******************************************************************************** Trades report produced on 07/06/2024 21:38 from 06/06/2024 21:38 to 07/06/2024 21:38 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 13209 AUD caleb_strategy_v3 [20240900] 2024-06-07 14:06:12 [1] 0.66120 13206 AUD caleb_strategy_v3 [20240900] 2024-06-07 14:04:04 [1] 0.66125 13200 BUND caleb_strategy_v3 [20240900] 2024-06-07 07:00:34 [1] 130.85000 13201 CANOLA caleb_strategy_v3 [20241100] 2024-06-07 13:00:43 [1] 656.10000 13198 JGB-SGX-mini caleb_strategy_v3 [20240900] 2024-06-07 02:01:19 [-1] 143.31000 13199 JGB-SGX-mini caleb_strategy_v3 [20240900] 2024-06-07 02:02:18 [-1] 143.31000 13210 MXP caleb_strategy_v3 [20240600] 2024-06-07 14:12:24 [-1] 0.05543 13203 MXP caleb_strategy_v3 [20240600] 2024-06-07 14:03:19 [-1] 0.05547 13207 MXP caleb_strategy_v3 [20240600] 2024-06-07 14:04:07 [-1] 0.05557 13197 NIKKEI caleb_strategy_v3 [20240900] 2024-06-07 02:01:18 [1] 38555.00000 13208 RUSSELL caleb_strategy_v3 [20240900] 2024-06-07 14:04:08 [-1] 2060.40000 13211 RUSSELL caleb_strategy_v3 [20240900] 2024-06-07 14:12:25 [-1] 2062.70000 13204 RUSSELL caleb_strategy_v3 [20240900] 2024-06-07 14:03:24 [-1] 2061.50000 13202 SUGAR11 caleb_strategy_v3 [20241000] 2024-06-07 13:08:34 [1] 18.89000 13205 VIX caleb_strategy_v3 [20240800] 2024-06-07 14:03:52 [-1] 15.00000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13197 NIKKEI caleb_strategy_v3 2024-06-06 2024-06-07 03:01:18.362 2024-06-07 02:01:18 97278.362 NaN 13198 JGB-SGX-mini caleb_strategy_v3 2024-06-06 2024-06-07 03:01:19.730 2024-06-07 02:01:19 97279.73 NaN 13199 JGB-SGX-mini caleb_strategy_v3 2024-06-06 2024-06-07 03:02:18.696 2024-06-07 02:02:18 97338.696 NaN 13200 BUND caleb_strategy_v3 2024-06-06 2024-06-07 08:00:34.059 2024-06-07 07:00:34 115234.059 NaN 13201 CANOLA caleb_strategy_v3 2024-06-06 2024-06-07 14:00:41.186 2024-06-07 13:00:43 136841.186 NaN 13202 SUGAR11 caleb_strategy_v3 2024-06-06 2024-06-07 14:00:44.402 2024-06-07 13:08:34 136844.402 NaN 13205 VIX caleb_strategy_v3 2024-06-06 2024-06-07 15:03:25.010 2024-06-07 14:03:52 140605.01 NaN 13209 AUD caleb_strategy_v3 2024-06-06 2024-06-07 15:04:09.187 2024-06-07 14:06:12 140649.187 NaN 13206 AUD caleb_strategy_v3 2024-06-06 2024-06-07 15:03:53.018 2024-06-07 14:04:04 140633.018 NaN 13210 MXP caleb_strategy_v3 2024-06-06 2024-06-07 15:06:16.837 2024-06-07 14:12:24 140776.837 NaN 13203 MXP caleb_strategy_v3 2024-06-06 2024-06-07 15:00:47.907 2024-06-07 14:03:19 140447.907 NaN 13207 MXP caleb_strategy_v3 2024-06-06 2024-06-07 15:04:07.941 2024-06-07 14:04:07 140647.941 NaN 13208 RUSSELL caleb_strategy_v3 2024-06-06 2024-06-07 15:04:08.431 2024-06-07 14:04:08 140648.431 NaN 13211 RUSSELL caleb_strategy_v3 2024-06-06 2024-06-07 15:12:25.177 2024-06-07 14:12:25 141145.177 NaN 13204 RUSSELL caleb_strategy_v3 2024-06-06 2024-06-07 15:03:20.325 2024-06-07 14:03:24 140600.325 NaN ================================================================================================================================================================================================================================= 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 13197 