******************************************************************************** Trades report produced on 12/11/2024 21:37 from 11/11/2024 21:37 to 12/11/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15292 AUD caleb_strategy_v3 [20241200] 2024-11-12 15:12:41.000 [-1] 0.654000 15278 BUXL caleb_strategy_v3 [20241200] 2024-11-12 08:02:19.000 [1] 133.240000 15295 CHF caleb_strategy_v3 [20241200] 2024-11-12 15:17:15.000 [-1] 1.138400 15297 CHF caleb_strategy_v3 [20241200] 2024-11-12 15:18:15.000 [-1] 1.138350 15290 CHF caleb_strategy_v3 [20241200] 2024-11-12 19:45:37.400 [0] NaN 15285 CRUDE_W caleb_strategy_v3 [20251200] 2024-11-12 14:00:14.000 [-1] 66.940000 15280 GASOIL caleb_strategy_v3 [20250200] 2024-11-12 09:00:36.000 [-1] 657.750000 15288 GBP caleb_strategy_v3 [20241200] 2024-11-12 15:02:29.000 [1] 1.278700 15286 GOLD_micro caleb_strategy_v3 [20241200] 2024-11-12 14:01:19.000 [1] 2616.000000 15293 JPY caleb_strategy_v3 [20241200] 2024-11-12 15:16:44.000 [-1] 0.006503 15294 MXP caleb_strategy_v3 [20241200] 2024-11-12 15:16:56.000 [1] 0.048540 15277 NIKKEI caleb_strategy_v3 [20241200] 2024-11-12 03:01:15.000 [1] 39450.000000 15279 OAT caleb_strategy_v3 [20241200] 2024-11-12 08:02:25.000 [-1] 124.970000 15299 REDWHEAT caleb_strategy_v3 [20250300] 2024-11-12 15:39:28.000 [-1] 562.750000 15281 ROBUSTA caleb_strategy_v3 [20250100] 2024-11-12 19:45:37.258 [0] NaN 15282 ROBUSTA caleb_strategy_v3 [20250100] 2024-11-12 19:45:37.306 [0] NaN 15283 ROBUSTA caleb_strategy_v3 [20250100] 2024-11-12 19:45:37.353 [0] NaN 15284 ROBUSTA caleb_strategy_v3 [20250100] 2024-11-12 10:30:52.000 [-1] 4471.000000 15287 US30 caleb_strategy_v3 [20241200] 2024-11-12 15:02:26.000 [1] 124.812500 15289 US5 caleb_strategy_v3 [20241200] 2024-11-12 15:02:30.000 [-1] 106.679688 15296 VIX caleb_strategy_v3 [20250100] 2024-11-12 15:17:15.000 [-1] 16.700000 15298 VIX caleb_strategy_v3 [20250100] 2024-11-12 15:18:16.000 [-1] 16.700000 15291 VIX caleb_strategy_v3 [20250100] 2024-11-12 15:12:32.000 [-1] 16.650000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15277 NIKKEI caleb_strategy_v3 2024-11-11 2024-11-12 03:01:15.003 2024-11-12 03:01:15.000 97275.003 NaN 15278 BUXL caleb_strategy_v3 2024-11-11 2024-11-12 08:00:28.570 2024-11-12 08:02:19.000 115228.57 110.43 15279 OAT caleb_strategy_v3 2024-11-11 2024-11-12 08:02:20.926 2024-11-12 08:02:25.000 115340.926 4.074 15280 GASOIL caleb_strategy_v3 2024-11-11 2024-11-12 09:00:35.191 2024-11-12 09:00:36.000 118835.191 0.809 15285 CRUDE_W caleb_strategy_v3 2024-11-11 2024-11-12 14:00:13.975 2024-11-12 14:00:14.000 136813.975 0.025 15286 GOLD_micro caleb_strategy_v3 2024-11-11 2024-11-12 14:00:15.417 2024-11-12 14:01:19.000 136815.417 63.583 15287 