******************************************************************************** Trades report produced on 13/12/2024 21:41 from 12/12/2024 21:41 to 13/12/2024 21:41 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15698 CAD caleb_strategy_v3 [20250300] 2024-12-13 15:00:46.000 [1] 0.704950 15705 CAD caleb_strategy_v3 [20250300] 2024-12-13 15:14:53.000 [1] 0.704650 15708 CAD caleb_strategy_v3 [20250300] 2024-12-13 15:16:17.000 [1] 0.704800 15709 CHF caleb_strategy_v3 [20250300] 2024-12-13 15:16:18.000 [-1] 1.130350 15699 CHF caleb_strategy_v3 [20250300] 2024-12-13 19:45:07.673 [0] NaN 15706 CHF caleb_strategy_v3 [20250300] 2024-12-13 15:14:59.000 [-1] 1.130150 15696 COFFEE caleb_strategy_v3 [20250500] 2024-12-13 14:10:28.000 [-1] 314.750000 15697 COTTON2 caleb_strategy_v3 [20250300] 2024-12-13 14:10:29.000 [-1] 69.450000 15703 DOW caleb_strategy_v3 [20250300] 2024-12-13 15:13:39.000 [-1] 44408.000000 15693 EUROSTX caleb_strategy_v3 [20250300] 2024-12-13 08:01:10.000 [1] 4999.000000 15694 EUROSTX caleb_strategy_v3 [20250300] 2024-12-13 08:02:04.000 [1] 4997.000000 15695 GOLD_micro caleb_strategy_v3 [20250200] 2024-12-13 14:00:41.000 [1] 2679.200000 15692 JGB-SGX-mini caleb_strategy_v3 [20250300] 2024-12-13 03:06:19.000 [-1] 142.530000 15700 JPY caleb_strategy_v3 [20250300] 2024-12-13 15:10:48.000 [-1] 0.006585 15712 LEANHOG caleb_strategy_v3 [20250400] 2024-12-13 19:45:07.741 [0] NaN 15714 LEANHOG caleb_strategy_v3 [20250400] 2024-12-13 15:42:59.000 [-1] 88.575000 15713 LIVECOW caleb_strategy_v3 [20250200] 2024-12-13 15:40:39.000 [1] 191.200000 15704 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-13 15:14:50.000 [-1, 1] -276.750000 15707 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-13 15:16:14.000 [-1, 1] -277.000000 15710 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-13 15:21:29.000 [-1, 1] -276.350000 15711 NASDAQ_micro caleb_strategy_v3 [20250300] 2024-12-13 15:21:35.000 [1] 22113.750000 15702 SP500_micro caleb_strategy_v3 [20250300] 2024-12-13 15:13:38.000 [-1] 6141.250000 15701 US30 caleb_strategy_v3 [20250300] 2024-12-13 15:10:49.000 [-1] 122.937500 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15692 JGB-SGX-mini caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 03:01:19.450000 2024-12-13 03:06:19 97279.45 299.55 15693 EUROSTX caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 08:01:04.574000 2024-12-13 08:01:10 115264.574 5.426 15694 EUROSTX caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 08:02:04.767000 2024-12-13 08:02:04 115324.767 NaN 15695 GOLD_micro caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 14:00:38.810000 2024-12-13 14:00:41 136838.81 2.19 15696 COFFEE caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 14:00:41.954000 2024-12-13 14:10:28 136841.954 586.046 15697 COTTON2 caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 14:10:29.254000 2024-12-13 14:10:29 137429.254 NaN 15700 JPY caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 15:10:48.588000 2024-12-13 15:10:48 141048.588 NaN 15701 