******************************************************************************** Trades report produced on 01/11/2024 21:37 from 31/10/2024 21:37 to 01/11/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15194 BUXL caleb_strategy_v3 [20241200] 2024-11-01 08:09:15.000 [-1] 132.120000 15202 COPPER caleb_strategy_v3 [20241200] 2024-11-01 14:17:34.000 [-1] 4.367500 15199 CRUDE_W caleb_strategy_v3 [20251200] 2024-11-01 14:01:16.000 [-1] 68.100000 15193 DAX caleb_strategy_v3 [20241200] 2024-11-01 08:00:42.000 [-1] 19174.000000 15196 DAX caleb_strategy_v3 [20241200] 2024-11-01 08:09:19.000 [-1] 19205.000000 15197 DAX caleb_strategy_v3 [20241200] 2024-11-01 08:10:19.000 [-1] 19219.000000 15198 DAX caleb_strategy_v3 [20241200] 2024-11-01 08:11:19.000 [-1] 19218.000000 15210 FEEDCOW caleb_strategy_v3 [20250300] 2024-11-01 15:30:29.000 [-1] 241.425000 15200 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-01 14:11:04.000 [-1] 2.950000 15204 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-01 14:18:40.000 [-1] 2.950000 15203 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-01 14:17:53.000 [-1] 2.945000 15192 JGB-SGX-mini caleb_strategy_v3 [20241200] 2024-11-01 03:06:16.000 [1] 144.000000 15208 JPY caleb_strategy_v3 [20241200] 2024-11-01 15:11:19.000 [-1] 0.006573 15212 LUMBER-new caleb_strategy_v3 [20250100] 2024-11-01 16:10:43.000 [1] 586.000000 15205 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-11-01 15:00:56.000 [-1] 20237.500000 15195 OAT caleb_strategy_v3 [20241200] 2024-11-01 08:09:16.000 [-1] 124.570000 15201 PLAT caleb_strategy_v3 [20250100] 2024-11-01 14:12:50.000 [-1] 1010.100000 15207 SP500_micro caleb_strategy_v3 [20241200] 2024-11-01 15:10:58.000 [1] 5791.500000 15209 US5 caleb_strategy_v3 [20241200] 2024-11-01 15:11:22.000 [-1] 107.117188 15206 US5 caleb_strategy_v3 [20241200] 2024-11-01 19:45:06.161 [0] NaN 15211 WHEAT caleb_strategy_v3 [20251200] 2024-11-01 15:31:49.000 [-1] 633.500000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15192 JGB-SGX-mini caleb_strategy_v3 2024-10-31 2024-11-01 03:01:15.922 2024-11-01 03:06:16.000 97275.922 300.078 15194 BUXL caleb_strategy_v3 2024-10-31 2024-11-01 08:00:44.050 2024-11-01 08:09:15.000 115244.05 510.95 15195 OAT caleb_strategy_v3 2024-10-31 2024-11-01 08:09:16.282 2024-11-01 08:09:16.000 115756.282 NaN 15193 DAX caleb_strategy_v3 2024-10-31 2024-11-01 08:00:42.546 2024-11-01 08:00:42.000 115242.546 NaN 15196 DAX caleb_strategy_v3 2024-10-31 2024-11-01 08:09:19.789 2024-11-01 08:09:19.000 115759.789 NaN 15197 DAX caleb_strategy_v3 2024-10-31 2024-11-01 08:10:19.840 2024-11-01 08:10:19.000 115819.84 NaN 15198 DAX caleb_strategy_v3 2024-10-31 2024-11-01 08:11:19.850 2024-11-01 08:11:19.000 115879.85 NaN 15199 CRUDE_W caleb_strategy_v3 2024-10-31 2024-11-01 14:00:47.942 2024-11-01 14:01:16.000 136847.942 28.058 15201 PLAT caleb_strategy_v3 2024-10-31 2024-11-01 14:11:05.207 2024-11-01 14:12:50.000 137465.207 104.793 15202 COPPER caleb_strategy_v3 2024-10-31 2024-11-01 14:12:51.755 2024-11-01 14:17:34.000 137571.755 282.245 15200 GAS_US_mini caleb_strategy_v3 2024-10-31 2024-11-01 14:01:17.446 2024-11-01 14:11:04.000 136877.446 586.554 15203 GAS_US_mini caleb_strategy_v3 2024-10-31 2024-11-01 14:17:37.468 2024-11-01 14:17:53.000 137857.468 15.532 15204 