******************************************************************************** Trades report produced on 19/11/2024 21:39 from 18/11/2024 21:39 to 19/11/2024 21:39 ******************************************************************************** ============================================================================================================= Broker orders ============================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15365 CHF caleb_strategy_v3 [20241200] 2024-11-19 15:05:49 [-1] 1.13680 15362 COPPER _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-11-19 14:02:29 [1, -1] -0.04800 15364 COPPER _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-11-19 14:02:59 [1, -1] -0.04850 15372 FEEDCOW caleb_strategy_v3 [20250300] 2024-11-19 15:32:25 [1] 249.20000 15361 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-19 14:00:40 [1] 3.16000 15363 GOLD_micro _ROLL_PSEUDO_STRATEGY [20241200, 20250200] 2024-11-19 14:02:44 [-1, 1] -23.80000 15368 MXP caleb_strategy_v3 [20241200] 2024-11-19 15:07:17 [1] 0.04915 15371 MXP caleb_strategy_v3 [20241200] 2024-11-19 15:07:50 [1] 0.04914 15369 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-11-19 15:07:17 [-1] 20558.00000 15367 SP500_micro caleb_strategy_v3 [20241200] 2024-11-19 15:06:32 [1] 5886.75000 15370 VIX caleb_strategy_v3 [20250200] 2024-11-19 15:07:39 [-1] 17.55000 15366 VIX caleb_strategy_v3 [20250200] 2024-11-19 15:05:53 [-1] 17.60000 ================================================================================================================================================================== Delays ================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15361 GAS_US_mini caleb_strategy_v3 2024-11-18 00:00:00 2024-11-19 14:00:40.247000 2024-11-19 14:00:40 136840.247 NaN 15363 GOLD_micro _ROLL_PSEUDO_STRATEGY 2024-11-18 19:00:00 2024-11-19 14:02:30.866000 2024-11-19 14:02:44 68550.866 13.134 15362 COPPER _ROLL_PSEUDO_STRATEGY 2024-11-18 19:00:00 2024-11-19 14:00:42.234000 2024-11-19 14:02:29 68442.234 106.766 15364 COPPER _ROLL_PSEUDO_STRATEGY 2024-11-18 19:00:00 2024-11-19 14:02:47.374000 2024-11-19 14:02:59 68567.374 11.626 15365 CHF caleb_strategy_v3 2024-11-18 00:00:00 2024-11-19 15:00:58.414000 2024-11-19 15:05:49 140458.414 290.586 15367 SP500_micro caleb_strategy_v3 2024-11-18 00:00:00 2024-11-19 15:05:53.938000 2024-11-19 15:06:32 140753.938 38.062 15369 NASDAQ_micro caleb_strategy_v3 2024-11-18 00:00:00 2024-11-19 15:07:17.870000 2024-11-19 15:07:17 140837.87 NaN 15370 VIX caleb_strategy_v3 2024-11-18 00:00:00 2024-11-19 15:07:21.088000 2024-11-19 15:07:39 140841.088 17.912 15366 VIX caleb_strategy_v3 2024-11-18 00:00:00 2024-11-19 15:05:49.974000 2024-11-19 15:05:53 140749.974 3.026 15368 MXP caleb_strategy_v3 2024-11-18 00:00:00 2024-11-19 15:06:33.002000 2024-11-19 15:07:17 140793.002 43.998 15371 MXP caleb_strategy_v3 2024-11-18 00:00:00 2024-11-19 15:07:39.642000 2024-11-19 15:07:50 140859.642 10.358 15372 FEEDCOW caleb_strategy_v3 2024-11-18 00:00:00 2024-11-19 15:30:24.510000 2024-11-19 15:32:25 