******************************************************************************** Trades report produced on 08/09/2023 21:38 from 07/09/2023 21:38 to 08/09/2023 21:38 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 6489 BUND caleb_strategy_v3 [20231200] 2023-09-08 07:00:02.000 [1] 131.3100 6498 CRUDE_W caleb_strategy_v3 [20231200] 2023-09-08 13:00:10.000 [1] 86.0300 6494 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-08 08:05:03.000 [1] 97.0550 6490 EUROSTX caleb_strategy_v3 [20230900] 2023-09-08 07:00:05.000 [-1] 4242.0000 6491 EUROSTX caleb_strategy_v3 [20230900] 2023-09-08 07:00:10.000 [-1] 4243.0000 6492 EUROSTX caleb_strategy_v3 [20230900] 2023-09-08 07:00:13.000 [-1] 4243.0000 6493 EUROSTX caleb_strategy_v3 [20230900] 2023-09-08 07:00:15.000 [-1] 4243.0000 6497 GAS_US_mini caleb_strategy_v3 [20231100] 2023-09-08 13:00:08.000 [1] 3.0050 6501 GBP caleb_strategy_v3 [20230900] 2023-09-08 14:00:27.000 [-1] 1.2498 6500 GBP caleb_strategy_v3 [20230900] 2023-09-08 14:00:23.000 [-1] 1.2497 6476 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-08 02:49:13.000 [1] 146.2000 6475 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900] 2023-09-08 02:49:02.000 [-1] 146.9800 6473 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900] 2023-09-08 02:43:59.000 [-1] 146.9800 6477 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900] 2023-09-08 02:49:16.000 [-1] 146.9500 6472 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-08 02:43:56.000 [1] 146.2000 6474 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-08 02:49:00.000 [1] 146.2100 6478 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-08 02:49:16.000 [1] 146.2000 6488 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-09-08 03:05:57.000 [1] 146.2100 6480 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-08 02:49:57.000 [1] 146.2000 6481 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900] 2023-09-08 02:50:45.000 [-1] 146.9500 6482 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-08 02:53:14.000 [1] 146.2300 6471 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900] 2023-09-08 02:40:48.000 [-1] 146.9800 6483 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900] 2023-09-08 02:53:17.000 [-1] 146.9500 6484 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-08 02:58:18.000 [1] 146.2100 6485 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900] 2023-09-08 02:58:20.000 [-1] 146.9500 6479 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900] 2023-09-08 02:49:19.000 [-1] 146.9500 6470 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-08 19:45:01.127 [0] NaN 6464 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-08 02:20:36.000 [1] 146.2100 6468 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-08 02:30:42.000 [1] 146.2100 6457 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900] 2023-09-08 02:00:40.000 [-1] 146.9600 6458 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-08 02:05:26.000 [1] 146.2100 6459 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900] 2023-09-08 02:05:29.000 [-1] 146.9500 6469 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900] 2023-09-08 02:30:45.000 [-1] 146.9800 6461 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900] 2023-09-08 02:10:32.000 [-1] 146.9500 6460 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-08 02:10:30.000 [1] 146.2100 6463 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900] 2023-09-08 02:15:35.000 [-1] 146.9500 6486 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-08 03:00:44.000 [1] 146.2300 6465 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900] 2023-09-08 02:20:38.000 [-1] 146.9500 6466 