US30 caleb_strategy_v3 2024-11-11 2024-11-12 15:00:48.043 2024-11-12 15:02:26.000 140448.043 97.957 15288 GBP caleb_strategy_v3 2024-11-11 2024-11-12 15:02:27.626 2024-11-12 15:02:29.000 140547.626 1.374 15289 US5 caleb_strategy_v3 2024-11-11 2024-11-12 15:02:30.154 2024-11-12 15:02:30.000 140550.154 NaN 15292 AUD caleb_strategy_v3 2024-11-11 2024-11-12 15:12:33.703 2024-11-12 15:12:41.000 141153.703 7.297 15293 JPY caleb_strategy_v3 2024-11-11 2024-11-12 15:12:44.245 2024-11-12 15:16:44.000 141164.245 239.755 15294 MXP caleb_strategy_v3 2024-11-11 2024-11-12 15:16:45.343 2024-11-12 15:16:56.000 141405.343 10.657 15296 VIX caleb_strategy_v3 2024-11-11 2024-11-12 15:17:15.905 2024-11-12 15:17:15.000 141435.905 NaN 15298 VIX caleb_strategy_v3 2024-11-11 2024-11-12 15:18:16.098 2024-11-12 15:18:16.000 141496.098 NaN 15291 VIX caleb_strategy_v3 2024-11-11 2024-11-12 15:12:32.503 2024-11-12 15:12:32.000 141152.503 NaN 15299 REDWHEAT caleb_strategy_v3 2024-11-11 2024-11-12 15:30:18.211 2024-11-12 15:39:28.000 142218.211 549.789 15281 ROBUSTA caleb_strategy_v3 2024-11-11 2024-11-12 10:00:42.986 2024-11-12 19:45:37.258 122442.986 35094.272 15282 ROBUSTA caleb_strategy_v3 2024-11-11 2024-11-12 10:10:46.042 2024-11-12 19:45:37.306 123046.042 34491.264 15283 ROBUSTA caleb_strategy_v3 2024-11-11 2024-11-12 10:20:49.272 2024-11-12 19:45:37.353 123649.272 33888.081 15284 ROBUSTA caleb_strategy_v3 2024-11-11 2024-11-12 10:30:52.311 2024-11-12 10:30:52.000 124252.311 NaN 15297 CHF caleb_strategy_v3 2024-11-11 2024-11-12 15:18:15.511 2024-11-12 15:18:15.000 141495.511 NaN 15290 CHF caleb_strategy_v3 2024-11-11 2024-11-12 15:02:31.134 2024-11-12 19:45:37.400 140551.134 16986.266 15295 CHF caleb_strategy_v3 2024-11-11 2024-11-12 15:17:15.443 2024-11-12 15:17:15.000 141435.443 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 15277 NIKKEI caleb_strategy_v3 [1] 39670.0 None 39552.5 39555.0 39550.0 39550.0 39450.0 117.5 -2.5 105.0 100.0 NaN 102.5 15278 BUXL caleb_strategy_v3 [1] 133.24 None 133.22 133.24 133.2 133.2 133.24 0.02 -0.02 0.0 -0.04 NaN -0.02 15279 OAT caleb_strategy_v3 [-1] 125.04 None 124.965 124.96 124.97 124.97 124.97 -0.075 -0.005 0.01 -0.0 NaN 0.005 15280 GASOIL caleb_strategy_v3 [-1] 656.0 None 656.375 656.25 656.5 656.5 657.75 0.375 -0.125 1.5 1.25 NaN 1.375 15285 CRUDE_W caleb_strategy_v3 [-1] 66.6 None 66.945 66.93 66.96 66.96 66.94 0.345 -0.015 0.01 -0.02 NaN -0.005 15286 GOLD_micro caleb_strategy_v3 [1] 2625.7 None 2615.45 2615.5 2615.4 2615.4 2616.0 10.25 -0.05 -0.5 -0.6 NaN -0.55 15287 US30 caleb_strategy_v3 [1] 125.0 None 124.765625 124.78125 124.75 124.75 124.8125 0.234375 -0.015625 -0.03125 -0.0625 NaN -0.046875 15288 GBP caleb_strategy_v3 [1] 1.286 None 