******************************************************************************** Trades report produced on 29/11/2024 21:40 from 28/11/2024 21:40 to 29/11/2024 21:40 ******************************************************************************** ============================================================================================================= Broker orders ============================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15455 BUND _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-11-29 08:01:23 [1, -1] -1.610 15458 DOW caleb_strategy_v3 [20241200] 2024-11-29 15:02:59 [-1] 44938.000 15456 GAS_US_mini caleb_strategy_v3 [20250200] 2024-11-29 14:00:12 [1] 3.175 15457 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-11-29 15:00:13 [-1] 20921.500 15459 VIX caleb_strategy_v3 [20250200] 2024-11-29 15:08:00 [-1] 16.550 15460 VIX caleb_strategy_v3 [20250200] 2024-11-29 15:13:20 [-1] 16.550 ================================================================================================================================================================== Delays ================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15455 BUND _ROLL_PSEUDO_STRATEGY 2024-11-28 19:00:00 2024-11-29 08:00:48.990000 2024-11-29 08:01:23 46848.99 34.01 15456 GAS_US_mini caleb_strategy_v3 2024-11-27 00:00:00 2024-11-29 14:00:12.042000 2024-11-29 14:00:12 223212.042 NaN 15457 NASDAQ_micro caleb_strategy_v3 2024-11-27 00:00:00 2024-11-29 15:00:13.394000 2024-11-29 15:00:13 226813.394 NaN 15458 DOW caleb_strategy_v3 2024-11-27 00:00:00 2024-11-29 15:00:14.542000 2024-11-29 15:02:59 226814.542 164.458 15459 VIX caleb_strategy_v3 2024-11-27 00:00:00 2024-11-29 15:03:00.498000 2024-11-29 15:08:00 226980.498 299.502 15460 VIX caleb_strategy_v3 2024-11-27 00:00:00 2024-11-29 15:08:20.910000 2024-11-29 15:13:20 227300.91 299.09 ===================================================================================================================================================================================================================================== 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 15455 BUND _ROLL_PSEUDO_STRATEGY [1, -1] -1.59 None -1.615 -1.6 -1.63 -1.63 -1.61 0.025 -0.015 0.01 -0.02 NaN -0.005 15456 GAS_US_mini caleb_strategy_v3 [1] 3.055 None 3.1825 3.185 3.18 3.18 3.175 -0.1275 -0.0025 0.01 0.005 NaN 0.0075 15457 NASDAQ_micro caleb_strategy_v3 [-1] 20806.5 None 20855.125 20855.0 20855.25 20855.25 20921.5 48.625 -0.125 66.5 66.25 NaN 66.375 15458 DOW caleb_strategy_v3 [-1] 44845.0 None 44963.5 44963.0 44964.0 44964.0 44938.0 118.5 -0.5 -25.0 -26.0 NaN -25.5 15459 VIX caleb_strategy_v3 [-1] 16.75 None 16.575 16.55 16.6 16.6 16.55 -0.175 -0.025 -0.0 -0.05 NaN -0.025 15460 VIX caleb_strategy_v3 [-1] 16.75 None 16.575 16.55 16.6 16.6 16.55 -0.175 -0.025 -0.0 -0.05 NaN -0.025 ====================================================================================================================================================================== 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 15455 BUND _ROLL_PSEUDO_STRATEGY [1, -1] 7.626068 32.782296 -19.669377 13.112918 -26.225836 NaN -6.556459 15456 GAS_US_mini caleb_strategy_v3 [1] 1.892482 -673.7184 -13.210165 52.840659 26.420329 NaN 39.630494 15457 NASDAQ_micro caleb_strategy_v3 [-1] 3136.407958 155.034041 -0.398545 212.025989 211.228899 NaN 211.627444 15458 DOW caleb_strategy_v3 [-1] 5214.443631 227.253391 -0.958875 -47.943753 -49.861504 NaN -48.902629 15459 VIX caleb_strategy_v3 [-1] 7.317853 -239.141178 -34.163025 -0.0 -68.326051 NaN -34.163025 15460 VIX caleb_strategy_v3 [-1] 7.317853 -239.141178 -34.163025 -0.0 -68.326051 NaN -34.163025 =============================================================================================================================================================================== 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 15455 BUND _ROLL_PSEUDO_STRATEGY [1, -1] 1058.05 26.45125 -15.87075 10.5805 -21.161 NaN -5.29025 15456 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -318.75 -6.25 25.0 12.5 NaN 18.75 15457 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 97.25 -0.25 133.0 132.5 NaN 132.75 15458 DOW caleb_strategy_v3 [-1] 0.5 59.25 -0.25 -12.5 -13.0 NaN -12.75 15459 VIX caleb_strategy_v3 [-1] 1000.0 -175.0 -25.0 -0.0 -50.0 NaN -25.0 15460 VIX caleb_strategy_v3 [-1] 1000.0 -175.0 -25.0 -0.0 -50.0 NaN -25.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BUND 26.45125 caleb_strategy_v3 DOW 59.25 GAS_US_mini -318.75 NASDAQ_micro 97.25 VIX -350.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 26.45125 caleb_strategy_v3 -512.25 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BUND -15.87075 caleb_strategy_v3 DOW -0.25 GAS_US_mini -6.25 NASDAQ_micro -0.25 VIX -50.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -15.87075 caleb_strategy_v3 -56.75 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BUND 10.5805 caleb_strategy_v3 DOW -12.5 GAS_US_mini 25.0 NASDAQ_micro 133.0 VIX -0.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 10.5805 caleb_strategy_v3 145.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BUND -21.161 caleb_strategy_v3 DOW -13.0 GAS_US_mini 12.5 NASDAQ_micro 132.5 VIX -100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -21.161 caleb_strategy_v3 32.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BUND 0 caleb_strategy_v3 DOW 0 GAS_US_mini 0 NASDAQ_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 BUND -5.29025 caleb_strategy_v3 DOW -12.75 GAS_US_mini 18.75 NASDAQ_micro 132.75 VIX -50.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -5.29025 caleb_strategy_v3 88.75 ******************************************************************************** END OF REPORT ********************************************************************************