******************************************************************************** Trades report produced on 23/10/2024 21:38 from 22/10/2024 21:38 to 23/10/2024 21:38 ******************************************************************************** ============================================================================================================= Broker orders ============================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15144 CORN caleb_strategy_v3 [20251200] 2024-10-23 14:30:47 [-1] 440.250000 15139 DAX caleb_strategy_v3 [20241200] 2024-10-23 07:00:30 [1] 19493.000000 15140 DAX caleb_strategy_v3 [20241200] 2024-10-23 07:01:29 [1] 19513.000000 15145 FEEDCOW _ROLL_PSEUDO_STRATEGY [20250100, 20250300] 2024-10-23 14:31:08 [-1, 1] 1.200000 15147 FEEDCOW _ROLL_PSEUDO_STRATEGY [20250100, 20250300] 2024-10-23 14:32:27 [-1, 1] 1.200000 15148 FEEDCOW _ROLL_PSEUDO_STRATEGY [20250100, 20250300] 2024-10-23 14:37:46 [-1, 1] 1.200000 15142 GOLD_micro caleb_strategy_v3 [20241200] 2024-10-23 13:00:40 [-1] 2757.000000 15143 JPY caleb_strategy_v3 [20241200] 2024-10-23 14:00:46 [-1] 0.006581 15146 LIVECOW _ROLL_PSEUDO_STRATEGY [20241200, 20250200] 2024-10-23 14:31:14 [-1, 1] -0.450000 15141 SILVER-mini caleb_strategy_v3 [20250100] 2024-10-23 13:00:39 [1] 34.675000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15139 DAX caleb_strategy_v3 2024-10-22 00:00:00 2024-10-23 08:00:29.715 2024-10-23 07:00:30 115229.715 NaN 15140 DAX caleb_strategy_v3 2024-10-22 00:00:00 2024-10-23 08:01:28.966 2024-10-23 07:01:29 115288.966 NaN 15141 SILVER-mini caleb_strategy_v3 2024-10-22 00:00:00 2024-10-23 14:00:39.074 2024-10-23 13:00:39 136839.074 NaN 15142 GOLD_micro caleb_strategy_v3 2024-10-22 00:00:00 2024-10-23 14:00:40.287 2024-10-23 13:00:40 136840.287 NaN 15143 JPY caleb_strategy_v3 2024-10-22 00:00:00 2024-10-23 15:00:45.991 2024-10-23 14:00:46 140445.991 NaN 15144 CORN caleb_strategy_v3 2024-10-22 00:00:00 2024-10-23 15:30:47.188 2024-10-23 14:30:47 142247.188 NaN 15146 LIVECOW _ROLL_PSEUDO_STRATEGY 2024-10-22 19:00:00 2024-10-23 15:31:10.135 2024-10-23 14:31:14 73870.135 NaN 15145 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-10-22 19:00:00 2024-10-23 15:30:49.379 2024-10-23 14:31:08 73849.379 NaN 15147 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-10-22 19:00:00 2024-10-23 15:31:46.190 2024-10-23 14:32:27 73906.19 NaN 15148 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-10-22 19:00:00 2024-10-23 15:32:46.195 2024-10-23 14:37:46 73966.195 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 15139 DAX caleb_strategy_v3 [1] 19567.0 None 19533.0 19534.0 19532.0 19532.0 19493.0 34.0 -1.0 41.0 39.0 NaN 40.0 15140 DAX caleb_strategy_v3 [1] 19567.0 None 19533.0 19534.0 19532.0 19532.0 19513.0 34.0 -1.0 21.0 19.0 NaN 20.0 15141 SILVER-mini caleb_strategy_v3 [1] 35.1875 None 34.7125 34.7375 34.6875 34.6875 34.675 0.475 -0.025 0.0625 0.0125 NaN 0.0375 15142 GOLD_micro caleb_strategy_v3 [-1] 2759.2 None 2756.75 2756.7 2756.8 2756.8 2757.0 -2.45 -0.05 0.3 0.2 NaN 0.25 15143 JPY caleb_strategy_v3 [-1] 0.006668 None 0.006581 0.006581 0.006581 0.006581 0.006581 -0.000087 -0.0 0.0 -0.0 NaN 0.0 15144 CORN caleb_strategy_v3 [-1] 441.5 None 440.625 440.5 440.75 NaN 440.25 -0.875 -0.125 -0.25 NaN NaN -0.375 15146 LIVECOW _ROLL_PSEUDO_STRATEGY [-1, 1] -0.625 None -0.45 -0.475 -0.425 -0.425 -0.45 0.175 -0.025 0.025 -0.025 NaN 0.0 15145 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 1.2 None 1.2125 1.125 1.3 1.3 1.2 0.0125 -0.0875 0.075 -0.1 NaN -0.0125 15147 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 1.2 None 1.2125 1.15 1.275 1.275 1.2 0.0125 -0.0625 0.05 -0.075 NaN -0.0125 15148 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 1.2 None 1.1875 1.125 1.25 1.25 1.2 -0.0125 -0.0625 0.075 -0.05 NaN 0.0125 ======================================================================================================================================================================= 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 15139 DAX caleb_strategy_v3 [1] 2225.684209 152.762013 -4.493 184.213016 175.227015 NaN 179.720015 15140 DAX caleb_strategy_v3 [1] 2225.684209 152.762013 -4.493 94.353008 85.367007 NaN 89.860008 15141 SILVER-mini caleb_strategy_v3 [1] 10.03019 473.570275 -24.924751 62.311878 12.462376 NaN 37.387127 15142 GOLD_micro caleb_strategy_v3 [-1] 318.481015 -76.927662 -1.569952 9.419714 6.279809 NaN 7.849761 15143 JPY caleb_strategy_v3 [-1] 0.000782 -1116.003944 -3.197719 6.395438 -0.0 NaN 3.197719 15144 CORN caleb_strategy_v3 [-1] 66.595153 -131.390943 -18.770135 -37.540269 NaN NaN -56.310404 15146 LIVECOW _ROLL_PSEUDO_STRATEGY [-1, 1] 17.580072 99.544528 -14.220647 14.220647 -14.220647 NaN 0.0 15145 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 29.210472 4.279287 -29.955011 25.675724 -34.234298 NaN -4.279287 15147 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 29.210472 4.279287 -21.396436 17.117149 -25.675724 NaN -4.279287 15148 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 29.210472 -4.279287 -21.396436 25.675724 -17.117149 NaN 4.279287 =============================================================================================================================================================================== 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 15139 DAX caleb_strategy_v3 [1] 1.08035 36.7319 -1.08035 44.29435 42.13365 NaN 43.214 15140 DAX caleb_strategy_v3 [1] 1.08035 36.7319 -1.08035 22.68735 20.52665 NaN 21.607 15141 SILVER-mini caleb_strategy_v3 [1] 2500.0 1187.5 -62.5 156.25 31.25 NaN 93.75 15142 GOLD_micro caleb_strategy_v3 [-1] 10.0 -24.5 -0.5 3.0 2.0 NaN 2.5 15143 JPY caleb_strategy_v3 [-1] 12500000.0 -1090.625 -3.125 6.25 -0.0 NaN 3.125 15144 CORN caleb_strategy_v3 [-1] 50.0 -43.75 -6.25 -12.5 NaN NaN -18.75 15146 LIVECOW _ROLL_PSEUDO_STRATEGY [-1, 1] 400.0 70.0 -10.0 10.0 -10.0 NaN 0.0 15145 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 500.0 6.25 -43.75 37.5 -50.0 NaN -6.25 15147 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 500.0 6.25 -31.25 25.0 -37.5 NaN -6.25 15148 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 500.0 -6.25 -31.25 37.5 -25.0 NaN 6.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 6.25 LIVECOW 70.0 caleb_strategy_v3 CORN -43.75 DAX 73.4638 GOLD_micro -24.5 JPY -1090.625 SILVER-mini 1187.5 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 76.25 caleb_strategy_v3 102.0888 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -106.25 LIVECOW -10.0 caleb_strategy_v3 CORN -6.25 DAX -2.1607 GOLD_micro -0.5 JPY -3.125 SILVER-mini -62.5 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -116.25 caleb_strategy_v3 -74.5357 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 100.0 LIVECOW 10.0 caleb_strategy_v3 CORN -12.5 DAX 66.9817 GOLD_micro 3.0 JPY 6.25 SILVER-mini 156.25 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 110.0 caleb_strategy_v3 219.9817 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -112.5 LIVECOW -10.0 caleb_strategy_v3 CORN 0 DAX 62.6603 GOLD_micro 2.0 JPY -0.0 SILVER-mini 31.25 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -122.5 caleb_strategy_v3 95.9103 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 0 LIVECOW 0 caleb_strategy_v3 CORN 0 DAX 0 GOLD_micro 0 JPY 0 SILVER-mini 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 FEEDCOW -6.25 LIVECOW 0.0 caleb_strategy_v3 CORN -18.75 DAX 64.821 GOLD_micro 2.5 JPY 3.125 SILVER-mini 93.75 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -6.25 caleb_strategy_v3 145.446 ******************************************************************************** END OF REPORT ********************************************************************************