1.27865 1.2787 1.2786 1.2786 1.2787 0.00735 -0.00005 0.0 -0.0001 NaN -0.00005 15289 US5 caleb_strategy_v3 [-1] 106.75 None 106.667969 106.664062 106.671875 106.671875 106.679688 -0.082031 -0.003906 0.015625 0.007813 NaN 0.011719 15292 AUD caleb_strategy_v3 [-1] 0.6572 None 0.654125 0.6541 0.65415 0.65415 0.654 -0.003075 -0.000025 -0.0001 -0.00015 NaN -0.000125 15293 JPY caleb_strategy_v3 [-1] 0.006533 None 0.006504 0.006504 0.006504 0.006504 0.006503 -0.000028 -0.0 -0.000001 -0.000001 NaN -0.000001 15294 MXP caleb_strategy_v3 [1] 0.04866 None 0.048545 0.04855 0.04854 0.04854 0.04854 0.000115 -0.000005 0.00001 0.0 NaN 0.000005 15296 VIX caleb_strategy_v3 [-1] 16.5 None 16.625 16.6 16.65 16.65 16.7 0.125 -0.025 0.1 0.05 NaN 0.075 15298 VIX caleb_strategy_v3 [-1] 16.5 None 16.625 16.6 16.65 16.65 16.7 0.125 -0.025 0.1 0.05 NaN 0.075 15291 VIX caleb_strategy_v3 [-1] 16.5 None 16.625 16.6 16.65 16.65 16.65 0.125 -0.025 0.05 -0.0 NaN 0.025 15299 REDWHEAT caleb_strategy_v3 [-1] 572.5 None 565.125 565.0 565.25 565.25 562.75 -7.375 -0.125 -2.25 -2.5 NaN -2.375 15281 ROBUSTA caleb_strategy_v3 [-1] 4479.0 None 4517.0 4515.0 4519.0 4519.0 NaN 38.0 -2.0 NaN NaN NaN NaN 15282 ROBUSTA caleb_strategy_v3 [-1] 4479.0 None 4511.5 4510.0 4513.0 4513.0 NaN 32.5 -1.5 NaN NaN NaN NaN 15283 ROBUSTA caleb_strategy_v3 [-1] 4479.0 None 4500.5 4500.0 4501.0 4501.0 NaN 21.5 -0.5 NaN NaN NaN NaN 15284 ROBUSTA caleb_strategy_v3 [-1] 4479.0 None 4492.5 4490.0 4495.0 NaN 4471.0 13.5 -2.5 -19.0 NaN NaN -21.5 15297 CHF caleb_strategy_v3 [-1] 1.1399 None 1.13785 1.1378 1.1379 1.1379 1.13835 -0.00205 -0.00005 0.00055 0.00045 NaN 0.0005 15290 CHF caleb_strategy_v3 [-1] 1.1399 None 1.1386 1.13855 1.13865 1.13865 NaN -0.0013 -0.00005 NaN NaN NaN NaN 15295 CHF caleb_strategy_v3 [-1] 1.1399 None 1.13825 1.1382 1.1383 1.1383 1.1384 -0.00165 -0.00005 0.0002 0.0001 NaN 0.00015 =============================================================================================================================================================== 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 15277 NIKKEI caleb_strategy_v3 [1] 8794.789602 133.601832 -2.842592 119.388871 113.703687 NaN 116.546279 15278 BUXL caleb_strategy_v3 [1] 20.676627 9.672758 -9.672758 0.0 -19.345515 NaN -9.672758 15279 OAT caleb_strategy_v3 [-1] 8.367496 -89.632552 -5.975503 11.951007 -0.0 NaN 5.975503 15280 GASOIL caleb_strategy_v3 [-1] 195.9381 19.138697 -6.379566 76.55479 63.795658 NaN 70.175224 15285 CRUDE_W caleb_strategy_v3 [-1] 18.274007 188.792744 -8.20838 5.472253 -10.944507 NaN -2.736127 15286 GOLD_micro caleb_strategy_v3 [1] 449.452053 228.055472 -1.112466 -11.124657 -13.349589 NaN -12.237123 15287 US30 caleb_strategy_v3 [1] 21.546948 