US30 caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 15:10:49.434000 2024-12-13 15:10:49 141049.434 NaN 15702 SP500_micro caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 15:10:50.434000 2024-12-13 15:13:38 141050.434 167.566 15703 DOW caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 15:13:39.250000 2024-12-13 15:13:39 141219.25 NaN 15705 CAD caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 15:14:53.573000 2024-12-13 15:14:53 141293.573 NaN 15698 CAD caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 15:00:46.726000 2024-12-13 15:00:46 140446.726 NaN 15708 CAD caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 15:16:17.779000 2024-12-13 15:16:17 141377.779 NaN 15704 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-12-12 20:00:00 2024-12-13 15:13:40.914000 2024-12-13 15:14:50 69220.914 69.086 15707 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-12-12 20:00:00 2024-12-13 15:14:59.943000 2024-12-13 15:16:14 69299.943 74.057 15710 NASDAQ_micro _ROLL_PSEUDO_STRATEGY 2024-12-12 20:00:00 2024-12-13 15:16:19.101000 2024-12-13 15:21:29 69379.101 309.899 15711 NASDAQ_micro caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 15:21:35.342000 2024-12-13 15:21:35 141695.342 NaN 15713 LIVECOW caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 15:40:39.138000 2024-12-13 15:40:39 142839.138 NaN 15706 CHF caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 15:14:54.009000 2024-12-13 15:14:59 141294.009 4.991 15699 CHF caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 15:00:47.769000 2024-12-13 19:45:07.673000 140447.769 17059.904 15709 CHF caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 15:16:18.249000 2024-12-13 15:16:18 141378.249 NaN 15712 LEANHOG caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 15:30:37.842000 2024-12-13 19:45:07.741000 142237.842 15269.899 15714 LEANHOG caleb_strategy_v3 2024-12-12 00:00:00 2024-12-13 15:40:42.762000 2024-12-13 15:42:59 142842.762 136.238 ========================================================================================================================================================================================================================================== 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 15692 JGB-SGX-mini caleb_strategy_v3 [-1] 142.32 None 142.535 142.52 142.55 142.55 142.53 0.215 -0.015 0.01 -0.02 NaN -0.005 15693 EUROSTX caleb_strategy_v3 [1] 4990.0 None 4999.5 5000.0 4999.0 4999.0 4999.0 -9.5 -0.5 1.0 0.0 NaN 0.5 15694 EUROSTX caleb_strategy_v3 [1] 4990.0 None 4999.0 5000.0 4998.0 4998.0 4997.0 -9.0 -1.0 3.0 1.0 NaN 2.0 15695 GOLD_micro caleb_strategy_v3 [1] 2706.1 None 2679.25 2679.3 2679.2 2679.2 2679.2 26.85 -0.05 0.1 0.0 NaN 0.05 15696 COFFEE caleb_strategy_v3 [-1] 316.0 None 315.075 314.95 315.2 315.2 314.75 -0.925 -0.125 -0.2 -0.45 NaN -0.325 15697 COTTON2 caleb_strategy_v3 [-1] 70.05 None 69.38 69.37 69.39 69.39 69.45 -0.67 -0.01 0.08 0.06 NaN 0.07 15700 JPY caleb_strategy_v3 [-1] 0.00663 None 0.006583 0.006582 0.006583 0.006583 