******************************************************************************** Trades report produced on 24/10/2024 21:38 from 23/10/2024 21:38 to 24/10/2024 21:38 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15152 BTP caleb_strategy_v3 [20241200] 2024-10-24 07:01:01.000 [-1] 121.13000 15163 CHF caleb_strategy_v3 [20241200] 2024-10-24 14:06:07.000 [-1] 1.16075 15154 COPPER caleb_strategy_v3 [20241200] 2024-10-24 13:00:35.000 [-1] 4.36100 15153 DAX caleb_strategy_v3 [20241200] 2024-10-24 07:01:56.000 [-1] 19531.00000 15151 DAX caleb_strategy_v3 [20241200] 2024-10-24 07:00:59.000 [-1] 19531.00000 15162 EUR caleb_strategy_v3 [20241200] 2024-10-24 14:06:05.000 [-1] 1.08285 15165 GBP caleb_strategy_v3 [20241200] 2024-10-24 14:07:59.000 [-1] 1.29820 15157 GOLD_micro caleb_strategy_v3 [20241200] 2024-10-24 13:00:53.000 [-1] 2752.50000 15158 GOLD_micro caleb_strategy_v3 [20241200] 2024-10-24 13:01:10.000 [-1] 2753.00000 15167 LEANHOG caleb_strategy_v3 [20250200] 2024-10-24 19:45:17.561 [0] NaN 15168 LEANHOG caleb_strategy_v3 [20250200] 2024-10-24 19:45:17.639 [0] NaN 15169 LEANHOG caleb_strategy_v3 [20250200] 2024-10-24 14:51:08.000 [1] 83.52500 15164 MILK _ROLL_PSEUDO_STRATEGY [20241200, 20250100] 2024-10-24 14:07:38.000 [-1, 1] 0.16000 15161 MXP caleb_strategy_v3 [20241200] 2024-10-24 14:06:04.000 [-1] 0.04987 15159 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-10-24 14:06:01.000 [1] 20338.75000 15150 NIKKEI caleb_strategy_v3 [20241200] 2024-10-24 02:11:19.000 [-1] 38195.00000 15149 NIKKEI caleb_strategy_v3 [20241200] 2024-10-24 02:10:27.000 [-1] 38190.00000 15155 PLAT caleb_strategy_v3 [20250100] 2024-10-24 13:00:50.000 [1] 1045.20000 15156 SUGAR11 caleb_strategy_v3 [20250500] 2024-10-24 13:00:51.000 [-1] 20.66000 15160 US30 caleb_strategy_v3 [20241200] 2024-10-24 14:06:02.000 [-1] 125.12500 15166 US30 caleb_strategy_v3 [20241200] 2024-10-24 14:08:00.000 [-1] 125.12500 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15149 NIKKEI caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 03:01:20.739 2024-10-24 02:10:27.000 97280.739 NaN 15150 NIKKEI caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 03:10:30.955 2024-10-24 02:11:19.000 97830.955 NaN 15152 BTP caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 08:01:00.850 2024-10-24 07:01:01.000 115260.85 NaN 15153 DAX caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 08:01:56.027 2024-10-24 07:01:56.000 115316.027 NaN 15151 DAX caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 08:00:56.587 2024-10-24 07:00:59.000 115256.587 NaN 15154 COPPER caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 14:00:11.423 2024-10-24 13:00:35.000 136811.423 NaN 15155 PLAT caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 14:00:36.454 2024-10-24 13:00:50.000 136836.454 NaN 15156 SUGAR11 caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 14:00:51.695 2024-10-24 13:00:51.000 136851.695 NaN 15157 GOLD_micro caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 14:00:53.187 2024-10-24 13:00:53.000 136853.187 NaN 15158 GOLD_micro caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 14:01:10.639 2024-10-24 13:01:10.000 136870.639 NaN 15159 NASDAQ_micro caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 15:00:25.087 2024-10-24 14:06:01.000 140425.087 NaN 15161 MXP caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 15:06:04.170 2024-10-24 14:06:04.000 140764.17 NaN 15162 EUR caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 15:06:05.699 2024-10-24 14:06:05.000 140765.699 NaN 15163 CHF caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 15:06:07.199 2024-10-24 14:06:07.000 140767.199 NaN 15164 MILK _ROLL_PSEUDO_STRATEGY 2024-10-23 19:00:00 2024-10-24 15:06:09.887 2024-10-24 14:07:38.000 72369.887 NaN 15165 GBP caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 15:07:59.470 2024-10-24 14:07:59.000 140879.47 NaN 15160 US30 caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 15:06:02.574 2024-10-24 14:06:02.000 140762.574 NaN 15166 US30 caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 15:08:00.011 2024-10-24 14:08:00.000 140880.011 NaN 15168 LEANHOG caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 15:40:08.095 2024-10-24 19:45:17.639 142808.095 14709.544 15169 LEANHOG caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 15:50:11.907 2024-10-24 14:51:08.000 143411.907 NaN 15167 LEANHOG caleb_strategy_v3 2024-10-23 00:00:00 2024-10-24 15:30:04.463 2024-10-24 19:45:17.561 142204.463 15313.098 ========================================================================================================================================================================================================================================== 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 15149 NIKKEI caleb_strategy_v3 [-1] 37740.0 None 38242.5 38240.0 38245.0 38245.0 38190.0 502.5 -2.5 -50.0 -55.0 NaN -52.5 15150 NIKKEI caleb_strategy_v3 [-1] 37740.0 None 38192.5 38190.0 38195.0 38195.0 38195.0 452.5 -2.5 5.0 -0.0 NaN 2.5 15152 BTP caleb_strategy_v3 [-1] 120.83 None 121.095 121.09 121.1 121.1 121.13 0.265 -0.005 0.04 0.03 NaN 0.035 15153 DAX caleb_strategy_v3 [-1] 19464.0 None 19530.0 19529.0 19531.0 19531.0 19531.0 66.0 -1.0 2.0 -0.0 NaN 1.0 15151 DAX caleb_strategy_v3 [-1] 19464.0 None 19530.5 19530.0 19531.0 19531.0 19531.0 66.5 -0.5 1.0 -0.0 NaN 0.5 15154 COPPER caleb_strategy_v3 [-1] 4.3325 None 4.36125 4.361 4.3615 4.3615 4.361 0.02875 -0.00025 -0.0 -0.0005 NaN -0.00025 15155 PLAT caleb_strategy_v3 [1] 1029.1 None 1045.35 1045.5 1045.2 1045.2 1045.2 -16.25 -0.15 0.3 0.0 NaN 0.15 15156 SUGAR11 caleb_strategy_v3 [-1] 20.61 None 20.635 20.63 20.64 20.64 20.66 0.025 -0.005 0.03 0.02 NaN 0.025 15157 GOLD_micro caleb_strategy_v3 [-1] 2727.9 None 2752.1 2752.0 2752.2 2752.2 2752.5 24.2 -0.1 0.5 0.3 NaN 0.4 15158 GOLD_micro caleb_strategy_v3 [-1] 2727.9 None 2752.1 2752.0 2752.2 2752.2 2753.0 24.2 -0.1 1.0 0.8 NaN 0.9 15159 NASDAQ_micro caleb_strategy_v3 [1] 20173.5 None 20306.625 20306.75 20306.5 20306.5 20338.75 -133.125 -0.125 -32.0 -32.25 NaN -32.125 15161 MXP caleb_strategy_v3 [-1] 0.0499 None 0.049865 0.04986 0.04987 0.04987 0.04987 -0.000035 -0.000005 0.00001 -0.0 NaN 0.000005 15162 EUR caleb_strategy_v3 [-1] 1.0806 None 1.08235 1.0823 1.0824 1.0824 1.08285 0.00175 -0.00005 0.00055 0.00045 NaN 0.0005 15163 CHF caleb_strategy_v3 [-1] 1.1604 None 1.16065 1.1606 1.1607 1.1607 1.16075 0.00025 -0.00005 0.00015 0.00005 NaN 0.0001 15164 MILK _ROLL_PSEUDO_STRATEGY [-1, 1] 0.19 None 0.175 0.11 0.24 0.24 0.16 -0.015 -0.065 0.05 -0.08 NaN -0.015 15165 GBP caleb_strategy_v3 [-1] 1.2922 None 1.29775 