******************************************************************************** Trades report produced on 15/10/2024 21:38 from 14/10/2024 21:38 to 15/10/2024 21:38 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15074 CHF caleb_strategy_v3 [20241200] 2024-10-15 14:04:57.000 [-1] 1.16930 15067 COCOA caleb_strategy_v3 [20250300] 2024-10-15 13:26:07.000 [1] 6856.00000 15065 COCOA caleb_strategy_v3 [20250300] 2024-10-15 19:45:24.230 [0] NaN 15064 COTTON2 caleb_strategy_v3 [20241200] 2024-10-15 13:10:05.000 [-1] 70.94000 15059 DAX caleb_strategy_v3 [20241200] 2024-10-15 07:07:01.000 [1] 19704.00000 15060 DAX caleb_strategy_v3 [20241200] 2024-10-15 07:07:20.000 [1] 19705.00000 15061 DAX caleb_strategy_v3 [20241200] 2024-10-15 07:08:13.000 [1] 19704.00000 15076 FEEDCOW caleb_strategy_v3 [20250100] 2024-10-15 14:30:52.000 [1] 244.97500 15070 GAS_US_mini caleb_strategy_v3 [20250100] 2024-10-15 13:28:17.000 [-1] 3.20000 15071 GAS_US_mini caleb_strategy_v3 [20250100] 2024-10-15 13:29:13.000 [-1] 3.20500 15068 GAS_US_mini caleb_strategy_v3 [20250100] 2024-10-15 13:26:24.000 [-1] 3.20000 15066 GAS_US_mini caleb_strategy_v3 [20250100] 2024-10-15 13:20:12.000 [-1] 3.20500 15063 GAS_US_mini caleb_strategy_v3 [20250100] 2024-10-15 13:10:04.000 [-1] 3.20000 15069 GAS_US_mini caleb_strategy_v3 [20250100] 2024-10-15 13:27:47.000 [-1] 3.20000 15072 MXP caleb_strategy_v3 [20241200] 2024-10-15 14:00:18.000 [1] 0.05048 15057 NIKKEI caleb_strategy_v3 [20241200] 2024-10-15 02:13:59.000 [1] 40260.00000 15056 NIKKEI caleb_strategy_v3 [20241200] 2024-10-15 19:45:24.180 [0] NaN 15058 NIKKEI caleb_strategy_v3 [20241200] 2024-10-15 02:14:04.000 [1] 40260.00000 15073 NZD caleb_strategy_v3 [20241200] 2024-10-15 14:03:18.000 [-1] 0.60990 15062 ROBUSTA caleb_strategy_v3 [20250100] 2024-10-15 09:00:24.000 [-1] 4804.00000 15075 WHEAT caleb_strategy_v3 [20251200] 2024-10-15 14:30:51.000 [-1] 639.50000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15059 DAX caleb_strategy_v3 2024-10-14 2024-10-15 08:00:27.734 2024-10-15 07:07:01.000 115227.734 NaN 15060 DAX caleb_strategy_v3 2024-10-14 2024-10-15 08:07:04.857 2024-10-15 07:07:20.000 115624.857 NaN 15061 DAX caleb_strategy_v3 2024-10-14 2024-10-15 08:08:05.311 2024-10-15 07:08:13.000 115685.311 NaN 15062 ROBUSTA caleb_strategy_v3 2024-10-14 2024-10-15 10:00:24.199 2024-10-15 09:00:24.000 122424.199 NaN 15064 COTTON2 caleb_strategy_v3 2024-10-14 2024-10-15 14:10:05.423 2024-10-15 13:10:05.000 137405.423 NaN 15063 GAS_US_mini caleb_strategy_v3 2024-10-14 2024-10-15 14:00:40.111 2024-10-15 13:10:04.000 136840.111 NaN 15066 GAS_US_mini caleb_strategy_v3 2024-10-14 2024-10-15 14:20:10.101 2024-10-15 13:20:12.000 138010.101 NaN 15068 GAS_US_mini caleb_strategy_v3 2024-10-14 2024-10-15 14:26:11.491 2024-10-15 13:26:24.000 138371.491 NaN 15069 GAS_US_mini caleb_strategy_v3 2024-10-14 2024-10-15 14:27:11.928 2024-10-15 13:27:47.000 138431.928 NaN 15070 GAS_US_mini caleb_strategy_v3 2024-10-14 2024-10-15 14:28:11.999 2024-10-15 13:28:17.000 138491.999 NaN 15071 GAS_US_mini caleb_strategy_v3 2024-10-14 2024-10-15 14:29:12.446 2024-10-15 13:29:13.000 138552.446 