******************************************************************************** Trades report produced on 11/11/2024 21:37 from 10/11/2024 21:37 to 11/11/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15267 AUD caleb_strategy_v3 [20241200] 2024-11-11 15:19:03 [1] 0.657100 15258 COCOA caleb_strategy_v3 [20250300] 2024-11-11 14:08:03 [1] 7089.000000 15257 CRUDE_W caleb_strategy_v3 [20251200] 2024-11-11 14:08:02 [1] 66.680000 15254 DAX caleb_strategy_v3 [20241200] 2024-11-11 08:00:36 [-1] 19457.000000 15264 DOW caleb_strategy_v3 [20241200] 2024-11-11 15:06:47 [1] 44574.000000 15271 EUR caleb_strategy_v3 [20241200] 2024-11-11 15:22:29 [1] 1.065450 15275 FEEDCOW caleb_strategy_v3 [20250300] 2024-11-11 15:30:54 [-1] 238.550000 15255 GASOIL caleb_strategy_v3 [20250200] 2024-11-11 09:01:05 [1] 669.750000 15262 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-11 14:10:11 [-1] 3.125000 15261 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-11 14:09:12 [-1] 3.125000 15259 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-11 14:08:04 [-1] 3.125000 15256 GOLD_micro caleb_strategy_v3 [20241200] 2024-11-11 14:04:14 [-1] 2641.300000 15268 MILK caleb_strategy_v3 [20250100] 2024-11-11 15:22:25 [-1] 19.140000 15269 MXP caleb_strategy_v3 [20241200] 2024-11-11 15:22:27 [1] 0.048450 15266 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-11-11 15:19:02 [1] 21182.250000 15253 NIKKEI caleb_strategy_v3 [20241200] 2024-11-11 03:01:20 [-1] 39410.000000 15260 SILVER-mini caleb_strategy_v3 [20250100] 2024-11-11 14:09:08 [-1] 30.900000 15276 SOYBEAN caleb_strategy_v3 [20251100] 2024-11-11 15:30:55 [1] 1042.750000 15272 SP500_micro caleb_strategy_v3 [20241200] 2024-11-11 15:24:19 [-1] 6033.000000 15270 US30 caleb_strategy_v3 [20241200] 2024-11-11 15:22:28 [1] 124.687500 15265 US5 caleb_strategy_v3 [20241200] 2024-11-11 15:12:44 [1] 106.765625 15273 VIX caleb_strategy_v3 [20250100] 2024-11-11 15:24:38 [-1] 16.400000 15274 VIX caleb_strategy_v3 [20250100] 2024-11-11 15:25:38 [-1] 16.450000 15263 VIX caleb_strategy_v3 [20250100] 2024-11-11 15:00:22 [-1] 16.550000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15253 NIKKEI caleb_strategy_v3 2024-11-08 2024-11-11 03:01:19.798 2024-11-11 03:01:20 270079.798 0.202 15254 DAX caleb_strategy_v3 2024-11-08 2024-11-11 08:00:36.002 2024-11-11 08:00:36 288036.002 NaN 15255 GASOIL caleb_strategy_v3 2024-11-08 2024-11-11 09:00:36.802 2024-11-11 09:01:05 291636.802 28.198 15256 GOLD_micro caleb_strategy_v3 2024-11-08 2024-11-11 14:00:46.326 2024-11-11 14:04:14 309646.326 207.674 15257 CRUDE_W caleb_strategy_v3 2024-11-08 2024-11-11 14:04:15.010 2024-11-11 14:08:02 309855.01 226.99 15258 COCOA caleb_strategy_v3 2024-11-08 2024-11-11 14:08:03.711 2024-11-11 14:08:03 310083.711 NaN 15260 SILVER-mini caleb_strategy_v3 2024-11-08 2024-11-11 14:08:05.382 2024-11-11 14:09:08 310085.382 62.618 15259 GAS_US_mini caleb_strategy_v3 2024-11-08 2024-11-11 14:08:04.582 