GAS_US_mini caleb_strategy_v3 2024-10-31 2024-11-01 14:18:37.697 2024-11-01 14:18:40.000 137917.697 2.303 15205 NASDAQ_micro caleb_strategy_v3 2024-10-31 2024-11-01 15:00:56.510 2024-11-01 15:00:56.000 140456.51 NaN 15207 SP500_micro caleb_strategy_v3 2024-10-31 2024-11-01 15:10:58.374 2024-11-01 15:10:58.000 141058.374 NaN 15208 JPY caleb_strategy_v3 2024-10-31 2024-11-01 15:10:59.242 2024-11-01 15:11:19.000 141059.242 19.758 15210 FEEDCOW caleb_strategy_v3 2024-10-31 2024-11-01 15:30:28.540 2024-11-01 15:30:29.000 142228.54 0.46 15211 WHEAT caleb_strategy_v3 2024-10-31 2024-11-01 15:30:30.903 2024-11-01 15:31:49.000 142230.903 78.097 15212 LUMBER-new caleb_strategy_v3 2024-10-31 2024-11-01 16:00:58.423 2024-11-01 16:10:43.000 144058.423 584.577 15209 US5 caleb_strategy_v3 2024-10-31 2024-11-01 15:11:22.550 2024-11-01 15:11:22.000 141082.55 NaN 15206 US5 caleb_strategy_v3 2024-10-31 2024-11-01 15:00:57.542 2024-11-01 19:45:06.161 140457.542 17048.619 ==================================================================================================================================================================================================================================== 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 15192 JGB-SGX-mini caleb_strategy_v3 [1] 144.0 None 143.98 144.0 143.96 143.96 144.0 0.02 -0.02 0.0 -0.04 NaN -0.02 15194 BUXL caleb_strategy_v3 [-1] 132.14 None 132.13 132.12 132.14 132.14 132.12 -0.01 -0.01 -0.0 -0.02 NaN -0.01 15195 OAT caleb_strategy_v3 [-1] 124.55 None 124.515 124.51 124.52 124.52 124.57 -0.035 -0.005 0.06 0.05 NaN 0.055 15193 DAX caleb_strategy_v3 [-1] 19184.0 None 19169.0 19168.0 19170.0 19170.0 19174.0 -15.0 -1.0 6.0 4.0 NaN 5.0 15196 DAX caleb_strategy_v3 [-1] 19184.0 None 19169.0 19168.0 19170.0 19170.0 19205.0 -15.0 -1.0 37.0 35.0 NaN 36.0 15197 DAX caleb_strategy_v3 [-1] 19184.0 None 19169.0 19168.0 19170.0 19170.0 19219.0 -15.0 -1.0 51.0 49.0 NaN 50.0 15198 DAX caleb_strategy_v3 [-1] 19184.0 None 19169.0 19168.0 19170.0 19170.0 19218.0 -15.0 -1.0 50.0 48.0 NaN 49.0 15199 CRUDE_W caleb_strategy_v3 [-1] 67.48 None 68.2 68.19 68.21 68.21 68.1 0.72 -0.01 -0.09 -0.11 NaN -0.1 15201 PLAT caleb_strategy_v3 [-1] 1001.6 None 1012.2 1012.0 1012.4 1012.4 1010.1 10.6 -0.2 -1.9 -2.3 NaN -2.1 15202 COPPER caleb_strategy_v3 [-1] 4.3605 None 4.37875 4.3785 4.379 4.379 4.3675 0.01825 -0.00025 -0.011 -0.0115 NaN -0.01125 15200 GAS_US_mini caleb_strategy_v3 [-1] 2.97 None 2.9625 2.96 2.965 2.965 2.95 -0.0075 -0.0025 -0.01 -0.015 NaN -0.0125 15203 GAS_US_mini caleb_strategy_v3 [-1] 2.97 None 2.9525 2.95 2.955 2.955 2.945 -0.0175 -0.0025 -0.005 -0.01 NaN -0.0075 15204 GAS_US_mini caleb_strategy_v3 [-1] 2.97 None 2.9475 2.945 2.95 2.95 2.95 -0.0225 -0.0025 0.005 -0.0 NaN 0.0025 15205 NASDAQ_micro caleb_strategy_v3 [-1] 20012.75 None 20181.25 20181.0 20181.5 20181.5 20237.5 168.5 -0.25 56.5 56.0 NaN 56.25 15207 SP500_micro caleb_strategy_v3 [1] 5751.75 None 5791.625 5791.75 5791.5 5791.5 5791.5 -39.875 -0.125 0.25 0.0 NaN 0.125 15208 JPY caleb_strategy_v3 [-1] 0.006617 None 0.006575 0.006574 0.006575 0.006575 0.006573 -0.000042 -0.000001 -0.000001 -0.000002 NaN -0.000002 15210 FEEDCOW caleb_strategy_v3 [-1] 239.325 None 240.8875 240.85 240.925 240.925 241.425 1.5625 -0.0375 0.575 0.5 NaN 0.5375 