******************************************************************************** Trades report produced on 26/12/2024 21:40 from 25/12/2024 21:40 to 26/12/2024 21:40 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15883 COTTON2 caleb_strategy_v3 [20250300] 2024-12-26 14:01:42 [1] 68.860000 15889 DOW caleb_strategy_v3 [20250300] 2024-12-26 15:05:42 [-1] 43592.000000 15890 DOW caleb_strategy_v3 [20250300] 2024-12-26 15:06:42 [-1] 43591.000000 15884 DOW caleb_strategy_v3 [20250300] 2024-12-26 15:00:59 [-1] 43576.000000 15887 DOW caleb_strategy_v3 [20250300] 2024-12-26 15:04:28 [-1] 43594.000000 15882 GAS_US_mini caleb_strategy_v3 [20250200] 2024-12-26 14:01:41 [1] 3.310000 15881 NIKKEI caleb_strategy_v3 [20250300] 2024-12-26 03:02:54 [1] 39415.000000 15891 SOYMEAL caleb_strategy_v3 [20250500] 2024-12-26 15:30:48 [-1] 316.000000 15888 US5 caleb_strategy_v3 [20250300] 2024-12-26 15:05:39 [-1] 105.914063 15886 US5 caleb_strategy_v3 [20250300] 2024-12-26 15:04:24 [-1] 105.921875 15885 VIX caleb_strategy_v3 [20250300] 2024-12-26 15:02:33 [1] 17.550000 ============================================================================================================================================================== Delays ============================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15881 NIKKEI caleb_strategy_v3 2024-12-25 00:00:00 2024-12-26 03:01:15.306000 2024-12-26 03:02:54 97275.306 98.694 15882 GAS_US_mini caleb_strategy_v3 2024-12-24 00:00:00 2024-12-26 14:00:41.278000 2024-12-26 14:01:41 223241.278 59.722 15883 COTTON2 caleb_strategy_v3 2024-12-24 00:00:00 2024-12-26 14:01:42.034000 2024-12-26 14:01:42 223302.034 NaN 15885 VIX caleb_strategy_v3 2024-12-23 00:00:00 2024-12-26 15:01:00.139000 2024-12-26 15:02:33 313260.139 92.861 15888 US5 caleb_strategy_v3 2024-12-24 00:00:00 2024-12-26 15:04:28.819000 2024-12-26 15:05:39 227068.819 70.181 15886 US5 caleb_strategy_v3 2024-12-24 00:00:00 2024-12-26 15:02:34.674000 2024-12-26 15:04:24 226954.674 109.326 15889 DOW caleb_strategy_v3 2024-12-24 00:00:00 2024-12-26 15:05:42.761000 2024-12-26 15:05:42 227142.761 NaN 15890 DOW caleb_strategy_v3 2024-12-24 00:00:00 2024-12-26 15:06:42.845000 2024-12-26 15:06:42 227202.845 NaN 15884 DOW caleb_strategy_v3 2024-12-24 00:00:00 2024-12-26 15:00:59.290000 2024-12-26 15:00:59 226859.29 NaN 15887 DOW caleb_strategy_v3 2024-12-24 00:00:00 2024-12-26 15:04:28.219000 2024-12-26 15:04:28 227068.219 NaN 15891 SOYMEAL caleb_strategy_v3 2024-12-24 00:00:00 2024-12-26 15:30:47.818000 2024-12-26 15:30:48 228647.818 0.182 ==================================================================================================================================================================================================================================== 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 15881 NIKKEI caleb_strategy_v3 [1] 39170.0 None 39347.5 39350.0 39345.0 39345.0 39415.0 -177.5 -2.5 -65.0 -70.0 NaN -67.5 15882 GAS_US_mini caleb_strategy_v3 [1] 3.5 None 3.305 3.31 3.3 3.3 3.31 0.195 -0.005 0.0 -0.01 NaN -0.005 15883 COTTON2 caleb_strategy_v3 [1] 68.78 None 69.075 69.09 69.06 69.06 68.86 -0.295 -0.015 0.23 0.2 NaN 0.215 15885 VIX caleb_strategy_v3 [1] 17.8 None 17.475 17.5 17.45 17.45 17.55 0.325 -0.025 -0.05 -0.1 NaN -0.075 15888 US5 caleb_strategy_v3 [-1] 106.070312 None 105.925781 105.921875 105.929688 105.929688 105.914063 -0.144531 -0.003906 -0.007812 -0.015625 NaN -0.011718 15886 US5 caleb_strategy_v3 [-1] 106.070312 None 105.933594 105.929688 105.9375 105.9375 105.921875 -0.136719 -0.003906 -0.007812 -0.015625 NaN -0.011719 15889 DOW caleb_strategy_v3 [-1] 43635.0 None 43505.5 43505.0 43506.0 43506.0 43592.0 -129.5 -0.5 87.0 86.0 NaN 86.5 15890 DOW caleb_strategy_v3 [-1] 43635.0 None 43530.5 43530.0 43531.0 43531.0 43591.0 -104.5 -0.5 61.0 60.0 NaN 60.5 15884 DOW caleb_strategy_v3 [-1] 43635.0 None 43544.0 43543.0 43545.0 43545.0 43576.0 -91.0 -1.0 33.0 31.0 NaN 32.0 15887 DOW