******************************************************************************** Trades report produced on 21/11/2024 21:39 from 20/11/2024 21:39 to 21/11/2024 21:39 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15380 CAD caleb_strategy_v3 [20241200] 2024-11-21 15:10:55.000 [-1] 0.718100 15378 CHF caleb_strategy_v3 [20241200] 2024-11-21 15:00:53.000 [-1] 1.134750 15376 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-21 14:06:43.000 [1] 3.565000 15377 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-21 14:07:43.000 [1] 3.565000 15374 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-21 14:06:39.000 [1] 3.570000 15375 GOLD_micro caleb_strategy_v3 [20250200] 2024-11-21 14:06:40.000 [-1] 2694.100000 15382 JPY caleb_strategy_v3 [20241200] 2024-11-21 15:11:41.000 [1] 0.006512 15379 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-11-21 19:45:07.768 [0] NaN 15383 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-11-21 15:12:13.000 [-1] 20618.750000 15373 NIKKEI caleb_strategy_v3 [20241200] 2024-11-21 03:01:24.000 [1] 37985.000000 15381 US5 caleb_strategy_v3 [20241200] 2024-11-21 15:10:55.000 [-1] 106.773438 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15373 NIKKEI caleb_strategy_v3 2024-11-20 00:00:00 2024-11-21 03:01:15.654000 2024-11-21 03:01:24 97275.654 8.346 15375 GOLD_micro caleb_strategy_v3 2024-11-20 00:00:00 2024-11-21 14:06:39.987000 2024-11-21 14:06:40 137199.987 0.013 15376 GAS_US_mini caleb_strategy_v3 2024-11-20 00:00:00 2024-11-21 14:06:43.172000 2024-11-21 14:06:43 137203.172 NaN 15377 GAS_US_mini caleb_strategy_v3 2024-11-20 00:00:00 2024-11-21 14:07:43.431000 2024-11-21 14:07:43 137263.431 NaN 15374 GAS_US_mini caleb_strategy_v3 2024-11-20 00:00:00 2024-11-21 14:00:38.514000 2024-11-21 14:06:39 136838.514 360.486 15378 CHF caleb_strategy_v3 2024-11-20 00:00:00 2024-11-21 15:00:53.582000 2024-11-21 15:00:53 140453.582 NaN 15380 CAD caleb_strategy_v3 2024-11-20 00:00:00 2024-11-21 15:10:55.087000 2024-11-21 15:10:55 141055.087 NaN 15381 US5 caleb_strategy_v3 2024-11-20 00:00:00 2024-11-21 15:10:55.891000 2024-11-21 15:10:55 141055.891 NaN 15382 JPY caleb_strategy_v3 2024-11-20 00:00:00 2024-11-21 15:10:56.691000 2024-11-21 15:11:41 141056.691 44.309 15379 NASDAQ_micro caleb_strategy_v3 2024-11-20 00:00:00 2024-11-21 15:00:54.354000 2024-11-21 19:45:07.768000 140454.354 17053.414 15383 NASDAQ_micro caleb_strategy_v3 2024-11-20 00:00:00 2024-11-21 15:11:44.518000 2024-11-21 15:12:13 141104.518 28.482 ==================================================================================================================================================================================================================================== 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 15373 NIKKEI caleb_strategy_v3 [1] 38105.0 None 37977.5 37980.0 37975.0 37975.0 37985.0 127.5 -2.5 -5.0 -10.0 NaN -7.5 15375 GOLD_micro caleb_strategy_v3 [-1] 2678.5 None 2691.95 2691.8 2692.1 2692.1 2694.1 13.45 -0.15 2.3 2.0 NaN 2.15 15376 GAS_US_mini caleb_strategy_v3 [1] 3.4 None 3.5675 3.57 3.565 3.565 3.565 -0.1675 -0.0025 0.005 0.0 NaN 0.0025 15377 GAS_US_mini caleb_strategy_v3 [1] 3.4 None 3.5675 3.57 3.565 3.565 3.565 -0.1675 -0.0025 0.005 0.0 NaN 0.0025 15374 GAS_US_mini caleb_strategy_v3 [1] 3.4 None 3.54 3.545 3.535 3.535 3.57 -0.14 -0.005 -0.025 -0.035 NaN -0.03 15378 CHF caleb_strategy_v3 [-1] 1.13385 None 1.1337 1.13365 1.13375 NaN 1.13475 -0.00015 -0.00005 0.0011 NaN NaN 0.00105 15380 CAD caleb_strategy_v3 [-1] 0.7157 None 0.717625 0.7176 0.71765 0.71765 0.7181 0.001925 -0.000025 0.0005 0.00045 NaN 0.000475 15381 US5 caleb_strategy_v3 [-1] 106.640625 None 106.761719 106.757812 106.765625 106.765625 106.773438 0.121094 -0.003906 0.015625 0.007813 NaN 0.011719 15382 JPY caleb_strategy_v3 [1] 0.006457 None 0.006509 0.006509 0.006509 0.006508 0.006512 -0.000052 -0.0 -0.000003 -0.000004 NaN -0.000003 15379 NASDAQ_micro caleb_strategy_v3 [-1] 20608.75 None 20777.375 20777.25 20777.5 20777.5 NaN 168.625 -0.125 NaN NaN NaN NaN 15383 NASDAQ_micro