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-08 02:25:39.000 [1] 146.2100 6467 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20230900] 2023-09-08 02:25:42.000 [-1] 146.9500 6462 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-08 02:15:33.000 [1] 146.2100 6487 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [20231200] 2023-09-08 03:00:57.000 [1] 146.2100 6495 PLAT caleb_strategy_v3 [20231000] 2023-09-08 13:00:04.000 [-1] 900.9000 6502 REDWHEAT caleb_strategy_v3 [20231200] 2023-09-08 14:30:02.000 [-1] 734.2500 6496 SUGAR11 caleb_strategy_v3 [20240300] 2023-09-08 13:00:05.000 [1] 26.8300 6499 US10U caleb_strategy_v3 [20231200] 2023-09-08 14:00:18.000 [1] 114.9375 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 6488 JGB-SGX-mini caleb_strategy_v3 2023-09-07 00:00:00 2023-09-08 04:00:57.617 2023-09-08 03:05:57.000 100858 NaN 6489 BUND caleb_strategy_v3 2023-09-07 00:00:00 2023-09-08 08:00:01.576 2023-09-08 07:00:02.000 115202 NaN 6490 EUROSTX caleb_strategy_v3 2023-09-07 00:00:00 2023-09-08 08:00:03.614 2023-09-08 07:00:05.000 115204 NaN 6491 EUROSTX caleb_strategy_v3 2023-09-07 00:00:00 2023-09-08 08:00:08.063 2023-09-08 07:00:10.000 115208 NaN 6492 EUROSTX caleb_strategy_v3 2023-09-07 00:00:00 2023-09-08 08:00:12.538 2023-09-08 07:00:13.000 115213 NaN 6493 EUROSTX caleb_strategy_v3 2023-09-07 00:00:00 2023-09-08 08:00:15.688 2023-09-08 07:00:15.000 115216 NaN 6494 EURIBOR-ICE caleb_strategy_v3 2023-09-07 00:00:00 2023-09-08 09:00:03.614 2023-09-08 08:05:03.000 118804 NaN 6495 PLAT caleb_strategy_v3 2023-09-07 00:00:00 2023-09-08 14:00:01.463 2023-09-08 13:00:04.000 136801 NaN 6496 SUGAR11 caleb_strategy_v3 2023-09-07 00:00:00 2023-09-08 14:00:05.300 2023-09-08 13:00:05.000 136805 NaN 6497 GAS_US_mini caleb_strategy_v3 2023-09-07 00:00:00 2023-09-08 14:00:06.677 2023-09-08 13:00:08.000 136807 NaN 6498 CRUDE_W caleb_strategy_v3 2023-09-07 00:00:00 2023-09-08 14:00:09.539 2023-09-08 13:00:10.000 136810 NaN 6499 US10U caleb_strategy_v3 2023-09-07 00:00:00 2023-09-08 15:00:02.858 2023-09-08 14:00:18.000 140403 NaN 6500 GBP caleb_strategy_v3 2023-09-07 00:00:00 2023-09-08 15:00:19.653 2023-09-08 14:00:23.000 140420 NaN 6501 GBP caleb_strategy_v3 2023-09-07 00:00:00 2023-09-08 15:00:26.458 2023-09-08 14:00:27.000 140426 NaN 6502 REDWHEAT caleb_strategy_v3 2023-09-07 00:00:00 2023-09-08 15:30:02.645 2023-09-08 14:30:02.000 142203 NaN 6457 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:00:31.853 2023-09-08 02:00:40.000 25231.9 NaN 6458 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:00:41.200 2023-09-08 02:05:26.000 25241.2 NaN 6459 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:05:28.718 2023-09-08 02:05:29.000 25528.7 NaN 6460 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:05:29.822 2023-09-08 02:10:30.000 25529.8 NaN 6461 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:10:32.210 2023-09-08 02:10:32.000 25832.2 NaN 6462 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:10:32.952 2023-09-08 02:15:33.000 25833 NaN 6463 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:15:35.377 2023-09-08 02:15:35.000 26135.4 NaN 6464 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:15:36.286 2023-09-08 02:20:36.000 26136.3 NaN 6465 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:20:38.447 2023-09-08 02:20:38.000 26438.4 NaN 6466 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:20:39.507 2023-09-08 02:25:39.000 26439.5 NaN 6467 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:25:41.792 2023-09-08 02:25:42.000 26741.8 NaN 6468 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:25:42.742 2023-09-08 02:30:42.000 26742.7 NaN 6469 