******************************************************************************** Trades report produced on 08/10/2024 21:38 from 07/10/2024 21:38 to 08/10/2024 21:38 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15002 AUD caleb_strategy_v3 [20241200] 2024-10-08 14:00:49 [-1] 0.67380 15003 MXP caleb_strategy_v3 [20241200] 2024-10-08 14:00:50 [1] 0.05116 15004 MXP caleb_strategy_v3 [20241200] 2024-10-08 14:01:47 [1] 0.05116 15001 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-10-08 14:00:48 [-1] 20183.00000 15005 SOYMEAL _ROLL_PSEUDO_STRATEGY [20250100] 2024-10-08 14:31:01 [1] 322.60000 15006 SOYMEAL _ROLL_PSEUDO_STRATEGY [20250300] 2024-10-08 14:37:19 [-1] 323.30000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15001 NASDAQ_micro caleb_strategy_v3 2024-10-07 00:00:00 2024-10-08 15:00:47.642 2024-10-08 14:00:48 140447.642 NaN 15002 AUD caleb_strategy_v3 2024-10-07 00:00:00 2024-10-08 15:00:49.063 2024-10-08 14:00:49 140449.063 NaN 15003 MXP caleb_strategy_v3 2024-10-07 00:00:00 2024-10-08 15:00:50.164 2024-10-08 14:00:50 140450.164 NaN 15004 MXP caleb_strategy_v3 2024-10-07 00:00:00 2024-10-08 15:01:47.077 2024-10-08 14:01:47 140507.077 NaN 15005 SOYMEAL _ROLL_PSEUDO_STRATEGY 2024-10-07 19:00:00 2024-10-08 15:30:48.438 2024-10-08 14:31:01 73848.438 NaN 15006 SOYMEAL _ROLL_PSEUDO_STRATEGY 2024-10-07 19:00:00 2024-10-08 15:31:02.582 2024-10-08 14:37:19 73862.582 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 15001 NASDAQ_micro caleb_strategy_v3 [-1] 19969.5 None 20092.75 20092.5 20093.0 20093.0 20183.0 123.25 -0.25 90.5 90.0 NaN 90.25 15002 AUD caleb_strategy_v3 [-1] 0.675 None 0.673425 0.6734 0.67345 0.67345 0.6738 -0.001575 -0.000025 0.0004 0.00035 NaN 0.000375 15003 MXP caleb_strategy_v3 [1] 0.05117 None 0.051185 0.05119 0.05118 0.05118 0.05116 -0.000015 -0.000005 0.00003 0.00002 NaN 0.000025 15004 MXP caleb_strategy_v3 [1] 0.05117 None 0.051185 0.05119 0.05118 0.05118 0.05116 -0.000015 -0.000005 0.00003 0.00002 NaN 0.000025 15005 SOYMEAL _ROLL_PSEUDO_STRATEGY [1] 323.3 None 322.65 322.7 322.6 322.6 322.6 0.65 -0.05 0.1 0.0 NaN 0.05 15006 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1] 324.0 None 323.35 323.3 323.4 323.4 323.3 -0.65 -0.05 -0.0 -0.1 NaN -0.05 =================================================================================================================================================================== 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 15001 NASDAQ_micro caleb_strategy_v3 [-1] 3388.612387 363.718201 -0.737765 267.070971 265.595441 NaN 266.333206 15002 AUD caleb_strategy_v3 [-1] 0.063212 -249.161982 -3.954952 63.279234 55.369329 NaN 59.324282 15003 MXP caleb_strategy_v3 [1] 0.006749 -22.226538 -7.408846 44.453075 29.635383 NaN 37.044229 15004 MXP caleb_strategy_v3 [1] 0.006749 -22.226538 -7.408846 44.453075 29.635383 NaN 37.044229 15005 SOYMEAL _ROLL_PSEUDO_STRATEGY [1] 84.203202 77.194214 -5.938016 11.876033 0.0 NaN 5.938016 15006 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1] 84.203202 -77.194214 -5.938016 -0.0 -11.876033 NaN -5.938016 ============================================================================================================================================================================ 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 15001 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 246.5 -0.5 181.0 180.0 NaN 180.5 15002 AUD caleb_strategy_v3 [-1] 100000.0 -157.5 -2.5 40.0 35.0 NaN 37.5 15003 MXP caleb_strategy_v3 [1] 500000.0 -7.5 -2.5 15.0 10.0 NaN 12.5 15004 MXP caleb_strategy_v3 [1] 500000.0 -7.5 -2.5 15.0 10.0 NaN 12.5 15005 SOYMEAL _ROLL_PSEUDO_STRATEGY [1] 100.0 65.0 -5.0 10.0 0.0 NaN 5.0 15006 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1] 100.0 -65.0 -5.0 -0.0 -10.0 NaN -5.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SOYMEAL 0.0 caleb_strategy_v3 AUD -157.5 MXP -15.0 NASDAQ_micro 246.5 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.0 caleb_strategy_v3 74.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SOYMEAL -10.0 caleb_strategy_v3 AUD -2.5 MXP -5.0 NASDAQ_micro -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -10.0 caleb_strategy_v3 -8.0 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SOYMEAL 10.0 caleb_strategy_v3 AUD 40.0 MXP 30.0 NASDAQ_micro 181.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 10.0 caleb_strategy_v3 251.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SOYMEAL -10.0 caleb_strategy_v3 AUD 35.0 MXP 20.0 NASDAQ_micro 180.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -10.0 caleb_strategy_v3 235.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SOYMEAL 0 caleb_strategy_v3 AUD 0 MXP 0 NASDAQ_micro 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 SOYMEAL -0.0 caleb_strategy_v3 AUD 37.5 MXP 25.0 NASDAQ_micro 180.5 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -0.0 caleb_strategy_v3 243.0 ******************************************************************************** END OF REPORT ********************************************************************************