******************************************************************************** Trades report produced on 07/07/2023 21:38 from 06/07/2023 21:38 to 07/07/2023 21:38 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3433 COPPER caleb_strategy_v3 [20230900] 2023-07-07 14:00:02 [-1] 3.755000 3453 CORN caleb_strategy_v3 [20231200] 2023-07-07 15:30:16 [-1] 498.000000 3431 EURIBOR-ICE caleb_strategy_v3 [20250600] 2023-07-07 09:01:58 [-1] 96.695000 3435 JPY caleb_strategy_v3 [20230900] 2023-07-07 15:00:08 [-1] 0.007086 3451 MXP caleb_strategy_v3 [20230900] 2023-07-07 15:03:48 [1] 0.057570 3450 MXP caleb_strategy_v3 [20230900] 2023-07-07 15:03:44 [1] 0.057560 3449 MXP caleb_strategy_v3 [20230900] 2023-07-07 15:03:28 [1] 0.057540 3448 MXP caleb_strategy_v3 [20230900] 2023-07-07 15:02:08 [1] 0.057580 3447 MXP caleb_strategy_v3 [20230900] 2023-07-07 15:01:44 [1] 0.057580 3446 MXP caleb_strategy_v3 [20230900] 2023-07-07 15:01:06 [1] 0.057570 3445 MXP caleb_strategy_v3 [20230900] 2023-07-07 15:00:56 [1] 0.057570 3444 MXP caleb_strategy_v3 [20230900] 2023-07-07 15:00:51 [1] 0.057580 3443 MXP caleb_strategy_v3 [20230900] 2023-07-07 15:00:50 [1] 0.057630 3441 MXP caleb_strategy_v3 [20230900] 2023-07-07 15:00:40 [1] 0.057630 3452 MXP caleb_strategy_v3 [20230900] 2023-07-07 15:03:57 [1] 0.057580 3440 MXP caleb_strategy_v3 [20230900] 2023-07-07 15:00:38 [1] 0.057580 3439 MXP caleb_strategy_v3 [20230900] 2023-07-07 15:00:20 [1] 0.057580 3438 MXP caleb_strategy_v3 [20230900] 2023-07-07 15:00:18 [1] 0.057590 3434 MXP caleb_strategy_v3 [20230900] 2023-07-07 15:00:06 [1] 0.057580 3442 MXP caleb_strategy_v3 [20230900] 2023-07-07 15:00:48 [1] 0.057580 3436 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-07 15:00:09 [-1] 15266.000000 3432 PLAT caleb_strategy_v3 [20231000] 2023-07-07 14:00:01 [-1] 911.900000 3430 SMI caleb_strategy_v3 [20230900] 2023-07-07 08:00:03 [-1] 11006.000000 3437 VIX caleb_strategy_v3 [20230900] 2023-07-07 15:00:16 [1] 18.050000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3430 SMI caleb_strategy_v3 2023-07-06 2023-07-07 08:00:02.538 2023-07-07 08:00:03 115203 0.462 3431 EURIBOR-ICE caleb_strategy_v3 2023-07-06 2023-07-07 09:00:01.608 2023-07-07 09:01:58 118802 116.392 3432 PLAT caleb_strategy_v3 2023-07-06 2023-07-07 14:00:01.184 2023-07-07 14:00:01 136801 NaN 3433 COPPER caleb_strategy_v3 2023-07-06 2023-07-07 14:00:01.899 2023-07-07 14:00:02 136802 0.101 3435 JPY caleb_strategy_v3 2023-07-06 2023-07-07 15:00:07.646 2023-07-07 15:00:08 140408 0.354 3436 NASDAQ_micro caleb_strategy_v3 2023-07-06 2023-07-07 15:00:08.904 2023-07-07 15:00:09 140409 0.096 3437 VIX caleb_strategy_v3 2023-07-05 2023-07-07 15:00:09.956 2023-07-07 15:00:16 226810 6.044 3434 MXP caleb_strategy_v3 2023-07-06 2023-07-07 15:00:01.747 2023-07-07 15:00:06 140402 4.253 3438 MXP caleb_strategy_v3 2023-07-06 2023-07-07 15:00:18.241 2023-07-07 15:00:18 140418 NaN 3439 MXP caleb_strategy_v3 2023-07-06 2023-07-07 15:00:20.057 2023-07-07 15:00:20 140420 NaN 3440 MXP caleb_strategy_v3 2023-07-06 2023-07-07 15:00:22.058 2023-07-07 15:00:38 140422 15.942 3441 MXP caleb_strategy_v3 2023-07-06 2023-07-07 15:00:40.249 2023-07-07 15:00:40 140440 NaN 3442 MXP caleb_strategy_v3 2023-07-06 2023-07-07 15:00:42.260 2023-07-07 15:00:48 140442 5.74 3443 MXP caleb_strategy_v3 2023-07-06 2023-07-07 