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:30:45.130 2023-09-08 02:30:45.000 27045.1 NaN 6470 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:30:45.864 2023-09-08 19:45:01.127 27045.9 58455.3 6471 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:40:48.086 2023-09-08 02:40:48.000 27648.1 NaN 6472 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:40:49.021 2023-09-08 02:43:56.000 27649 NaN 6473 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:43:59.010 2023-09-08 02:43:59.000 27839 NaN 6474 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:43:59.767 2023-09-08 02:49:00.000 27839.8 NaN 6475 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:49:02.269 2023-09-08 02:49:02.000 28142.3 NaN 6476 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:49:03.048 2023-09-08 02:49:13.000 28143 NaN 6477 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:49:16.025 2023-09-08 02:49:16.000 28156 NaN 6478 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:49:16.564 2023-09-08 02:49:16.000 28156.6 NaN 6479 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:49:19.171 2023-09-08 02:49:19.000 28159.2 NaN 6480 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:49:19.927 2023-09-08 02:49:57.000 28159.9 NaN 6481 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:49:59.403 2023-09-08 02:50:45.000 28199.4 NaN 6482 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:50:46.182 2023-09-08 02:53:14.000 28246.2 NaN 6483 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:53:16.960 2023-09-08 02:53:17.000 28397 NaN 6484 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:53:18.003 2023-09-08 02:58:18.000 28398 NaN 6485 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:58:20.661 2023-09-08 02:58:20.000 28700.7 NaN 6486 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 03:58:21.373 2023-09-08 03:00:44.000 28701.4 NaN 6487 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY 2023-09-07 20:00:00 2023-09-08 04:00:48.608 2023-09-08 03:00:57.000 28848.6 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 6488 JGB-SGX-mini caleb_strategy_v3 [1] 146.14 None 146.205 146.21 146.2 146.2 146.21 -0.065 -0.005 0 -0.01 NaN -0.005 6489 BUND caleb_strategy_v3 [1] 131.01 None 131.275 131.28 131.27 131.27 131.31 -0.265 -0.005 -0.03 -0.04 NaN -0.035 6490 EUROSTX caleb_strategy_v3 [-1] 4226 None 4243.5 4243 4244 4244 4242 17.5 -0.5 -1 -2 NaN -1.5 6491 EUROSTX caleb_strategy_v3 [-1] 4226 None 4242.5 4242 4243 4243 4243 16.5 -0.5 1 -0 NaN 0.5 6492 EUROSTX caleb_strategy_v3 [-1] 4226 None 4242.5 4242 4243 4243 4243 16.5 -0.5 1 -0 NaN 0.5 6493 EUROSTX caleb_strategy_v3 [-1] 4226 None 4242.5 4242 4243 4243 4243 16.5 -0.5 1 -0 NaN 0.5 6494 EURIBOR-ICE caleb_strategy_v3 [1] 97.06 None 97.0525 97.055 97.05 97.05 97.055 0.0075 -0.0025 0 -0.005 NaN -0.0025 6495 PLAT caleb_strategy_v3 [-1] 911.5 None 901.05 900.9 901.2 901.2 900.9 -10.45 -0.15 -0 -0.3 NaN -0.15 6496 SUGAR11 caleb_strategy_v3 [1] 26.99 None 26.83 26.84 26.82 26.82 26.83 0.16 -0.01 0.01 -0.01 NaN 0 6497 GAS_US_mini caleb_strategy_v3 [1] 2.95 None 2.9975 3 2.995 2.995 3.005 -0.0475 -0.0025 -0.005 -0.01 NaN -0.0075 6498 CRUDE_W caleb_strategy_v3 [1] 85.37 None 86.035 86.04 86.03 86.03 86.03 -0.665 -0.005 0.01 0 NaN 0.005 6499 US10U caleb_strategy_v3 [1] 114.484 None 114.93 114.938 114.922 114.922 114.938 -0.445312 -0.0078125 0 -0.015625 NaN -0.0078125 6500 GBP caleb_strategy_v3 [-1] 1.2472 None 1.24965 1.2496 1.2497 1.2497 1.2497 0.00245 -5e-05 0.0001 -0 NaN 5e-05 6501 GBP caleb_strategy_v3 [-1] 1.2472 None 1.24975 1.2497 1.2498 1.2498 1.2498 0.00255 -5e-05 0.0001 -0 NaN 5e-05 6502 REDWHEAT caleb_strategy_v3 [-1] 736 None 734.5 734.25 