******************************************************************************** Trades report produced on 11/07/2023 21:37 from 10/07/2023 21:37 to 11/07/2023 21:37 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 3556 CORN caleb_strategy_v3 [20231200] 2023-07-11 15:30:01 [-1] 502.25000 3544 DAX caleb_strategy_v3 [20230900] 2023-07-11 08:00:06 [-1] 15851.00000 3545 DAX caleb_strategy_v3 [20230900] 2023-07-11 08:00:09 [-1] 15850.00000 3543 DAX caleb_strategy_v3 [20230900] 2023-07-11 08:00:03 [-1] 15849.00000 3546 GAS_US_mini caleb_strategy_v3 [20230900] 2023-07-11 14:00:43 [-1] 2.68500 3541 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-07-11 03:00:38 [1] 147.71000 3552 MXP caleb_strategy_v3 [20230900] 2023-07-11 15:02:50 [1] 0.05785 3554 MXP caleb_strategy_v3 [20230900] 2023-07-11 15:02:52 [1] 0.05785 3555 MXP caleb_strategy_v3 [20230900] 2023-07-11 15:03:04 [1] 0.05784 3547 MXP caleb_strategy_v3 [20230900] 2023-07-11 15:00:49 [1] 0.05781 3550 MXP caleb_strategy_v3 [20230900] 2023-07-11 15:02:46 [1] 0.05784 3542 NIKKEI caleb_strategy_v3 [20230900] 2023-07-11 03:00:40 [-1] 32325.00000 3553 RUSSELL caleb_strategy_v3 [20230900] 2023-07-11 15:02:50 [-1] 1919.50000 3549 RUSSELL caleb_strategy_v3 [20230900] 2023-07-11 15:01:43 [-1] 1920.10000 3551 RUSSELL caleb_strategy_v3 [20230900] 2023-07-11 15:02:46 [-1] 1919.90000 3548 VIX caleb_strategy_v3 [20230900] 2023-07-11 15:01:42 [1] 17.60000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 3541 JGB-SGX-mini caleb_strategy_v3 2023-07-03 2023-07-11 03:00:17.326 2023-07-11 03:00:38 702017 20.674 3542 NIKKEI caleb_strategy_v3 2023-07-03 2023-07-11 03:00:39.318 2023-07-11 03:00:40 702039 0.682 3544 DAX caleb_strategy_v3 2023-07-07 2023-07-11 08:00:05.752 2023-07-11 08:00:06 374406 0.248 3545 DAX caleb_strategy_v3 2023-07-07 2023-07-11 08:00:08.076 2023-07-11 08:00:09 374408 0.924 3543 DAX caleb_strategy_v3 2023-07-07 2023-07-11 08:00:03.199 2023-07-11 08:00:03 374403 NaN 3546 GAS_US_mini caleb_strategy_v3 2023-07-07 2023-07-11 14:00:02.260 2023-07-11 14:00:43 396002 40.74 3548 VIX caleb_strategy_v3 2023-07-07 2023-07-11 15:00:50.507 2023-07-11 15:01:42 399651 51.493 3553 RUSSELL caleb_strategy_v3 2023-07-07 2023-07-11 15:02:50.531 2023-07-11 15:02:50 399771 NaN 3549 RUSSELL caleb_strategy_v3 2023-07-07 2023-07-11 15:01:43.507 2023-07-11 15:01:43 399704 NaN 3551 RUSSELL caleb_strategy_v3 2023-07-07 2023-07-11 15:02:46.508 2023-07-11 15:02:46 399767 NaN 3552 MXP caleb_strategy_v3 2023-07-07 2023-07-11 15:02:49.312 2023-07-11 15:02:50 399769 0.688 3554 MXP caleb_strategy_v3 2023-07-07 2023-07-11 15:02:52.376 2023-07-11 15:02:52 399772 NaN 3555 MXP caleb_strategy_v3 2023-07-07 2023-07-11 15:02:54.368 2023-07-11 15:03:04 399774 9.632 3547 MXP caleb_strategy_v3 2023-07-07 2023-07-11 15:00:01.718 2023-07-11 15:00:49 399602 47.282 3550 MXP caleb_strategy_v3 2023-07-07 2023-07-11 15:02:45.948 2023-07-11 15:02:46 399766 0.052 3556 CORN caleb_strategy_v3 2023-07-07 2023-07-11 15:30:01.199 2023-07-11 15:30:01 401401 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 