15:00:49.796 2023-07-07 15:00:50 140450 0.204 3444 MXP caleb_strategy_v3 2023-07-06 2023-07-07 15:00:51.489 2023-07-07 15:00:51 140451 NaN 3445 MXP caleb_strategy_v3 2023-07-06 2023-07-07 15:00:53.193 2023-07-07 15:00:56 140453 2.807 3446 MXP caleb_strategy_v3 2023-07-06 2023-07-07 15:00:57.678 2023-07-07 15:01:06 140458 8.322 3447 MXP caleb_strategy_v3 2023-07-06 2023-07-07 15:01:08.663 2023-07-07 15:01:44 140469 35.337 3448 MXP caleb_strategy_v3 2023-07-06 2023-07-07 15:01:45.772 2023-07-07 15:02:08 140506 22.228 3449 MXP caleb_strategy_v3 2023-07-06 2023-07-07 15:03:11.971 2023-07-07 15:03:28 140592 16.029 3450 MXP caleb_strategy_v3 2023-07-06 2023-07-07 15:03:30.345 2023-07-07 15:03:44 140610 13.655 3451 MXP caleb_strategy_v3 2023-07-06 2023-07-07 15:03:46.089 2023-07-07 15:03:48 140626 1.911 3452 MXP caleb_strategy_v3 2023-07-06 2023-07-07 15:03:49.933 2023-07-07 15:03:57 140630 7.067 3453 CORN caleb_strategy_v3 2023-07-06 2023-07-07 15:30:00.707 2023-07-07 15:30:16 142201 15.293 =================================================================================================================================================================================================================================== 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 order_id 3430 SMI caleb_strategy_v3 [-1] 11041 None 11007 11006 11008 11008 11006 -34 -1 -0 -2 NaN -1 3431 EURIBOR-ICE caleb_strategy_v3 [-1] 96.685 None 96.7025 96.7 96.705 96.705 96.695 0.0175 -0.0025 -0.005 -0.01 NaN -0.0075 3432 PLAT caleb_strategy_v3 [-1] 908.3 None 912.2 912 912.4 912.4 911.9 3.9 -0.2 -0.1 -0.5 NaN -0.3 3433 COPPER caleb_strategy_v3 [-1] 3.7445 None 3.7555 3.755 3.756 3.756 3.755 0.011 -0.0005 -0 -0.001 NaN -0.0005 3435 JPY caleb_strategy_v3 [-1] 0.0070145 None 0.0070865 0.007086 0.007087 0.007087 0.007086 7.2e-05 -5e-07 -0 -1e-06 NaN -5e-07 3436 NASDAQ_micro caleb_strategy_v3 [-1] 15234.8 None 15265.8 15265.5 15266 15266 15266 31 -0.25 0.5 -0 NaN 0.25 3437 VIX caleb_strategy_v3 [1] 17.65 None 18.075 18.1 18.05 18.05 18.05 -0.425 -0.025 0.05 0 NaN 0.025 3434 MXP caleb_strategy_v3 [1] 0.05718 None 0.057585 0.05759 0.05758 0.05758 0.05758 -0.000405 -5e-06 1e-05 6.93889e-18 NaN 5e-06 3438 MXP caleb_strategy_v3 [1] 0.05718 None 0.05758 0.05759 0.05757 0.05757 0.05759 -0.0004 -1e-05 0 -2e-05 NaN -1e-05 3439 MXP caleb_strategy_v3 [1] 0.05718 None 0.057585 0.05759 0.05758 0.05758 0.05758 -0.000405 -5e-06 1e-05 6.93889e-18 NaN 5e-06 3440 MXP caleb_strategy_v3 [1] 0.05718 None 0.057575 0.05758 0.05757 0.05757 0.05758 -0.000395 -5e-06 0 -1e-05 NaN -5e-06 3441 MXP caleb_strategy_v3 [1] 0.05718 None 0.057575 0.05758 0.05757 NaN 0.05763 -0.000395 -5e-06 -5e-05 NaN NaN -5.5e-05 3442 MXP caleb_strategy_v3 [1] 0.05718 None 0.057575 0.05758 0.05757 0.05757 0.05758 -0.000395 -5e-06 0 -1e-05 NaN -5e-06 3443 MXP caleb_strategy_v3 [1] 0.05718 None 0.057575 0.05758 0.05757 NaN 0.05763 -0.000395 -5e-06 -5e-05 NaN NaN -5.5e-05 3444 MXP caleb_strategy_v3 [1] 0.05718 None 0.057575 0.05758 0.05757 NaN 0.05758 -0.000395 -5e-06 0 NaN NaN -5e-06 3445 MXP caleb_strategy_v3 [1] 0.05718 None 0.057575 0.05758 0.05757 0.05757 0.05757 -0.000395 -5e-06 1e-05 0 NaN 5e-06 3446 MXP caleb_strategy_v3 [1] 0.05718 None 0.057575 0.05758 0.05757 0.05757 0.05757 -0.000395 -5e-06 1e-05 0 NaN 5e-06 3447 MXP caleb_strategy_v3 [1] 0.05718 