******************************************************************************** Trades report produced on 26/11/2024 21:40 from 25/11/2024 21:40 to 26/11/2024 21:40 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15407 CHF caleb_strategy_v3 [20241200] 2024-11-26 15:01:03.000 [-1] 1.13030 15409 EUR caleb_strategy_v3 [20241200] 2024-11-26 15:01:04.000 [-1] 1.05150 15405 EUROSTX caleb_strategy_v3 [20241200] 2024-11-26 08:00:35.000 [1] 4777.00000 15422 FEEDCOW caleb_strategy_v3 [20250300] 2024-11-26 15:51:02.000 [1] 257.17500 15419 FEEDCOW caleb_strategy_v3 [20250300] 2024-11-26 19:45:07.256 [0] NaN 15421 FEEDCOW caleb_strategy_v3 [20250300] 2024-11-26 15:50:59.000 [1] 257.22500 15406 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-26 14:06:19.000 [1] 3.49000 15411 MXP caleb_strategy_v3 [20241200] 2024-11-26 15:01:40.000 [1] 0.04836 15414 MXP caleb_strategy_v3 [20241200] 2024-11-26 15:03:54.000 [1] 0.04837 15413 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-11-26 15:03:50.000 [1] 20983.75000 15415 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-11-26 15:03:54.000 [1] 20984.25000 15404 NIKKEI caleb_strategy_v3 [20241200] 2024-11-26 03:01:19.000 [-1] 38275.00000 15418 REDWHEAT caleb_strategy_v3 [20250300] 2024-11-26 15:36:15.000 [-1] 563.25000 15420 REDWHEAT caleb_strategy_v3 [20250300] 2024-11-26 15:46:20.000 [-1] 563.25000 15416 SOYBEAN caleb_strategy_v3 [20251100] 2024-11-26 15:30:59.000 [-1] 1011.00000 15417 SOYOIL caleb_strategy_v3 [20250300] 2024-11-26 15:36:13.000 [-1] 42.97000 15412 SP500_micro caleb_strategy_v3 [20241200] 2024-11-26 15:03:49.000 [-1] 6021.25000 15410 US30 caleb_strategy_v3 [20250300] 2024-11-26 15:01:39.000 [1] 125.09375 15408 VIX caleb_strategy_v3 [20250200] 2024-11-26 15:01:04.000 [-1] 16.80000 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15404 NIKKEI caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 03:01:19.106000 2024-11-26 03:01:19 97279.106 NaN 15405 EUROSTX caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 08:00:35.242000 2024-11-26 08:00:35 115235.242 NaN 15406 GAS_US_mini caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 14:00:48.250000 2024-11-26 14:06:19 136848.25 330.75 15407 CHF caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 15:00:45.246000 2024-11-26 15:01:03 140445.246 17.754 15408 VIX caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 15:00:46.174000 2024-11-26 15:01:04 140446.174 17.826 15409 EUR caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 15:00:47.250000 2024-11-26 15:01:04 140447.25 16.75 15410 US30 caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 15:00:48.554000 2024-11-26 15:01:39 140448.554 50.446 15412 SP500_micro caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 15:01:23.387000 2024-11-26 15:03:49 140483.387 145.613 15411 MXP caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 15:01:22.478000 2024-11-26 15:01:40 140482.478 17.522 15414 MXP caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 15:03:36.208000 2024-11-26 15:03:54 140616.208 17.792 15413 NASDAQ_micro caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 15:03:32.399000 2024-11-26 15:03:50 140612.399 17.601 15415 NASDAQ_micro caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 15:03:36.951000 2024-11-26 15:03:54 140616.951 17.049 15416 SOYBEAN caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 15:30:59.824000 2024-11-26 15:30:59 142259.824 NaN 15417 SOYOIL caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 15:31:01.110000 2024-11-26 15:36:13 142261.11 311.89 15418 REDWHEAT caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 15:36:15.166000 2024-11-26 15:36:15 142575.166 NaN 15420 REDWHEAT caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 15:46:19.969000 2024-11-26 15:46:20 143179.969 0.031 15419 FEEDCOW caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 15:36:16.470000 2024-11-26 19:45:07.256000 142576.47 14930.786 15421 FEEDCOW caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 15:46:20.433000 2024-11-26 15:50:59 143180.433 278.567 15422 FEEDCOW caleb_strategy_v3 2024-11-25 00:00:00 2024-11-26 15:51:02.479000 2024-11-26 15:51:02 143462.479 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 15404 NIKKEI caleb_strategy_v3 [-1] 38830.0 None 38247.5 38245.0 38250.0 38250.0 38275.0 -582.5 -2.5 30.0 25.0 NaN 27.5 15405 EUROSTX caleb_strategy_v3 [1] 4805.0 None 4781.5 4782.0 4781.0 4781.0 4777.0 23.5 -0.5 5.0 4.0 NaN 4.5 15406 GAS_US_mini caleb_strategy_v3 [1] 3.405 None 3.4475 3.45 3.445 3.445 3.49 -0.0425 -0.0025 -0.04 -0.045 NaN -0.0425 15407 CHF caleb_strategy_v3 [-1] 1.13135 None 1.1295 1.12945 1.12955 1.12955 1.1303 -0.00185 -0.00005 0.00085 0.00075 NaN 0.0008 15408 VIX caleb_strategy_v3 [-1] 17.05 None 16.825 16.8 16.85 16.85 16.8 -0.225 -0.025 -0.0 -0.05 NaN -0.025 15409 EUR caleb_strategy_v3 [-1] 1.05135 None 1.050875 1.05085 1.0509 1.0509 1.0515 -0.000475 -0.000025 0.00065 0.0006 NaN 0.000625 15410 US30 caleb_strategy_v3 [1] 125.6875 None 125.046875 125.0625 125.03125 125.03125 125.09375 0.640625 -0.015625 -0.03125 -0.0625 NaN -0.046875 15412 SP500_micro caleb_strategy_v3 [-1] 5998.75 None 6026.375 6026.25 6026.5 6026.5 6021.25 27.625 -0.125 -5.0 -5.25 NaN -5.125 15411 MXP caleb_strategy_v3 [1] 0.04913 None 0.048365 0.04837 0.04836 0.04836 0.04836 0.000765 -0.000005 0.00001 0.0 NaN 0.000005 15414 MXP caleb_strategy_v3 [1] 0.04913 None 0.048365 0.04837 0.04836 0.04836 0.04837 0.000765 -0.000005 0.0 -0.00001 NaN -0.000005 15413 NASDAQ_micro caleb_strategy_v3 [1] 20861.5 None 20984.0 20984.25 20983.75 20983.75 20983.75 -122.5 -0.25 0.5 0.0 NaN 0.25 15415 NASDAQ_micro caleb_strategy_v3 [1] 20861.5 None 20984.0 20984.25 20983.75 20983.75 20984.25 -122.5 -0.25 0.0 -0.5 NaN -0.25 15416 SOYBEAN caleb_strategy_v3 [-1] 1011.75 None 1012.0 1011.75 1012.25 NaN 1011.0 0.25 -0.25 -0.75 NaN NaN -1.0 15417 SOYOIL caleb_strategy_v3 [-1] 41.65 None 42.945 42.94 42.95 42.95 42.97 1.295 -0.005 0.03 0.02 NaN 0.025 15418 REDWHEAT caleb_strategy_v3 [-1] 558.5 None 562.875 562.75 563.0 563.0 563.25 4.375 -0.125 0.5 0.25 NaN 0.375 15420 REDWHEAT caleb_strategy_v3 [-1] 558.5 None 562.875 562.75 563.0 563.0 563.25 4.375 -0.125 