******************************************************************************** Trades report produced on 28/11/2024 21:40 from 27/11/2024 21:40 to 28/11/2024 21:40 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15453 DOW caleb_strategy_v3 [20241200] 2024-11-28 15:03:36 [1] 44918.000000 15450 GOLD_micro caleb_strategy_v3 [20250200] 2024-11-28 14:00:39 [-1] 2670.300000 15451 GOLD_micro caleb_strategy_v3 [20250200] 2024-11-28 14:01:17 [-1] 2670.400000 15452 JPY caleb_strategy_v3 [20241200] 2024-11-28 15:00:20 [1] 0.006613 15444 NIKKEI _ROLL_PSEUDO_STRATEGY [20241200] 2024-11-28 03:02:47 [-1] 38335.000000 15445 NIKKEI _ROLL_PSEUDO_STRATEGY [20250300] 2024-11-28 03:02:50 [1] 38335.000000 15446 NIKKEI _ROLL_PSEUDO_STRATEGY [20241200] 2024-11-28 03:02:55 [-1] 38345.000000 15447 NIKKEI _ROLL_PSEUDO_STRATEGY [20250300] 2024-11-28 03:08:33 [1] 38355.000000 15448 NIKKEI _ROLL_PSEUDO_STRATEGY [20241200] 2024-11-28 03:08:37 [-1] 38350.000000 15449 NIKKEI _ROLL_PSEUDO_STRATEGY [20250300] 2024-11-28 03:08:44 [1] 38360.000000 15454 US5 caleb_strategy_v3 [20250300] 2024-11-28 15:03:37 [-1] 107.414063 ================================================================================================================================================================== Delays ================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15444 NIKKEI _ROLL_PSEUDO_STRATEGY 2024-11-27 19:00:00 2024-11-28 03:01:20.302000 2024-11-28 03:02:47 28880.302 86.698 15445 NIKKEI _ROLL_PSEUDO_STRATEGY 2024-11-27 19:00:00 2024-11-28 03:02:48.430000 2024-11-28 03:02:50 28968.43 1.57 15446 NIKKEI _ROLL_PSEUDO_STRATEGY 2024-11-27 19:00:00 2024-11-28 03:02:53.985000 2024-11-28 03:02:55 28973.985 1.015 15447 NIKKEI _ROLL_PSEUDO_STRATEGY 2024-11-27 19:00:00 2024-11-28 03:02:56.254000 2024-11-28 03:08:33 28976.254 336.746 15448 NIKKEI _ROLL_PSEUDO_STRATEGY 2024-11-27 19:00:00 2024-11-28 03:08:37.151000 2024-11-28 03:08:37 29317.151 NaN 15449 NIKKEI _ROLL_PSEUDO_STRATEGY 2024-11-27 19:00:00 2024-11-28 03:08:37.946000 2024-11-28 03:08:44 29317.946 6.054 15450 GOLD_micro caleb_strategy_v3 2024-11-27 00:00:00 2024-11-28 14:00:17.802000 2024-11-28 14:00:39 136817.802 21.198 15451 GOLD_micro caleb_strategy_v3 2024-11-27 00:00:00 2024-11-28 14:01:17.254000 2024-11-28 14:01:17 136877.254 NaN 15452 JPY caleb_strategy_v3 2024-11-27 00:00:00 2024-11-28 15:00:20.810000 2024-11-28 15:00:20 140420.81 NaN 15453 DOW caleb_strategy_v3 2024-11-27 00:00:00 2024-11-28 15:00:22.012000 2024-11-28 15:03:36 140422.012 193.988 15454 US5 caleb_strategy_v3 2024-11-27 00:00:00 2024-11-28 15:03:37.682000 2024-11-28 15:03:37 140617.682 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 15444 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 37750.0 None 38332.5 38330.0 38335.0 38335.0 38335.0 582.5 -2.5 5.0 -0.0 NaN 2.5 15445 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 37755.0 None 38340.0 38345.0 38335.0 38335.0 38335.0 -585.0 -5.0 10.0 0.0 NaN 5.0 15446 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 37750.0 None 38342.5 38340.0 38345.0 38345.0 38345.0 592.5 -2.5 5.0 -0.0 NaN 2.5 15447 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 37755.0 None 38340.0 38345.0 38335.0 38335.0 38355.0 -585.0 -5.0 -10.0 -20.0 NaN -15.0 15448 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 37750.0 None 38347.5 38345.0 38350.0 38350.0 38350.0 597.5 -2.5 5.0 -0.0 NaN 2.5 15449 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 37755.0 None 38347.5 38350.0 38345.0 38345.0 38360.0 -592.5 -2.5 -10.0 -15.0 NaN -12.5 15450 GOLD_micro caleb_strategy_v3 [-1] 2660.3 None 2670.35 2670.3 2670.4 2670.4 2670.3 10.05 -0.05 -0.0 -0.1 NaN -0.05 15451 GOLD_micro caleb_strategy_v3 [-1] 2660.3 None 2670.15 2670.1 2670.2 2670.2 2670.4 9.85 -0.05 0.3 0.2 NaN 0.25 15452 JPY caleb_strategy_v3 [1] 0.006638 None 0.006613 0.006613 0.006613 0.006613 0.006613 0.000024 -0.0 0.0 0.0 NaN 0.0 15453 DOW caleb_strategy_v3 [1] 44845.0 None 44894.0 44895.0 44893.0 44893.0 44918.0 -49.0 -1.0 -23.0 -25.0 NaN -24.0 15454 US5 caleb_strategy_v3 [-1] 107.414062 None 107.402344 107.398438 107.40625 107.40625 107.414063 -0.011719 -0.003906 