******************************************************************************** Trades report produced on 18/12/2024 21:41 from 17/12/2024 21:41 to 18/12/2024 21:41 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15742 BTP caleb_strategy_v3 [20250300] 2024-12-18 19:45:00.249 [0] NaN 15744 BTP caleb_strategy_v3 [20250300] 2024-12-18 19:45:00.288 [0] NaN 15745 BTP caleb_strategy_v3 [20250300] 2024-12-18 08:27:54.000 [-1] 121.080000 15743 DAX caleb_strategy_v3 [20250300] 2024-12-18 08:10:37.000 [-1] 20455.000000 15756 FEEDCOW _ROLL_PSEUDO_STRATEGY [20250300, 20250400] 2024-12-18 15:35:19.000 [-1, 1] -1.000000 15757 FEEDCOW _ROLL_PSEUDO_STRATEGY [20250300, 20250400] 2024-12-18 15:36:32.000 [-1, 1] -1.000000 15758 FEEDCOW _ROLL_PSEUDO_STRATEGY [20250300, 20250400] 2024-12-18 15:37:36.000 [-1, 1] -0.950000 15759 FEEDCOW _ROLL_PSEUDO_STRATEGY [20250300, 20250400] 2024-12-18 15:38:10.000 [-1, 1] -0.975000 15755 FEEDCOW _ROLL_PSEUDO_STRATEGY [20250300, 20250400] 2024-12-18 15:32:49.000 [-1, 1] -0.975000 15746 GOLD_micro caleb_strategy_v3 [20250200] 2024-12-18 14:00:36.000 [-1] 2660.300000 15750 NASDAQ_micro caleb_strategy_v3 [20250300] 2024-12-18 15:15:52.000 [1] 22303.500000 15753 NASDAQ_micro caleb_strategy_v3 [20250300] 2024-12-18 15:20:24.000 [1] 22296.500000 15754 RUSSELL caleb_strategy_v3 [20250300] 2024-12-18 15:20:28.000 [1] 2368.800000 15748 RUSSELL caleb_strategy_v3 [20250300] 2024-12-18 15:00:42.000 [1] 2373.600000 15751 RUSSELL caleb_strategy_v3 [20250300] 2024-12-18 15:15:56.000 [1] 2368.100000 15747 SUGAR11 caleb_strategy_v3 [20250500] 2024-12-18 14:00:37.000 [-1] 18.390000 15752 US5 caleb_strategy_v3 [20250300] 2024-12-18 15:20:24.000 [-1] 106.859375 15749 US5 caleb_strategy_v3 [20250300] 2024-12-18 19:45:00.326 [0] NaN ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15743 DAX caleb_strategy_v3 2024-12-17 00:00:00 2024-12-18 08:10:37.754000 2024-12-18 08:10:37 115837.754 NaN 15746 GOLD_micro caleb_strategy_v3 2024-12-17 00:00:00 2024-12-18 14:00:36.358000 2024-12-18 14:00:36 136836.358 NaN 15747 SUGAR11 caleb_strategy_v3 2024-12-17 00:00:00 2024-12-18 14:00:37.278000 2024-12-18 14:00:37 136837.278 NaN 15753 NASDAQ_micro caleb_strategy_v3 2024-12-17 00:00:00 2024-12-18 15:20:24.714000 2024-12-18 15:20:24 141624.714 NaN 15750 NASDAQ_micro caleb_strategy_v3 2024-12-17 00:00:00 2024-12-18 15:10:44.198000 2024-12-18 15:15:52 141044.198 307.802 15754 RUSSELL caleb_strategy_v3 2024-12-17 00:00:00 2024-12-18 15:20:28.648000 2024-12-18 15:20:28 141628.648 NaN 15748 RUSSELL caleb_strategy_v3 2024-12-17 00:00:00 2024-12-18 15:00:42.462000 2024-12-18 15:00:42 140442.462 NaN 15751 RUSSELL caleb_strategy_v3 2024-12-17 00:00:00 2024-12-18 15:15:56.059000 2024-12-18 15:15:56 141356.059 NaN 15755 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-12-17 19:00:00 2024-12-18 15:30:32.386000 2024-12-18 15:32:49 73832.386 136.614 15756 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-12-17 19:00:00 2024-12-18 15:32:53.326000 2024-12-18 15:35:19 73973.326 145.674 15757 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-12-17 19:00:00 2024-12-18 15:35:23.206000 2024-12-18 15:36:32 74123.206 68.794 15758 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-12-17 19:00:00 2024-12-18 15:36:36.174000 2024-12-18 15:37:36 74196.174 59.826 15759 FEEDCOW _ROLL_PSEUDO_STRATEGY 2024-12-17 19:00:00 2024-12-18 15:37:40.771000 2024-12-18 15:38:10 74260.771 29.229 15752 US5 caleb_strategy_v3 2024-12-17 00:00:00 2024-12-18 15:15:56.522000 2024-12-18 15:20:24 141356.522 267.478 15749 US5 caleb_strategy_v3 2024-12-17 00:00:00 2024-12-18 15:00:43.306000 2024-12-18 19:45:00.326000 140443.306 17057.02 15744 BTP caleb_strategy_v3 2024-12-17 00:00:00 2024-12-18 08:10:41.585000 2024-12-18 19:45:00.288000 115841.585 41658.703 15745 BTP caleb_strategy_v3 2024-12-17 00:00:00 2024-12-18 08:20:45.820000 2024-12-18 08:27:54 116445.82 428.18 15742 BTP caleb_strategy_v3 2024-12-17 00:00:00 2024-12-18 08:00:36.538000 2024-12-18 19:45:00.249000 115236.538 42263.711 =========================================================================================================================================================================================================================================== 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 15743 DAX caleb_strategy_v3 [-1] 20442.0 None 20432.5 20428.0 20437.0 20437.0 20455.0 -9.5 -4.5 27.0 18.0 NaN 22.5 15746 GOLD_micro caleb_strategy_v3 [-1] 2662.2 None 2659.05 2659.0 2659.1 2659.1 2660.3 -3.15 -0.05 1.3 1.2 NaN 1.25 15747 SUGAR11 caleb_strategy_v3 [-1] 18.53 None 18.355 18.35 18.36 18.36 18.39 -0.175 -0.005 0.04 0.03 NaN 0.035 15753 NASDAQ_micro caleb_strategy_v3 [1] 22281.25 None 22303.375 22303.5 22303.25 22303.25 22296.5 -22.125 -0.125 7.0 6.75 NaN 6.875 15750 NASDAQ_micro caleb_strategy_v3 [1] 22281.25 None 22290.5 22290.75 22290.25 22290.25 22303.5 -9.25 -0.25 -12.75 -13.25 NaN -13.0 15754 RUSSELL caleb_strategy_v3 [1] 2365.4 None 2370.1 2370.2 2370.0 2370.0 2368.8 -4.7 -0.1 1.4 1.2 NaN 1.3 15748 RUSSELL caleb_strategy_v3 [1] 2365.4 None 2379.8 2379.9 2379.7 2379.7 2373.6 -14.4 -0.1 6.3 6.1 NaN 6.2 15751 RUSSELL caleb_strategy_v3 [1] 2365.4 None 2379.8 2379.9 2379.7 2379.7 2368.1 -14.4 -0.1 11.8 11.6 NaN 11.7 15755 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] -1.025 None -0.9625 -1.05 -0.875 -0.875 -0.975 0.0625 -0.0875 0.075 -0.1 NaN -0.0125 15756 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] -1.025 None -0.95 -1.0 -0.9 -0.9 -1.0 0.075 -0.05 -0.0 -0.1 NaN -0.05 15757 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] -1.025 None -0.9875 -1.05 -0.925 -0.925 -1.0 0.0375 -0.0625 0.05 -0.075 NaN -0.0125 15758 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] -1.025 None -1.025 -1.1 -0.95 -0.95 -0.95 -0.0 -0.075 0.15 -0.0 NaN 0.075 15759 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] -1.025 None -0.9625 -1.05 -0.875 -0.875 -0.975 0.0625 -0.0875 0.075 -0.1 NaN -0.0125 15752 US5 caleb_strategy_v3 [-1] 106.84375 None 106.902344 106.898438 106.90625 106.90625 106.859375 0.058594 -0.003906 -0.039062 -0.046875 NaN -0.042969 15749 US5 caleb_strategy_v3 [-1] 106.84375 None 106.917969 106.914062 106.921875 106.921875 NaN 0.074219 -0.003906 NaN NaN NaN NaN 15744 BTP caleb_strategy_v3 [-1] 121.26 None 121.19 121.18 121.2 121.2 NaN -0.07 -0.01 NaN NaN NaN NaN 15745 BTP caleb_strategy_v3 [-1] 121.26 None 121.135 121.13 121.14 121.14 121.08 -0.125 -0.005 -0.05 -0.06 NaN -0.055 15742 BTP caleb_strategy_v3 [-1] 121.26 None 121.165 121.16 121.17 121.17 NaN -0.095 -0.005 NaN NaN NaN NaN ====================================================================================================================================================================== 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 15743 DAX caleb_strategy_v3 [-1] 2170.813909 -43.762388 -20.729552 124.377313 82.918208 NaN 103.64776 15746 GOLD_micro caleb_strategy_v3 [-1] 443.431108 -71.036965 -1.127571 29.316843 27.061701 NaN 28.189272 15747 SUGAR11 caleb_strategy_v3 [-1] 5.051507 -346.431275 -9.898036 79.184291 59.388219 NaN 69.286255 15753 NASDAQ_micro caleb_strategy_v3 [1] 3294.012167 -67.167329 -0.379476 21.25068 20.491728 NaN 20.871204 15750 NASDAQ_micro caleb_strategy_v3 [1] 3294.012167 -28.081256 -0.758953 -38.706597 -40.224502 NaN -39.465549 15754 RUSSELL caleb_strategy_v3 [1] 456.757529 -102.899234 -2.189345 30.650836 26.272145 NaN 28.46149 15748 RUSSELL caleb_strategy_v3 [1] 456.757529 -315.265739 -2.189345 137.928761 133.55007 NaN 135.739416 15751 RUSSELL caleb_strategy_v3 [1] 456.757529 -315.265739 -2.189345 258.342759 253.964068 NaN 256.153413 15755 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 28.984735 21.563074 -30.188304 25.875689 -34.500919 NaN -4.312615 15756 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 28.984735 25.875689 -17.250459 -0.0 -34.500919 NaN -17.250459 15757 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 28.984735 12.937845 -21.563074 17.250459 -25.875689 NaN -4.312615 15758 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 