******************************************************************************** Trades report produced on 25/11/2024 21:39 from 24/11/2024 21:39 to 25/11/2024 21:39 ******************************************************************************** ============================================================================================================= Broker orders ============================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15396 DOW caleb_strategy_v3 [20241200] 2024-11-25 15:00:21 [1] 44848.00000 15393 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-25 14:00:18 [1] 3.46000 15395 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-25 14:02:01 [1] 3.46500 15403 LIVECOW caleb_strategy_v3 [20250200] 2024-11-25 15:37:27 [1] 188.92500 15392 NIKKEI caleb_strategy_v3 [20241200] 2024-11-25 03:02:34 [-1] 38820.00000 15394 OJ _ROLL_PSEUDO_STRATEGY [20250100, 20250300] 2024-11-25 14:00:39 [-1, 1] 21.25000 15400 SP500_micro caleb_strategy_v3 [20241200] 2024-11-25 15:05:46 [1] 6020.50000 15398 SP500_micro caleb_strategy_v3 [20241200] 2024-11-25 15:00:23 [1] 6020.00000 15401 US30 _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-11-25 15:05:48 [1, -1] -0.09375 15402 US30 _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-11-25 15:09:19 [1, -1] -0.09375 15399 US30 _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-11-25 15:05:26 [1, -1] -0.06250 15397 VIX caleb_strategy_v3 [20250200] 2024-11-25 15:00:22 [-1] 16.95000 ================================================================================================================================================================== Delays ================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15392 NIKKEI caleb_strategy_v3 2024-11-22 00:00:00 2024-11-25 03:01:14.450000 2024-11-25 03:02:34 270074.45 79.55 15394 OJ _ROLL_PSEUDO_STRATEGY 2024-11-22 18:00:00 2024-11-25 14:00:21.315000 2024-11-25 14:00:39 244821.315 17.685 15393 GAS_US_mini caleb_strategy_v3 2024-11-22 00:00:00 2024-11-25 14:00:18.839000 2024-11-25 14:00:18 309618.839 NaN 15395 GAS_US_mini caleb_strategy_v3 2024-11-22 00:00:00 2024-11-25 14:01:18.066000 2024-11-25 14:02:01 309678.066 42.934 15396 DOW caleb_strategy_v3 2024-11-22 00:00:00 2024-11-25 15:00:21.102000 2024-11-25 15:00:21 313221.102 NaN 15397 VIX caleb_strategy_v3 2024-11-22 00:00:00 2024-11-25 15:00:22.714000 2024-11-25 15:00:22 313222.714 NaN 15400 SP500_micro caleb_strategy_v3 2024-11-22 00:00:00 2024-11-25 15:05:46.809000 2024-11-25 15:05:46 313546.809 NaN 15398 SP500_micro caleb_strategy_v3 2024-11-22 00:00:00 2024-11-25 15:00:23.826000 2024-11-25 15:00:23 313223.826 NaN 15401 US30 _ROLL_PSEUDO_STRATEGY 2024-11-22 20:00:00 2024-11-25 15:05:47.525000 2024-11-25 15:05:48 241547.525 0.475 15402 US30 _ROLL_PSEUDO_STRATEGY 2024-11-22 20:00:00 2024-11-25 15:06:47.250000 2024-11-25 15:09:19 241607.25 151.75 15399 US30 _ROLL_PSEUDO_STRATEGY 2024-11-22 20:00:00 2024-11-25 15:00:25.898000 2024-11-25 15:05:26 241225.898 300.102 15403 LIVECOW caleb_strategy_v3 2024-11-22 00:00:00 2024-11-25 15:30:27.471000 2024-11-25 15:37:27 315027.471 419.529 ======================================================================================================================================================================================================================================== 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 15392 NIKKEI caleb_strategy_v3 [-1] 38560.0 None 38837.5 38835.0 38840.0 38840.0 38820.0 277.5 -2.5 -15.0 -20.0 NaN -17.5 15394 OJ _ROLL_PSEUDO_STRATEGY [-1, 1] 26.55 None 22.35 19.7 25.0 25.0 21.25 -4.2 -2.65 1.55 -3.75 NaN -1.1 15393 GAS_US_mini caleb_strategy_v3 [1] 3.3 None 3.4675 3.47 3.465 3.465 3.46 -0.1675 -0.0025 0.01 0.005 NaN 0.0075 15395 GAS_US_mini caleb_strategy_v3 [1] 3.3 None 3.4675 3.47 3.465 3.465 3.465 -0.1675 -0.0025 0.005 0.0 NaN 0.0025 15396 DOW caleb_strategy_v3 [1] 44366.0 None 44866.5 44867.0 44866.0 44866.0 44848.0 -500.5 -0.5 19.0 18.0 NaN 18.5 15397 VIX caleb_strategy_v3 [-1] 17.3 None 16.925 16.9 16.95 16.95 16.95 -0.375 -0.025 0.05 -0.0 NaN 0.025 15400 SP500_micro caleb_strategy_v3 [1] 5980.25 None 6032.375 6032.5 6032.25 6032.25 6020.5 -52.125 -0.125 12.0 11.75 NaN 11.875 15398 SP500_micro caleb_strategy_v3 [1] 5980.25 None 6032.375 6032.5 6032.25 6032.25 6020.0 -52.125 -0.125 12.5 12.25 NaN 12.375 15401 US30 _ROLL_PSEUDO_STRATEGY [1, -1] -0.125 None -0.109375 -0.0625 -0.15625 -0.15625 -0.09375 -0.015625 -0.046875 0.03125 -0.0625 NaN -0.015625 15402 US30 _ROLL_PSEUDO_STRATEGY [1, -1] -0.125 None -0.09375 -0.0625 -0.125 -0.125 -0.09375 -0.03125 -0.03125 0.03125 -0.03125 NaN 0.0 