NIKKEI caleb_strategy_v3 [1] 38610.0 None 38607.5 38610.0 38605.0 38605.0 38555.0 2.5 -2.5 55.0 50.0 NaN 52.5 13198 JGB-SGX-mini caleb_strategy_v3 [-1] 143.35 None 143.29 143.28 143.3 143.3 143.31 -0.06 -0.01 0.03 0.01 NaN 0.02 13199 JGB-SGX-mini caleb_strategy_v3 [-1] 143.35 None 143.29 143.28 143.3 143.3 143.31 -0.06 -0.01 0.03 0.01 NaN 0.02 13200 BUND caleb_strategy_v3 [1] 131.1 None 130.865 130.87 130.86 130.86 130.85 0.235 -0.005 0.02 0.01 NaN 0.015 13201 CANOLA caleb_strategy_v3 [1] 662.4 None 656.2 656.3 656.1 656.1 656.1 6.2 -0.1 0.2 0.0 NaN 0.1 13202 SUGAR11 caleb_strategy_v3 [1] 19.1 None 18.825 18.83 18.82 18.82 18.89 0.275 -0.005 -0.06 -0.07 NaN -0.065 13205 VIX caleb_strategy_v3 [-1] 15.1 None 14.975 14.95 15.0 15.0 15.0 -0.125 -0.025 0.05 -0.0 NaN 0.025 13209 AUD caleb_strategy_v3 [1] 0.66905 None 0.661225 0.66125 0.6612 0.6612 0.6612 0.007825 -0.000025 0.00005 0.0 NaN 0.000025 13206 AUD caleb_strategy_v3 [1] 0.66905 None 0.661175 0.6612 0.66115 0.66115 0.66125 0.007875 -0.000025 -0.00005 -0.0001 NaN -0.000075 13210 MXP caleb_strategy_v3 [-1] 0.05696 None 0.05556 0.05555 0.05557 0.05557 0.05543 -0.0014 -0.00001 -0.00012 -0.00014 NaN -0.00013 13203 MXP caleb_strategy_v3 [-1] 0.05696 None 0.05564 0.05563 0.05565 0.05565 0.05547 -0.00132 -0.00001 -0.00016 -0.00018 NaN -0.00017 13207 MXP caleb_strategy_v3 [-1] 0.05696 None 0.05545 0.05544 0.05546 0.05546 0.05557 -0.00151 -0.00001 0.00013 0.00011 NaN 0.00012 13208 RUSSELL caleb_strategy_v3 [-1] 2077.5 None 2061.45 2061.2 2061.7 2061.7 2060.4 -16.05 -0.25 -0.8 -1.3 NaN -1.05 13211 RUSSELL caleb_strategy_v3 [-1] 2077.5 None 2060.6 2060.3 2060.9 2060.9 2062.7 -16.9 -0.3 2.4 1.8 NaN 2.1 13204 RUSSELL caleb_strategy_v3 [-1] 2077.5 None 2061.5 2061.2 2061.8 2061.8 2061.5 -16.0 -0.3 0.3 -0.3 NaN 0.0 ================================================================================================================================================================ 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 13197 NIKKEI caleb_strategy_v3 [1] 5851.739508 4.272234 -4.272234 93.989146 85.444678 NaN 89.716912 13198 JGB-SGX-mini caleb_strategy_v3 [-1] 3.993142 -150.257635 -25.042939 75.128817 25.042939 NaN 50.085878 13199 JGB-SGX-mini caleb_strategy_v3 [-1] 3.993142 -150.257635 -25.042939 75.128817 25.042939 NaN 50.085878 13200 BUND caleb_strategy_v3 [1] 9.766982 240.606558 -5.119288 20.477154 10.238577 NaN 15.357865 13201 CANOLA caleb_strategy_v3 [1] 162.097524 382.485793 -6.169126 12.338251 0.0 NaN 6.169126 13202 SUGAR11 caleb_strategy_v3 [1] 4.809581 571.775371 -10.395916 -124.75099 -145.542822 NaN -135.146906 13205 VIX caleb_strategy_v3 [-1] 4.881709 -256.057876 -51.211575 102.42315 -0.0 NaN 51.211575 13209 AUD caleb_strategy_v3 [1] 0.062266 1256.712069 -4.015055 8.030109 0.0 NaN 4.015055 13206 AUD caleb_strategy_v3 [1] 0.062266 1264.742179 -4.015055 -8.030109 -16.060218 NaN -12.045164 13210 MXP caleb_strategy_v3 [-1] 0.009007 -1554.281761 -11.102013 -133.224151 -155.428176 NaN -144.326164 13203 MXP caleb_strategy_v3 [-1] 0.009007 -1465.46566 -11.102013 -177.632201 -199.836226 NaN -188.734214 13207 MXP caleb_strategy_v3 [-1] 0.009007 -1676.403899 -11.102013 144.326164 122.122138 NaN 133.224151 