28.984735 -0.0 -25.875689 51.751378 -0.0 NaN 25.875689 15759 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 28.984735 21.563074 -30.188304 25.875689 -34.500919 NaN -4.312615 15752 US5 caleb_strategy_v3 [-1] 3.916486 149.607962 -9.973864 -99.738641 -119.68637 NaN -109.712505 15749 US5 caleb_strategy_v3 [-1] 3.916486 189.503418 -9.973864 NaN NaN NaN NaN 15744 BTP caleb_strategy_v3 [-1] 7.484813 -93.522709 -13.360387 NaN NaN NaN NaN 15745 BTP caleb_strategy_v3 [-1] 7.484813 -167.004837 -6.680193 -66.801935 -80.162322 NaN -73.482128 15742 BTP caleb_strategy_v3 [-1] 7.484813 -126.923676 -6.680193 NaN NaN NaN NaN =============================================================================================================================================================================== 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 15743 DAX caleb_strategy_v3 [-1] 1.05105 -9.984975 -4.729725 28.37835 18.9189 NaN 23.648625 15746 GOLD_micro caleb_strategy_v3 [-1] 10.0 -31.5 -0.5 13.0 12.0 NaN 12.5 15747 SUGAR11 caleb_strategy_v3 [-1] 1120.0 -196.0 -5.6 44.8 33.6 NaN 39.2 15753 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -44.25 -0.25 14.0 13.5 NaN 13.75 15750 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -18.5 -0.5 -25.5 -26.5 NaN -26.0 15754 RUSSELL caleb_strategy_v3 [1] 5.0 -23.5 -0.5 7.0 6.0 NaN 6.5 15748 RUSSELL caleb_strategy_v3 [1] 5.0 -72.0 -0.5 31.5 30.5 NaN 31.0 15751 RUSSELL caleb_strategy_v3 [1] 5.0 -72.0 -0.5 59.0 58.0 NaN 58.5 15755 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 500.0 31.25 -43.75 37.5 -50.0 NaN -6.25 15756 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 500.0 37.5 -25.0 -0.0 -50.0 NaN -25.0 15757 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 500.0 18.75 -31.25 25.0 -37.5 NaN -6.25 15758 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 500.0 -0.0 -37.5 75.0 -0.0 NaN 37.5 15759 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1, 1] 500.0 31.25 -43.75 37.5 -50.0 NaN -6.25 15752 US5 caleb_strategy_v3 [-1] 1000.0 58.59375 -3.90625 -39.0625 -46.875 NaN -42.96875 15749 US5 caleb_strategy_v3 [-1] 1000.0 74.21875 -3.90625 NaN NaN NaN NaN 15744 BTP caleb_strategy_v3 [-1] 1051.05 -73.5735 -10.5105 NaN NaN NaN NaN 15745 BTP caleb_strategy_v3 [-1] 1051.05 -131.38125 -5.25525 -52.5525 -63.063 NaN -57.80775 15742 BTP caleb_strategy_v3 [-1] 1051.05 -99.84975 -5.25525 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 118.75 caleb_strategy_v3 BTP -304.8045 DAX -9.984975 GOLD_micro -31.5 NASDAQ_micro -62.75 RUSSELL -167.5 SUGAR11 -196.0 US5 132.8125 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 118.75 caleb_strategy_v3 -639.726975 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -181.25 caleb_strategy_v3 BTP -21.021 DAX -4.729725 GOLD_micro -0.5 NASDAQ_micro -0.75 RUSSELL -1.5 SUGAR11 -5.6 US5 -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -181.25 caleb_strategy_v3 -41.913225 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 175.0 caleb_strategy_v3 BTP -52.5525 DAX 28.37835 GOLD_micro 13.0 NASDAQ_micro -11.5 RUSSELL 97.5 SUGAR11 44.8 US5 -39.0625 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 175.0 caleb_strategy_v3 80.56335 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -187.5 caleb_strategy_v3 BTP -63.063 DAX 18.9189 GOLD_micro 12.0 NASDAQ_micro -13.0 RUSSELL 94.5 SUGAR11 33.6 US5 -46.875 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -187.5 caleb_strategy_v3 36.0809 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 0 caleb_strategy_v3 BTP 0 DAX 0 GOLD_micro 0 NASDAQ_micro 0 RUSSELL 0 SUGAR11 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 FEEDCOW -6.25 caleb_strategy_v3 BTP -57.80775 DAX 23.648625 GOLD_micro 12.5 NASDAQ_micro -12.25 RUSSELL 96.0 SUGAR11 39.2 US5 -42.96875 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -6.25 caleb_strategy_v3 58.322125 ******************************************************************************** END OF REPORT ********************************************************************************