142224.51 120.49 ======================================================================================================================================================================================================================================== 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 15361 GAS_US_mini caleb_strategy_v3 [1] 3.18 None 3.1525 3.155 3.15 NaN 3.16 0.0275 -0.0025 -0.005 NaN NaN -0.0075 15363 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1, 1] -23.8 None -23.75 -24.0 -23.5 -23.5 -23.8 0.05 -0.25 0.2 -0.3 NaN -0.05 15362 COPPER _ROLL_PSEUDO_STRATEGY [1, -1] -0.0475 None -0.049 -0.048 -0.05 -0.05 -0.048 0.0015 -0.001 0.0 -0.002 NaN -0.001 15364 COPPER _ROLL_PSEUDO_STRATEGY [1, -1] -0.0475 None -0.049 -0.048 -0.05 -0.05 -0.0485 0.0015 -0.001 0.0005 -0.0015 NaN -0.0005 15365 CHF caleb_strategy_v3 [-1] 1.13515 None 1.13775 1.1377 1.1378 1.1378 1.1368 0.0026 -0.00005 -0.0009 -0.001 NaN -0.00095 15367 SP500_micro caleb_strategy_v3 [1] 5920.0 None 5885.375 5885.5 5885.25 5885.25 5886.75 34.625 -0.125 -1.25 -1.5 NaN -1.375 15369 NASDAQ_micro caleb_strategy_v3 [-1] 20638.75 None 20539.0 20538.75 20539.25 20539.25 20558.0 -99.75 -0.25 19.25 18.75 NaN 19.0 15370 VIX caleb_strategy_v3 [-1] 17.0 None 17.575 17.55 17.6 17.6 17.55 0.575 -0.025 -0.0 -0.05 NaN -0.025 15366 VIX caleb_strategy_v3 [-1] 17.0 None 17.575 17.55 17.6 17.6 17.6 0.575 -0.025 0.05 -0.0 NaN 0.025 15368 MXP caleb_strategy_v3 [1] 0.04924 None 0.04915 0.04916 0.04914 0.04914 0.04915 0.00009 -0.00001 0.00001 -0.00001 NaN 0.0 15371 MXP caleb_strategy_v3 [1] 0.04924 None 0.049145 0.04915 0.04914 0.04914 0.04914 0.000095 -0.000005 0.00001 0.0 NaN 0.000005 15372 FEEDCOW caleb_strategy_v3 [1] 248.55 None 249.1875 249.225 249.15 249.15 249.2 -0.6375 -0.0375 0.025 -0.05 NaN -0.0125 ====================================================================================================================================================================== 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 15361 GAS_US_mini caleb_strategy_v3 [1] 1.49744 183.646718 -16.695156 -33.390312 NaN NaN -50.085469 15363 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1, 1] 443.101877 1.128409 -5.642043 4.513635 -6.770452 NaN -1.128409 15362 COPPER _ROLL_PSEUDO_STRATEGY [1, -1] 1.179621 12.715944 -8.477296 0.0 -16.954592 NaN -8.477296 15364 COPPER _ROLL_PSEUDO_STRATEGY [1, -1] 1.179621 12.715944 -8.477296 4.238648 -12.715944 NaN -4.238648 15365 CHF caleb_strategy_v3 [-1] 0.088093 295.142036 -5.675808 -102.164551 -113.516168 NaN -107.840359 15367 SP500_micro caleb_strategy_v3 [1] 728.916016 475.020431 -1.714875 -17.148752 -20.578502 NaN -18.863627 15369 NASDAQ_micro caleb_strategy_v3 [-1] 3510.52794 -284.145296 -0.712144 54.835057 53.41077 NaN 54.122913 15370 VIX caleb_strategy_v3 [-1] 8.275105 694.855226 -30.211097 -0.0 -60.422194 NaN -30.211097 15366 VIX caleb_strategy_v3 [-1] 8.275105 694.855226 -30.211097 60.422194 -0.0 NaN 30.211097 15368 MXP caleb_strategy_v3 [1] 0.006593 136.509651 -15.167739 15.167739 -15.167739 NaN 0.0 15371 MXP