NaN 15072 MXP caleb_strategy_v3 2024-10-14 2024-10-15 15:00:17.990 2024-10-15 14:00:18.000 140417.99 NaN 15073 NZD caleb_strategy_v3 2024-10-14 2024-10-15 15:00:19.367 2024-10-15 14:03:18.000 140419.367 NaN 15074 CHF caleb_strategy_v3 2024-10-14 2024-10-15 15:03:19.623 2024-10-15 14:04:57.000 140599.623 NaN 15075 WHEAT caleb_strategy_v3 2024-10-14 2024-10-15 15:30:25.883 2024-10-15 14:30:51.000 142225.883 NaN 15076 FEEDCOW caleb_strategy_v3 2024-10-14 2024-10-15 15:30:52.431 2024-10-15 14:30:52.000 142252.431 NaN 15065 COCOA caleb_strategy_v3 2024-10-14 2024-10-15 14:10:06.539 2024-10-15 19:45:24.230 137406.539 20117.691 15067 COCOA caleb_strategy_v3 2024-10-14 2024-10-15 14:20:12.643 2024-10-15 13:26:07.000 138012.643 NaN 15056 NIKKEI caleb_strategy_v3 2024-10-14 2024-10-15 03:01:15.146 2024-10-15 19:45:24.180 97275.146 60249.034 15057 NIKKEI caleb_strategy_v3 2024-10-14 2024-10-15 03:11:18.584 2024-10-15 02:13:59.000 97878.584 NaN 15058 NIKKEI caleb_strategy_v3 2024-10-14 2024-10-15 03:14:02.807 2024-10-15 02:14:04.000 98042.807 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 15059 DAX caleb_strategy_v3 [1] 19669.0 None 19699.5 19701.0 19698.0 19698.0 19704.0 -30.5 -1.5 -3.0 -6.0 NaN -4.5 15060 DAX caleb_strategy_v3 [1] 19669.0 None 19703.5 19704.0 19703.0 19703.0 19705.0 -34.5 -0.5 -1.0 -2.0 NaN -1.5 15061 DAX caleb_strategy_v3 [1] 19669.0 None 19704.5 19705.0 19704.0 19704.0 19704.0 -35.5 -0.5 1.0 0.0 NaN 0.5 15062 ROBUSTA caleb_strategy_v3 [-1] 4837.0 None 4797.0 4795.0 4799.0 4799.0 4804.0 -40.0 -2.0 9.0 5.0 NaN 7.0 15064 COTTON2 caleb_strategy_v3 [-1] 71.13 None 70.765 70.76 70.77 70.77 70.94 -0.365 -0.005 0.18 0.17 NaN 0.175 15063 GAS_US_mini caleb_strategy_v3 [-1] 3.195 None 3.2125 3.21 3.215 3.215 3.2 0.0175 -0.0025 -0.01 -0.015 NaN -0.0125 15066 GAS_US_mini caleb_strategy_v3 [-1] 3.195 None 3.205 3.2 3.21 3.21 3.205 0.01 -0.005 0.005 -0.005 NaN 0.0 15068 GAS_US_mini caleb_strategy_v3 [-1] 3.195 None 3.2025 3.2 3.205 3.205 3.2 0.0075 -0.0025 -0.0 -0.005 NaN -0.0025 15069 GAS_US_mini caleb_strategy_v3 [-1] 3.195 None 3.205 3.2 3.21 3.21 3.2 0.01 -0.005 -0.0 -0.01 NaN -0.005 15070 GAS_US_mini caleb_strategy_v3 [-1] 3.195 None 3.205 3.2 3.21 3.21 3.2 0.01 -0.005 -0.0 -0.01 NaN -0.005 15071 GAS_US_mini caleb_strategy_v3 [-1] 3.195 None 3.205 3.2 3.21 3.21 3.205 0.01 -0.005 0.005 -0.005 NaN 0.0 15072 MXP caleb_strategy_v3 [1] 0.05114 None 0.050535 0.05054 0.05053 0.05053 0.05048 0.000605 -0.000005 0.00006 0.00005 NaN 0.000055 15073 NZD caleb_strategy_v3 [-1] 0.60885 None 0.6103 0.61025 0.61035 0.61035 0.6099 0.00145 -0.00005 -0.00035 -0.00045 NaN -0.0004 15074 CHF caleb_strategy_v3 [-1] 1.166 None 1.1694 1.16935 1.16945 1.16945 1.1693 0.0034 -0.00005 -0.00005 -0.00015 NaN -0.0001 15075 WHEAT caleb_strategy_v3 [-1] 648.5 None 640.0 639.75 640.25 640.25 639.5 -8.5 -0.25 -0.25 -0.75 NaN -0.5 15076 FEEDCOW caleb_strategy_v3 [1] 247.5 None 245.15 245.2 245.1 245.1 244.975 2.35 -0.05 0.225 0.125 NaN 0.175 15065 COCOA caleb_strategy_v3 [1] 6870.0 None 6833.5 6836.0 6831.0 6831.0 NaN 36.5 -2.5 NaN NaN NaN NaN 15067 COCOA caleb_strategy_v3 [1] 6870.0 None 6836.5 6839.0 