******************************************************************************** Trades report produced on 08/11/2024 21:38 from 07/11/2024 21:38 to 08/11/2024 21:38 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15247 AUD caleb_strategy_v3 [20241200] 2024-11-08 15:01:08.000 [1] 0.661100 15241 CANOLA _ROLL_PSEUDO_STRATEGY [20250100] 2024-11-08 14:34:54.000 [1] 653.100000 15242 CANOLA _ROLL_PSEUDO_STRATEGY [20250300] 2024-11-08 19:45:02.863 [0] NaN 15243 CANOLA _ROLL_PSEUDO_STRATEGY [20250100] 2024-11-08 14:45:30.000 [1] 653.900000 15244 CANOLA _ROLL_PSEUDO_STRATEGY [20250300] 2024-11-08 14:46:21.000 [-1] 667.000000 15245 CANOLA _ROLL_PSEUDO_STRATEGY [20250300] 2024-11-08 14:46:30.000 [-1] 667.300000 15251 DOW caleb_strategy_v3 [20241200] 2024-11-08 15:05:20.000 [1] 43991.000000 15249 EUR caleb_strategy_v3 [20241200] 2024-11-08 15:01:10.000 [1] 1.076300 15246 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-11-08 15:00:46.000 [1] 21220.250000 15240 OAT caleb_strategy_v3 [20241200] 2024-11-08 08:00:28.000 [-1] 124.260000 15250 US5 caleb_strategy_v3 [20241200] 2024-11-08 15:02:00.000 [1] 107.117188 15248 VIX caleb_strategy_v3 [20250100] 2024-11-08 15:01:09.000 [-1] 16.650000 15252 VIX caleb_strategy_v3 [20250100] 2024-11-08 15:05:24.000 [-1] 16.700000 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15240 OAT caleb_strategy_v3 2024-11-07 00:00:00 2024-11-08 08:00:27.911 2024-11-08 08:00:28.000 115227.911 0.089 15246 NASDAQ_micro caleb_strategy_v3 2024-11-07 00:00:00 2024-11-08 15:00:33.275 2024-11-08 15:00:46.000 140433.275 12.725 15247 AUD caleb_strategy_v3 2024-11-07 00:00:00 2024-11-08 15:00:48.146 2024-11-08 15:01:08.000 140448.146 19.854 15249 EUR caleb_strategy_v3 2024-11-07 00:00:00 2024-11-08 15:01:10.591 2024-11-08 15:01:10.000 140470.591 NaN 15250 US5 caleb_strategy_v3 2024-11-07 00:00:00 2024-11-08 15:01:11.716 2024-11-08 15:02:00.000 140471.716 48.284 15251 DOW caleb_strategy_v3 2024-11-07 00:00:00 2024-11-08 15:02:01.819 2024-11-08 15:05:20.000 140521.819 198.181 15248 VIX caleb_strategy_v3 2024-11-07 00:00:00 2024-11-08 15:01:09.289 2024-11-08 15:01:09.000 140469.289 NaN 15252 VIX caleb_strategy_v3 2024-11-07 00:00:00 2024-11-08 15:05:24.388 2024-11-08 15:05:24.000 140724.388 NaN 15241 CANOLA _ROLL_PSEUDO_STRATEGY 2024-11-07 19:00:00 2024-11-08 14:34:54.491 2024-11-08 14:34:54.000 70494.491 NaN 15242 CANOLA _ROLL_PSEUDO_STRATEGY 2024-11-07 19:00:00 2024-11-08 14:34:55.927 2024-11-08 19:45:02.863 70495.927 18606.936 15243 CANOLA _ROLL_PSEUDO_STRATEGY 2024-11-07 19:00:00 2024-11-08 14:45:30.598 2024-11-08 14:45:30.000 71130.598 NaN 15244 CANOLA _ROLL_PSEUDO_STRATEGY 2024-11-07 19:00:00 2024-11-08 14:45:31.059 2024-11-08 14:46:21.000 71131.059 49.941 15245 CANOLA _ROLL_PSEUDO_STRATEGY 2024-11-07 19:00:00 2024-11-08 14:46:30.694 2024-11-08 14:46:30.000 71190.694 NaN ======================================================================================================================================================================================================================================== 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 