108.774108 -7.251607 -14.503214 -29.006429 NaN -21.754822 15288 GBP caleb_strategy_v3 [1] 0.106314 691.345163 -4.703028 0.0 -9.406057 NaN -4.703028 15289 US5 caleb_strategy_v3 [-1] 4.42291 -185.468945 -8.831855 35.328549 17.66484 NaN 26.496694 15292 AUD caleb_strategy_v3 [-1] 0.07048 -436.295044 -3.547114 -14.188457 -21.282685 NaN -17.735571 15293 JPY caleb_strategy_v3 [-1] 0.000802 -352.410773 -3.118679 -12.474718 -18.712076 NaN -15.593397 15294 MXP caleb_strategy_v3 [1] 0.007049 163.142357 -7.093146 14.186292 0.0 NaN 7.093146 15296 VIX caleb_strategy_v3 [-1] 8.450799 147.915004 -29.583001 118.332003 59.166002 NaN 88.749002 15298 VIX caleb_strategy_v3 [-1] 8.450799 147.915004 -29.583001 118.332003 59.166002 NaN 88.749002 15291 VIX caleb_strategy_v3 [-1] 8.450799 147.915004 -29.583001 59.166002 -0.0 NaN 29.583001 15299 REDWHEAT caleb_strategy_v3 [-1] 144.494159 -510.401253 -8.650869 -155.715636 -173.017374 NaN -164.366505 15281 ROBUSTA caleb_strategy_v3 [-1] 1461.135536 260.071698 -13.687984 NaN NaN NaN NaN 15282 ROBUSTA caleb_strategy_v3 [-1] 1461.135536 222.429742 -10.265988 NaN NaN NaN NaN 15283 ROBUSTA caleb_strategy_v3 [-1] 1461.135536 147.145829 -3.421996 NaN NaN NaN NaN 15284 ROBUSTA caleb_strategy_v3 [-1] 1461.135536 92.393893 -17.10998 -130.035849 NaN NaN -147.145829 15297 CHF caleb_strategy_v3 [-1] 0.089156 -229.934167 -5.60815 61.689654 50.473354 NaN 56.081504 15290 CHF caleb_strategy_v3 [-1] 0.089156 -145.811911 -5.60815 NaN NaN NaN NaN 15295 CHF caleb_strategy_v3 [-1] 0.089156 -185.068963 -5.60815 22.432602 11.216301 NaN 16.824451 ======================================================================================================================================================================== 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 15277 NIKKEI caleb_strategy_v3 [1] 0.650504 76.434198 -1.62626 68.302901 65.050382 NaN 66.676641 15278 BUXL caleb_strategy_v3 [1] 1063.7 21.274 -21.274 0.0 -42.548 NaN -21.274 15279 OAT caleb_strategy_v3 [-1] 1063.7 -79.7775 -5.3185 10.637 -0.0 NaN 5.3185 15280 GASOIL caleb_strategy_v3 [-1] 100.0 37.5 -12.5 150.0 125.0 NaN 137.5 15285 CRUDE_W caleb_strategy_v3 [-1] 1000.0 345.0 -15.0 10.0 -20.0 NaN -5.0 15286 GOLD_micro caleb_strategy_v3 [1] 10.0 102.5 -0.5 -5.0 -6.0 NaN -5.5 15287 US30 caleb_strategy_v3 [1] 1000.0 234.375 -15.625 -31.25 -62.5 NaN -46.875 15288 GBP caleb_strategy_v3 [1] 62500.0 459.375 -3.125 0.0 -6.25 NaN -3.125 15289 US5 caleb_strategy_v3 [-1] 1000.0 -82.03125 -3.90625 15.6255 7.813 NaN 11.71925 15292 AUD caleb_strategy_v3 [-1] 100000.0 -307.5 -2.5 -10.0 -15.0 NaN -12.5 15293 JPY caleb_strategy_v3 [-1] 12500000.0 -353.125 -3.125 -12.5 -18.75 NaN -15.625 15294 MXP caleb_strategy_v3 [1] 500000.0 