2024-11-11 14:08:04 310084.582 NaN 15261 GAS_US_mini caleb_strategy_v3 2024-11-08 2024-11-11 14:09:12.083 2024-11-11 14:09:12 310152.083 NaN 15262 GAS_US_mini caleb_strategy_v3 2024-11-08 2024-11-11 14:10:11.940 2024-11-11 14:10:11 310211.94 NaN 15264 DOW caleb_strategy_v3 2024-11-08 2024-11-11 15:00:24.378 2024-11-11 15:06:47 313224.378 382.622 15265 US5 caleb_strategy_v3 2024-11-08 2024-11-11 15:06:48.523 2024-11-11 15:12:44 313608.523 355.477 15266 NASDAQ_micro caleb_strategy_v3 2024-11-08 2024-11-11 15:12:45.326 2024-11-11 15:19:02 313965.326 376.674 15267 AUD caleb_strategy_v3 2024-11-08 2024-11-11 15:19:03.862 2024-11-11 15:19:03 314343.862 NaN 15268 MILK caleb_strategy_v3 2024-11-08 2024-11-11 15:19:05.042 2024-11-11 15:22:25 314345.042 199.958 15269 MXP caleb_strategy_v3 2024-11-08 2024-11-11 15:22:27.162 2024-11-11 15:22:27 314547.162 NaN 15270 US30 caleb_strategy_v3 2024-11-08 2024-11-11 15:22:28.371 2024-11-11 15:22:28 314548.371 NaN 15271 EUR caleb_strategy_v3 2024-11-08 2024-11-11 15:22:29.666 2024-11-11 15:22:29 314549.666 NaN 15272 SP500_micro caleb_strategy_v3 2024-11-08 2024-11-11 15:22:30.970 2024-11-11 15:24:19 314550.97 108.03 15273 VIX caleb_strategy_v3 2024-11-08 2024-11-11 15:24:37.880 2024-11-11 15:24:38 314677.88 0.12 15274 VIX caleb_strategy_v3 2024-11-08 2024-11-11 15:25:38.126 2024-11-11 15:25:38 314738.126 NaN 15263 VIX caleb_strategy_v3 2024-11-08 2024-11-11 15:00:22.746 2024-11-11 15:00:22 313222.746 NaN 15275 FEEDCOW caleb_strategy_v3 2024-11-08 2024-11-11 15:30:40.006 2024-11-11 15:30:54 315040.006 13.994 15276 SOYBEAN caleb_strategy_v3 2024-11-08 2024-11-11 15:30:55.150 2024-11-11 15:30:55 315055.15 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 15253 NIKKEI caleb_strategy_v3 [-1] 39195.0 None 39392.5 39390.0 39395.0 39395.0 39410.0 197.5 -2.5 20.0 15.0 NaN 17.5 15254 DAX caleb_strategy_v3 [-1] 19305.0 None 19439.5 19439.0 19440.0 19440.0 19457.0 134.5 -0.5 18.0 17.0 NaN 17.5 15255 GASOIL caleb_strategy_v3 [1] 670.5 None 669.875 670.0 669.75 669.75 669.75 0.625 -0.125 0.25 0.0 NaN 0.125 15256 GOLD_micro caleb_strategy_v3 [-1] 2695.1 None 2644.55 2644.5 2644.6 2644.6 2641.3 -50.55 -0.05 -3.2 -3.3 NaN -3.25 15257 CRUDE_W caleb_strategy_v3 [1] 68.02 None 66.66 66.67 66.65 66.65 66.68 1.36 -0.01 -0.01 -0.03 NaN -0.02 15258 COCOA caleb_strategy_v3 [1] 6995.0 None 7139.0 7143.0 7135.0 7135.0 7089.0 -144.0 -4.0 54.0 46.0 NaN 50.0 15260 SILVER-mini caleb_strategy_v3 [-1] 31.575 None 30.95 30.925 30.975 30.975 30.9 -0.625 -0.025 -0.025 -0.075 NaN -0.05 15259 GAS_US_mini caleb_strategy_v3 [-1] 2.915 None 3.0975 3.095 3.1 3.1 3.125 0.1825 -0.0025 0.03 0.025 NaN 0.0275 15261 GAS_US_mini caleb_strategy_v3 [-1] 2.915 None 3.0975 3.095 3.1 3.1 3.125 0.1825 -0.0025 0.03 0.025 NaN 0.0275 15262 GAS_US_mini caleb_strategy_v3 [-1] 2.915 None 3.0975 3.095 3.1 3.1 3.125 0.1825 -0.0025 0.03 0.025 NaN 0.0275 15264 DOW caleb_strategy_v3 [1] 44239.0 None 44517.0 44518.0 