******************************************************************************** Trades report produced on 27/12/2024 21:40 from 26/12/2024 21:40 to 27/12/2024 21:40 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15896 DOW caleb_strategy_v3 [20250300] 2024-12-27 19:45:02.467 [0] NaN 15899 DOW caleb_strategy_v3 [20250300] 2024-12-27 19:45:02.525 [0] NaN 15901 DOW caleb_strategy_v3 [20250300] 2024-12-27 15:40:48.000 [-1] 43237.000000 15902 DOW caleb_strategy_v3 [20250300] 2024-12-27 15:41:47.000 [-1] 43307.000000 15893 GAS_US_mini caleb_strategy_v3 [20250200] 2024-12-27 14:00:34.000 [1] 3.425000 15894 MXP caleb_strategy_v3 [20250300] 2024-12-27 15:00:39.000 [1] 0.048350 15892 NIKKEI caleb_strategy_v3 [20250300] 2024-12-27 03:02:29.000 [1] 40195.000000 15897 RUSSELL caleb_strategy_v3 [20250300] 2024-12-27 19:45:02.496 [0] NaN 15900 RUSSELL caleb_strategy_v3 [20250300] 2024-12-27 15:40:44.000 [-1] 2252.900000 15895 US5 caleb_strategy_v3 [20250300] 2024-12-27 15:00:40.000 [-1] 106.132813 15898 VIX caleb_strategy_v3 [20250300] 2024-12-27 15:22:49.000 [1] 18.150000 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15892 NIKKEI caleb_strategy_v3 2024-12-26 00:00:00 2024-12-27 03:01:16.150000 2024-12-27 03:02:29 97276.15 72.85 15893 GAS_US_mini caleb_strategy_v3 2024-12-26 00:00:00 2024-12-27 14:00:34.466000 2024-12-27 14:00:34 136834.466 NaN 15894 MXP caleb_strategy_v3 2024-12-26 00:00:00 2024-12-27 15:00:39.778000 2024-12-27 15:00:39 140439.778 NaN 15895 US5 caleb_strategy_v3 2024-12-26 00:00:00 2024-12-27 15:00:40.742000 2024-12-27 15:00:40 140440.742 NaN 15898 VIX caleb_strategy_v3 2024-12-26 00:00:00 2024-12-27 15:20:43.350000 2024-12-27 15:22:49 141643.35 125.65 15896 DOW caleb_strategy_v3 2024-12-26 00:00:00 2024-12-27 15:00:41.722000 2024-12-27 19:45:02.467000 140441.722 17060.745 15899 DOW caleb_strategy_v3 2024-12-26 00:00:00 2024-12-27 15:22:52.686000 2024-12-27 19:45:02.525000 141772.686 15729.839 15901 DOW caleb_strategy_v3 2024-12-26 00:00:00 2024-12-27 15:40:47.794000 2024-12-27 15:40:48 142847.794 0.206 15902 DOW caleb_strategy_v3 2024-12-26 00:00:00 2024-12-27 15:41:47.800000 2024-12-27 15:41:47 142907.8 NaN 15897 RUSSELL caleb_strategy_v3 2024-12-26 00:00:00 2024-12-27 15:10:42.526000 2024-12-27 19:45:02.496000 141042.526 16459.97 15900 RUSSELL caleb_strategy_v3 2024-12-26 00:00:00 2024-12-27 15:32:53.210000 2024-12-27 15:40:44 142373.21 470.79 ==================================================================================================================================================================================================================================== 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 15892 NIKKEI caleb_strategy_v3 [1] 39665.0 None 40182.5 40185.0 40180.0 40180.0 40195.0 -517.5 -2.5 -10.0 -15.0 NaN -12.5 15893 GAS_US_mini caleb_strategy_v3 [1] 3.305 None 3.4325 3.435 3.43 3.43 3.425 -0.1275 -0.0025 0.01 0.005 NaN 0.0075 15894 MXP caleb_strategy_v3 [1] 0.04879 None 0.048475 0.04848 0.04847 0.04847 0.04835 0.000315 -0.000005 0.00013 0.00012 NaN 0.000125 15895 US5 caleb_strategy_v3 [-1] 106.125 None 106.121094 106.117188 106.125 106.125 106.132813 -0.003906 -0.003906 0.015625 0.007813 NaN 0.011719 15898 VIX caleb_strategy_v3 [1] 17.35 None 18.025 18.05 18.0 18.0 18.15 -0.675 -0.025 -0.1 -0.15 NaN -0.125 15896 DOW caleb_strategy_v3 [-1] 43699.0 None 43553.0 43552.0 43554.0 43554.0 NaN -146.0 -1.0 NaN NaN NaN NaN 15899 DOW caleb_strategy_v3 [-1] 43699.0 None 43533.0 43532.0 43534.0 43534.0 NaN -166.0 -1.0 NaN NaN NaN NaN 15901 DOW caleb_strategy_v3 [-1] 43699.0 None 43343.0 43342.0 43344.0 43344.0 43237.0 -356.0 -1.0 -105.0 -107.0 NaN -106.0 15902 DOW caleb_strategy_v3 [-1] 43699.0 None 43238.0 43237.0 43239.0 43239.0 43307.0 -461.0 -1.0 70.0 68.0 NaN 69.0 15897 RUSSELL caleb_strategy_v3 [-1] 2294.3 None 