57.5 -2.5 5.0 0.0 NaN 2.5 15296 VIX caleb_strategy_v3 [-1] 1000.0 125.0 -25.0 100.0 50.0 NaN 75.0 15298 VIX caleb_strategy_v3 [-1] 1000.0 125.0 -25.0 100.0 50.0 NaN 75.0 15291 VIX caleb_strategy_v3 [-1] 1000.0 125.0 -25.0 50.0 -0.0 NaN 25.0 15299 REDWHEAT caleb_strategy_v3 [-1] 50.0 -368.75 -6.25 -112.5 -125.0 NaN -118.75 15281 ROBUSTA caleb_strategy_v3 [-1] 10.0 380.0 -20.0 NaN NaN NaN NaN 15282 ROBUSTA caleb_strategy_v3 [-1] 10.0 325.0 -15.0 NaN NaN NaN NaN 15283 ROBUSTA caleb_strategy_v3 [-1] 10.0 215.0 -5.0 NaN NaN NaN NaN 15284 ROBUSTA caleb_strategy_v3 [-1] 10.0 135.0 -25.0 -190.0 NaN NaN -215.0 15297 CHF caleb_strategy_v3 [-1] 125000.0 -256.25 -6.25 68.75 56.25 NaN 62.5 15290 CHF caleb_strategy_v3 [-1] 125000.0 -162.5 -6.25 NaN NaN NaN NaN 15295 CHF caleb_strategy_v3 [-1] 125000.0 -206.25 -6.25 25.0 12.5 NaN 18.75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD -307.5 BUXL 21.274 CHF -625.0 CRUDE_W 345.0 GASOIL 37.5 GBP 459.375 GOLD_micro 102.5 JPY -353.125 MXP 57.5 NIKKEI 76.434198 OAT -79.7775 REDWHEAT -368.75 ROBUSTA 1055.0 US30 234.375 US5 -82.03125 VIX 375.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 947.774448 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -2.5 BUXL -21.274 CHF -18.75 CRUDE_W -15.0 GASOIL -12.5 GBP -3.125 GOLD_micro -0.5 JPY -3.125 MXP -2.5 NIKKEI -1.62626 OAT -5.3185 REDWHEAT -6.25 ROBUSTA -65.0 US30 -15.625 US5 -3.90625 VIX -75.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -252.00001 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD -10.0 BUXL 0.0 CHF 93.75 CRUDE_W 10.0 GASOIL 150.0 GBP 0.0 GOLD_micro -5.0 JPY -12.5 MXP 5.0 NIKKEI 68.302901 OAT 10.637 REDWHEAT -112.5 ROBUSTA -190.0 US30 -31.25 US5 15.6255 VIX 250.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 242.065401 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD -15.0 BUXL -42.548 CHF 68.75 CRUDE_W -20.0 GASOIL 125.0 GBP -6.25 GOLD_micro -6.0 JPY -18.75 MXP 0.0 NIKKEI 65.050382 OAT -0.0 REDWHEAT -125.0 ROBUSTA 0 US30 -62.5 US5 7.813 VIX 100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 70.565382 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 BUXL 0 CHF 0 CRUDE_W 0 GASOIL 0 GBP 0 GOLD_micro 0 JPY 0 MXP 0 NIKKEI 0 OAT 0 REDWHEAT 0 ROBUSTA 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 -12.5 BUXL -21.274 CHF 81.25 CRUDE_W -5.0 GASOIL 137.5 GBP -3.125 GOLD_micro -5.5 JPY -15.625 MXP 2.5 NIKKEI 66.676641 OAT 5.3185 REDWHEAT -118.75 ROBUSTA -215.0 US30 -46.875 US5 11.71925 VIX 175.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 36.315391 ******************************************************************************** END OF REPORT ********************************************************************************