3541 JGB-SGX-mini caleb_strategy_v3 [1] 148.5 None 147.685 147.71 147.66 147.66 147.71 0.815 -0.025 0 -0.05 NaN -0.025 3542 NIKKEI caleb_strategy_v3 [-1] 33605 None 32322.5 32320 32325 32325 32325 -1282.5 -2.5 5 -0 NaN 2.5 3544 DAX caleb_strategy_v3 [-1] 15768 None 15850 15849 15851 15851 15851 82 -1 2 -0 NaN 1 3545 DAX caleb_strategy_v3 [-1] 15768 None 15851 15850 15852 15852 15850 83 -1 -0 -2 NaN -1 3543 DAX caleb_strategy_v3 [-1] 15768 None 15853 15852 15854 15854 15849 85 -1 -3 -5 NaN -4 3546 GAS_US_mini caleb_strategy_v3 [-1] 2.565 None 2.69 2.685 2.695 2.695 2.685 0.125 -0.005 -0 -0.01 NaN -0.005 3548 VIX caleb_strategy_v3 [1] 17.85 None 17.525 17.55 17.5 17.5 17.6 0.325 -0.025 -0.05 -0.1 NaN -0.075 3553 RUSSELL caleb_strategy_v3 [-1] 1887.2 None 1919.95 1919.9 1920 1920 1919.5 32.75 -0.05 -0.4 -0.5 NaN -0.45 3549 RUSSELL caleb_strategy_v3 [-1] 1887.2 None 1920.55 1920.5 1920.6 1920.6 1920.1 33.35 -0.05 -0.4 -0.5 NaN -0.45 3551 RUSSELL caleb_strategy_v3 [-1] 1887.2 None 1920.2 1920.1 1920.3 1920.3 1919.9 33 -0.1 -0.2 -0.4 NaN -0.3 3552 MXP caleb_strategy_v3 [1] 0.05764 None 0.057835 0.05784 0.05783 0.05783 0.05785 -0.000195 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 3554 MXP caleb_strategy_v3 [1] 0.05764 None 0.05784 0.05785 0.05783 0.05783 0.05785 -0.0002 -1e-05 0 -2e-05 NaN -1e-05 3555 MXP caleb_strategy_v3 [1] 0.05764 None 0.057845 0.05785 0.05784 0.05784 0.05784 -0.000205 -5e-06 1e-05 0 NaN 5e-06 3547 MXP caleb_strategy_v3 [1] 0.05764 None 0.057795 0.0578 0.05779 0.05779 0.05781 -0.000155 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 3550 MXP caleb_strategy_v3 [1] 0.05764 None 0.057805 0.05781 0.0578 0.0578 0.05784 -0.000165 -5e-06 -3e-05 -4e-05 NaN -3.5e-05 3556 CORN caleb_strategy_v3 [-1] 496.5 None 502.375 502.25 502.5 502.5 502.25 5.875 -0.125 -0 -0.25 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 3541 JGB-SGX-mini caleb_strategy_v3 [1] 3.3561 2428.42 -74.4913 0 -148.983 NaN -74.4913 3542 NIKKEI caleb_strategy_v3 [-1] 5251.99 -2441.93 -4.7601 9.5202 -0 NaN 4.7601 3544 DAX caleb_strategy_v3 [-1] 2449.73 334.73 -4.08208 8.16415 -0 NaN 4.08208 3545 DAX caleb_strategy_v3 [-1] 2449.73 338.812 -4.08208 -0 -8.16415 NaN -4.08208 3543 DAX caleb_strategy_v3 [-1] 2449.73 346.976 -4.08208 -12.2462 -20.4104 NaN -16.3283 3546 GAS_US_mini caleb_strategy_v3 [-1] 2.04821 610.288 -24.4115 -0 -48.823 NaN -24.4115 3548 VIX caleb_strategy_v3 [1] 7.64015 425.384 -32.7219 -65.4437 -130.887 NaN -98.1656 3553 RUSSELL caleb_strategy_v3 [-1] 388.335 843.343 -1.28755 -10.3004 -12.8755 NaN -11.5879 3549 RUSSELL caleb_strategy_v3 [-1] 388.335 858.794 -1.28755 -10.3004 -12.8755 NaN -11.5879 3551 RUSSELL caleb_strategy_v3 [-1] 388.335 849.781 -2.57509 -5.15019 -10.3004 NaN -7.72528 3552 MXP caleb_strategy_v3 [1] 0.00489453 -398.404 -10.2155 -20.431 -40.862 NaN -30.6465 3554 MXP caleb_strategy_v3 [1] 0.00489453 -408.62 -20.431 0 -40.862 NaN -20.431 3555 MXP caleb_strategy_v3 [1] 0.00489453 -418.835 -10.2155 20.431 0 NaN 10.2155 3547 MXP caleb_strategy_v3 [1] 0.00489453 -316.68 -10.2155 -20.431 -40.862 