0.006585 -0.000047 -0.0 0.000002 0.000002 NaN 0.000002 15701 US30 caleb_strategy_v3 [-1] 123.5625 None 122.921875 122.90625 122.9375 122.9375 122.9375 -0.640625 -0.015625 0.03125 -0.0 NaN 0.015625 15702 SP500_micro caleb_strategy_v3 [-1] 6132.25 None 6141.625 6141.5 6141.75 6141.75 6141.25 9.375 -0.125 -0.25 -0.5 NaN -0.375 15703 DOW caleb_strategy_v3 [-1] 44431.0 None 44377.0 44376.0 44378.0 44378.0 44408.0 -54.0 -1.0 32.0 30.0 NaN 31.0 15705 CAD caleb_strategy_v3 [1] 0.7065 None 0.705425 0.70545 0.7054 0.7054 0.70465 0.001075 -0.000025 0.0008 0.00075 NaN 0.000775 15698 CAD caleb_strategy_v3 [1] 0.7065 None 0.705425 0.70545 0.7054 0.7054 0.70495 0.001075 -0.000025 0.0005 0.00045 NaN 0.000475 15708 CAD caleb_strategy_v3 [1] 0.7065 None 0.705425 0.70545 0.7054 0.7054 0.7048 0.001075 -0.000025 0.00065 0.0006 NaN 0.000625 15704 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1, 1] -264.5 None -275.625 -276.5 -274.75 -274.75 -276.75 -11.125 -0.875 -0.25 -2.0 NaN -1.125 15707 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1, 1] -264.5 None -276.25 -276.75 -275.75 -275.75 -277.0 -11.75 -0.5 -0.25 -1.25 NaN -0.75 15710 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1, 1] -264.5 None -276.125 -277.0 -275.25 -275.25 -276.35 -11.625 -0.875 0.65 -1.1 NaN -0.225 15711 NASDAQ_micro caleb_strategy_v3 [1] 21947.25 None 22128.75 22129.25 22128.25 22128.25 22113.75 -181.5 -0.5 15.5 14.5 NaN 15.0 15713 LIVECOW caleb_strategy_v3 [1] 190.925 None 191.3375 191.35 191.325 191.325 191.2 -0.4125 -0.0125 0.15 0.125 NaN 0.1375 15706 CHF caleb_strategy_v3 [-1] 1.13375 None 1.1305 1.13045 1.13055 1.13055 1.13015 -0.00325 -0.00005 -0.0003 -0.0004 NaN -0.00035 15699 CHF caleb_strategy_v3 [-1] 1.13375 None 1.1309 1.13085 1.13095 1.13095 NaN -0.00285 -0.00005 NaN NaN NaN NaN 15709 CHF caleb_strategy_v3 [-1] 1.13375 None 1.1302 1.13015 1.13025 1.13025 1.13035 -0.00355 -0.00005 0.0002 0.0001 NaN 0.00015 15712 LEANHOG caleb_strategy_v3 [-1] 88.475 None 88.8 88.775 88.825 88.825 NaN 0.325 -0.025 NaN NaN NaN NaN 15714 LEANHOG caleb_strategy_v3 [-1] 88.475 None 88.65 88.625 88.675 88.675 88.575 0.175 -0.025 -0.05 -0.1 NaN -0.075 ====================================================================================================================================================================== 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 15692 JGB-SGX-mini caleb_strategy_v3 [-1] 3.394259 633.422554 -44.192271 29.461514 -58.923028 NaN -14.730757 15693 EUROSTX caleb_strategy_v3 [1] 613.387621 -154.877596 -8.151452 16.302905 0.0 NaN 8.151452 15694 EUROSTX caleb_strategy_v3 [1] 613.387621 -146.726143 -16.302905 48.908714 16.302905 NaN 32.60581 15695 GOLD_micro caleb_strategy_v3 [1] 450.062277 596.584104 -1.110957 2.221915 0.0 NaN 1.110957 15696 COFFEE caleb_strategy_v3 [-1] 113.518529 -81.484495 -11.011418 -17.618269 -39.641106 NaN -28.629687 15697 COTTON2 caleb_strategy_v3 [-1] 12.697189 -527.67587 -7.875759 63.006074 47.254556 NaN 55.130315 15700 JPY caleb_strategy_v3 [-1] 0.000696 -678.927521 -3.592209 35.922091 28.737673 NaN 32.329882 15701 US30 caleb_strategy_v3 [-1] 18.822629 -340.348314 -8.301178 16.602357 -0.0 NaN 8.301178 15702 SP500_micro caleb_strategy_v3 [-1] 561.69986 166.904083 -2.225388 -4.450776 -8.901551 NaN -6.676163 15703 DOW caleb_strategy_v3 [-1] 4525.601032 -119.321168 -2.209651 70.70884 66.289538 NaN 68.499189 15705 CAD caleb_strategy_v3 [1] 0.037684 285.269637 -6.634178 212.293683 199.025328 NaN 205.659506 15698 CAD caleb_strategy_v3 [1] 0.037684 285.269637 -6.634178 132.683552 119.415197 NaN 126.049374 15708 CAD caleb_strategy_v3 [1] 0.037684 285.269637 -6.634178 172.488618 159.220263 NaN 165.85444 15704 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1, 1] 2978.583687 -37.349966 -2.937638 -0.839325 -6.714601 NaN -3.776963 15707 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1, 1] 2978.583687 -39.448279 -1.67865 -0.839325 -4.196625 NaN -2.517975 15710 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1, 1] 2978.583687 -39.028616 -2.937638 2.182245 -3.69303 NaN -0.755393 15711 NASDAQ_micro caleb_strategy_v3 [1] 2978.583687 -609.35001 -1.67865 52.038155 48.680855 NaN 50.359505 15713 LIVECOW caleb_strategy_v3 [1] 19.29202 -213.81898 -6.479363 77.752356 64.79363 NaN 71.272993 15706 CHF caleb_strategy_v3 [-1] 0.085327 -380.888464 -5.859823 -35.158935 -46.87858 NaN -41.018758 15699 CHF caleb_strategy_v3 [-1] 0.085327 -334.009884 -5.859823 NaN NaN NaN NaN 15709 CHF caleb_strategy_v3 [-1] 0.085327 -416.047399 -5.859823 23.43929 11.719645 NaN 17.579468 15712 LEANHOG caleb_strategy_v3 [-1] 18.413365 176.502229 -13.577095 NaN NaN NaN NaN 15714 LEANHOG caleb_strategy_v3 [-1] 18.413365 95.039662 -13.577095 -27.154189 -54.308378 NaN -40.731284 ================================================================================================================================================================================ 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 15692 JGB-SGX-mini caleb_strategy_v3 [-1] 654.66877 140.753786 -9.820032 6.546688 -13.093375 NaN -3.273344 15693 EUROSTX caleb_strategy_v3 [1] 10.4615 -99.38425 -5.23075 10.4615 0.0 NaN 5.23075 15694 EUROSTX caleb_strategy_v3 [1] 10.4615 -94.1535 -10.4615 31.3845 10.4615 NaN 20.923 15695 GOLD_micro caleb_strategy_v3 [1] 10.0 268.5 -0.5 1.0 0.0 NaN 0.5 15696 COFFEE caleb_strategy_v3 [-1] 375.0 -346.875 -46.875 -75.0 -168.75 NaN -121.875 15697 COTTON2 caleb_strategy_v3 [-1] 500.0 -335.0 -5.0 40.0 30.0 NaN 35.0 15700 JPY caleb_strategy_v3 [-1] 12500000.0 -590.625 -3.125 31.25 25.0 NaN 28.125 15701 US30 caleb_strategy_v3 [-1] 1000.0 -640.625 -15.625 31.25 -0.0 NaN 15.625 15702 SP500_micro caleb_strategy_v3 [-1] 5.0 46.875 -0.625 -1.25 -2.5 NaN -1.875 15703 DOW caleb_strategy_v3 [-1] 0.5 -27.0 -0.5 16.0 15.0 NaN 15.5 15705 CAD caleb_strategy_v3 [1] 100000.0 107.5 -2.5 80.0 75.0 NaN 77.5 15698 CAD caleb_strategy_v3 [1] 100000.0 107.5 -2.5 50.0 45.0 NaN 47.5 15708 CAD caleb_strategy_v3 [1] 100000.0 107.5 -2.5 65.0 60.0 NaN 62.5 15704 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1, 1] 