******************************************************************************** Trades report produced on 27/11/2024 21:40 from 26/11/2024 21:40 to 27/11/2024 21:40 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15439 AUD caleb_strategy_v3 [20241200] 2024-11-27 15:07:34.000 [-1] 0.64915 15429 CANOLA caleb_strategy_v3 [20250300] 2024-11-27 14:19:14.000 [-1] 588.10000 15425 CANOLA caleb_strategy_v3 [20250300] 2024-11-27 19:45:08.082 [0] NaN 15427 CANOLA caleb_strategy_v3 [20250300] 2024-11-27 14:18:58.000 [-1] 588.10000 15424 EUROSTX caleb_strategy_v3 [20241200] 2024-11-27 08:00:36.000 [1] 4750.00000 15437 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-27 14:26:07.000 [1, -1] 0.13500 15435 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-27 14:24:06.000 [1, -1] 0.14000 15434 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-27 14:23:06.000 [1, -1] 0.14000 15436 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-27 14:25:06.000 [1, -1] 0.14000 15432 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-27 14:21:05.000 [1, -1] 0.14000 15431 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-27 14:20:05.000 [1, -1] 0.14000 15430 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-27 14:19:15.000 [1, -1] 0.14000 15428 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-27 14:19:00.000 [1, -1] 0.14000 15426 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-27 14:11:34.000 [1, -1] 0.14000 15433 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20250100, 20250200] 2024-11-27 14:22:06.000 [1, -1] 0.14000 15443 LEANHOG caleb_strategy_v3 [20250200] 2024-11-27 15:31:52.000 [1] 89.37500 15438 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-11-27 15:00:14.000 [1] 20850.50000 15423 NIKKEI caleb_strategy_v3 [20250300] 2024-11-27 03:01:16.000 [1] 38145.00000 15440 SP500_micro caleb_strategy_v3 [20241200] 2024-11-27 15:08:01.000 [-1] 6031.75000 15441 US5 _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-11-27 15:11:44.000 [1, -1] -0.21875 15442 US5 _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-11-27 15:12:06.000 [1, -1] -0.21875 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15423 NIKKEI caleb_strategy_v3 2024-11-26 00:00:00 2024-11-27 03:01:15.534000 2024-11-27 03:01:16 97275.534 0.466 15424 EUROSTX caleb_strategy_v3 2024-11-26 00:00:00 2024-11-27 08:00:36.206000 2024-11-27 08:00:36 115236.206 NaN 15426 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-11-26 19:00:00 2024-11-27 14:10:47.158000 2024-11-27 14:11:34 69047.158 46.842 15428 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-11-26 19:00:00 2024-11-27 14:18:59.138000 2024-11-27 14:19:00 69539.138 0.862 15430 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-11-26 19:00:00 2024-11-27 14:19:14.683000 2024-11-27 14:19:15 69554.683 0.317 15431 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-11-26 19:00:00 2024-11-27 14:20:04.483000 2024-11-27 14:20:05 69604.483 0.517 15432 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-11-26 19:00:00 2024-11-27 14:21:04.920000 2024-11-27 14:21:05 69664.92 0.08 15433 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-11-26 19:00:00 2024-11-27 14:22:04.964000 2024-11-27 14:22:06 69724.964 1.036 15434 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-11-26 19:00:00 2024-11-27 14:23:05.151000 2024-11-27 14:23:06 69785.151 0.849 15435 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-11-26 19:00:00 2024-11-27 14:24:05.514000 2024-11-27 14:24:06 69845.514 0.486 15436 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-11-26 19:00:00 2024-11-27 