******************************************************************************** Trades report produced on 06/11/2024 21:37 from 05/11/2024 21:37 to 06/11/2024 21:37 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15231 DOW caleb_strategy_v3 [20241200] 2024-11-06 15:00:23.000 [-1] 43588.00000 15229 GASOIL _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-06 09:01:14.000 [1, -1] 0.00000 15230 MXP caleb_strategy_v3 [20241200] 2024-11-06 15:00:17.000 [-1] 0.04827 15226 NIKKEI caleb_strategy_v3 [20241200] 2024-11-06 19:45:07.100 [0] NaN 15227 NIKKEI caleb_strategy_v3 [20241200] 2024-11-06 19:45:07.118 [0] NaN 15228 NIKKEI caleb_strategy_v3 [20241200] 2024-11-06 03:24:32.000 [1] 39790.00000 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15229 GASOIL _ROLL_PSEUDO_STRATEGY 2024-11-05 19:00:00 2024-11-06 09:01:01.347 2024-11-06 09:01:14.000 50461.347 12.653 15230 MXP caleb_strategy_v3 2024-11-05 00:00:00 2024-11-06 15:00:17.186 2024-11-06 15:00:17.000 140417.186 NaN 15231 DOW caleb_strategy_v3 2024-11-05 00:00:00 2024-11-06 15:00:18.351 2024-11-06 15:00:23.000 140418.351 4.649 15226 NIKKEI caleb_strategy_v3 2024-11-05 00:00:00 2024-11-06 03:01:15.146 2024-11-06 19:45:07.100 97275.146 60231.954 15227 NIKKEI caleb_strategy_v3 2024-11-05 00:00:00 2024-11-06 03:11:18.904 2024-11-06 19:45:07.118 97878.904 59628.214 15228 NIKKEI caleb_strategy_v3 2024-11-05 00:00:00 2024-11-06 03:21:22.414 2024-11-06 03:24:32.000 98482.414 189.586 ======================================================================================================================================================================================================================================== 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 15229 GASOIL _ROLL_PSEUDO_STRATEGY [1, -1] -0.25 None -0.125 0.25 -0.5 -0.5 0.0 -0.125 -0.375 0.25 -0.5 NaN -0.125 15230 MXP caleb_strategy_v3 [-1] 0.04942 None 0.048215 0.04821 0.04822 0.04822 0.04827 -0.001205 -0.000005 0.00006 0.00005 NaN 0.000055 15231 DOW caleb_strategy_v3 [-1] 42277.0 None 43598.0 43597.0 43599.0 43599.0 43588.0 1321.0 -1.0 -9.0 -11.0 NaN -10.0 15226 NIKKEI caleb_strategy_v3 [1] 38980.0 None 39527.5 39530.0 39525.0 39525.0 NaN -547.5 -2.5 NaN NaN NaN NaN 15227 NIKKEI caleb_strategy_v3 [1] 38980.0 None 39597.5 39600.0 39595.0 39595.0 NaN -617.5 -2.5 NaN NaN NaN NaN 15228 NIKKEI caleb_strategy_v3 [1] 38980.0 None 39722.5 39725.0 39720.0 39720.0 39790.0 -742.5 -2.5 -65.0 -70.0 NaN -67.5 ======================================================================================================================================================================= 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 15229 GASOIL _ROLL_PSEUDO_STRATEGY [1, -1] 207.164287 -6.033859 -18.101576 12.067717 -24.135434 NaN -6.033859 15230 MXP caleb_strategy_v3 [-1] 0.005983 -2014.140457 -8.357429 100.289151 83.574293 NaN 91.931722 15231 DOW caleb_strategy_v3 [-1] 6028.880792 2191.119788 -1.658683 -14.928144 -18.245509 NaN -16.586827 15226 NIKKEI caleb_strategy_v3 [1] 9190.519999 -595.722549 -2.720194 NaN NaN NaN NaN 15227 NIKKEI caleb_strategy_v3 [1] 9190.519999 -671.887989 -2.720194 NaN NaN NaN NaN 15228 NIKKEI caleb_strategy_v3 [1] 9190.519999 -807.897703 -2.720194 -70.725051 -76.16544 NaN -73.445246 ================================================================================================================================================================================ 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 15229 GASOIL _ROLL_PSEUDO_STRATEGY [1, -1] 100.0 -12.5 -37.5 25.0 -50.0 NaN -12.5 15230 MXP caleb_strategy_v3 [-1] 500000.0 -602.5 -2.5 30.0 25.0 NaN 27.5 15231 DOW caleb_strategy_v3 [-1] 0.5 660.5 -0.5 -4.5 -5.5 NaN -5.0 15226 NIKKEI caleb_strategy_v3 [1] 0.649125 -355.396015 -1.622813 NaN NaN NaN NaN 15227 NIKKEI caleb_strategy_v3 [1] 0.649125 -400.834775 -1.622813 NaN NaN NaN NaN 15228 NIKKEI caleb_strategy_v3 [1] 0.649125 -481.975418 -1.622813 -42.193134 -45.43876 NaN -43.815947 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -12.5 caleb_strategy_v3 DOW 660.5 MXP -602.5 NIKKEI -1238.206208 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -12.5 caleb_strategy_v3 -1180.206208 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -37.5 caleb_strategy_v3 DOW -0.5 MXP -2.5 NIKKEI -4.868439 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -37.5 caleb_strategy_v3 -7.868439 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 25.0 caleb_strategy_v3 DOW -4.5 MXP 30.0 NIKKEI -42.193134 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 25.0 caleb_strategy_v3 -16.693134 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -50.0 caleb_strategy_v3 DOW -5.5 MXP 25.0 NIKKEI -45.43876 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -50.0 caleb_strategy_v3 -25.93876 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 0 caleb_strategy_v3 DOW 0 MXP 0 NIKKEI 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 GASOIL -12.5 caleb_strategy_v3 DOW -5.0 MXP 27.5 NIKKEI -43.815947 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -12.5 caleb_strategy_v3 -21.315947 ******************************************************************************** END OF REPORT ********************************************************************************