0.015625 0.007813 NaN 0.011719 =================================================================================================================================================================== 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 15444 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 7518.253785 774.780975 -3.32524 6.65048 -0.0 NaN 3.32524 15445 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 7518.253785 -778.106216 -6.65048 13.300961 0.0 NaN 6.65048 15446 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 7518.253785 788.081936 -3.32524 6.65048 -0.0 NaN 3.32524 15447 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 7518.253785 -778.106216 -6.65048 -13.300961 -26.601922 NaN -19.951441 15448 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 7518.253785 794.732417 -3.32524 6.65048 -0.0 NaN 3.32524 15449 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 7518.253785 -788.081936 -3.32524 -13.300961 -19.951441 NaN -16.626201 15450 GOLD_micro caleb_strategy_v3 [-1] 478.894727 209.85823 -1.044071 -0.0 -2.088142 NaN -1.044071 15451 GOLD_micro caleb_strategy_v3 [-1] 478.894727 205.681947 -1.044071 6.264425 4.176283 NaN 5.220354 15452 JPY caleb_strategy_v3 [1] 0.00076 319.281466 -3.291562 6.583123 0.0 NaN 3.291562 15453 DOW caleb_strategy_v3 [1] 5222.706731 -93.821083 -1.914716 -44.038467 -47.867899 NaN -45.953183 15454 US5 caleb_strategy_v3 [-1] 4.205465 -27.865528 -9.288509 37.155227 18.578208 NaN 27.866717 ============================================================================================================================================================================= 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 15444 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.659504 384.161341 -1.648761 3.297522 -0.0 NaN 1.648761 15445 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.659504 -385.810102 -3.297522 6.595044 0.0 NaN 3.297522 15446 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.659504 390.756386 -1.648761 3.297522 -0.0 NaN 1.648761 15447 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.659504 -385.810102 -3.297522 -6.595044 -13.190089 NaN -9.892567 15448 NIKKEI _ROLL_PSEUDO_STRATEGY [-1] 0.659504 394.053908 -1.648761 3.297522 -0.0 NaN 1.648761 15449 NIKKEI _ROLL_PSEUDO_STRATEGY [1] 0.659504 -390.756386 -1.648761 -6.595044 -9.892567 NaN -8.243806 15450 GOLD_micro caleb_strategy_v3 [-1] 10.0 100.5 -0.5 -0.0 -1.0 NaN -0.5 15451 GOLD_micro caleb_strategy_v3 [-1] 10.0 98.5 -0.5 3.0 2.0 NaN 2.5 15452 JPY caleb_strategy_v3 [1] 12500000.0 303.125 -3.125 6.25 0.0 NaN 3.125 15453 DOW caleb_strategy_v3 [1] 0.5 -24.5 -0.5 -11.5 -12.5 NaN -12.0 15454 US5 caleb_strategy_v3 [-1] 1000.0 -11.71875 -3.90625 15.6255 7.813 NaN 11.71925 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI 6.595044 caleb_strategy_v3 DOW -24.5 GOLD_micro 199.0 JPY 303.125 US5 -11.71875 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 6.595044 caleb_strategy_v3 465.90625 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI -13.190089 caleb_strategy_v3 DOW -0.5 GOLD_micro -1.0 JPY -3.125 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -13.190089 caleb_strategy_v3 -8.53125 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI 3.297522 caleb_strategy_v3 DOW -11.5 GOLD_micro 3.0 JPY 6.25 US5 15.6255 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 3.297522 caleb_strategy_v3 13.3755 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI -23.082656 caleb_strategy_v3 DOW -12.5 GOLD_micro 1.0 JPY 0.0 US5 7.813 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -23.082656 caleb_strategy_v3 -3.687 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NIKKEI 0 caleb_strategy_v3 DOW 0 GOLD_micro 0 JPY 0 US5 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 NIKKEI -9.892567 caleb_strategy_v3 DOW -12.0 GOLD_micro 2.0 JPY 3.125 US5 11.71925 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -9.892567 caleb_strategy_v3 4.84425 ******************************************************************************** END OF REPORT ********************************************************************************