1.2977 1.2978 1.2978 1.2982 0.00555 -0.00005 0.0005 0.0004 NaN 0.00045 15160 US30 caleb_strategy_v3 [-1] 124.875 None 125.015625 125.0 125.03125 125.03125 125.125 0.140625 -0.015625 0.125 0.09375 NaN 0.109375 15166 US30 caleb_strategy_v3 [-1] 124.875 None 125.015625 125.0 125.03125 125.03125 125.125 0.140625 -0.015625 0.125 0.09375 NaN 0.109375 15168 LEANHOG caleb_strategy_v3 [1] 83.225 None 83.2875 83.3 83.275 83.275 NaN -0.0625 -0.0125 NaN NaN NaN NaN 15169 LEANHOG caleb_strategy_v3 [1] 83.225 None 83.4625 83.475 83.45 83.45 83.525 -0.2375 -0.0125 -0.05 -0.075 NaN -0.0625 15167 LEANHOG caleb_strategy_v3 [1] 83.225 None 83.2875 83.3 83.275 83.275 NaN -0.0625 -0.0125 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 15149 NIKKEI caleb_strategy_v3 [-1] 9325.268447 538.858482 -2.680888 -53.617759 -58.979535 NaN -56.298647 15150 NIKKEI caleb_strategy_v3 [-1] 9325.268447 485.240723 -2.680888 5.361776 -0.0 NaN 2.680888 15152 BTP caleb_strategy_v3 [-1] 8.844989 299.604661 -5.652918 45.223345 33.917509 NaN 39.570427 15153 DAX caleb_strategy_v3 [-1] 2170.495172 304.078078 -4.607244 9.214487 -0.0 NaN 4.607244 15151 DAX caleb_strategy_v3 [-1] 2170.495172 306.3817 -2.303622 4.607244 -0.0 NaN 2.303622 15154 COPPER caleb_strategy_v3 [-1] 0.954053 301.34587 -2.620399 -0.0 -5.240798 NaN -2.620399 15155 PLAT caleb_strategy_v3 [1] 244.972571 -663.339569 -6.123134 12.246269 0.0 NaN 6.123134 15156 SUGAR11 caleb_strategy_v3 [-1] 5.489189 45.544068 -9.108814 54.652881 36.435254 NaN 45.544068 15157 GOLD_micro caleb_strategy_v3 [-1] 313.726532 771.372438 -3.187489 15.937447 9.562468 NaN 12.749958 15158 GOLD_micro caleb_strategy_v3 [-1] 313.726532 771.372438 -3.187489 31.874894 25.499915 NaN 28.687405 15159 NASDAQ_micro caleb_strategy_v3 [1] 3005.226695 -442.978229 -0.415942 -106.481152 -107.313036 NaN -106.897094 15161 MXP caleb_strategy_v3 [-1] 0.006305 -55.513154 -7.930451 15.860901 -0.0 NaN 7.930451 15162 EUR caleb_strategy_v3 [-1] 0.05942 294.515965 -8.414742 92.562161 75.732677 NaN 84.147419 15163 CHF caleb_strategy_v3 [-1] 0.076367 32.73682 -6.547364 19.642092 6.547364 NaN 13.094728 15164 MILK _ROLL_PSEUDO_STRATEGY [-1, 1] 4.583425 -32.726619 -141.81535 109.088731 -174.541969 NaN -32.726619 15165 GBP caleb_strategy_v3 [-1] 0.088452 627.458237 -5.652777 56.527769 45.222215 NaN 50.874992 15160 US30 caleb_strategy_v3 [-1] 17.588322 79.953619 -8.883735 71.069883 53.302412 NaN 62.186148 15166 US30 caleb_strategy_v3 [-1] 17.588322 79.953619 -8.883735 71.069883 53.302412 NaN 62.186148 15168 LEANHOG caleb_strategy_v3 [1] 15.584139 -40.104879 -8.020976 NaN NaN NaN NaN 15169 LEANHOG caleb_strategy_v3 [1] 15.584139 -152.39854 -8.020976 -32.083903 -48.125855 NaN -40.104879 15167 LEANHOG caleb_strategy_v3 [1] 15.584139 -40.104879 -8.020976 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 15149 NIKKEI caleb_strategy_v3 [-1] 0.656424 329.853191 -1.641061 -32.821213 -36.103334 NaN -34.462274 15150 NIKKEI caleb_strategy_v3 [-1] 0.656424 297.031978 -1.641061 3.282121 -0.0 NaN 1.641061 15152 BTP caleb_strategy_v3 [-1] 1078.85 285.89525 -5.39425 43.154 32.3655 NaN 37.75975 15153 DAX caleb_strategy_v3 [-1] 1.07885 71.2041 -1.07885 2.1577 -0.0 NaN 1.07885 15151 DAX caleb_strategy_v3 [-1] 1.07885 71.743525 -0.539425 1.07885 -0.0 NaN 0.539425 15154 COPPER caleb_strategy_v3 [-1] 25000.0 