******************************************************************************** Trades report produced on 04/11/2024 21:37 from 03/11/2024 21:37 to 04/11/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15216 AUD caleb_strategy_v3 [20241200] 2024-11-04 15:00:50.000 [-1] 0.6606 15213 DAX caleb_strategy_v3 [20241200] 2024-11-04 08:02:58.000 [-1] 19330.0000 15217 FEEDCOW caleb_strategy_v3 [20250300] 2024-11-04 19:45:19.876 [0] NaN 15219 FEEDCOW caleb_strategy_v3 [20250300] 2024-11-04 15:43:10.000 [-1] 240.4500 15215 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-04 14:03:35.000 [-1] 2.9150 15214 GOLD_micro caleb_strategy_v3 [20241200] 2024-11-04 14:03:34.000 [1] 2755.0000 15218 LEANHOG caleb_strategy_v3 [20250200] 2024-11-04 15:40:59.000 [1] 86.0500 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15213 DAX caleb_strategy_v3 2024-11-01 2024-11-04 08:00:29.106 2024-11-04 08:02:58.000 288029.106 148.894 15214 GOLD_micro caleb_strategy_v3 2024-11-01 2024-11-04 14:00:32.942 2024-11-04 14:03:34.000 309632.942 181.058 15215 GAS_US_mini caleb_strategy_v3 2024-11-01 2024-11-04 14:03:35.086 2024-11-04 14:03:35.000 309815.086 NaN 15216 AUD caleb_strategy_v3 2024-11-01 2024-11-04 15:00:50.007 2024-11-04 15:00:50.000 313250.007 NaN 15218 LEANHOG caleb_strategy_v3 2024-11-01 2024-11-04 15:40:59.109 2024-11-04 15:40:59.000 315659.109 NaN 15217 FEEDCOW caleb_strategy_v3 2024-11-01 2024-11-04 15:30:57.542 2024-11-04 19:45:19.876 315057.542 15262.334 15219 FEEDCOW caleb_strategy_v3 2024-11-01 2024-11-04 15:41:02.585 2024-11-04 15:43:10.000 315662.585 127.415 ================================================================================================================================================================================================================================= 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 15213 DAX caleb_strategy_v3 [-1] 19307.0 None 19342.5 19342.0 19343.0 19343.0 19330.0 35.5 -0.5 -12.0 -13.0 NaN -12.5 15214 GOLD_micro caleb_strategy_v3 [1] 2744.2 None 2753.9 2754.0 2753.8 2753.8 2755.0 -9.7 -0.1 -1.0 -1.2 NaN -1.1 15215 GAS_US_mini caleb_strategy_v3 [-1] 2.935 None 2.905 2.9 2.91 2.91 2.915 -0.03 -0.005 0.015 0.005 NaN 0.01 15216 AUD caleb_strategy_v3 [-1] 0.6558 None 0.660475 0.66045 0.6605 0.6605 0.6606 0.004675 -0.000025 0.00015 0.0001 NaN 0.000125 15218 LEANHOG caleb_strategy_v3 [1] 85.725 None 86.2375 86.25 86.225 NaN 86.05 -0.5125 -0.0125 0.2 NaN NaN 0.1875 15217 FEEDCOW caleb_strategy_v3 [-1] 241.225 None 240.7375 240.7 240.775 240.775 NaN -0.4875 -0.0375 NaN NaN NaN NaN 15219 FEEDCOW caleb_strategy_v3 [-1] 241.225 None 240.7625 240.725 240.8 240.8 240.45 -0.4625 -0.0375 -0.275 -0.35 NaN -0.3125 =============================================================================================================================================================== 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 15213 DAX caleb_strategy_v3 [-1] 2235.14589 158.826322 -2.23699 -53.687771 -58.161752 NaN -55.924761 15214 GOLD_micro caleb_strategy_v3 [1] 326.195618 -297.367575 -3.065645 -30.656451 -36.787741 NaN -33.722096 15215 GAS_US_mini caleb_strategy_v3 [-1] 1.410006 -212.764992 -35.460832 106.382496 35.460832 NaN 70.921664 15216 AUD caleb_strategy_v3 [-1] 0.053934 866.805673 -4.635324 27.811947 18.541298 NaN 23.176622 15218 LEANHOG caleb_strategy_v3 [1] 14.641472 -350.03312 -8.537393 136.598291 NaN NaN 128.060897 15217 FEEDCOW caleb_strategy_v3 [-1] 29.355175 -166.069528 -12.774579 NaN NaN NaN NaN 15219 FEEDCOW caleb_strategy_v3 [-1] 29.355175 -157.553142 -12.774579 -93.680247 -119.229405 NaN -106.454826 ======================================================================================================================================================================== 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 15213 DAX caleb_strategy_v3 [-1] 1.08915 38.664825 -0.544575 -13.0698 -14.15895 NaN -13.614375 15214 GOLD_micro caleb_strategy_v3 [1] 10.0 -97.0 -1.0 -10.0 -12.0 NaN -11.0 15215 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -75.0 -12.5 37.5 12.5 NaN 25.0 15216 AUD caleb_strategy_v3 [-1] 100000.0 467.5 -2.5 15.0 10.0 NaN 12.5 15218 LEANHOG caleb_strategy_v3 [1] 400.0 -205.0 -5.0 80.0 NaN NaN 75.0 15217 FEEDCOW caleb_strategy_v3 [-1] 500.0 -243.75 -18.75 NaN NaN NaN NaN 15219 FEEDCOW caleb_strategy_v3 [-1] 500.0 -231.25 -18.75 -137.5 -175.0 NaN -156.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD 467.5 DAX 38.664825 FEEDCOW -475.0 GAS_US_mini -75.0 GOLD_micro -97.0 LEANHOG -205.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -345.835175 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -2.5 DAX -0.544575 FEEDCOW -37.5 GAS_US_mini -12.5 GOLD_micro -1.0 LEANHOG -5.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -59.044575 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 15.0 DAX -13.0698 FEEDCOW -137.5 GAS_US_mini 37.5 GOLD_micro -10.0 LEANHOG 80.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -28.0698 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 10.0 DAX -14.15895 FEEDCOW -175.0 GAS_US_mini 12.5 GOLD_micro -12.0 LEANHOG 0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -178.65895 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 DAX 0 FEEDCOW 0 GAS_US_mini 0 GOLD_micro 0 LEANHOG 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 AUD 12.5 DAX -13.614375 FEEDCOW -156.25 GAS_US_mini 25.0 GOLD_micro -11.0 LEANHOG 75.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -68.364375 ******************************************************************************** END OF REPORT ********************************************************************************