6834.0 6834.0 6856.0 33.5 -2.5 -17.0 -22.0 NaN -19.5 15056 NIKKEI caleb_strategy_v3 [1] 40140.0 None 40127.5 40130.0 40125.0 40125.0 NaN 12.5 -2.5 NaN NaN NaN NaN 15057 NIKKEI caleb_strategy_v3 [1] 40140.0 None 40227.5 40230.0 40225.0 40225.0 40260.0 -87.5 -2.5 -30.0 -35.0 NaN -32.5 15058 NIKKEI caleb_strategy_v3 [1] 40140.0 None 40255.0 40260.0 40250.0 40250.0 40260.0 -115.0 -5.0 0.0 -10.0 NaN -5.0 =============================================================================================================================================================== 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 15059 DAX caleb_strategy_v3 [1] 2315.889949 -131.698831 -6.476992 -12.953983 -25.907967 NaN -19.430975 15060 DAX caleb_strategy_v3 [1] 2315.889949 -148.970809 -2.158997 -4.317994 -8.635989 NaN -6.476992 15061 DAX caleb_strategy_v3 [1] 2315.889949 -153.288804 -2.158997 4.317994 0.0 NaN 2.158997 15062 ROBUSTA caleb_strategy_v3 [-1] 1649.512255 -242.495925 -12.124796 54.561583 30.311991 NaN 42.436787 15064 COTTON2 caleb_strategy_v3 [-1] 15.980886 -228.397854 -3.128738 112.634558 106.377083 NaN 109.50582 15063 GAS_US_mini caleb_strategy_v3 [-1] 1.28112 136.599242 -19.514177 -78.05671 -117.085065 NaN -97.570887 15066 GAS_US_mini caleb_strategy_v3 [-1] 1.28112 78.05671 -39.028355 39.028355 -39.028355 NaN 0.0 15068 GAS_US_mini caleb_strategy_v3 [-1] 1.28112 58.542532 -19.514177 -0.0 -39.028355 NaN -19.514177 15069 GAS_US_mini caleb_strategy_v3 [-1] 1.28112 78.05671 -39.028355 -0.0 -78.05671 NaN -39.028355 15070 GAS_US_mini caleb_strategy_v3 [-1] 1.28112 78.05671 -39.028355 -0.0 -78.05671 NaN -39.028355 15071 GAS_US_mini caleb_strategy_v3 [-1] 1.28112 78.05671 -39.028355 39.028355 -39.028355 NaN 0.0 15072 MXP caleb_strategy_v3 [1] 0.00712 849.687869 -7.022214 84.266565 70.222138 NaN 77.244352 15073 NZD caleb_strategy_v3 [-1] 0.06327 229.177411 -7.902669 -55.318685 -71.124024 NaN -63.221355 15074 CHF caleb_strategy_v3 [-1] 0.086284 394.048253 -5.794827 -5.794827 -17.384482 NaN -11.589655 15075 WHEAT caleb_strategy_v3 [-1] 145.719816 -583.311196 -17.156212 -17.156212 -51.468635 NaN -34.312423 15076 FEEDCOW caleb_strategy_v3 [1] 30.185171 778.527981 -16.564425 74.539913 41.411063 NaN 57.975488 15065 COCOA caleb_strategy_v3 [1] 3119.475842 117.006837 -8.014167 NaN NaN NaN NaN 15067 COCOA caleb_strategy_v3 [1] 3119.475842 107.389836 -8.014167 -54.496335 -70.524669 NaN -62.510502 15056 NIKKEI caleb_strategy_v3 [1] 10563.280748 11.833445 -2.366689 NaN NaN NaN NaN 15057 NIKKEI caleb_strategy_v3 [1] 10563.280748 -82.834114 -2.366689 -28.400268 -33.133646 NaN -30.766957 15058 NIKKEI caleb_strategy_v3 [1] 10563.280748 -108.867692 -4.733378 0.0 -9.466756 NaN -4.733378 ======================================================================================================================================================================== 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 15059 DAX caleb_strategy_v3 [1] 1.0887 -33.20535 -1.63305 -3.2661 -6.5322 NaN -4.89915 15060 DAX caleb_strategy_v3 [1] 1.0887 -37.56015 -0.54435 -1.0887 -2.1774 NaN -1.63305 15061 DAX caleb_strategy_v3 [1] 1.0887 -38.64885 -0.54435 1.0887 0.0 NaN 0.54435 15062 ROBUSTA caleb_strategy_v3 [-1] 10.0 -400.0 -20.0 90.0 50.0 NaN 70.0 15064 COTTON2 caleb_strategy_v3 [-1] 500.0 -182.5 -2.5 90.0 85.0 NaN 87.5 15063 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 43.75 -6.25 -25.0 -37.5 NaN -31.25 15066 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 25.0 -12.5 12.5 -12.5 NaN 0.0 15068 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 18.75 -6.25 -0.0 -12.5 NaN -6.25 15069 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 25.0 -12.5 -0.0 -25.0 NaN -12.5 15070 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 25.0 -12.5 -0.0 -25.0 NaN -12.5 15071 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 25.0 -12.5 12.5 -12.5 NaN 0.0 15072 MXP caleb_strategy_v3 [1] 500000.0 302.5 -2.5 30.0 25.0 NaN 27.5 15073 NZD caleb_strategy_v3 [-1] 100000.0 145.0 -5.0 -35.0 -45.0 NaN -40.0 15074 CHF caleb_strategy_v3 [-1] 125000.0 425.0 -6.25 -6.25 -18.75 NaN -12.5 15075 WHEAT caleb_strategy_v3 [-1] 50.0 -425.0 -12.5 -12.5 -37.5 NaN -25.0 15076 FEEDCOW caleb_strategy_v3 [1] 500.0 1175.0 -25.0 112.5 62.5 NaN 87.5 15065 COCOA caleb_strategy_v3 [1] 10.0 365.0 -25.0 NaN NaN NaN NaN 15067 COCOA caleb_strategy_v3 [1] 10.0 335.0 -25.0 -170.0 -220.0 NaN -195.0 15056 NIKKEI caleb_strategy_v3 [1] 0.668641 8.358017 -1.671603 NaN NaN NaN NaN 15057 NIKKEI caleb_strategy_v3 [1] 0.668641 -58.506121 -1.671603 -20.059242 -23.402449 NaN -21.730845 15058 NIKKEI caleb_strategy_v3 [1] 0.668641 -76.89376 -3.343207 0.0 -6.686414 NaN -3.343207 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CHF 425.0 COCOA 700.0 COTTON2 -182.5 DAX -109.41435 FEEDCOW 1175.0 GAS_US_mini 162.5 MXP 302.5 NIKKEI -127.041864 NZD 145.0 ROBUSTA -400.0 WHEAT -425.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1666.043786 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CHF -6.25 COCOA -50.0 COTTON2 -2.5 DAX -2.72175 FEEDCOW -25.0 GAS_US_mini -62.5 MXP -2.5 NIKKEI -6.686414 NZD -5.0 ROBUSTA -20.0 WHEAT -12.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -195.658164 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CHF -6.25 COCOA -170.0 COTTON2 90.0 DAX -3.2661 FEEDCOW 112.5 GAS_US_mini 0.0 MXP 30.0 NIKKEI -20.059242 NZD -35.0 ROBUSTA 90.0 WHEAT -12.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 75.424658 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF -18.75 COCOA -220.0 COTTON2 85.0 DAX -8.7096 FEEDCOW 62.5 GAS_US_mini -125.0 MXP 25.0 NIKKEI -30.088862 NZD -45.0 ROBUSTA 50.0 WHEAT -37.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -262.548462 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF 0 COCOA 0 COTTON2 0 DAX 0 FEEDCOW 0 GAS_US_mini 0 MXP 0 NIKKEI 0 NZD 0 ROBUSTA 0 WHEAT 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 CHF -12.5 COCOA -195.0 COTTON2 87.5 DAX -5.98785 FEEDCOW 87.5 GAS_US_mini -62.5 MXP 27.5 NIKKEI -25.074052 NZD -40.0 ROBUSTA 70.0 WHEAT -25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -93.561902 ******************************************************************************** END OF REPORT 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