******************************************************************************** Trades report produced on 02/12/2024 21:40 from 01/12/2024 21:40 to 02/12/2024 21:40 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15461 EUROSTX caleb_strategy_v3 [20241200] 2024-12-02 08:00:37.000 [-1] 4774.000 15465 GASOLINE caleb_strategy_v3 [20250300] 2024-12-02 14:03:44.000 [-1] 1.954 15466 GAS_US_mini caleb_strategy_v3 [20250200] 2024-12-02 19:45:04.690 [0] NaN 15467 GAS_US_mini caleb_strategy_v3 [20250200] 2024-12-02 14:21:14.000 [1] 3.075 15468 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-12-02 15:00:41.000 [-1] 21167.000 15462 OAT _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-02 08:00:44.000 [-1, 1] 0.630 15464 OAT caleb_strategy_v3 [20250300] 2024-12-02 08:02:37.000 [1] 126.060 15463 OAT caleb_strategy_v3 [20250300] 2024-12-02 08:01:36.000 [1] 126.040 15469 VIX caleb_strategy_v3 [20250200] 2024-12-02 15:03:09.000 [-1] 16.600 15470 VIX caleb_strategy_v3 [20250200] 2024-12-02 15:04:19.000 [-1] 16.550 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15461 EUROSTX caleb_strategy_v3 2024-11-29 00:00:00 2024-12-02 08:00:36.758000 2024-12-02 08:00:37 288036.758 0.242 15462 OAT _ROLL_PSEUDO_STRATEGY 2024-11-29 19:00:00 2024-12-02 08:00:39.534000 2024-12-02 08:00:44 219639.534 4.466 15464 OAT caleb_strategy_v3 2024-11-29 00:00:00 2024-12-02 08:02:36.631000 2024-12-02 08:02:37 288156.631 0.369 15463 OAT caleb_strategy_v3 2024-11-29 00:00:00 2024-12-02 08:01:36.742000 2024-12-02 08:01:36 288096.742 NaN 15465 GASOLINE caleb_strategy_v3 2024-11-29 00:00:00 2024-12-02 14:00:44.406000 2024-12-02 14:03:44 309644.406 179.594 15468 NASDAQ_micro caleb_strategy_v3 2024-11-29 00:00:00 2024-12-02 15:00:41.430000 2024-12-02 15:00:41 313241.43 NaN 15469 VIX caleb_strategy_v3 2024-11-27 00:00:00 2024-12-02 15:00:42.286000 2024-12-02 15:03:09 486042.286 146.714 15470 VIX caleb_strategy_v3 2024-11-27 00:00:00 2024-12-02 15:03:13.278000 2024-12-02 15:04:19 486193.278 65.722 15466 GAS_US_mini caleb_strategy_v3 2024-11-29 00:00:00 2024-12-02 14:03:44.938000 2024-12-02 19:45:04.690000 309824.938 20479.752 15467 GAS_US_mini caleb_strategy_v3 2024-11-29 00:00:00 2024-12-02 14:13:48.485000 2024-12-02 14:21:14 310428.485 445.515 ==================================================================================================================================================================================================================================== 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 15461 EUROSTX caleb_strategy_v3 [-1] 4809.0 None 4770.5 4770.0 4771.0 4771.0 4774.0 -38.5 -0.5 4.0 3.0 NaN 3.5 15462 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 0.63 None 0.63 0.62 0.64 0.64 0.63 -0.0 -0.01 0.01 -0.01 NaN 0.0 15464 OAT caleb_strategy_v3 [1] 126.21 None 125.995 126.0 125.99 NaN 126.06 0.215 -0.005 -0.06 NaN NaN -0.065 15463 OAT caleb_strategy_v3 [1] 126.21 None 126.005 126.01 126.0 NaN 126.04 0.205 -0.005 -0.03 NaN NaN -0.035 15465 GASOLINE caleb_strategy_v3 [-1] 1.9479 None 1.9579 1.9576 1.9582 1.9582 1.954 0.01 -0.0003 -0.0036 -0.0042 NaN -0.0039 15468 NASDAQ_micro caleb_strategy_v3 [-1] 20991.5 None 21157.0 21156.75 21157.25 21157.25 21167.0 165.5 -0.25 10.25 9.75 NaN 10.0 15469 VIX caleb_strategy_v3 [-1] 16.75 None 16.575 16.55 16.6 16.6 16.6 -0.175 -0.025 0.05 -0.0 NaN 0.025 15470 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 15466 GAS_US_mini caleb_strategy_v3 [1] 3.185 None 3.035 3.04 3.03 3.03 NaN 0.15 -0.005 NaN NaN NaN NaN 15467 GAS_US_mini caleb_strategy_v3 [1] 3.185 None 3.0525 3.055 3.05 3.05 3.075 0.1325 -0.0025 -0.02 -0.025 NaN -0.0225 ====================================================================================================================================================================== 