15211 WHEAT caleb_strategy_v3 [-1] 634.5 None 634.25 634.0 634.5 634.5 633.5 -0.25 -0.25 -0.5 -1.0 NaN -0.75 15212 LUMBER-new caleb_strategy_v3 [1] 583.5 None 585.25 585.5 585.0 585.0 586.0 -1.75 -0.25 -0.5 -1.0 NaN -0.75 15209 US5 caleb_strategy_v3 [-1] 107.257812 None 107.144531 107.140625 107.148438 107.148438 107.117188 -0.113281 -0.003906 -0.023437 -0.03125 NaN -0.027343 15206 US5 caleb_strategy_v3 [-1] 107.257812 None 107.207031 107.203125 107.210938 107.210938 NaN -0.050781 -0.003906 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 15192 JGB-SGX-mini caleb_strategy_v3 [1] 3.711422 53.887703 -53.887703 0.0 -107.775406 NaN -53.887703 15194 BUXL caleb_strategy_v3 [-1] 20.198365 -4.950896 -4.950896 -0.0 -9.901792 NaN -4.950896 15195 OAT caleb_strategy_v3 [-1] 8.38701 -41.731199 -5.9616 71.539198 59.615998 NaN 65.577598 15193 DAX caleb_strategy_v3 [-1] 2226.958824 -67.356432 -4.490429 26.942573 17.961715 NaN 22.452144 15196 DAX caleb_strategy_v3 [-1] 2226.958824 -67.356432 -4.490429 166.145865 157.165007 NaN 161.655436 15197 DAX caleb_strategy_v3 [-1] 2226.958824 -67.356432 -4.490429 229.011868 220.03101 NaN 224.521439 15198 DAX caleb_strategy_v3 [-1] 2226.958824 -67.356432 -4.490429 224.521439 215.540582 NaN 220.03101 15199 CRUDE_W caleb_strategy_v3 [-1] 19.363868 371.82653 -5.164257 -46.478316 -56.806831 NaN -51.642574 15201 PLAT caleb_strategy_v3 [-1] 264.521999 400.722815 -7.560808 -71.827674 -86.94929 NaN -79.388482 15202 COPPER caleb_strategy_v3 [-1] 0.842834 216.531261 -2.966182 -130.511993 -136.444356 NaN -133.478175 15200 GAS_US_mini caleb_strategy_v3 [-1] 1.36366 -54.999034 -18.333011 -73.332046 -109.998068 NaN -91.665057 15203 GAS_US_mini caleb_strategy_v3 [-1] 1.36366 -128.33108 -18.333011 -36.666023 -73.332046 NaN -54.999034 15204 GAS_US_mini caleb_strategy_v3 [-1] 1.36366 -164.997103 -18.333011 36.666023 -0.0 NaN 18.333011 15205 NASDAQ_micro caleb_strategy_v3 [-1] 3197.765162 526.930501 -0.781796 176.685895 175.122303 NaN 175.904099 15207 SP500_micro caleb_strategy_v3 [1] 653.273183 -610.387829 -1.913441 3.826883 0.0 NaN 1.913441 15208 JPY caleb_strategy_v3 [-1] 0.000738 -575.984211 -6.776285 -13.55257 -27.105139 NaN -20.328855 15210 FEEDCOW caleb_strategy_v3 [-1] 29.72816 525.595927 -12.614302 193.419301 168.190697 NaN 180.804999 15211 WHEAT caleb_strategy_v3 [-1] 131.832089 -18.963517 -18.963517 -37.927033 -75.854066 NaN -56.89055 15212 LUMBER-new caleb_strategy_v3 [1] 108.254937 -161.655445 -23.093635 -46.18727 -92.37454 NaN -69.280905 15209 US5 caleb_strategy_v3 [-1] 4.115852 -275.231608 -9.490745 -56.943256 -75.924746 NaN -66.434001 15206 US5 caleb_strategy_v3 [-1] 4.115852 -123.379686 -9.490745 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 15192 JGB-SGX-mini caleb_strategy_v3 [1] 656.004408 13.120088 -13.120088 0.0 -26.240176 NaN -13.120088 15194 BUXL caleb_strategy_v3 [-1] 1087.55 -10.8755 -10.8755 -0.0 -21.751 NaN -10.8755 15195 OAT caleb_strategy_v3 [-1] 1087.55 -38.06425 -5.43775 65.253 54.3775 NaN 59.81525 15193 DAX caleb_strategy_v3 [-1] 1.08755 -16.31325 -1.08755 6.5253 4.3502 NaN 5.43775 15196 DAX caleb_strategy_v3 [-1] 1.08755 -16.31325 -1.08755 40.23935 38.06425 NaN 39.1518 15197 DAX caleb_strategy_v3 [-1] 1.08755 -16.31325 -1.08755 55.46505 53.28995 NaN 54.3775 15198 DAX caleb_strategy_v3 [-1] 1.08755 -16.31325 -1.08755 54.3775 52.2024 NaN 53.28995 15199 CRUDE_W caleb_strategy_v3 [-1] 1000.0 720.0 -10.0 -90.0 -110.0 NaN -100.0 15201 PLAT caleb_strategy_v3 [-1] 50.0 530.0 -10.0 -95.0 -115.0 NaN -105.0 15202 COPPER caleb_strategy_v3 [-1] 25000.0 456.25 -6.25 -275.0 -287.5 NaN -281.25 15200 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -18.75 -6.25 -25.0 -37.5 NaN -31.25 15203 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -43.75 -6.25 -12.5 -25.0 NaN -18.75 15204 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -56.25 -6.25 12.5 -0.0 NaN 6.25 15205 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 337.0 -0.5 113.0 112.0 NaN 112.5 15207 SP500_micro caleb_strategy_v3 [1] 5.0 -199.375 -0.625 1.25 0.0 NaN 0.625 15208 JPY caleb_strategy_v3 [-1] 12500000.0 -531.25 -6.25 -12.5 -25.0 NaN -18.75 15210 FEEDCOW caleb_strategy_v3 [-1] 500.0 781.25 -18.75 287.5 250.0 NaN 268.75 15211 WHEAT caleb_strategy_v3 [-1] 50.0 -12.5 -12.5 -25.0 -50.0 NaN -37.5 15212 LUMBER-new caleb_strategy_v3 [1] 27.5 -48.125 -6.875 -13.75 -27.5 NaN -20.625 15209 US5 caleb_strategy_v3 [-1] 1000.0 -113.28125 -3.90625 -23.437 -31.2495 NaN -27.34325 15206 US5 caleb_strategy_v3 [-1] 1000.0 -50.78125 -3.90625 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BUXL -10.8755 COPPER 456.25 CRUDE_W 720.0 DAX -65.253 FEEDCOW 781.25 GAS_US_mini -118.75 JGB-SGX-mini 13.120088 JPY -531.25 LUMBER-new -48.125 NASDAQ_micro 337.0 OAT -38.06425 PLAT 530.0 SP500_micro -199.375 US5 -164.0625 WHEAT -12.5 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1649.364838 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BUXL -10.8755 COPPER -6.25 CRUDE_W -10.0 DAX -4.3502 FEEDCOW -18.75 GAS_US_mini -18.75 JGB-SGX-mini -13.120088 JPY -6.25 LUMBER-new -6.875 NASDAQ_micro -0.5 OAT -5.43775 PLAT -10.0 SP500_micro -0.625 US5 -7.8125 WHEAT -12.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -132.096038 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BUXL -0.0 COPPER -275.0 CRUDE_W -90.0 DAX 156.6072 FEEDCOW 287.5 GAS_US_mini -25.0 JGB-SGX-mini 0.0 JPY -12.5 LUMBER-new -13.75 NASDAQ_micro 113.0 OAT 65.253 PLAT -95.0 SP500_micro 1.25 US5 -23.437 WHEAT -25.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 63.9232 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BUXL -21.751 COPPER -287.5 CRUDE_W -110.0 DAX 147.9068 FEEDCOW 250.0 GAS_US_mini -62.5 JGB-SGX-mini -26.240176 JPY -25.0 LUMBER-new -27.5 NASDAQ_micro 112.0 OAT 54.3775 PLAT -115.0 SP500_micro 0.0 US5 -31.2495 WHEAT -50.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -192.456376 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BUXL 0 COPPER 0 CRUDE_W 0 DAX 0 FEEDCOW 0 GAS_US_mini 0 JGB-SGX-mini 0 JPY 0 LUMBER-new 0 NASDAQ_micro 0 OAT 0 PLAT 0 SP500_micro 0 US5 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 BUXL -10.8755 COPPER -281.25 CRUDE_W -100.0 DAX 152.257 FEEDCOW 268.75 GAS_US_mini -43.75 JGB-SGX-mini -13.120088 JPY -18.75 LUMBER-new -20.625 NASDAQ_micro 112.5 OAT 59.81525 PLAT -105.0 SP500_micro 0.625 US5 -27.34325 WHEAT -37.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -64.266588 ******************************************************************************** END OF REPORT ********************************************************************************