15240 OAT caleb_strategy_v3 [-1] 124.14 None 124.095 124.09 124.1 124.1 124.26 -0.045 -0.005 0.17 0.16 NaN 0.165 15246 NASDAQ_micro caleb_strategy_v3 [1] 21221.25 None 21215.75 21216.0 21215.5 21215.5 21220.25 5.5 -0.25 -4.25 -4.75 NaN -4.5 15247 AUD caleb_strategy_v3 [1] 0.66725 None 0.660875 0.6609 0.66085 0.66085 0.6611 0.006375 -0.000025 -0.0002 -0.00025 NaN -0.000225 15249 EUR caleb_strategy_v3 [1] 1.08085 None 1.077075 1.0771 1.07705 1.07705 1.0763 0.003775 -0.000025 0.0008 0.00075 NaN 0.000775 15250 US5 caleb_strategy_v3 [1] 107.109375 None 107.097656 107.101562 107.09375 107.09375 107.117188 0.011719 -0.003906 -0.015625 -0.023438 NaN -0.019532 15251 DOW caleb_strategy_v3 [1] 43903.0 None 43994.5 43995.0 43994.0 43994.0 43991.0 -91.5 -0.5 4.0 3.0 NaN 3.5 15248 VIX caleb_strategy_v3 [-1] 16.75 None 16.625 16.6 16.65 16.65 16.65 -0.125 -0.025 0.05 -0.0 NaN 0.025 15252 VIX caleb_strategy_v3 [-1] 16.75 None 16.625 16.6 16.65 16.65 16.7 -0.125 -0.025 0.1 0.05 NaN 0.075 15241 CANOLA _ROLL_PSEUDO_STRATEGY [1] 659.5 None 656.8 656.9 656.7 656.7 653.1 2.7 -0.1 3.8 3.6 NaN 3.7 15242 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 672.1 None 669.05 668.9 669.2 669.2 NaN -3.05 -0.15 NaN NaN NaN NaN 15243 CANOLA _ROLL_PSEUDO_STRATEGY [1] 659.5 None 656.8 656.9 656.7 656.7 653.9 2.7 -0.1 3.0 2.8 NaN 2.9 15244 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 672.1 None 668.95 668.8 669.1 669.1 667.0 -3.15 -0.15 -1.8 -2.1 NaN -1.95 15245 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 672.1 None 667.2 667.0 667.4 667.4 667.3 -4.9 -0.2 0.3 -0.1 NaN 0.1 =================================================================================================================================================================== 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 15240 OAT caleb_strategy_v3 [-1] 8.239773 -54.613155 -6.068128 206.316363 194.180107 NaN 200.248235 15246 NASDAQ_micro caleb_strategy_v3 [1] 3472.08393 15.840631 -0.720029 -12.240488 -13.680545 NaN -12.960516 15247 AUD caleb_strategy_v3 [1] 0.074258 858.493467 -3.366641 -26.933128 -33.66641 NaN -30.299769 15249 EUR caleb_strategy_v3 [1] 0.089565 421.481712 -2.79127 89.320628 83.738088 NaN 86.529358 15250 US5 caleb_strategy_v3 [1] 4.49394 26.076782 -8.692261 -34.770156 -52.154677 NaN -43.462416 15251 DOW caleb_strategy_v3 [1] 6068.036933 -150.790117 -0.82399 6.591918 4.943938 NaN 5.767928 15248 VIX caleb_strategy_v3 [-1] 8.774371 -142.460356 -28.492071 56.984142 -0.0 NaN 28.492071 15252 VIX caleb_strategy_v3 [-1] 8.774371 -142.460356 -28.492071 113.968285 56.984142 NaN 85.476214 15241 CANOLA _ROLL_PSEUDO_STRATEGY [1] 148.460903 181.866063 -6.73578 255.959644 242.488084 NaN 249.223864 15242 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 148.460903 -205.441293 -10.10367 NaN NaN NaN NaN 15243 CANOLA _ROLL_PSEUDO_STRATEGY [1] 148.460903 181.866063 -6.73578 202.073403 188.601843 NaN 195.337623 15244 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 148.460903 -212.177073 -10.10367 -121.244042 -141.451382 NaN -131.347712 15245 