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 15461 EUROSTX caleb_strategy_v3 [-1] 700.14137 -549.888946 -7.141415 57.131319 42.848489 NaN 49.989904 15462 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 7.339066 -0.0 -13.625713 13.625713 -13.625713 NaN 0.0 15464 OAT caleb_strategy_v3 [1] 7.339066 292.952824 -6.812856 -81.754276 NaN NaN -88.567133 15463 OAT caleb_strategy_v3 [1] 7.339066 279.327111 -6.812856 -40.877138 NaN NaN -47.689995 15465 GASOLINE caleb_strategy_v3 [-1] 0.56595 176.694203 -5.300826 -63.609913 -74.211565 NaN -68.910739 15468 NASDAQ_micro caleb_strategy_v3 [-1] 3145.419163 526.161988 -0.794807 32.587072 30.997459 NaN 31.792265 15469 VIX caleb_strategy_v3 [-1] 7.305289 -239.55246 -34.22178 68.44356 -0.0 NaN 34.22178 15470 VIX caleb_strategy_v3 [-1] 7.305289 -239.55246 -34.22178 -0.0 -68.44356 NaN -34.22178 15466 GAS_US_mini caleb_strategy_v3 [1] 1.881934 797.052213 -26.568407 NaN NaN NaN NaN 15467 GAS_US_mini caleb_strategy_v3 [1] 1.881934 704.062788 -13.284204 -106.273628 -132.842035 NaN -119.557832 =============================================================================================================================================================================== 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 15461 EUROSTX caleb_strategy_v3 [-1] 10.529 -405.3665 -5.2645 42.116 31.587 NaN 36.8515 15462 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 1052.9 -0.0 -10.529 10.529 -10.529 NaN 0.0 15464 OAT caleb_strategy_v3 [1] 1052.9 226.3735 -5.2645 -63.174 NaN NaN -68.4385 15463 OAT caleb_strategy_v3 [1] 1052.9 215.8445 -5.2645 -31.587 NaN NaN -36.8515 15465 GASOLINE caleb_strategy_v3 [-1] 42000.0 420.0 -12.6 -151.2 -176.4 NaN -163.8 15468 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 331.0 -0.5 20.5 19.5 NaN 20.0 15469 VIX caleb_strategy_v3 [-1] 1000.0 -175.0 -25.0 50.0 -0.0 NaN 25.0 15470 VIX caleb_strategy_v3 [-1] 1000.0 -175.0 -25.0 -0.0 -50.0 NaN -25.0 15466 GAS_US_mini caleb_strategy_v3 [1] 2500.0 375.0 -12.5 NaN NaN NaN NaN 15467 GAS_US_mini caleb_strategy_v3 [1] 2500.0 331.25 -6.25 -50.0 -62.5 NaN -56.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OAT -0.0 caleb_strategy_v3 EUROSTX -405.3665 GASOLINE 420.0 GAS_US_mini 706.25 NASDAQ_micro 331.0 OAT 442.218 VIX -350.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -0.0 caleb_strategy_v3 1144.1015 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OAT -10.529 caleb_strategy_v3 EUROSTX -5.2645 GASOLINE -12.6 GAS_US_mini -18.75 NASDAQ_micro -0.5 OAT -10.529 VIX -50.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -10.529 caleb_strategy_v3 -97.6435 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OAT 10.529 caleb_strategy_v3 EUROSTX 42.116 GASOLINE -151.2 GAS_US_mini -50.0 NASDAQ_micro 20.5 OAT -94.761 VIX 50.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 10.529 caleb_strategy_v3 -183.345 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OAT -10.529 caleb_strategy_v3 EUROSTX 31.587 GASOLINE -176.4 GAS_US_mini -62.5 NASDAQ_micro 19.5 OAT 0 VIX -50.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -10.529 caleb_strategy_v3 -237.813 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY OAT 0 caleb_strategy_v3 EUROSTX 0 GASOLINE 0 GAS_US_mini 0 NASDAQ_micro 0 OAT 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 OAT 0.0 caleb_strategy_v3 EUROSTX 36.8515 GASOLINE -163.8 GAS_US_mini -56.25 NASDAQ_micro 20.0 OAT -105.29 VIX -0.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.0 caleb_strategy_v3 -268.4885 ******************************************************************************** END OF REPORT ********************************************************************************