44516.0 44516.0 44574.0 -278.0 -1.0 -56.0 -58.0 NaN -57.0 15265 US5 caleb_strategy_v3 [1] 106.976562 None 106.730469 106.734375 106.726562 106.726562 106.765625 0.246094 -0.003906 -0.03125 -0.039062 NaN -0.035156 15266 NASDAQ_micro caleb_strategy_v3 [1] 21234.25 None 21170.75 21171.0 21170.5 21170.5 21182.25 63.5 -0.25 -11.25 -11.75 NaN -11.5 15267 AUD caleb_strategy_v3 [1] 0.6574 None 0.657425 0.65745 0.6574 0.6574 0.6571 -0.000025 -0.000025 0.00035 0.0003 NaN 0.000325 15268 MILK caleb_strategy_v3 [-1] 19.12 None 19.17 19.15 19.19 19.19 19.14 0.05 -0.02 -0.01 -0.05 NaN -0.03 15269 MXP caleb_strategy_v3 [1] 0.04925 None 0.048455 0.04846 0.04845 0.04845 0.04845 0.000795 -0.000005 0.00001 0.0 NaN 0.000005 15270 US30 caleb_strategy_v3 [1] 125.21875 None 124.765625 124.78125 124.75 124.75 124.6875 0.453125 -0.015625 0.09375 0.0625 NaN 0.078125 15271 EUR caleb_strategy_v3 [1] 1.07295 None 1.065825 1.06585 1.0658 1.0658 1.06545 0.007125 -0.000025 0.0004 0.00035 NaN 0.000375 15272 SP500_micro caleb_strategy_v3 [-1] 6029.5 None 6033.375 6033.25 6033.5 6033.5 6033.0 3.875 -0.125 -0.25 -0.5 NaN -0.375 15273 VIX caleb_strategy_v3 [-1] 16.85 None 16.525 16.5 16.55 16.55 16.4 -0.325 -0.025 -0.1 -0.15 NaN -0.125 15274 VIX caleb_strategy_v3 [-1] 16.85 None 16.425 16.4 16.45 16.45 16.45 -0.425 -0.025 0.05 -0.0 NaN 0.025 15263 VIX caleb_strategy_v3 [-1] 16.85 None 16.525 16.5 16.55 16.55 16.55 -0.325 -0.025 0.05 -0.0 NaN 0.025 15275 FEEDCOW caleb_strategy_v3 [-1] 239.35 None 238.5625 238.525 238.6 238.6 238.55 -0.7875 -0.0375 0.025 -0.05 NaN -0.0125 15276 SOYBEAN caleb_strategy_v3 [1] 1052.25 None 1046.25 1046.5 1046.0 NaN 1042.75 6.0 -0.25 3.75 NaN NaN 3.5 ================================================================================================================================================================ 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 15253 NIKKEI caleb_strategy_v3 [-1] 8823.889674 223.824195 -2.833218 22.665741 16.999306 NaN 19.832524 15254 DAX caleb_strategy_v3 [-1] 2501.620341 537.651528 -1.998705 71.953364 67.955955 NaN 69.95466 15255 GASOIL caleb_strategy_v3 [1] 201.71585 30.984179 -6.196836 12.393672 0.0 NaN 6.196836 15256 GOLD_micro caleb_strategy_v3 [-1] 457.346952 -1105.287785 -1.093262 -69.968762 -72.155286 NaN -71.062024 15257 CRUDE_W caleb_strategy_v3 [1] 18.614325 730.620104 -5.372207 -5.372207 -16.11662 NaN -10.744413 15258 COCOA caleb_strategy_v3 [1] 3226.090624 -446.360679 -12.398908 167.385254 142.587439 NaN 154.986347 15260 SILVER-mini caleb_strategy_v3 [-1] 10.531256 -593.471449 -23.738858 -23.738858 -71.216574 NaN -47.477716 15259 GAS_US_mini caleb_strategy_v3 [-1] 1.51882 1201.590482 -16.460144 197.521723 164.601436 NaN 181.06158 15261 GAS_US_mini caleb_strategy_v3 [-1] 1.51882 1201.590482 -16.460144 197.521723 164.601436 NaN 181.06158 15262 GAS_US_mini caleb_strategy_v3 [-1] 1.51882 1201.590482 -16.460144 197.521723 164.601436 NaN 181.06158 15264 