0.5 0.25 NaN 0.375 15419 FEEDCOW caleb_strategy_v3 [1] 254.25 None 256.7125 256.75 256.675 256.675 NaN -2.4625 -0.0375 NaN NaN NaN NaN 15421 FEEDCOW caleb_strategy_v3 [1] 254.25 None 257.0625 257.1 257.025 257.025 257.225 -2.8125 -0.0375 -0.125 -0.2 NaN -0.1625 15422 FEEDCOW caleb_strategy_v3 [1] 254.25 None 257.175 257.2 257.15 NaN 257.175 -2.925 -0.025 0.025 NaN NaN -0.0 ================================================================================================================================================================ 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 15404 NIKKEI caleb_strategy_v3 [-1] 7624.483856 -763.986141 -3.27891 39.346926 32.789105 NaN 36.068015 15405 EUROSTX caleb_strategy_v3 [1] 716.996398 327.756179 -6.973536 69.735357 55.788286 NaN 62.761822 15406 GAS_US_mini caleb_strategy_v3 [1] 1.711763 -248.282043 -14.604826 -233.677217 -262.886869 NaN -248.282043 15407 CHF caleb_strategy_v3 [-1] 0.08989 -205.807146 -5.562355 94.56004 83.435329 NaN 88.997685 15408 VIX caleb_strategy_v3 [-1] 7.460651 -301.582282 -33.509142 -0.0 -67.018285 NaN -33.509142 15409 EUR caleb_strategy_v3 [-1] 0.0827 -57.436551 -3.022976 78.597385 72.551432 NaN 75.574409 15410 US30 caleb_strategy_v3 [1] 20.745012 308.809174 -7.531931 -15.063862 -30.127724 NaN -22.595793 15412 SP500_micro caleb_strategy_v3 [-1] 651.58526 423.966005 -1.918398 -76.735929 -80.572725 NaN -78.654327 15411 MXP caleb_strategy_v3 [1] 0.006833 1119.573549 -7.317474 14.634948 0.0 NaN 7.317474 15414 MXP caleb_strategy_v3 [1] 0.006833 1119.573549 -7.317474 0.0 -14.634948 NaN -7.317474 15413 NASDAQ_micro caleb_strategy_v3 [1] 3120.184428 -392.604998 -0.801235 1.602469 0.0 NaN 0.801235 15415 NASDAQ_micro caleb_strategy_v3 [1] 3120.184428 -392.604998 -0.801235 0.0 -1.602469 NaN -0.801235 15416 SOYBEAN caleb_strategy_v3 [-1] 143.204987 17.457493 -17.457493 -52.372478 NaN NaN -69.829971 15417 SOYOIL caleb_strategy_v3 [-1] 15.025132 861.889263 -3.327758 19.966547 13.311031 NaN 16.638789 15418 REDWHEAT caleb_strategy_v3 [-1] 137.377758 318.464945 -9.098998 36.395994 18.197997 NaN 27.296995 15420 REDWHEAT caleb_strategy_v3 [-1] 137.377758 318.464945 -9.098998 36.395994 18.197997 NaN 27.296995 15419 FEEDCOW caleb_strategy_v3 [1] 28.723519 -857.311379 -13.055503 NaN NaN NaN NaN 15421 FEEDCOW caleb_strategy_v3 [1] 28.723519 -979.162743 -13.055503 -43.518344 -69.629351 NaN -56.573847 15422 FEEDCOW caleb_strategy_v3 [1] 28.723519 -1018.329252 -8.703669 8.703669 NaN NaN -0.0 ========================================================================================================================================================================= 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 15404 NIKKEI caleb_strategy_v3 [-1] 0.648923 -377.997618 -1.622307 19.467689 16.223074 NaN 17.845381 15405 EUROSTX caleb_strategy_v3 [1] 10.4765 246.19775 -5.23825 52.3825 41.906 NaN 47.14425 15406 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -106.25 -6.25 -100.0 -112.5 NaN -106.25 15407 CHF caleb_strategy_v3 [-1] 125000.0 -231.25 -6.25 106.25 93.75 NaN 100.0 15408 