caleb_strategy_v3 [1] 0.006593 144.09352 -7.583869 15.167739 0.0 NaN 7.583869 15372 FEEDCOW caleb_strategy_v3 [1] 30.584342 -208.439993 -12.261176 8.174117 -16.348235 NaN -4.087059 =============================================================================================================================================================================== 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 15361 GAS_US_mini caleb_strategy_v3 [1] 2500.0 68.75 -6.25 -12.5 NaN NaN -18.75 15363 GOLD_micro _ROLL_PSEUDO_STRATEGY [-1, 1] 10.0 0.5 -2.5 2.0 -3.0 NaN -0.5 15362 COPPER _ROLL_PSEUDO_STRATEGY [1, -1] 25000.0 37.5 -25.0 0.0 -50.0 NaN -25.0 15364 COPPER _ROLL_PSEUDO_STRATEGY [1, -1] 25000.0 37.5 -25.0 12.5 -37.5 NaN -12.5 15365 CHF caleb_strategy_v3 [-1] 125000.0 325.0 -6.25 -112.5 -125.0 NaN -118.75 15367 SP500_micro caleb_strategy_v3 [1] 5.0 173.125 -0.625 -6.25 -7.5 NaN -6.875 15369 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -199.5 -0.5 38.5 37.5 NaN 38.0 15370 VIX caleb_strategy_v3 [-1] 1000.0 575.0 -25.0 -0.0 -50.0 NaN -25.0 15366 VIX caleb_strategy_v3 [-1] 1000.0 575.0 -25.0 50.0 -0.0 NaN 25.0 15368 MXP caleb_strategy_v3 [1] 500000.0 45.0 -5.0 5.0 -5.0 NaN 0.0 15371 MXP caleb_strategy_v3 [1] 500000.0 47.5 -2.5 5.0 0.0 NaN 2.5 15372 FEEDCOW caleb_strategy_v3 [1] 500.0 -318.75 -18.75 12.5 -25.0 NaN -6.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COPPER 75.0 GOLD_micro 0.5 caleb_strategy_v3 CHF 325.0 FEEDCOW -318.75 GAS_US_mini 68.75 MXP 92.5 NASDAQ_micro -199.5 SP500_micro 173.125 VIX 1150.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 75.5 caleb_strategy_v3 1291.125 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COPPER -50.0 GOLD_micro -2.5 caleb_strategy_v3 CHF -6.25 FEEDCOW -18.75 GAS_US_mini -6.25 MXP -7.5 NASDAQ_micro -0.5 SP500_micro -0.625 VIX -50.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -52.5 caleb_strategy_v3 -89.875 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COPPER 12.5 GOLD_micro 2.0 caleb_strategy_v3 CHF -112.5 FEEDCOW 12.5 GAS_US_mini -12.5 MXP 10.0 NASDAQ_micro 38.5 SP500_micro -6.25 VIX 50.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 14.5 caleb_strategy_v3 -20.25 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COPPER -87.5 GOLD_micro -3.0 caleb_strategy_v3 CHF -125.0 FEEDCOW -25.0 GAS_US_mini 0 MXP -5.0 NASDAQ_micro 37.5 SP500_micro -7.5 VIX -50.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -90.5 caleb_strategy_v3 -175.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COPPER 0 GOLD_micro 0 caleb_strategy_v3 CHF 0 FEEDCOW 0 GAS_US_mini 0 MXP 0 NASDAQ_micro 0 SP500_micro 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 COPPER -37.5 GOLD_micro -0.5 caleb_strategy_v3 CHF -118.75 FEEDCOW -6.25 GAS_US_mini -18.75 MXP 2.5 NASDAQ_micro 38.0 SP500_micro -6.875 VIX -0.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -38.0 caleb_strategy_v3 -110.125 ******************************************************************************** END OF REPORT ********************************************************************************