caleb_strategy_v3 [-1] 20608.75 None 20662.75 20662.5 20663.0 20663.0 20618.75 54.0 -0.25 -43.75 -44.25 NaN -44.0 ================================================================================================================================================================ 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 15373 NIKKEI caleb_strategy_v3 [1] 7829.0607 162.854785 -3.193231 -6.386462 -12.772924 NaN -9.579693 15375 GOLD_micro caleb_strategy_v3 [-1] 428.905081 313.589197 -3.497277 53.624919 46.630364 NaN 50.127641 15376 GAS_US_mini caleb_strategy_v3 [1] 1.572997 -1064.846017 -15.893224 31.786448 0.0 NaN 15.893224 15377 GAS_US_mini caleb_strategy_v3 [1] 1.572997 -1064.846017 -15.893224 31.786448 0.0 NaN 15.893224 15374 GAS_US_mini caleb_strategy_v3 [1] 1.572997 -890.020552 -31.786448 -158.932241 -222.505138 NaN -190.71869 15378 CHF caleb_strategy_v3 [-1] 0.083941 -17.869635 -5.956545 131.043993 NaN NaN 125.087448 15380 CAD caleb_strategy_v3 [-1] 0.039018 493.358867 -6.407258 128.14516 115.330644 NaN 121.737902 15381 US5 caleb_strategy_v3 [-1] 3.990387 303.463688 -9.789151 39.157858 19.579555 NaN 29.368707 15382 JPY caleb_strategy_v3 [1] 0.000762 -675.68972 -6.560094 -32.800472 -45.920661 NaN -39.360566 15379 NASDAQ_micro caleb_strategy_v3 [-1] 3323.401844 507.386732 -0.376121 NaN NaN NaN NaN 15383 NASDAQ_micro caleb_strategy_v3 [-1] 3323.401844 162.484113 -0.752241 -131.642221 -133.146704 NaN -132.394462 ======================================================================================================================================================================== 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 15373 NIKKEI caleb_strategy_v3 [1] 0.645599 82.313825 -1.613997 -3.227993 -6.455986 NaN -4.84199 15375 GOLD_micro caleb_strategy_v3 [-1] 10.0 134.5 -1.5 23.0 20.0 NaN 21.5 15376 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -418.75 -6.25 12.5 0.0 NaN 6.25 15377 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -418.75 -6.25 12.5 0.0 NaN 6.25 15374 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -350.0 -12.5 -62.5 -87.5 NaN -75.0 15378 CHF caleb_strategy_v3 [-1] 125000.0 -18.75 -6.25 137.5 NaN NaN 131.25 15380 CAD caleb_strategy_v3 [-1] 100000.0 192.5 -2.5 50.0 45.0 NaN 47.5 15381 US5 caleb_strategy_v3 [-1] 1000.0 121.09375 -3.90625 15.6255 7.813 NaN 11.71925 15382 JPY caleb_strategy_v3 [1] 12500000.0 -643.75 -6.25 -31.25 -43.75 NaN -37.5 15379 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 337.25 -0.25 NaN NaN NaN NaN 15383 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 108.0 -0.5 -87.5 -88.5 NaN -88.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CAD 192.5 CHF -18.75 GAS_US_mini -1187.5 GOLD_micro 134.5 JPY -643.75 NASDAQ_micro 445.25 NIKKEI 82.313825 US5 121.09375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -874.342425 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CAD -2.5 CHF -6.25 GAS_US_mini -25.0 GOLD_micro -1.5 JPY -6.25 NASDAQ_micro -0.75 NIKKEI -1.613997 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -47.770247 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CAD 50.0 CHF 137.5 GAS_US_mini -37.5 GOLD_micro 23.0 JPY -31.25 NASDAQ_micro -87.5 NIKKEI -3.227993 US5 15.6255 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 66.647507 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CAD 45.0 CHF 0 GAS_US_mini -87.5 GOLD_micro 20.0 JPY -43.75 NASDAQ_micro -88.5 NIKKEI -6.455986 US5 7.813 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -153.392986 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CAD 0 CHF 0 GAS_US_mini 0 GOLD_micro 0 JPY 0 NASDAQ_micro 0 NIKKEI 0 US5 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 CAD 47.5 CHF 131.25 GAS_US_mini -62.5 GOLD_micro 21.5 JPY -37.5 NASDAQ_micro -88.0 NIKKEI -4.84199 US5 11.71925 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 19.12726 ******************************************************************************** END OF REPORT ********************************************************************************