VIX caleb_strategy_v3 [-1] 1000.0 -225.0 -25.0 -0.0 -50.0 NaN -25.0 15409 EUR caleb_strategy_v3 [-1] 125000.0 -59.375 -3.125 81.25 75.0 NaN 78.125 15410 US30 caleb_strategy_v3 [1] 1000.0 640.625 -15.625 -31.25 -62.5 NaN -46.875 15412 SP500_micro caleb_strategy_v3 [-1] 5.0 138.125 -0.625 -25.0 -26.25 NaN -25.625 15411 MXP caleb_strategy_v3 [1] 500000.0 382.5 -2.5 5.0 0.0 NaN 2.5 15414 MXP caleb_strategy_v3 [1] 500000.0 382.5 -2.5 0.0 -5.0 NaN -2.5 15413 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -245.0 -0.5 1.0 0.0 NaN 0.5 15415 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -245.0 -0.5 0.0 -1.0 NaN -0.5 15416 SOYBEAN caleb_strategy_v3 [-1] 50.0 12.5 -12.5 -37.5 NaN NaN -50.0 15417 SOYOIL caleb_strategy_v3 [-1] 600.0 777.0 -3.0 18.0 12.0 NaN 15.0 15418 REDWHEAT caleb_strategy_v3 [-1] 50.0 218.75 -6.25 25.0 12.5 NaN 18.75 15420 REDWHEAT caleb_strategy_v3 [-1] 50.0 218.75 -6.25 25.0 12.5 NaN 18.75 15419 FEEDCOW caleb_strategy_v3 [1] 500.0 -1231.25 -18.75 NaN NaN NaN NaN 15421 FEEDCOW caleb_strategy_v3 [1] 500.0 -1406.25 -18.75 -62.5 -100.0 NaN -81.25 15422 FEEDCOW caleb_strategy_v3 [1] 500.0 -1462.5 -12.5 12.5 NaN NaN -0.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CHF -231.25 EUR -59.375 EUROSTX 246.19775 FEEDCOW -4100.0 GAS_US_mini -106.25 MXP 765.0 NASDAQ_micro -490.0 NIKKEI -377.997618 REDWHEAT 437.5 SOYBEAN 12.5 SOYOIL 777.0 SP500_micro 138.125 US30 640.625 VIX -225.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -2572.924868 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CHF -6.25 EUR -3.125 EUROSTX -5.23825 FEEDCOW -50.0 GAS_US_mini -6.25 MXP -5.0 NASDAQ_micro -1.0 NIKKEI -1.622307 REDWHEAT -12.5 SOYBEAN -12.5 SOYOIL -3.0 SP500_micro -0.625 US30 -15.625 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -147.735557 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CHF 106.25 EUR 81.25 EUROSTX 52.3825 FEEDCOW -50.0 GAS_US_mini -100.0 MXP 5.0 NASDAQ_micro 1.0 NIKKEI 19.467689 REDWHEAT 50.0 SOYBEAN -37.5 SOYOIL 18.0 SP500_micro -25.0 US30 -31.25 VIX -0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 89.600189 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF 93.75 EUR 75.0 EUROSTX 41.906 FEEDCOW -100.0 GAS_US_mini -112.5 MXP -5.0 NASDAQ_micro -1.0 NIKKEI 16.223074 REDWHEAT 25.0 SOYBEAN 0 SOYOIL 12.0 SP500_micro -26.25 US30 -62.5 VIX -50.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -93.370926 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF 0 EUR 0 EUROSTX 0 FEEDCOW 0 GAS_US_mini 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 REDWHEAT 0 SOYBEAN 0 SOYOIL 0 SP500_micro 0 US30 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 CHF 100.0 EUR 78.125 EUROSTX 47.14425 FEEDCOW -81.25 GAS_US_mini -106.25 MXP 0.0 NASDAQ_micro 0.0 NIKKEI 17.845381 REDWHEAT 37.5 SOYBEAN -50.0 SOYOIL 15.0 SP500_micro -25.625 US30 -46.875 VIX -25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -39.385369 ******************************************************************************** END OF REPORT ********************************************************************************