15399 US30 _ROLL_PSEUDO_STRATEGY [1, -1] -0.125 None -0.09375 -0.0625 -0.125 -0.125 -0.0625 -0.03125 -0.03125 0.0 -0.0625 NaN -0.03125 15403 LIVECOW caleb_strategy_v3 [1] 188.3 None 188.3625 188.375 188.35 188.35 188.925 -0.0625 -0.0125 -0.55 -0.575 NaN -0.5625 ====================================================================================================================================================================== 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 15392 NIKKEI caleb_strategy_v3 [-1] 7717.856267 359.555802 -3.239241 -19.435449 -25.913932 NaN -22.67469 15394 OJ _ROLL_PSEUDO_STRATEGY [-1, 1] 144.236913 -291.187595 -183.725507 107.462089 -259.988924 NaN -76.263418 15393 GAS_US_mini caleb_strategy_v3 [1] 1.733531 -966.236001 -14.421433 57.685731 28.842866 NaN 43.264299 15395 GAS_US_mini caleb_strategy_v3 [1] 1.733531 -966.236001 -14.421433 28.842866 0.0 NaN 14.421433 15396 DOW caleb_strategy_v3 [1] 5385.047912 -929.425343 -0.928497 35.28288 33.425886 NaN 34.354383 15397 VIX caleb_strategy_v3 [-1] 7.556247 -496.278126 -33.085208 66.170417 -0.0 NaN 33.085208 15400 SP500_micro caleb_strategy_v3 [1] 662.777894 -786.462562 -1.886001 181.056129 177.284127 NaN 179.170128 15398 SP500_micro caleb_strategy_v3 [1] 662.777894 -786.462562 -1.886001 188.600135 184.828132 NaN 186.714133 15401 US30 _ROLL_PSEUDO_STRATEGY [1, -1] 20.851242 -7.493558 -22.480675 14.987117 -29.974233 NaN -7.493558 15402 US30 _ROLL_PSEUDO_STRATEGY [1, -1] 20.851242 -14.987117 -14.987117 14.987117 -14.987117 NaN 0.0 15399 US30 _ROLL_PSEUDO_STRATEGY [1, -1] 20.851242 -14.987117 -14.987117 0.0 -29.974233 NaN -14.987117 15403 LIVECOW caleb_strategy_v3 [1] 17.08479 -36.582246 -7.316449 -321.923766 -336.556665 NaN -329.240215 =============================================================================================================================================================================== 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 15392 NIKKEI caleb_strategy_v3 [-1] 0.648206 179.8771 -1.620514 -9.723086 -12.964115 NaN -11.343601 15394 OJ _ROLL_PSEUDO_STRATEGY [-1, 1] 150.0 -630.0 -397.5 232.5 -562.5 NaN -165.0 15393 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -418.75 -6.25 25.0 12.5 NaN 18.75 15395 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -418.75 -6.25 12.5 0.0 NaN 6.25 15396 DOW caleb_strategy_v3 [1] 0.5 -250.25 -0.25 9.5 9.0 NaN 9.25 15397 VIX caleb_strategy_v3 [-1] 1000.0 -375.0 -25.0 50.0 -0.0 NaN 25.0 15400 SP500_micro caleb_strategy_v3 [1] 5.0 -260.625 -0.625 60.0 58.75 NaN 59.375 15398 SP500_micro caleb_strategy_v3 [1] 5.0 -260.625 -0.625 62.5 61.25 NaN 61.875 15401 US30 _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -15.625 -46.875 31.25 -62.5 NaN -15.625 15402 US30 _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -31.25 -31.25 31.25 -31.25 NaN 0.0 15399 US30 _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 -31.25 -31.25 0.0 -62.5 NaN -31.25 15403 LIVECOW caleb_strategy_v3 [1] 400.0 -25.0 -5.0 -220.0 -230.0 NaN -225.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OJ -630.0 US30 -78.125 caleb_strategy_v3 DOW -250.25 GAS_US_mini -837.5 LIVECOW -25.0 NIKKEI 179.8771 SP500_micro -521.25 VIX -375.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -708.125 caleb_strategy_v3 -1829.1229 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OJ -397.5 US30 -109.375 caleb_strategy_v3 DOW -0.25 GAS_US_mini -12.5 LIVECOW -5.0 NIKKEI -1.620514 SP500_micro -1.25 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -506.875 caleb_strategy_v3 -45.620514 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OJ 232.5 US30 62.5 caleb_strategy_v3 DOW 9.5 GAS_US_mini 37.5 LIVECOW -220.0 NIKKEI -9.723086 SP500_micro 122.5 VIX 50.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 295.0 caleb_strategy_v3 -10.223086 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OJ -562.5 US30 -156.25 caleb_strategy_v3 DOW 9.0 GAS_US_mini 12.5 LIVECOW -230.0 NIKKEI -12.964115 SP500_micro 120.0 VIX -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -718.75 caleb_strategy_v3 -101.464115 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OJ 0 US30 0 caleb_strategy_v3 DOW 0 GAS_US_mini 0 LIVECOW 0 NIKKEI 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 OJ -165.0 US30 -46.875 caleb_strategy_v3 DOW 9.25 GAS_US_mini 25.0 LIVECOW -225.0 NIKKEI -11.343601 SP500_micro 121.25 VIX 25.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -211.875 caleb_strategy_v3 -55.843601 ******************************************************************************** END OF REPORT 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