2284.85 2284.8 2284.9 2284.9 NaN -9.45 -0.05 NaN NaN NaN NaN 15900 RUSSELL caleb_strategy_v3 [-1] 2294.3 None 2271.4 2271.3 2271.5 2271.5 2252.9 -22.9 -0.1 -18.4 -18.6 NaN -18.5 =============================================================================================================================================================== 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 15892 NIKKEI caleb_strategy_v3 [1] 6977.944204 -741.622439 -3.582717 -14.330868 -21.496303 NaN -17.913585 15893 GAS_US_mini caleb_strategy_v3 [1] 1.579159 -807.391948 -15.831215 63.324859 31.662429 NaN 47.493644 15894 MXP caleb_strategy_v3 [1] 0.005708 551.880719 -8.760011 227.760297 210.240274 NaN 219.000285 15895 US5 caleb_strategy_v3 [-1] 3.86106 -10.117041 -10.117041 40.469458 20.235377 NaN 30.352418 15898 VIX caleb_strategy_v3 [1] 10.875808 -620.643548 -22.986798 -91.947192 -137.920788 NaN -114.93399 15896 DOW caleb_strategy_v3 [-1] 5308.342576 -275.038768 -1.883827 NaN NaN NaN NaN 15899 DOW caleb_strategy_v3 [-1] 5308.342576 -312.715311 -1.883827 NaN NaN NaN NaN 15901 DOW caleb_strategy_v3 [-1] 5308.342576 -670.642474 -1.883827 -197.801853 -201.569508 NaN -199.685681 15902 DOW caleb_strategy_v3 [-1] 5308.342576 -868.444328 -1.883827 131.867902 128.100248 NaN 129.984075 15897 RUSSELL caleb_strategy_v3 [-1] 492.483575 -191.884572 -1.015262 NaN NaN NaN NaN 15900 RUSSELL caleb_strategy_v3 [-1] 492.483575 -464.990127 -2.030525 -373.616521 -377.67757 NaN -375.647046 ========================================================================================================================================================================= 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 15892 NIKKEI caleb_strategy_v3 [1] 0.633945 -328.066311 -1.584861 -6.339446 -9.509168 NaN -7.924307 15893 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -318.75 -6.25 25.0 12.5 NaN 18.75 15894 MXP caleb_strategy_v3 [1] 500000.0 157.5 -2.5 65.0 60.0 NaN 62.5 15895 US5 caleb_strategy_v3 [-1] 1000.0 -3.90625 -3.90625 15.6255 7.813 NaN 11.71925 15898 VIX caleb_strategy_v3 [1] 1000.0 -675.0 -25.0 -100.0 -150.0 NaN -125.0 15896 DOW caleb_strategy_v3 [-1] 0.5 -73.0 -0.5 NaN NaN NaN NaN 15899 DOW caleb_strategy_v3 [-1] 0.5 -83.0 -0.5 NaN NaN NaN NaN 15901 DOW caleb_strategy_v3 [-1] 0.5 -178.0 -0.5 -52.5 -53.5 NaN -53.0 15902 DOW caleb_strategy_v3 [-1] 0.5 -230.5 -0.5 35.0 34.0 NaN 34.5 15897 RUSSELL caleb_strategy_v3 [-1] 5.0 -47.25 -0.25 NaN NaN NaN NaN 15900 RUSSELL caleb_strategy_v3 [-1] 5.0 -114.5 -0.5 -92.0 -93.0 NaN -92.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW -564.5 GAS_US_mini -318.75 MXP 157.5 NIKKEI -328.066311 RUSSELL -161.75 US5 -3.90625 VIX -675.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1894.472561 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -2.0 GAS_US_mini -6.25 MXP -2.5 NIKKEI -1.584861 RUSSELL -0.75 US5 -3.90625 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -41.991111 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW -17.5 GAS_US_mini 25.0 MXP 65.0 NIKKEI -6.339446 RUSSELL -92.0 US5 15.6255 VIX -100.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -110.213946 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW -19.5 GAS_US_mini 12.5 MXP 60.0 NIKKEI -9.509168 RUSSELL -93.0 US5 7.813 VIX -150.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -191.696168 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 GAS_US_mini 0 MXP 0 NIKKEI 0 RUSSELL 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 DOW -18.5 GAS_US_mini 18.75 MXP 62.5 NIKKEI -7.924307 RUSSELL -92.5 US5 11.71925 VIX -125.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -150.955057 ******************************************************************************** END OF REPORT ********************************************************************************