******************************************************************************** Trades report produced on 31/10/2024 21:37 from 30/10/2024 21:37 to 31/10/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15184 DAX caleb_strategy_v3 [20241200] 2024-10-31 19:45:03.937 [0] NaN 15185 DAX caleb_strategy_v3 [20241200] 2024-10-31 08:13:50.000 [-1] 19220.000000 15186 DAX caleb_strategy_v3 [20241200] 2024-10-31 08:13:54.000 [-1] 19220.000000 15187 GOLD_micro caleb_strategy_v3 [20241200] 2024-10-31 14:00:31.000 [1] 2765.300000 15189 JPY caleb_strategy_v3 [20241200] 2024-10-31 15:10:37.000 [-1] 0.006589 15191 LUMBER-new caleb_strategy_v3 [20250100] 2024-10-31 16:00:59.000 [1] 592.000000 15188 US30 caleb_strategy_v3 [20241200] 2024-10-31 15:10:25.000 [-1] 124.937500 15190 VIX caleb_strategy_v3 [20250100] 2024-10-31 15:10:38.000 [-1] 19.500000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15187 GOLD_micro caleb_strategy_v3 2024-10-30 2024-10-31 14:00:31.662 2024-10-31 14:00:31.000 136831.662 NaN 15188 US30 caleb_strategy_v3 2024-10-30 2024-10-31 15:00:37.562 2024-10-31 15:10:25.000 140437.562 587.438 15189 JPY caleb_strategy_v3 2024-10-30 2024-10-31 15:10:26.110 2024-10-31 15:10:37.000 141026.11 10.89 15190 VIX caleb_strategy_v3 2024-10-30 2024-10-31 15:10:38.694 2024-10-31 15:10:38.000 141038.694 NaN 15191 LUMBER-new caleb_strategy_v3 2024-10-30 2024-10-31 16:00:50.062 2024-10-31 16:00:59.000 144050.062 8.938 15184 DAX caleb_strategy_v3 2024-10-30 2024-10-31 08:00:29.342 2024-10-31 19:45:03.937 115229.342 42274.595 15185 DAX caleb_strategy_v3 2024-10-30 2024-10-31 08:10:32.899 2024-10-31 08:13:50.000 115832.899 197.101 15186 DAX caleb_strategy_v3 2024-10-30 2024-10-31 08:13:53.922 2024-10-31 08:13:54.000 116033.922 0.078 =================================================================================================================================================================================================================================== 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 15187 GOLD_micro caleb_strategy_v3 [1] 2799.2 None 2769.35 2769.4 2769.3 2769.3 2765.3 29.85 -0.05 4.1 4.0 NaN 4.05 15188 US30 caleb_strategy_v3 [-1] 125.25 None 125.078125 125.0625 125.09375 125.09375 124.9375 -0.171875 -0.015625 -0.125 -0.15625 NaN -0.140625 15189 JPY caleb_strategy_v3 [-1] 0.006562 None 0.006588 0.006588 0.006588 0.006588 0.006589 0.000026 -0.0 0.000001 0.000001 NaN 0.000001 15190 VIX caleb_strategy_v3 [-1] 18.8 None 19.475 19.45 19.5 19.5 19.5 0.675 -0.025 0.05 -0.0 NaN 0.025 15191 LUMBER-new caleb_strategy_v3 [1] 581.5 None 591.25 591.5 591.0 591.0 592.0 -9.75 -0.25 -0.5 -1.0 NaN -0.75 15184 DAX caleb_strategy_v3 [-1] 19358.0 None 19252.5 19251.0 19254.0 19254.0 NaN -105.5 -1.5 NaN NaN NaN NaN 15185 DAX caleb_strategy_v3 [-1] 19358.0 None 19229.0 19228.0 19230.0 19230.0 19220.0 -129.0 -1.0 -8.0 -10.0 NaN -9.0 15186 DAX caleb_strategy_v3 [-1] 19358.0 None 19221.0 19220.0 19222.0 19222.0 19220.0 -137.0 -1.0 -0.0 -2.0 NaN -1.0 =============================================================================================================================================================== 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 15187 GOLD_micro caleb_strategy_v3 [1] 334.029901 893.632574 -1.496872 122.743503 119.749759 NaN 121.246631 15188 US30 caleb_strategy_v3 [-1] 16.298372 -105.455317 -9.586847 -76.694776 -95.86847 NaN -86.281623 15189 JPY caleb_strategy_v3 [-1] 0.000747 351.232549 -3.345072 13.380288 6.690144 NaN 10.035216 15190 VIX caleb_strategy_v3 [-1] 8.545273 789.91039 -29.25594 58.511881 -0.0 NaN 29.25594 15191 LUMBER-new caleb_strategy_v3 [1] 107.801338 -904.441468 -23.190807 -46.381614 -92.763227 NaN -69.572421 15184 DAX caleb_strategy_v3 [-1] 2184.138199 -483.028043 -6.867697 NaN NaN NaN NaN 15185 DAX caleb_strategy_v3 [-1] 2184.138199 -590.621967 -4.578465 -36.627719 -45.784649 NaN -41.206184 15186 DAX caleb_strategy_v3 [-1] 2184.138199 -627.249686 -4.578465 -0.0 -9.15693 NaN -4.578465 ========================================================================================================================================================================= 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 15187 GOLD_micro caleb_strategy_v3 [1] 10.0 298.5 -0.5 41.0 40.0 NaN 40.5 15188 US30 caleb_strategy_v3 [-1] 1000.0 -171.875 -15.625 -125.0 -156.25 NaN -140.625 15189 JPY caleb_strategy_v3 [-1] 12500000.0 328.125 -3.125 12.5 6.25 NaN 9.375 15190 VIX caleb_strategy_v3 [-1] 1000.0 675.0 -25.0 50.0 -0.0 NaN 25.0 15191 LUMBER-new caleb_strategy_v3 [1] 27.5 -268.125 -6.875 -13.75 -27.5 NaN -20.625 15184 DAX caleb_strategy_v3 [-1] 1.08535 -114.504425 -1.628025 NaN NaN NaN NaN 15185 DAX caleb_strategy_v3 [-1] 1.08535 -140.01015 -1.08535 -8.6828 -10.8535 NaN -9.76815 15186 DAX caleb_strategy_v3 [-1] 1.08535 -148.69295 -1.08535 -0.0 -2.1707 NaN -1.08535 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DAX -403.207525 GOLD_micro 298.5 JPY 328.125 LUMBER-new -268.125 US30 -171.875 VIX 675.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 458.417475 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DAX -3.798725 GOLD_micro -0.5 JPY -3.125 LUMBER-new -6.875 US30 -15.625 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -54.923725 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DAX -8.6828 GOLD_micro 41.0 JPY 12.5 LUMBER-new -13.75 US30 -125.0 VIX 50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -43.9328 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX -13.0242 GOLD_micro 40.0 JPY 6.25 LUMBER-new -27.5 US30 -156.25 VIX -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -150.5242 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX 0 GOLD_micro 0 JPY 0 LUMBER-new 0 US30 0 VIX 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 DAX -10.8535 GOLD_micro 40.5 JPY 9.375 LUMBER-new -20.625 US30 -140.625 VIX 25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -97.2285 ******************************************************************************** END OF REPORT ********************************************************************************