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -110.0 caleb_strategy_v3 -287.977675 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -50.0 caleb_strategy_v3 BOBL -5.48225 COTTON2 -10.0 DAX -2.741125 EUR -3.125 FEEDCOW -18.75 GASOIL -12.5 JPY -3.125 US10U -7.8125 US30 -15.625 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -50.0 caleb_strategy_v3 -83.067125 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 210.0 caleb_strategy_v3 BOBL 10.9645 COTTON2 -0.0 DAX -47.14735 EUR 6.25 FEEDCOW -12.5 GASOIL 75.0 JPY -56.25 US10U -0.0 US30 -250.0 US5 23.4375 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 210.0 caleb_strategy_v3 -250.24535 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 140.0 caleb_strategy_v3 BOBL 0.0 COTTON2 -20.0 DAX -48.2438 EUR -0.0 FEEDCOW -50.0 GASOIL 50.0 JPY 0 US10U -15.625 US30 -281.25 US5 15.625 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 140.0 caleb_strategy_v3 -349.4938 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 0 caleb_strategy_v3 BOBL 0 COTTON2 0 DAX 0 EUR 0 FEEDCOW 0 GASOIL 0 JPY 0 US10U 0 US30 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 LEANHOG 160.0 caleb_strategy_v3 BOBL 5.48225 COTTON2 -10.0 DAX -47.695575 EUR 3.125 FEEDCOW -31.25 GASOIL 62.5 JPY -59.375 US10U -7.8125 US30 -265.625 US5 19.53125 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 160.0 caleb_strategy_v3 -331.119575 ******************************************************************************** END OF REPORT ********************************************************************************