None 0.057575 0.05758 0.05757 0.05757 0.05758 -0.000395 -5e-06 0 -1e-05 NaN -5e-06 3448 MXP caleb_strategy_v3 [1] 0.05718 None 0.057585 0.05759 0.05758 0.05758 0.05758 -0.000405 -5e-06 1e-05 6.93889e-18 NaN 5e-06 3449 MXP caleb_strategy_v3 [1] 0.05718 None 0.057545 0.05755 0.05754 0.05754 0.05754 -0.000365 -5e-06 1e-05 6.93889e-18 NaN 5e-06 3450 MXP caleb_strategy_v3 [1] 0.05718 None 0.057545 0.05755 0.05754 0.05754 0.05756 -0.000365 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 3451 MXP caleb_strategy_v3 [1] 0.05718 None 0.057555 0.05756 0.05755 0.05755 0.05757 -0.000375 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 3452 MXP caleb_strategy_v3 [1] 0.05718 None 0.057565 0.05757 0.05756 0.05756 0.05758 -0.000385 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 3453 CORN caleb_strategy_v3 [-1] 507.75 None 497.875 497.75 498 498 498 -9.875 -0.125 0.25 -0 NaN 0.125 ================================================================================================================================================================ 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 order_id 3430 SMI caleb_strategy_v3 [-1] 1402.69 -242.392 -7.12917 -0 -14.2583 NaN -7.12917 3431 EURIBOR-ICE caleb_strategy_v3 [-1] 1.24163 140.944 -20.1348 -40.2697 -80.5394 NaN -60.4045 3432 PLAT caleb_strategy_v3 [-1] 241.61 161.417 -8.27782 -4.13891 -20.6945 NaN -12.4167 3433 COPPER caleb_strategy_v3 [-1] 0.807626 136.202 -6.19099 -0 -12.382 NaN -6.19099 3435 JPY caleb_strategy_v3 [-1] 0.000682574 1054.83 -7.32522 -0 -14.6504 NaN -7.32522 3436 NASDAQ_micro caleb_strategy_v3 [-1] 2676.61 115.818 -0.934018 1.86804 -0 NaN 0.934018 3437 VIX caleb_strategy_v3 [1] 7.95125 -534.507 -31.4416 62.8832 0 NaN 31.4416 3434 MXP caleb_strategy_v3 [1] 0.00506354 -799.836 -9.87452 19.749 1.37037e-11 NaN 9.87452 3438 MXP caleb_strategy_v3 [1] 0.00506354 -789.962 -19.749 0 -39.4981 NaN -19.749 3439 MXP caleb_strategy_v3 [1] 0.00506354 -799.836 -9.87452 19.749 1.37037e-11 NaN 9.87452 3440 MXP caleb_strategy_v3 [1] 0.00506354 -780.087 -9.87452 0 -19.749 NaN -9.87452 3441 MXP caleb_strategy_v3 [1] 0.00506354 -780.087 -9.87452 -98.7452 NaN NaN -108.62 3442 MXP caleb_strategy_v3 [1] 0.00506354 -780.087 -9.87452 0 -19.749 NaN -9.87452 3443 MXP caleb_strategy_v3 [1] 0.00506354 -780.087 -9.87452 -98.7452 NaN NaN -108.62 3444 MXP caleb_strategy_v3 [1] 0.00506354 -780.087 -9.87452 0 NaN NaN -9.87452 3445 MXP caleb_strategy_v3 [1] 0.00506354 -780.087 -9.87452 19.749 0 NaN 9.87452 3446 MXP caleb_strategy_v3 [1] 0.00506354 -780.087 -9.87452 19.749 0 NaN 9.87452 3447 MXP caleb_strategy_v3 [1] 0.00506354 -780.087 -9.87452 0 -19.749 NaN -9.87452 3448 MXP caleb_strategy_v3 [1] 0.00506354 -799.836 -9.87452 19.749 1.37037e-11 NaN 9.87452 3449 MXP caleb_strategy_v3 [1] 0.00506354 -720.84 -9.87452 19.749 1.37037e-11 NaN 9.87452 3450 MXP caleb_strategy_v3 [1] 0.00506354 -720.84 -9.87452 -19.749 -39.4981 NaN -29.6236 3451 MXP caleb_strategy_v3 [1] 0.00506354 -740.589 -9.87452 -19.749 -39.4981 NaN -29.6236 3452 MXP caleb_strategy_v3 [1] 0.00506354 -760.338 -9.87452 -19.749 -39.4981 NaN -29.6236 3453 CORN caleb_strategy_v3 [-1] 221.684 -445.454 -5.63866 11.2773 -0 NaN 5.63866 =========================================================================================================================================================================== 