caleb_strategy_v3 [-1] 43635.0 None 43544.0 43543.0 43545.0 43545.0 43594.0 -91.0 -1.0 51.0 49.0 NaN 50.0 15891 SOYMEAL caleb_strategy_v3 [-1] 306.3 None 315.8 315.7 315.9 315.9 316.0 9.5 -0.1 0.3 0.1 NaN 0.2 ================================================================================================================================================================ 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 15881 NIKKEI caleb_strategy_v3 [1] 6927.080466 -256.240708 -3.609024 -93.834625 -101.052673 NaN -97.443649 15882 GAS_US_mini caleb_strategy_v3 [1] 1.605569 1214.522673 -31.141607 0.0 -62.283214 NaN -31.141607 15883 COTTON2 caleb_strategy_v3 [1] 12.80378 -230.400714 -11.715291 179.634455 156.203874 NaN 167.919164 15885 VIX caleb_strategy_v3 [1] 11.066195 293.687205 -22.591323 -45.182647 -90.365294 NaN -67.77397 15888 US5 caleb_strategy_v3 [-1] 3.942834 -366.566945 -9.907215 -19.813161 -39.627591 NaN -29.720376 15886 US5 caleb_strategy_v3 [-1] 3.942834 -346.752516 -9.907215 -19.814429 -39.628859 NaN -29.721644 15889 DOW caleb_strategy_v3 [-1] 5381.563446 -240.63639 -0.929098 161.663057 159.804861 NaN 160.733959 15890 DOW caleb_strategy_v3 [-1] 5381.563446 -194.181488 -0.929098 113.34996 111.491764 NaN 112.420862 15884 DOW caleb_strategy_v3 [-1] 5381.563446 -169.095842 -1.858196 61.32047 57.604078 NaN 59.462274 15887 DOW caleb_strategy_v3 [-1] 5381.563446 -169.095842 -1.858196 94.767999 91.051607 NaN 92.909803 15891 SOYMEAL caleb_strategy_v3 [-1] 67.976951 1397.532528 -14.710869 44.132606 14.710869 NaN 29.421737 ========================================================================================================================================================================= 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 15881 NIKKEI caleb_strategy_v3 [1] 0.635387 -112.781119 -1.588466 -41.300128 -44.477061 NaN -42.888594 15882 GAS_US_mini caleb_strategy_v3 [1] 2500.0 487.5 -12.5 0.0 -25.0 NaN -12.5 15883 COTTON2 caleb_strategy_v3 [1] 500.0 -147.5 -7.5 115.0 100.0 NaN 107.5 15885 VIX caleb_strategy_v3 [1] 1000.0 325.0 -25.0 -50.0 -100.0 NaN -75.0 15888 US5 caleb_strategy_v3 [-1] 1000.0 -144.53125 -3.90625 -7.812 -15.6245 NaN -11.71825 15886 US5 caleb_strategy_v3 [-1] 1000.0 -136.71875 -3.90625 -7.8125 -15.625 NaN -11.71875 15889 DOW caleb_strategy_v3 [-1] 0.5 -64.75 -0.25 43.5 43.0 NaN 43.25 15890 DOW caleb_strategy_v3 [-1] 0.5 -52.25 -0.25 30.5 30.0 NaN 30.25 15884 DOW caleb_strategy_v3 [-1] 0.5 -45.5 -0.5 16.5 15.5 NaN 16.0 15887 DOW caleb_strategy_v3 [-1] 0.5 -45.5 -0.5 25.5 24.5 NaN 25.0 15891 SOYMEAL caleb_strategy_v3 [-1] 100.0 950.0 -10.0 30.0 10.0 NaN 20.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 COTTON2 -147.5 DOW -208.0 GAS_US_mini 487.5 NIKKEI -112.781119 SOYMEAL 950.0 US5 -281.25 VIX 325.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1012.968881 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 COTTON2 -7.5 DOW -1.5 GAS_US_mini -12.5 NIKKEI -1.588466 SOYMEAL -10.0 US5 -7.8125 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -65.900966 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 COTTON2 115.0 DOW 116.0 GAS_US_mini 0.0 NIKKEI -41.300128 SOYMEAL 30.0 US5 -15.6245 VIX -50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 154.075372 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 COTTON2 100.0 DOW 113.0 GAS_US_mini -25.0 NIKKEI -44.477061 SOYMEAL 10.0 US5 -31.2495 VIX -100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 22.273439 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 COTTON2 0 DOW 0 GAS_US_mini 0 NIKKEI 0 SOYMEAL 0 US5 0 VIX 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v3 COTTON2 107.5 DOW 114.5 GAS_US_mini -12.5 NIKKEI -42.888594 SOYMEAL 20.0 US5 -23.437 VIX -75.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 88.174406 ******************************************************************************** END OF REPORT ********************************************************************************