14:25:05.536000 2024-11-27 14:25:06 69905.536 0.464 15437 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2024-11-26 19:00:00 2024-11-27 14:26:06.035000 2024-11-27 14:26:07 69966.035 0.965 15438 NASDAQ_micro caleb_strategy_v3 2024-11-26 00:00:00 2024-11-27 15:00:14.078000 2024-11-27 15:00:14 140414.078 NaN 15439 AUD caleb_strategy_v3 2024-11-26 00:00:00 2024-11-27 15:00:15.482000 2024-11-27 15:07:34 140415.482 438.518 15440 SP500_micro caleb_strategy_v3 2024-11-26 00:00:00 2024-11-27 15:07:35.231000 2024-11-27 15:08:01 140855.231 25.769 15441 US5 _ROLL_PSEUDO_STRATEGY 2024-11-26 20:00:00 2024-11-27 15:08:03.206000 2024-11-27 15:11:44 68883.206 220.794 15442 US5 _ROLL_PSEUDO_STRATEGY 2024-11-26 20:00:00 2024-11-27 15:12:04.599000 2024-11-27 15:12:06 69124.599 1.401 15443 LEANHOG caleb_strategy_v3 2024-11-26 00:00:00 2024-11-27 15:30:09.586000 2024-11-27 15:31:52 142209.586 102.414 15425 CANOLA caleb_strategy_v3 2024-11-26 00:00:00 2024-11-27 14:00:45.330000 2024-11-27 19:45:08.082000 136845.33 20662.752 15427 CANOLA caleb_strategy_v3 2024-11-26 00:00:00 2024-11-27 14:11:38.374000 2024-11-27 14:18:58 137498.374 439.626 15429 CANOLA caleb_strategy_v3 2024-11-26 00:00:00 2024-11-27 14:19:04.391000 2024-11-27 14:19:14 137944.391 9.609 ======================================================================================================================================================================================================================================== 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 15423 NIKKEI caleb_strategy_v3 [1] 38310.0 None 38157.5 38160.0 38155.0 38155.0 38145.0 152.5 -2.5 15.0 10.0 NaN 12.5 15424 EUROSTX caleb_strategy_v3 [1] 4766.0 None 4773.0 4774.0 4772.0 4772.0 4750.0 -7.0 -1.0 24.0 22.0 NaN 23.0 15426 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 0.155 None 0.14 0.145 0.135 0.135 0.14 0.015 -0.005 0.005 -0.005 NaN -0.0 15428 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 0.155 None 0.1375 0.145 0.13 NaN 0.14 0.0175 -0.0075 0.005 NaN NaN -0.0025 15430 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 0.155 None 0.1375 0.145 0.13 NaN 0.14 0.0175 -0.0075 0.005 NaN NaN -0.0025 15431 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 0.155 None 0.1375 0.145 0.13 NaN 0.14 0.0175 -0.0075 0.005 NaN NaN -0.0025 15432 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 0.155 None 0.1375 0.145 0.13 NaN 0.14 0.0175 -0.0075 0.005 NaN NaN -0.0025 15433 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 0.155 None 0.1375 0.145 0.13 NaN 0.14 0.0175 -0.0075 0.005 NaN NaN -0.0025 15434 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 0.155 None 0.1375 0.145 0.13 NaN 0.14 0.0175 -0.0075 0.005 NaN NaN -0.0025 15435 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 0.155 None 0.1375 0.145 0.13 NaN 0.14 0.0175 -0.0075 0.005 NaN NaN -0.0025 15436 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 0.155 None 0.1375 0.145 0.13 NaN 0.14 0.0175 -0.0075 0.005 NaN NaN -0.0025 15437 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 0.155 None 0.1375 0.145 0.13 NaN 0.135 0.0175 -0.0075 0.01 NaN NaN 0.0025 15438 NASDAQ_micro caleb_strategy_v3 [1] 20932.25 None 20882.5 20882.75 20882.25 20882.25 20850.5 49.75 -0.25 32.25 31.75 NaN 32.0 15439 AUD caleb_strategy_v3 [-1] 0.6462 None 0.649825 0.6498 0.64985 0.64985 0.64915 0.003625 -0.000025 -0.00065 -0.0007 NaN -0.000675 15440 SP500_micro caleb_strategy_v3 [-1] 6032.5 None 6031.875 6031.75 6032.0 6032.0 6031.75 -0.625 -0.125 -0.0 -0.25 NaN -0.125 15441 US5 _ROLL_PSEUDO_STRATEGY [1, -1] -0.210938 None -0.21875 -0.210938 -0.226562 -0.226562 -0.21875 0.007812 -0.007812 0.007812 -0.007812 NaN 0.0 15442 US5 _ROLL_PSEUDO_STRATEGY [1, -1] -0.210938 None -0.226562 -0.21875 -0.234375 NaN -0.21875 0.015625 -0.007812 0.0 NaN NaN -0.007812 15443 LEANHOG caleb_strategy_v3 [1] 88.35 None 89.3375 89.35 89.325 89.325 89.375 -0.9875 -0.0125 -0.025 -0.05 NaN -0.0375 15425 CANOLA caleb_strategy_v3 [-1] 594.0 None 588.5 588.3 588.7 588.7 NaN -5.5 -0.2 NaN NaN NaN NaN 15427 CANOLA caleb_strategy_v3 [-1] 594.0 None 588.65 588.5 588.8 588.8 588.1 -5.35 -0.15 -0.4 -0.7 NaN -0.55 15429 CANOLA caleb_strategy_v3 [-1] 594.0 None 588.25 588.1 588.4 588.4 588.1 -5.75 -0.15 -0.0 -0.3 NaN -0.15 ====================================================================================================================================================================== 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 15423 NIKKEI caleb_strategy_v3 [1] 7637.059129 199.684194 -3.273511 19.641068 13.094046 NaN 16.367557 15424 EUROSTX caleb_strategy_v3 [1] 700.826629 -99.882049 -14.268864 342.452741 313.915012 NaN 328.183877 15426 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.8834 79.643196 -26.547732 26.547732 -26.547732 NaN -0.0 15428 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.8834 92.917062 -39.821598 26.547732 NaN NaN -13.273866 15430 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.8834 92.917062 -39.821598 26.547732 NaN NaN -13.273866 15431 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.8834 92.917062 -39.821598 26.547732 NaN NaN -13.273866 15432 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.8834 92.917062 -39.821598 26.547732 NaN NaN -13.273866 15433 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.8834 92.917062 -39.821598 26.547732 NaN NaN -13.273866 15434 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.8834 92.917062 -39.821598 26.547732 NaN NaN -13.273866 15435 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.8834 92.917062 -39.821598 26.547732 NaN NaN -13.273866 15436 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.8834 92.917062 -39.821598 26.547732 NaN NaN -13.273866 15437 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 1.8834 92.917062 -39.821598 53.095464 NaN NaN 13.273866 15438 NASDAQ_micro caleb_strategy_v3 [1] 3141.015883 158.388247 -0.795921 102.673788 101.081947 NaN 101.877868 15439 AUD caleb_strategy_v3 [-1] 0.061346 590.907051 -4.075221 -105.955747 -114.106189 NaN -110.030968 15440 SP500_micro caleb_strategy_v3 [-1] 648.719045 -9.634371 -1.926874 -0.0 -3.853748 NaN -1.926874 15441 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 4.172352 18.724452 -18.724452 18.724452 -18.724452 NaN 0.0 15442 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 4.172352 37.448905 -18.724452 0.0 NaN NaN -18.724452 15443 LEANHOG caleb_strategy_v3 [1] 16.949481 -582.613706 -7.374857 -14.749714 -29.499428 NaN -22.124571 15425 CANOLA caleb_strategy_v3 [-1] 176.091863 -312.336976 -11.357708 NaN NaN NaN NaN 15427 CANOLA caleb_strategy_v3 [-1] 176.091863 -303.818695 -8.518281 -22.715416 -39.751979 NaN -31.233698 15429 CANOLA caleb_strategy_v3 [-1] 176.091863 -326.534111 -8.518281 -0.0 -17.036562 NaN -8.518281 ================================================================================================================================================================================ 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 15423 NIKKEI caleb_strategy_v3 [1] 0.657309 100.239589 -1.643272 9.859632 6.573088 NaN 8.21636 15424 EUROSTX caleb_strategy_v3 [1] 10.487 -73.409 -10.487 251.688 230.714 NaN 241.201 15426 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 37.5 -12.5 12.5 -12.5 NaN -0.0 15428 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 43.75 -18.75 12.5 NaN NaN -6.25 15430 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 43.75 -18.75 12.5 NaN NaN -6.25 15431 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 43.75 -18.75 12.5 NaN NaN -6.25 15432 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 43.75 -18.75 12.5 NaN NaN -6.25 15433 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 43.75 -18.75 12.5 NaN NaN -6.25 15434 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 43.75 -18.75 12.5 NaN NaN -6.25 15435 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 43.75 -18.75 12.5 NaN NaN -6.25 15436 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 43.75 -18.75 12.5 NaN NaN -6.25 15437 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1, -1] 2500.0 43.75 -18.75 25.0 NaN NaN 6.25 15438 NASDAQ_micro caleb_strategy_v3 [1] 2.0 99.5 -0.5 64.5 63.5 NaN 64.0 15439 AUD caleb_strategy_v3 [-1] 100000.0 362.5 -2.5 -65.0 -70.0 NaN -67.5 15440 SP500_micro caleb_strategy_v3 [-1] 5.0 -3.125 -0.625 -0.0 -1.25 NaN -0.625 15441 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 7.8125 -7.8125 7.8125 -7.8125 NaN 0.0 15442 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 1000.0 15.625 -7.8125 0.0 NaN NaN -7.8125 15443 LEANHOG caleb_strategy_v3 [1] 400.0 -395.0 -5.0 -10.0 -20.0 NaN -15.0 15425 CANOLA caleb_strategy_v3 [-1] 14.218683 -78.202758 -2.843737 NaN NaN NaN NaN 15427 CANOLA caleb_strategy_v3 [-1] 14.218683 -76.069956 -2.132803 -5.687473 -9.953078 NaN -7.820276 15429 CANOLA caleb_strategy_v3 [-1] 14.218683 -81.757429 -2.132803 -0.0 -4.265605 NaN -2.132803 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini 431.25 US5 23.4375 caleb_strategy_v3 AUD 362.5 CANOLA -236.030144 EUROSTX -73.409 LEANHOG -395.0 NASDAQ_micro 99.5 NIKKEI 100.239589 SP500_micro -3.125 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 454.6875 caleb_strategy_v3 -145.324555 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini -181.25 US5 -15.625 caleb_strategy_v3 AUD -2.5 CANOLA -7.109342 EUROSTX -10.487 LEANHOG -5.0 NASDAQ_micro -0.5 NIKKEI -1.643272 SP500_micro -0.625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -196.875 caleb_strategy_v3 -27.864614 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini 137.5 US5 7.8125 caleb_strategy_v3 AUD -65.0 CANOLA -5.687473 EUROSTX 251.688 LEANHOG -10.0 NASDAQ_micro 64.5 NIKKEI 9.859632 SP500_micro -0.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 145.3125 caleb_strategy_v3 245.360158 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini -12.5 US5 -7.8125 caleb_strategy_v3 AUD -70.0 CANOLA -14.218683 EUROSTX 230.714 LEANHOG -20.0 NASDAQ_micro 63.5 NIKKEI 6.573088 SP500_micro -1.25 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -20.3125 caleb_strategy_v3 195.318404 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini 0 US5 0 caleb_strategy_v3 AUD 0 CANOLA 0 EUROSTX 0 LEANHOG 0 NASDAQ_micro 0 NIKKEI 0 SP500_micro 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 GAS_US_mini -43.75 US5 -7.8125 caleb_strategy_v3 AUD -67.5 CANOLA -9.953078 EUROSTX 241.201 LEANHOG -15.0 NASDAQ_micro 64.0 NIKKEI 8.21636 SP500_micro -0.625 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -51.5625 caleb_strategy_v3 220.339281 ******************************************************************************** END OF REPORT ********************************************************************************