******************************************************************************** Trades report produced on 29/08/2023 21:38 from 28/08/2023 21:38 to 29/08/2023 21:38 ******************************************************************************** =============================================================================================================== Broker orders =============================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 6198 BOBL caleb_strategy_v3 [20230900] 2023-08-29 08:50:09.000 [-1] 115.60 6202 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-29 08:55:10.000 [-1] 97.04 6201 EUROSTX caleb_strategy_v3 [20230900] 2023-08-29 08:51:27.000 [-1] 4311.00 6204 EUROSTX caleb_strategy_v3 [20230900] 2023-08-29 08:55:21.000 [-1] 4311.00 6199 GASOIL caleb_strategy_v3 [20231100] 2023-08-29 08:50:12.000 [-1] 885.75 6196 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-08-29 02:01:38.000 [-1] 146.58 6197 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-08-29 20:05:04.573 [0, 0] NaN 6195 NIKKEI caleb_strategy_v3 [20230900] 2023-08-29 02:00:39.000 [-1] 32170.00 6200 SMI caleb_strategy_v3 [20230900] 2023-08-29 08:50:15.000 [1] 11061.00 6203 SMI caleb_strategy_v3 [20230900] 2023-08-29 08:55:17.000 [1] 11062.00 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 6195 NIKKEI caleb_strategy_v3 2023-08-28 00:00:00 2023-08-29 03:00:20.536 2023-08-29 02:00:39.000 97220.5 NaN 6196 JGB-SGX-mini caleb_strategy_v3 2023-08-28 00:00:00 2023-08-29 03:01:02.338 2023-08-29 02:01:38.000 97262.3 NaN 6198 BOBL caleb_strategy_v3 2023-08-28 00:00:00 2023-08-29 09:50:06.112 2023-08-29 08:50:09.000 121806 NaN 6199 GASOIL caleb_strategy_v3 2023-08-28 00:00:00 2023-08-29 09:50:10.762 2023-08-29 08:50:12.000 121811 NaN 6202 EURIBOR-ICE caleb_strategy_v3 2023-08-28 00:00:00 2023-08-29 09:51:28.954 2023-08-29 08:55:10.000 121889 NaN 6200 SMI caleb_strategy_v3 2023-08-28 00:00:00 2023-08-29 09:50:13.256 2023-08-29 08:50:15.000 121813 NaN 6203 SMI caleb_strategy_v3 2023-08-28 00:00:00 2023-08-29 09:55:17.302 2023-08-29 08:55:17.000 122117 NaN 6201 EUROSTX caleb_strategy_v3 2023-08-28 00:00:00 2023-08-29 09:50:16.624 2023-08-29 08:51:27.000 121817 NaN 6204 EUROSTX caleb_strategy_v3 2023-08-28 00:00:00 2023-08-29 09:55:18.222 2023-08-29 08:55:21.000 122118 NaN 6197 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-08-24 23:00:00 2023-08-29 05:55:23.835 2023-08-29 20:05:04.573 370524 50980.7 =================================================================================================================================================================================================================================== 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 6195 NIKKEI caleb_strategy_v3 [-1] 32250 None 32177.5 32175 32180 32180 32170 -72.5 -2.5 -5 -10 NaN -7.5 6196 JGB-SGX-mini caleb_strategy_v3 [-1] 146.74 None 146.87 146.85 146.89 146.89 146.58 0.13 -0.02 -0.27 -0.31 NaN -0.29 6198 BOBL caleb_strategy_v3 [-1] 115.58 None 115.595 115.59 115.6 115.6 115.6 0.015 -0.005 0.01 -1.42109e-14 NaN 0.005 6199 GASOIL caleb_strategy_v3 [-1] 882 None 886 885.75 886.25 886.25 885.75 4 -0.25 -0 -0.5 NaN -0.25 6202 EURIBOR-ICE caleb_strategy_v3 [-1] 97.035 None 97.0425 97.04 97.045 97.045 97.04 0.0075 -0.0025 -0 -0.005 NaN -0.0025 6200 SMI caleb_strategy_v3 [1] 11052 None 11060.5 11061 11060 11060 11061 -8.5 -0.5 0 -1 NaN -0.5 6203 SMI caleb_strategy_v3 [1] 11052 None 11060.5 11061 11060 NaN 11062 -8.5 -0.5 -1 NaN NaN -1.5 6201 EUROSTX caleb_strategy_v3 [-1] 4306 None 4312.5 4312 4313 4313 4311 6.5 -0.5 -1 -2 NaN -1.5 6204 EUROSTX caleb_strategy_v3 [-1] 4306 None 4310.5 4310 4311 4311 4311 4.5 -0.5 1 -0 NaN 0.5 6197 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 0.77 None 0.76 0.75 0.77 NaN NaN -0.01 -0.01 NaN NaN NaN NaN =================================================================================================================================================================== 