718.75 -6.25 -0.0 -12.5 NaN -6.25 15155 PLAT caleb_strategy_v3 [1] 50.0 -812.5 -7.5 15.0 0.0 NaN 7.5 15156 SUGAR11 caleb_strategy_v3 [-1] 1120.0 28.0 -5.6 33.6 22.4 NaN 28.0 15157 GOLD_micro caleb_strategy_v3 [-1] 10.0 242.0 -1.0 5.0 3.0 NaN 4.0 15158 GOLD_micro caleb_strategy_v3 [-1] 10.0 242.0 -1.0 10.0 8.0 NaN 9.0 15159 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -266.25 -0.25 -64.0 -64.5 NaN -64.25 15161 MXP caleb_strategy_v3 [-1] 500000.0 -17.5 -2.5 5.0 -0.0 NaN 2.5 15162 EUR caleb_strategy_v3 [-1] 125000.0 218.75 -6.25 68.75 56.25 NaN 62.5 15163 CHF caleb_strategy_v3 [-1] 125000.0 31.25 -6.25 18.75 6.25 NaN 12.5 15164 MILK _ROLL_PSEUDO_STRATEGY [-1, 1] 2000.0 -30.0 -130.0 100.0 -160.0 NaN -30.0 15165 GBP caleb_strategy_v3 [-1] 62500.0 346.875 -3.125 31.25 25.0 NaN 28.125 15160 US30 caleb_strategy_v3 [-1] 1000.0 140.625 -15.625 125.0 93.75 NaN 109.375 15166 US30 caleb_strategy_v3 [-1] 1000.0 140.625 -15.625 125.0 93.75 NaN 109.375 15168 LEANHOG caleb_strategy_v3 [1] 400.0 -25.0 -5.0 NaN NaN NaN NaN 15169 LEANHOG caleb_strategy_v3 [1] 400.0 -95.0 -5.0 -20.0 -30.0 NaN -25.0 15167 LEANHOG caleb_strategy_v3 [1] 400.0 -25.0 -5.0 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY MILK -30.0 caleb_strategy_v3 BTP 285.89525 CHF 31.25 COPPER 718.75 DAX 142.947625 EUR 218.75 GBP 346.875 GOLD_micro 484.0 LEANHOG -145.0 MXP -17.5 NASDAQ_micro -266.25 NIKKEI 626.885168 PLAT -812.5 SUGAR11 28.0 US30 281.25 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -30.0 caleb_strategy_v3 1923.353043 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY MILK -130.0 caleb_strategy_v3 BTP -5.39425 CHF -6.25 COPPER -6.25 DAX -1.618275 EUR -6.25 GBP -3.125 GOLD_micro -2.0 LEANHOG -15.0 MXP -2.5 NASDAQ_micro -0.25 NIKKEI -3.282121 PLAT -7.5 SUGAR11 -5.6 US30 -31.25 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -130.0 caleb_strategy_v3 -96.269646 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY MILK 100.0 caleb_strategy_v3 BTP 43.154 CHF 18.75 COPPER -0.0 DAX 3.23655 EUR 68.75 GBP 31.25 GOLD_micro 15.0 LEANHOG -20.0 MXP 5.0 NASDAQ_micro -64.0 NIKKEI -29.539092 PLAT 15.0 SUGAR11 33.6 US30 250.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 100.0 caleb_strategy_v3 370.201458 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY MILK -160.0 caleb_strategy_v3 BTP 32.3655 CHF 6.25 COPPER -12.5 DAX -0.0 EUR 56.25 GBP 25.0 GOLD_micro 11.0 LEANHOG -30.0 MXP -0.0 NASDAQ_micro -64.5 NIKKEI -36.103334 PLAT 0.0 SUGAR11 22.4 US30 187.5 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -160.0 caleb_strategy_v3 197.662166 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY MILK 0 caleb_strategy_v3 BTP 0 CHF 0 COPPER 0 DAX 0 EUR 0 GBP 0 GOLD_micro 0 LEANHOG 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 PLAT 0 SUGAR11 0 US30 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 MILK -30.0 caleb_strategy_v3 BTP 37.75975 CHF 12.5 COPPER -6.25 DAX 1.618275 EUR 62.5 GBP 28.125 GOLD_micro 13.0 LEANHOG -25.0 MXP 2.5 NASDAQ_micro -64.25 NIKKEI -32.821213 PLAT 7.5 SUGAR11 28.0 US30 218.75 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -30.0 caleb_strategy_v3 283.931812 ******************************************************************************** END OF REPORT ********************************************************************************