DOW caleb_strategy_v3 [1] 5948.202122 -467.368113 -1.68118 -94.146095 -97.508455 NaN -95.827275 15265 US5 caleb_strategy_v3 [1] 4.443454 553.834342 -8.791021 -70.32817 -87.910213 NaN -79.119192 15266 NASDAQ_micro caleb_strategy_v3 [1] 3414.981912 185.945348 -0.732068 -32.943073 -34.40721 NaN -33.675142 15267 AUD caleb_strategy_v3 [1] 0.071228 -3.509854 -3.509854 49.137956 42.118248 NaN 45.628102 15268 MILK caleb_strategy_v3 [-1] 3.856655 129.646043 -51.858417 -25.929209 -129.646043 NaN -77.787626 15269 MXP caleb_strategy_v3 [1] 0.006943 1145.085387 -7.201795 14.40359 0.0 NaN 7.201795 15270 US30 caleb_strategy_v3 [1] 21.161118 214.130938 -7.383825 44.302953 29.535302 NaN 36.919127 15271 EUR caleb_strategy_v3 [1] 0.08872 803.090084 -2.81786 45.085759 39.450039 NaN 42.267899 15272 SP500_micro caleb_strategy_v3 [-1] 739.638307 52.390472 -1.690015 -3.38003 -6.760061 NaN -5.070046 15273 VIX caleb_strategy_v3 [-1] 8.584904 -378.571523 -29.120886 -116.483545 -174.725318 NaN -145.604432 15274 VIX caleb_strategy_v3 [-1] 8.584904 -495.055068 -29.120886 58.241773 -0.0 NaN 29.120886 15263 VIX caleb_strategy_v3 [-1] 8.584904 -378.571523 -29.120886 58.241773 -0.0 NaN 29.120886 15275 FEEDCOW caleb_strategy_v3 [-1] 29.079211 -270.812027 -12.895811 8.597207 -17.194414 NaN -4.298604 15276 SOYBEAN caleb_strategy_v3 [1] 151.655071 395.634644 -16.484777 247.271653 NaN NaN 230.786876 ========================================================================================================================================================================= 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 15253 NIKKEI caleb_strategy_v3 [-1] 0.652005 128.771035 -1.630013 13.040105 9.780079 NaN 11.410092 15254 DAX caleb_strategy_v3 [-1] 1.07215 144.204175 -0.536075 19.2987 18.22655 NaN 18.762625 15255 GASOIL caleb_strategy_v3 [1] 100.0 62.5 -12.5 25.0 0.0 NaN 12.5 15256 GOLD_micro caleb_strategy_v3 [-1] 10.0 -505.5 -0.5 -32.0 -33.0 NaN -32.5 15257 CRUDE_W caleb_strategy_v3 [1] 1000.0 1360.0 -10.0 -10.0 -30.0 NaN -20.0 15258 COCOA caleb_strategy_v3 [1] 10.0 -1440.0 -40.0 540.0 460.0 NaN 500.0 15260 SILVER-mini caleb_strategy_v3 [-1] 2500.0 -1562.5 -62.5 -62.5 -187.5 NaN -125.0 15259 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 456.25 -6.25 75.0 62.5 NaN 68.75 15261 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 456.25 -6.25 75.0 62.5 NaN 68.75 15262 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 456.25 -6.25 75.0 62.5 NaN 68.75 15264 DOW caleb_strategy_v3 [1] 0.5 -139.0 -0.5 -28.0 -29.0 NaN -28.5 15265 US5 caleb_strategy_v3 [1] 1000.0 246.09375 -3.90625 -31.25 -39.0625 NaN -35.15625 15266 NASDAQ_micro caleb_strategy_v3 [1] 2.0 127.0 -0.5 -22.5 -23.5 NaN -23.0 15267 AUD caleb_strategy_v3 [1] 100000.0 -2.5 -2.5 35.0 30.0 NaN 32.5 15268 MILK caleb_strategy_v3 [-1] 2000.0 100.0 -40.0 -20.0 -100.0 NaN -60.0 15269 MXP caleb_strategy_v3 [1] 500000.0 397.5 -2.5 5.0 0.0 NaN 2.5 15270 US30 caleb_strategy_v3 [1] 1000.0 453.125 -15.625 93.75 62.5 NaN 78.125 15271 EUR caleb_strategy_v3 [1] 125000.0 890.625 -3.125 50.0 43.75 NaN 46.875 15272 SP500_micro caleb_strategy_v3 [-1] 5.0 19.375 -0.625 -1.25 -2.5 NaN -1.875 15273 VIX caleb_strategy_v3 [-1] 1000.0 -325.0 -25.0 -100.0 -150.0 NaN -125.0 15274 VIX caleb_strategy_v3 [-1] 1000.0 -425.0 -25.0 50.0 -0.0 NaN 25.0 15263 VIX caleb_strategy_v3 [-1] 1000.0 -325.0 -25.0 50.0 -0.0 NaN 25.0 15275 FEEDCOW caleb_strategy_v3 [-1] 500.0 -393.75 -18.75 12.5 -25.0 NaN -6.25 15276 SOYBEAN caleb_strategy_v3 [1] 50.0 300.0 -12.5 187.5 NaN NaN 175.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD -2.5 COCOA -1440.0 CRUDE_W 1360.0 DAX 144.204175 DOW -139.0 EUR 890.625 FEEDCOW -393.75 GASOIL 62.5 GAS_US_mini 1368.75 GOLD_micro -505.5 MILK 100.0 MXP 397.5 NASDAQ_micro 127.0 NIKKEI 128.771035 SILVER-mini -1562.5 SOYBEAN 300.0 SP500_micro 19.375 US30 453.125 US5 246.09375 VIX -1075.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 479.69396 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -2.5 COCOA -40.0 CRUDE_W -10.0 DAX -0.536075 DOW -0.5 EUR -3.125 FEEDCOW -18.75 GASOIL -12.5 GAS_US_mini -18.75 GOLD_micro -0.5 MILK -40.0 MXP -2.5 NASDAQ_micro -0.5 NIKKEI -1.630013 SILVER-mini -62.5 SOYBEAN -12.5 SP500_micro -0.625 US30 -15.625 US5 -3.90625 VIX -75.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -321.947338 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 35.0 COCOA 540.0 CRUDE_W -10.0 DAX 19.2987 DOW -28.0 EUR 50.0 FEEDCOW 12.5 GASOIL 25.0 GAS_US_mini 225.0 GOLD_micro -32.0 MILK -20.0 MXP 5.0 NASDAQ_micro -22.5 NIKKEI 13.040105 SILVER-mini -62.5 SOYBEAN 187.5 SP500_micro -1.25 US30 93.75 US5 -31.25 VIX 0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 998.588805 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 30.0 COCOA 460.0 CRUDE_W -30.0 DAX 18.22655 DOW -29.0 EUR 43.75 FEEDCOW -25.0 GASOIL 0.0 GAS_US_mini 187.5 GOLD_micro -33.0 MILK -100.0 MXP 0.0 NASDAQ_micro -23.5 NIKKEI 9.780079 SILVER-mini -187.5 SOYBEAN 0 SP500_micro -2.5 US30 62.5 US5 -39.0625 VIX -150.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 192.194129 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 COCOA 0 CRUDE_W 0 DAX 0 DOW 0 EUR 0 FEEDCOW 0 GASOIL 0 GAS_US_mini 0 GOLD_micro 0 MILK 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 SILVER-mini 0 SOYBEAN 0 SP500_micro 0 US30 0 US5 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 AUD 32.5 COCOA 500.0 CRUDE_W -20.0 DAX 18.762625 DOW -28.5 EUR 46.875 FEEDCOW -6.25 GASOIL 12.5 GAS_US_mini 206.25 GOLD_micro -32.5 MILK -60.0 MXP 2.5 NASDAQ_micro -23.0 NIKKEI 11.410092 SILVER-mini -125.0 SOYBEAN 175.0 SP500_micro -1.875 US30 78.125 US5 -35.15625 VIX -75.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 676.641467 ******************************************************************************** END OF REPORT ********************************************************************************