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 148.460903 -330.053225 -13.47156 20.20734 -6.73578 NaN 6.73578 ============================================================================================================================================================================ 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 15240 OAT caleb_strategy_v3 [-1] 1077.75 -48.49875 -5.38875 183.2175 172.44 NaN 177.82875 15246 NASDAQ_micro caleb_strategy_v3 [1] 2.0 11.0 -0.5 -8.5 -9.5 NaN -9.0 15247 AUD caleb_strategy_v3 [1] 100000.0 637.5 -2.5 -20.0 -25.0 NaN -22.5 15249 EUR caleb_strategy_v3 [1] 125000.0 471.875 -3.125 100.0 93.75 NaN 96.875 15250 US5 caleb_strategy_v3 [1] 1000.0 11.71875 -3.90625 -15.6255 -23.438 NaN -19.53175 15251 DOW caleb_strategy_v3 [1] 0.5 -45.75 -0.25 2.0 1.5 NaN 1.75 15248 VIX caleb_strategy_v3 [-1] 1000.0 -125.0 -25.0 50.0 -0.0 NaN 25.0 15252 VIX caleb_strategy_v3 [-1] 1000.0 -125.0 -25.0 100.0 50.0 NaN 75.0 15241 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.405071 38.893691 -1.440507 54.739268 51.858254 NaN 53.298761 15242 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.405071 -43.935465 -2.160761 NaN NaN NaN NaN 15243 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.405071 38.893691 -1.440507 43.215212 40.334198 NaN 41.774705 15244 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.405071 -45.375972 -2.160761 -25.929127 -30.250648 NaN -28.089888 15245 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.405071 -70.584846 -2.881014 4.321521 -1.440507 NaN 1.440507 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA -82.108902 caleb_strategy_v3 AUD 637.5 DOW -45.75 EUR 471.875 NASDAQ_micro 11.0 OAT -48.49875 US5 11.71875 VIX -250.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -82.108902 caleb_strategy_v3 787.845 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA -10.083549 caleb_strategy_v3 AUD -2.5 DOW -0.25 EUR -3.125 NASDAQ_micro -0.5 OAT -5.38875 US5 -3.90625 VIX -50.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -10.083549 caleb_strategy_v3 -65.67 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA 76.346874 caleb_strategy_v3 AUD -20.0 DOW 2.0 EUR 100.0 NASDAQ_micro -8.5 OAT 183.2175 US5 -15.6255 VIX 150.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 76.346874 caleb_strategy_v3 391.092 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA 60.501296 caleb_strategy_v3 AUD -25.0 DOW 1.5 EUR 93.75 NASDAQ_micro -9.5 OAT 172.44 US5 -23.438 VIX 50.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 60.501296 caleb_strategy_v3 259.752 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA 0 caleb_strategy_v3 AUD 0 DOW 0 EUR 0 NASDAQ_micro 0 OAT 0 US5 0 VIX 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 CANOLA 68.424085 caleb_strategy_v3 AUD -22.5 DOW 1.75 EUR 96.875 NASDAQ_micro -9.0 OAT 177.82875 US5 -19.53175 VIX 100.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 68.424085 caleb_strategy_v3 325.422 ******************************************************************************** END OF REPORT ********************************************************************************