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 order_id 3430 SMI caleb_strategy_v3 [-1] 11.1665 -379.661 -11.1665 -0 -22.333 NaN -11.1665 3431 EURIBOR-ICE caleb_strategy_v3 [-1] 2723.12 47.6547 -6.80781 -13.6156 -27.2313 NaN -20.4234 3432 PLAT caleb_strategy_v3 [-1] 50 195 -10 -5 -25 NaN -15 3433 COPPER caleb_strategy_v3 [-1] 25000 275 -12.5 -0 -25 NaN -12.5 3435 JPY caleb_strategy_v3 [-1] 1.25e+07 900 -6.25 -0 -12.5 NaN -6.25 3436 NASDAQ_micro caleb_strategy_v3 [-1] 2 62 -0.5 1 -0 NaN 0.5 3437 VIX caleb_strategy_v3 [1] 1000 -425 -25 50 0 NaN 25 3434 MXP caleb_strategy_v3 [1] 500000 -202.5 -2.5 5 3.46945e-12 NaN 2.5 3438 MXP caleb_strategy_v3 [1] 500000 -200 -5 0 -10 NaN -5 3439 MXP caleb_strategy_v3 [1] 500000 -202.5 -2.5 5 3.46945e-12 NaN 2.5 3440 MXP caleb_strategy_v3 [1] 500000 -197.5 -2.5 0 -5 NaN -2.5 3441 MXP caleb_strategy_v3 [1] 500000 -197.5 -2.5 -25 NaN NaN -27.5 3442 MXP caleb_strategy_v3 [1] 500000 -197.5 -2.5 0 -5 NaN -2.5 3443 MXP caleb_strategy_v3 [1] 500000 -197.5 -2.5 -25 NaN NaN -27.5 3444 MXP caleb_strategy_v3 [1] 500000 -197.5 -2.5 0 NaN NaN -2.5 3445 MXP caleb_strategy_v3 [1] 500000 -197.5 -2.5 5 0 NaN 2.5 3446 MXP caleb_strategy_v3 [1] 500000 -197.5 -2.5 5 0 NaN 2.5 3447 MXP caleb_strategy_v3 [1] 500000 -197.5 -2.5 0 -5 NaN -2.5 3448 MXP caleb_strategy_v3 [1] 500000 -202.5 -2.5 5 3.46945e-12 NaN 2.5 3449 MXP caleb_strategy_v3 [1] 500000 -182.5 -2.5 5 3.46945e-12 NaN 2.5 3450 MXP caleb_strategy_v3 [1] 500000 -182.5 -2.5 -5 -10 NaN -7.5 3451 MXP caleb_strategy_v3 [1] 500000 -187.5 -2.5 -5 -10 NaN -7.5 3452 MXP caleb_strategy_v3 [1] 500000 -192.5 -2.5 -5 -10 NaN -7.5 3453 CORN caleb_strategy_v3 [-1] 50 -493.75 -6.25 12.5 -0 NaN 6.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 COPPER 275.000000 CORN -493.750000 EURIBOR-ICE 47.654687 JPY 900.000000 MXP -3132.500000 NASDAQ_micro 62.000000 PLAT 195.000000 SMI -379.661000 VIX -425.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -2951.256312 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 COPPER -12.500000 CORN -6.250000 EURIBOR-ICE -6.807812 JPY -6.250000 MXP -42.500000 NASDAQ_micro -0.500000 PLAT -10.000000 SMI -11.166500 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -120.974312 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 COPPER -0.000000 CORN 12.500000 EURIBOR-ICE -13.615625 JPY -0.000000 MXP -35.000000 NASDAQ_micro 1.000000 PLAT -5.000000 SMI -0.000000 VIX 50.000000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 9.884375 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 COPPER -25.00000 CORN -0.00000 EURIBOR-ICE -27.23125 JPY -12.50000 MXP -55.00000 NASDAQ_micro -0.00000 PLAT -25.00000 SMI -22.33300 VIX 0.00000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -167.06425 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 COPPER 0 CORN 0 EURIBOR-ICE 0 JPY 0 MXP 0 NASDAQ_micro 0 PLAT 0 SMI 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 COPPER -12.500000 CORN 6.250000 EURIBOR-ICE -20.423438 JPY -6.250000 MXP -77.500000 NASDAQ_micro 0.500000 PLAT -15.000000 SMI -11.166500 VIX 25.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -111.089938 ******************************************************************************** END OF REPORT ********************************************************************************