******************************************************************************** Trades report produced on 22/11/2024 21:39 from 21/11/2024 21:39 to 22/11/2024 21:39 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15385 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-22 19:45:00.068 [0] NaN 15387 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-22 14:18:32.000 [1] 3.320000 15388 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-22 14:19:32.000 [1] 3.330000 15389 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-22 14:20:32.000 [1] 3.335000 15384 OAT caleb_strategy_v3 [20241200] 2024-11-22 08:00:42.000 [1] 124.620000 15386 SUGAR11 caleb_strategy_v3 [20250500] 2024-11-22 14:18:29.000 [-1] 19.960000 15390 US10U caleb_strategy_v3 [20250300] 2024-11-22 15:00:46.000 [-1] 112.828125 15391 VIX caleb_strategy_v3 [20250200] 2024-11-22 15:05:46.000 [-1] 17.350000 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15384 OAT caleb_strategy_v3 2024-11-21 00:00:00 2024-11-22 08:00:28.950000 2024-11-22 08:00:42 115228.95 13.05 15386 SUGAR11 caleb_strategy_v3 2024-11-21 00:00:00 2024-11-22 14:10:42.346000 2024-11-22 14:18:29 137442.346 466.654 15390 US10U caleb_strategy_v3 2024-11-21 00:00:00 2024-11-22 15:00:44.991000 2024-11-22 15:00:46 140444.991 1.009 15391 VIX caleb_strategy_v3 2024-11-21 00:00:00 2024-11-22 15:00:46.782000 2024-11-22 15:05:46 140446.782 299.218 15385 GAS_US_mini caleb_strategy_v3 2024-11-21 00:00:00 2024-11-22 14:00:41.455000 2024-11-22 19:45:00.068000 136841.455 20658.613 15387 GAS_US_mini caleb_strategy_v3 2024-11-21 00:00:00 2024-11-22 14:18:32.214000 2024-11-22 14:18:32 137912.214 NaN 15388 GAS_US_mini caleb_strategy_v3 2024-11-21 00:00:00 2024-11-22 14:19:32.710000 2024-11-22 14:19:32 137972.71 NaN 15389 GAS_US_mini caleb_strategy_v3 2024-11-21 00:00:00 2024-11-22 14:20:32.744000 2024-11-22 14:20:32 138032.744 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 15384 OAT caleb_strategy_v3 [1] 124.69 None 124.625 124.63 124.62 124.62 124.62 0.065 -0.005 0.01 0.0 NaN 0.005 15386 SUGAR11 caleb_strategy_v3 [-1] 19.98 None 19.99 19.98 20.0 20.0 19.96 0.01 -0.01 -0.02 -0.04 NaN -0.03 15390 US10U caleb_strategy_v3 [-1] 112.6875 None 112.820312 112.8125 112.828125 112.828125 112.828125 0.132812 -0.007812 0.015625 -0.0 NaN 0.007812 15391 VIX caleb_strategy_v3 [-1] 17.6 None 17.375 17.35 17.4 17.4 17.35 -0.225 -0.025 -0.0 -0.05 NaN -0.025 15385 GAS_US_mini caleb_strategy_v3 [1] 3.505 None 3.34 3.345 3.335 3.335 NaN 0.165 -0.005 NaN NaN NaN NaN 15387 GAS_US_mini caleb_strategy_v3 [1] 3.505 None 3.3525 3.355 3.35 3.35 3.32 0.1525 -0.0025 0.035 0.03 NaN 0.0325 15388 GAS_US_mini caleb_strategy_v3 [1] 3.505 None 3.3525 3.355 3.35 3.35 3.33 0.1525 -0.0025 0.025 0.02 NaN 0.0225 15389 GAS_US_mini caleb_strategy_v3 [1] 3.505 None 3.3525 3.355 3.35 3.35 3.335 0.1525 -0.0025 0.02 0.015 NaN 0.0175 =============================================================================================================================================================== 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 15384 OAT caleb_strategy_v3 [1] 7.497987 86.689935 -6.668457 13.336913 0.0 NaN 6.668457 15386 SUGAR11 caleb_strategy_v3 [-1] 5.046178 19.816977 -19.816977 -39.633954 -79.267908 NaN -59.450931 15390 US10U caleb_strategy_v3 [-1] 8.393586 158.230933 -9.307702 18.615404 -0.0 NaN 9.307702 15391 VIX caleb_strategy_v3 [-1] 7.677425 -293.067026 -32.563003 -0.0 -65.126006 NaN -32.563003 15385 GAS_US_mini caleb_strategy_v3 [1] 1.719231 959.731484 -29.082772 NaN NaN NaN NaN 15387 GAS_US_mini caleb_strategy_v3 [1] 1.719231 887.024553 -14.541386 203.579406 174.496633 NaN 189.03802 15388 GAS_US_mini caleb_strategy_v3 [1] 1.719231 887.024553 -14.541386 145.413861 116.331089 NaN 130.872475 15389 GAS_US_mini caleb_strategy_v3 [1] 1.719231 887.024553 -14.541386 116.331089 87.248317 NaN 101.789703 ======================================================================================================================================================================== 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 15384 OAT caleb_strategy_v3 [1] 1046.45 68.01925 -5.23225 10.4645 0.0 NaN 5.23225 15386 SUGAR11 caleb_strategy_v3 [-1] 1120.0 11.2 -11.2 -22.4 -44.8 NaN -33.6 15390 US10U caleb_strategy_v3 [-1] 1000.0 132.8125 -7.8125 15.625 -0.0 NaN 7.8125 15391 VIX caleb_strategy_v3 [-1] 1000.0 -225.0 -25.0 -0.0 -50.0 NaN -25.0 15385 GAS_US_mini caleb_strategy_v3 [1] 2500.0 412.5 -12.5 NaN NaN NaN NaN 15387 GAS_US_mini caleb_strategy_v3 [1] 2500.0 381.25 -6.25 87.5 75.0 NaN 81.25 15388 GAS_US_mini caleb_strategy_v3 [1] 2500.0 381.25 -6.25 62.5 50.0 NaN 56.25 15389 GAS_US_mini caleb_strategy_v3 [1] 2500.0 381.25 -6.25 50.0 37.5 NaN 43.75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini 1556.25 OAT 68.01925 SUGAR11 11.2 US10U 132.8125 VIX -225.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1543.28175 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini -31.25 OAT -5.23225 SUGAR11 -11.2 US10U -7.8125 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -80.49475 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini 200.0 OAT 10.4645 SUGAR11 -22.4 US10U 15.625 VIX -0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 203.6895 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini 162.5 OAT 0.0 SUGAR11 -44.8 US10U -0.0 VIX -50.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 67.7 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini 0 OAT 0 SUGAR11 0 US10U 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 GAS_US_mini 181.25 OAT 5.23225 SUGAR11 -33.6 US10U 7.8125 VIX -25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 135.69475 ******************************************************************************** END OF REPORT ********************************************************************************