13208 RUSSELL caleb_strategy_v3 [-1] 365.789487 -438.776962 -6.834532 -21.870503 -35.539567 NaN -28.705035 13211 RUSSELL caleb_strategy_v3 [-1] 365.789487 -462.014371 -8.201439 65.611508 49.208631 NaN 57.41007 13204 RUSSELL caleb_strategy_v3 [-1] 365.789487 -437.410056 -8.201439 8.201439 -8.201439 NaN 0.0 ======================================================================================================================================================================== 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 13197 NIKKEI caleb_strategy_v3 [1] 0.643145 1.607862 -1.607862 35.37296 32.157236 NaN 33.765098 13198 JGB-SGX-mini caleb_strategy_v3 [-1] 643.14472 -38.588683 -6.431447 19.294342 6.431447 NaN 12.862894 13199 JGB-SGX-mini caleb_strategy_v3 [-1] 643.14472 -38.588683 -6.431447 19.294342 6.431447 NaN 12.862894 13200 BUND caleb_strategy_v3 [1] 1089.0 255.915 -5.445 21.78 10.89 NaN 16.335 13201 CANOLA caleb_strategy_v3 [1] 14.631648 90.716219 -1.463165 2.92633 0.0 NaN 1.463165 13202 SUGAR11 caleb_strategy_v3 [1] 1120.0 308.0 -5.6 -67.2 -78.4 NaN -72.8 13205 VIX caleb_strategy_v3 [-1] 1000.0 -125.0 -25.0 50.0 -0.0 NaN 25.0 13209 AUD caleb_strategy_v3 [1] 100000.0 782.5 -2.5 5.0 0.0 NaN 2.5 13206 AUD caleb_strategy_v3 [1] 100000.0 787.5 -2.5 -5.0 -10.0 NaN -7.5 13210 MXP caleb_strategy_v3 [-1] 500000.0 -700.0 -5.0 -60.0 -70.0 NaN -65.0 13203 MXP caleb_strategy_v3 [-1] 500000.0 -660.0 -5.0 -80.0 -90.0 NaN -85.0 13207 MXP caleb_strategy_v3 [-1] 500000.0 -755.0 -5.0 65.0 55.0 NaN 60.0 13208 RUSSELL caleb_strategy_v3 [-1] 5.0 -80.25 -1.25 -4.0 -6.5 NaN -5.25 13211 RUSSELL caleb_strategy_v3 [-1] 5.0 -84.5 -1.5 12.0 9.0 NaN 10.5 13204 RUSSELL caleb_strategy_v3 [-1] 5.0 -80.0 -1.5 1.5 -1.5 NaN 0.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD 1570.0 BUND 255.915 CANOLA 90.716219 JGB-SGX-mini -77.177366 MXP -2115.0 NIKKEI 1.607862 RUSSELL -244.75 SUGAR11 308.0 VIX -125.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -335.688285 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -5.0 BUND -5.445 CANOLA -1.463165 JGB-SGX-mini -12.862894 MXP -15.0 NIKKEI -1.607862 RUSSELL -4.25 SUGAR11 -5.6 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -76.228921 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 0.0 BUND 21.78 CANOLA 2.92633 JGB-SGX-mini 38.588683 MXP -75.0 NIKKEI 35.37296 RUSSELL 9.5 SUGAR11 -67.2 VIX 50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 15.967972 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD -10.0 BUND 10.89 CANOLA 0.0 JGB-SGX-mini 12.862894 MXP -105.0 NIKKEI 32.157236 RUSSELL 1.0 SUGAR11 -78.4 VIX -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -136.48987 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 BUND 0 CANOLA 0 JGB-SGX-mini 0 MXP 0 NIKKEI 0 RUSSELL 0 SUGAR11 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 AUD -5.0 BUND 16.335 CANOLA 1.463165 JGB-SGX-mini 25.725789 MXP -90.0 NIKKEI 33.765098 RUSSELL 5.25 SUGAR11 -72.8 VIX 25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -60.260949 ******************************************************************************** END OF REPORT ********************************************************************************