2.0 -22.25 -1.75 -0.5 -4.0 NaN -2.25 15707 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1, 1] 2.0 -23.5 -1.0 -0.5 -2.5 NaN -1.5 15710 NASDAQ_micro _ROLL_PSEUDO_STRATEGY [-1, 1] 2.0 -23.25 -1.75 1.3 -2.2 NaN -0.45 15711 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -363.0 -1.0 31.0 29.0 NaN 30.0 15713 LIVECOW caleb_strategy_v3 [1] 400.0 -165.0 -5.0 60.0 50.0 NaN 55.0 15706 CHF caleb_strategy_v3 [-1] 125000.0 -406.25 -6.25 -37.5 -50.0 NaN -43.75 15699 CHF caleb_strategy_v3 [-1] 125000.0 -356.25 -6.25 NaN NaN NaN NaN 15709 CHF caleb_strategy_v3 [-1] 125000.0 -443.75 -6.25 25.0 12.5 NaN 18.75 15712 LEANHOG caleb_strategy_v3 [-1] 400.0 130.0 -10.0 NaN NaN NaN NaN 15714 LEANHOG caleb_strategy_v3 [-1] 400.0 70.0 -10.0 -20.0 -40.0 NaN -30.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NASDAQ_micro -69.0 caleb_strategy_v3 CAD 322.5 CHF -1206.25 COFFEE -346.875 COTTON2 -335.0 DOW -27.0 EUROSTX -193.53775 GOLD_micro 268.5 JGB-SGX-mini 140.753786 JPY -590.625 LEANHOG 200.0 LIVECOW -165.0 NASDAQ_micro -363.0 SP500_micro 46.875 US30 -640.625 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -69.0 caleb_strategy_v3 -2889.283964 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NASDAQ_micro -4.5 caleb_strategy_v3 CAD -7.5 CHF -18.75 COFFEE -46.875 COTTON2 -5.0 DOW -0.5 EUROSTX -15.69225 GOLD_micro -0.5 JGB-SGX-mini -9.820032 JPY -3.125 LEANHOG -20.0 LIVECOW -5.0 NASDAQ_micro -1.0 SP500_micro -0.625 US30 -15.625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -4.5 caleb_strategy_v3 -150.012282 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NASDAQ_micro 0.3 caleb_strategy_v3 CAD 195.0 CHF -12.5 COFFEE -75.0 COTTON2 40.0 DOW 16.0 EUROSTX 41.846 GOLD_micro 1.0 JGB-SGX-mini 6.546688 JPY 31.25 LEANHOG -20.0 LIVECOW 60.0 NASDAQ_micro 31.0 SP500_micro -1.25 US30 31.25 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.3 caleb_strategy_v3 345.142688 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NASDAQ_micro -8.7 caleb_strategy_v3 CAD 180.0 CHF -37.5 COFFEE -168.75 COTTON2 30.0 DOW 15.0 EUROSTX 10.4615 GOLD_micro 0.0 JGB-SGX-mini -13.093375 JPY 25.0 LEANHOG -40.0 LIVECOW 50.0 NASDAQ_micro 29.0 SP500_micro -2.5 US30 -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -8.7 caleb_strategy_v3 77.618125 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY NASDAQ_micro 0 caleb_strategy_v3 CAD 0 CHF 0 COFFEE 0 COTTON2 0 DOW 0 EUROSTX 0 GOLD_micro 0 JGB-SGX-mini 0 JPY 0 LEANHOG 0 LIVECOW 0 NASDAQ_micro 0 SP500_micro 0 US30 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 NASDAQ_micro -4.2 caleb_strategy_v3 CAD 187.5 CHF -25.0 COFFEE -121.875 COTTON2 35.0 DOW 15.5 EUROSTX 26.15375 GOLD_micro 0.5 JGB-SGX-mini -3.273344 JPY 28.125 LEANHOG -30.0 LIVECOW 55.0 NASDAQ_micro 30.0 SP500_micro -1.875 US30 15.625 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -4.2 caleb_strategy_v3 211.380406 ******************************************************************************** END OF REPORT ********************************************************************************