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 6195 NIKKEI caleb_strategy_v3 [-1] 5409.5 -134.024 -4.6215 -9.24301 -18.486 NaN -13.8645 6196 JGB-SGX-mini caleb_strategy_v3 [-1] 4.21283 308.581 -47.474 -640.9 -735.848 NaN -688.374 6198 BOBL caleb_strategy_v3 [-1] 5.49381 27.3034 -9.10114 18.2023 -2.5867e-11 NaN 9.10114 6199 GASOIL caleb_strategy_v3 [-1] 278.623 143.563 -8.9727 -0 -17.9454 NaN -8.9727 6202 EURIBOR-ICE caleb_strategy_v3 [-1] 1.13967 65.8088 -21.9363 -0 -43.8725 NaN -21.9363 6200 SMI caleb_strategy_v3 [1] 1303.44 -65.2122 -3.83601 0 -7.67203 NaN -3.83601 6203 SMI caleb_strategy_v3 [1] 1303.44 -65.2122 -3.83601 -7.67203 NaN NaN -11.508 6201 EUROSTX caleb_strategy_v3 [-1] 693.02 93.7924 -7.2148 -14.4296 -28.8592 NaN -21.6444 6204 EUROSTX caleb_strategy_v3 [-1] 693.02 64.9332 -7.2148 14.4296 -0 NaN 7.2148 6197 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 4.21283 -23.737 -23.737 NaN NaN NaN NaN ============================================================================================================================================================================== 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 6195 NIKKEI caleb_strategy_v3 [-1] 0.683013 -49.5185 -1.70753 -3.41507 -6.83013 NaN -5.1226 6196 JGB-SGX-mini caleb_strategy_v3 [-1] 683.013 88.7917 -13.6603 -184.414 -211.734 NaN -198.074 6198 BOBL caleb_strategy_v3 [-1] 1082.2 16.233 -5.411 10.822 -1.5379e-11 NaN 5.411 6199 GASOIL caleb_strategy_v3 [-1] 100 400 -25 -0 -50 NaN -25 6202 EURIBOR-ICE caleb_strategy_v3 [-1] 2705.5 20.2913 -6.76375 -0 -13.5275 NaN -6.76375 6200 SMI caleb_strategy_v3 [1] 11.3195 -96.2157 -5.65975 0 -11.3195 NaN -5.65975 6203 SMI caleb_strategy_v3 [1] 11.3195 -96.2157 -5.65975 -11.3195 NaN NaN -16.9793 6201 EUROSTX caleb_strategy_v3 [-1] 10.822 70.343 -5.411 -10.822 -21.644 NaN -16.233 6204 EUROSTX caleb_strategy_v3 [-1] 10.822 48.699 -5.411 10.822 -0 NaN 5.411 6197 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 683.013 -6.83013 -6.83013 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini -6.830135 caleb_strategy_v3 BOBL 16.233000 EURIBOR-ICE 20.291250 EUROSTX 119.042000 GASOIL 400.000000 JGB-SGX-mini 88.791749 NIKKEI -49.518476 SMI -192.431500 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -6.830135 caleb_strategy_v3 402.408024 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini -6.830135 caleb_strategy_v3 BOBL -5.411000 EURIBOR-ICE -6.763750 EUROSTX -10.822000 GASOIL -25.000000 JGB-SGX-mini -13.660269 NIKKEI -1.707534 SMI -11.319500 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -6.830135 caleb_strategy_v3 -74.684053 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini 0.000000 caleb_strategy_v3 BOBL 10.822000 EURIBOR-ICE -0.000000 EUROSTX 0.000000 GASOIL -0.000000 JGB-SGX-mini -184.413633 NIKKEI -3.415067 SMI -11.319500 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.0000 caleb_strategy_v3 -188.3262 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini 0.000000e+00 caleb_strategy_v3 BOBL -1.537899e-11 EURIBOR-ICE -1.352750e+01 EUROSTX -2.164400e+01 GASOIL -5.000000e+01 JGB-SGX-mini -2.117342e+02 NIKKEI -6.830135e+00 SMI -1.131950e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.000000 caleb_strategy_v3 -315.055306 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini 0 caleb_strategy_v3 BOBL 0 EURIBOR-ICE 0 EUROSTX 0 GASOIL 0 JGB-SGX-mini 0 NIKKEI 0 SMI 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini 0.000000 caleb_strategy_v3 BOBL 5.411000 EURIBOR-ICE -6.763750 EUROSTX -10.822000 GASOIL -25.000000 JGB-SGX-mini -198.073902 NIKKEI -5.122601 SMI -22.639000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.000000 caleb_strategy_v3 -263.010253 ******************************************************************************** END OF REPORT ********************************************************************************