NaN -30.6465 3550 MXP caleb_strategy_v3 [1] 0.00489453 -337.111 -10.2155 -61.2929 -81.7239 NaN -71.5084 3556 CORN caleb_strategy_v3 [-1] 210.551 279.029 -5.93679 -0 -11.8736 NaN -5.93679 ======================================================================================================================================================================= 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 3541 JGB-SGX-mini caleb_strategy_v3 [1] 709.824 578.507 -17.7456 0 -35.4912 NaN -17.7456 3542 NIKKEI caleb_strategy_v3 [-1] 0.709824 -910.349 -1.77456 3.54912 -0 NaN 1.77456 3544 DAX caleb_strategy_v3 [-1] 1.1017 90.3394 -1.1017 2.2034 -0 NaN 1.1017 3545 DAX caleb_strategy_v3 [-1] 1.1017 91.4411 -1.1017 -0 -2.2034 NaN -1.1017 3543 DAX caleb_strategy_v3 [-1] 1.1017 93.6445 -1.1017 -3.3051 -5.5085 NaN -4.4068 3546 GAS_US_mini caleb_strategy_v3 [-1] 2500 312.5 -12.5 -0 -25 NaN -12.5 3548 VIX caleb_strategy_v3 [1] 1000 325 -25 -50 -100 NaN -75 3553 RUSSELL caleb_strategy_v3 [-1] 5 163.75 -0.25 -2 -2.5 NaN -2.25 3549 RUSSELL caleb_strategy_v3 [-1] 5 166.75 -0.25 -2 -2.5 NaN -2.25 3551 RUSSELL caleb_strategy_v3 [-1] 5 165 -0.5 -1 -2 NaN -1.5 3552 MXP caleb_strategy_v3 [1] 500000 -97.5 -2.5 -5 -10 NaN -7.5 3554 MXP caleb_strategy_v3 [1] 500000 -100 -5 0 -10 NaN -5 3555 MXP caleb_strategy_v3 [1] 500000 -102.5 -2.5 5 0 NaN 2.5 3547 MXP caleb_strategy_v3 [1] 500000 -77.5 -2.5 -5 -10 NaN -7.5 3550 MXP caleb_strategy_v3 [1] 500000 -82.5 -2.5 -15 -20 NaN -17.5 3556 CORN caleb_strategy_v3 [-1] 50 293.75 -6.25 -0 -12.5 NaN -6.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CORN 293.750000 DAX 275.425000 GAS_US_mini 312.500000 JGB-SGX-mini 578.506530 MXP -460.000000 NIKKEI -910.349233 RUSSELL 495.500000 VIX 325.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 910.332297 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CORN -6.250000 DAX -3.305100 GAS_US_mini -12.500000 JGB-SGX-mini -17.745599 MXP -15.000000 NIKKEI -1.774560 RUSSELL -1.000000 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -82.575259 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CORN -0.00000 DAX -1.10170 GAS_US_mini -0.00000 JGB-SGX-mini 0.00000 MXP -20.00000 NIKKEI 3.54912 RUSSELL -5.00000 VIX -50.00000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -72.55258 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CORN -12.500000 DAX -7.711900 GAS_US_mini -25.000000 JGB-SGX-mini -35.491198 MXP -50.000000 NIKKEI -0.000000 RUSSELL -7.000000 VIX -100.000000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -237.703098 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CORN 0 DAX 0 GAS_US_mini 0 JGB-SGX-mini 0 MXP 0 NIKKEI 0 RUSSELL 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 CORN -6.250000 DAX -4.406800 GAS_US_mini -12.500000 JGB-SGX-mini -17.745599 MXP -35.000000 NIKKEI 1.774560 RUSSELL -6.000000 VIX -75.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -155.127839 ******************************************************************************** END OF REPORT 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