734.75 734.75 734.25 -1.5 -0.25 -0 -0.5 NaN -0.25 6457 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 146.93 None 146.99 146.95 147.03 147.03 146.96 0.06 -0.04 0.01 -0.07 NaN -0.03 6458 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 146.14 None 146.22 146.23 146.21 146.21 146.21 -0.08 -0.01 0.02 0 NaN 0.01 6459 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 146.93 None 146.995 146.96 147.03 147.03 146.95 0.065 -0.035 -0.01 -0.08 NaN -0.045 6460 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 146.14 None 146.21 146.22 146.2 146.2 146.21 -0.07 -0.01 0.01 -0.01 NaN -2.84217e-14 6461 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 146.93 None 147 146.95 147.05 NaN 146.95 0.07 -0.05 -0 NaN NaN -0.05 6462 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 146.14 None 146.205 146.21 146.2 146.2 146.21 -0.065 -0.005 0 -0.01 NaN -0.005 6463 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 146.93 None 147 146.95 147.05 NaN 146.95 0.07 -0.05 -0 NaN NaN -0.05 6464 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 146.14 None 146.205 146.21 146.2 146.2 146.21 -0.065 -0.005 0 -0.01 NaN -0.005 6465 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 146.93 None 147 146.95 147.05 NaN 146.95 0.07 -0.05 -0 NaN NaN -0.05 6466 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 146.14 None 146.205 146.21 146.2 146.2 146.21 -0.065 -0.005 0 -0.01 NaN -0.005 6467 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 146.93 None 147 146.95 147.05 NaN 146.95 0.07 -0.05 -0 NaN NaN -0.05 6468 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 146.14 None 146.205 146.21 146.2 146.2 146.21 -0.065 -0.005 0 -0.01 NaN -0.005 6469 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 146.93 None 147.015 146.98 147.05 NaN 146.98 0.085 -0.035 -0 NaN NaN -0.035 6470 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 146.14 None 146.205 146.21 146.2 146.2 NaN -0.065 -0.005 NaN NaN NaN NaN 6471 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 146.93 None 147.015 146.98 147.05 NaN 146.98 0.085 -0.035 -0 NaN NaN -0.035 6472 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 146.14 None 146.205 146.21 146.2 146.2 146.2 -0.065 -0.005 0.01 2.84217e-14 NaN 0.005 6473 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 146.93 None 147.015 146.98 147.05 NaN 146.98 0.085 -0.035 -0 NaN NaN -0.035 6474 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 146.14 None 146.19 146.21 146.17 146.17 146.21 -0.05 -0.02 0 -0.04 NaN -0.02 6475 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 146.93 None 147.015 146.98 147.05 NaN 146.98 0.085 -0.035 -0 NaN NaN -0.035 6476 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 146.14 None 146.19 146.21 146.17 146.17 146.2 -0.05 -0.02 0.01 -0.03 NaN -0.01 6477 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 146.93 None 147 146.95 147.05 NaN 146.95 0.07 -0.05 -0 NaN NaN -0.05 6478 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 146.14 None 146.185 146.2 146.17 NaN 146.2 -0.045 -0.015 0 NaN NaN -0.015 6479 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 146.93 None 147 146.95 147.05 NaN 146.95 0.07 -0.05 -0 NaN NaN -0.05 6480 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 146.14 None 146.185 146.2 146.17 146.17 146.2 -0.045 -0.015 0 -0.03 NaN -0.015 6481 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 146.93 None 147 146.95 147.05 NaN 146.95 0.07 -0.05 -0 NaN NaN -0.05 6482 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 146.14 None 146.19 146.2 146.18 146.18 146.23 -0.05 -0.01 -0.03 -0.05 NaN -0.04 6483 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 146.93 None 147 146.95 147.05 147.05 146.95 0.07 -0.05 -0 -0.1 NaN -0.05 6484 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 146.14 None 146.2 146.21 146.19 146.19 146.21 -0.06 -0.01 0 -0.02 NaN -0.01 6485 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 146.93 None 147 146.95 147.05 NaN 146.95 0.07 -0.05 -0 NaN NaN -0.05 6486 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 146.14 None 146.195 146.21 146.18 146.18 146.23 -0.055 -0.015 -0.02 -0.05 NaN -0.035 6487 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 146.14 None 146.195 146.21 146.18 146.18 146.21 -0.055 -0.015 0 -0.03 NaN -0.015 ================================================================================================================================================================ 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 6488 JGB-SGX-mini caleb_strategy_v3 [1] 3.60227 -180.442 -13.8801 0 -27.7603 NaN -13.8801 6489 BUND caleb_strategy_v3 [1] 10.9605 -241.778 -4.56184 -27.371 -36.4947 NaN -31.9329 6490 EUROSTX caleb_strategy_v3 [-1] 613.943 285.043 -8.14408 -16.2882 -32.5763 NaN -24.4322 6491 EUROSTX caleb_strategy_v3 [-1] 613.943 268.755 -8.14408 16.2882 -0 NaN 8.14408 6492 EUROSTX caleb_strategy_v3 [-1] 613.943 268.755 -8.14408 16.2882 -0 NaN 8.14408 6493 EUROSTX caleb_strategy_v3 [-1] 613.943 268.755 -8.14408 16.2882 -0 NaN 8.14408 6494 EURIBOR-ICE caleb_strategy_v3 [1] 1.04808 71.5597 -23.8532 0 -47.7064 NaN -23.8532 6495 PLAT caleb_strategy_v3 [-1] 234.722 -445.207 -6.39054 -0 -12.7811 NaN -6.39054 6496 SUGAR11 caleb_strategy_v3 [1] 5.48292 291.815 -18.2385 18.2385 -18.2385 NaN 0 6497 GAS_US_mini caleb_strategy_v3 [1] 1.87267 -253.648 -13.3499 -26.6998 -53.3996 NaN -40.0497 6498 CRUDE_W caleb_strategy_v3 [1] 19.3093 -344.394 -2.58943 5.17886 0 NaN 2.58943 6499 US10U caleb_strategy_v3 [1] 9.85449 -451.888 -7.92786 0 -15.8557 NaN -7.92786 6500 GBP caleb_strategy_v3 [-1] 0.0945157 259.216 -5.29013 10.5803 -0 NaN 5.29013 6501 GBP caleb_strategy_v3 [-1] 0.0945157 269.796 -5.29013 10.5803 -0 NaN 5.29013 6502 REDWHEAT caleb_strategy_v3 [-1] 265.354 -56.5282 -9.42136 -0 -18.8427 NaN -9.42136 6457 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 3.60227 166.562 -111.041 27.7603 -194.322 NaN -83.2809 6458 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 3.60227 -222.082 -27.7603 55.5206 0 NaN 27.7603 6459 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 3.60227 180.442 -97.161 -27.7603 -222.082 NaN -124.921 6460 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 3.60227 -194.322 -27.7603 27.7603 -27.7603 NaN -7.88995e-11 6461 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 3.60227 194.322 -138.801 -0 NaN NaN -138.801 6462 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 3.60227 -180.442 -13.8801 0 -27.7603 NaN -13.8801 6463 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 3.60227 194.322 -138.801 -0 NaN NaN -138.801 6464 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 3.60227 -180.442 -13.8801 0 -27.7603 NaN -13.8801 6465 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 3.60227 194.322 -138.801 -0 NaN NaN -138.801 6466 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 3.60227 -180.442 -13.8801 0 -27.7603 NaN -13.8801 6467 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 3.60227 194.322 -138.801 -0 NaN NaN -138.801 6468 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 3.60227 -180.442 -13.8801 0 -27.7603 NaN -13.8801 6469 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 3.60227 235.962 -97.161 -0 NaN NaN -97.161 6470 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 3.60227 -180.442 -13.8801 NaN NaN NaN NaN 6471 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 3.60227 235.962 -97.161 -0 NaN NaN -97.161 6472 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 3.60227 -180.442 -13.8801 27.7603 7.88995e-11 NaN 13.8801 6473 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 3.60227 235.962 -97.161 -0 NaN NaN -97.161 6474 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 3.60227 -138.801 -55.5206 0 -111.041 NaN -55.5206 6475 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 3.60227 235.962 -97.161 -0 NaN NaN -97.161 6476 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 3.60227 -138.801 -55.5206 27.7603 -83.2809 NaN -27.7603 6477 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 3.60227 194.322 -138.801 -0 NaN NaN -138.801 6478 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 3.60227 -124.921 -41.6404 0 NaN NaN -41.6404 6479 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 3.60227 194.322 -138.801 -0 NaN NaN -138.801 6480 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 3.60227 -124.921 -41.6404 0 -83.2809 NaN -41.6404 6481 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 3.60227 194.322 -138.801 -0 NaN NaN -138.801 6482 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 3.60227 -138.801 -27.7603 -83.2809 -138.801 NaN -111.041 6483 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 3.60227 194.322 -138.801 -0 -277.603 NaN -138.801 6484 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 3.60227 -166.562 -27.7603 0 -55.5206 NaN -27.7603 6485 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 3.60227 194.322 -138.801 -0 NaN NaN -138.801 6486 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 3.60227 -152.682 -41.6404 -55.5206 -138.801 NaN -97.161 6487 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 3.60227 -152.682 -41.6404 0 -83.2809 NaN -41.6404 =========================================================================================================================================================================== 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 6488 JGB-SGX-mini caleb_strategy_v3 [1] 679.532 -44.1696 -3.39766 0 -6.79532 NaN -3.39766 6489 BUND caleb_strategy_v3 [1] 1072.4 -284.186 -5.362 -32.172 -42.896 NaN -37.534 6490 EUROSTX caleb_strategy_v3 [-1] 10.724 187.67 -5.362 -10.724 -21.448 NaN -16.086 6491 EUROSTX caleb_strategy_v3 [-1] 10.724 176.946 -5.362 10.724 -0 NaN 5.362 6492 EUROSTX caleb_strategy_v3 [-1] 10.724 176.946 -5.362 10.724 -0 NaN 5.362 6493 EUROSTX caleb_strategy_v3 [-1] 10.724 176.946 -5.362 10.724 -0 NaN 5.362 6494 EURIBOR-ICE caleb_strategy_v3 [1] 2681 20.1075 -6.7025 0 -13.405 NaN -6.7025 6495 PLAT caleb_strategy_v3 [-1] 50 -522.5 -7.5 -0 -15 NaN -7.5 6496 SUGAR11 caleb_strategy_v3 [1] 1120 179.2 -11.2 11.2 -11.2 NaN 0 6497 GAS_US_mini caleb_strategy_v3 [1] 2500 -118.75 -6.25 -12.5 -25 NaN -18.75 6498 CRUDE_W caleb_strategy_v3 [1] 1000 -665 -5 10 0 NaN 5 6499 US10U caleb_strategy_v3 [1] 1000 -445.312 -7.8125 0 -15.625 NaN -7.8125 6500 GBP caleb_strategy_v3 [-1] 62500 153.125 -3.125 6.25 -0 NaN 3.125 6501 GBP caleb_strategy_v3 [-1] 62500 159.375 -3.125 6.25 -0 NaN 3.125 6502 REDWHEAT caleb_strategy_v3 [-1] 50 -75 -12.5 -0 -25 NaN -12.5 6457 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 679.532 40.7719 -27.1813 6.79532 -47.5673 NaN -20.386 6458 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 679.532 -54.3626 -6.79532 13.5906 0 NaN 6.79532 6459 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 679.532 44.1696 -23.7836 -6.79532 -54.3626 NaN -30.579 6460 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 679.532 -47.5673 -6.79532 6.79532 -6.79532 NaN -1.93135e-11 6461 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 679.532 47.5673 -33.9766 -0 NaN NaN -33.9766 6462 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 679.532 -44.1696 -3.39766 0 -6.79532 NaN -3.39766 6463 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 679.532 47.5673 -33.9766 -0 NaN NaN -33.9766 6464 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 679.532 -44.1696 -3.39766 0 -6.79532 NaN -3.39766 6465 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 679.532 47.5673 -33.9766 -0 NaN NaN -33.9766 6466 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 679.532 -44.1696 -3.39766 0 -6.79532 NaN -3.39766 6467 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 679.532 47.5673 -33.9766 -0 NaN NaN -33.9766 6468 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 679.532 -44.1696 -3.39766 0 -6.79532 NaN -3.39766 6469 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 679.532 57.7603 -23.7836 -0 NaN NaN -23.7836 6470 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 679.532 -44.1696 -3.39766 NaN NaN NaN NaN 6471 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 679.532 57.7603 -23.7836 -0 NaN NaN -23.7836 6472 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 679.532 -44.1696 -3.39766 6.79532 1.93135e-11 NaN 3.39766 6473 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 679.532 57.7603 -23.7836 -0 NaN NaN -23.7836 6474 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 679.532 -33.9766 -13.5906 0 -27.1813 NaN -13.5906 6475 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 679.532 57.7603 -23.7836 -0 NaN NaN -23.7836 6476 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 679.532 -33.9766 -13.5906 6.79532 -20.386 NaN -6.79532 6477 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 679.532 47.5673 -33.9766 -0 NaN NaN -33.9766 6478 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 679.532 -30.579 -10.193 0 NaN NaN -10.193 6479 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 679.532 47.5673 -33.9766 -0 NaN NaN -33.9766 6480 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 679.532 -30.579 -10.193 0 -20.386 NaN -10.193 6481 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 679.532 47.5673 -33.9766 -0 NaN NaN -33.9766 6482 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 679.532 -33.9766 -6.79532 -20.386 -33.9766 NaN -27.1813 6483 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 679.532 47.5673 -33.9766 -0 -67.9532 NaN -33.9766 6484 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 679.532 -40.7719 -6.79532 0 -13.5906 NaN -6.79532 6485 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [-1] 679.532 47.5673 -33.9766 -0 NaN NaN -33.9766 6486 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 679.532 -37.3743 -10.193 -13.5906 -33.9766 NaN -23.7836 6487 JGB-SGX-mini _ROLL_PSEUDO_STRATEGY [1] 679.532 -37.3743 -10.193 0 -20.386 NaN -10.193 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini 98.532210 caleb_strategy_v3 BUND -284.186000 CRUDE_W -665.000000 EURIBOR-ICE 20.107500 EUROSTX 718.508000 GAS_US_mini -118.750000 GBP 312.500000 JGB-SGX-mini -44.169611 PLAT -522.500000 REDWHEAT -75.000000 SUGAR11 179.200000 US10U -445.312500 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 98.532210 caleb_strategy_v3 -924.602611 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini -567.409622 caleb_strategy_v3 BUND -5.362000 CRUDE_W -5.000000 EURIBOR-ICE -6.702500 EUROSTX -21.448000 GAS_US_mini -6.250000 GBP -6.250000 JGB-SGX-mini -3.397662 PLAT -7.500000 REDWHEAT -12.500000 SUGAR11 -11.200000 US10U -7.812500 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -567.409622 caleb_strategy_v3 -93.422662 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini 1.931433e-11 caleb_strategy_v3 BUND -3.217200e+01 CRUDE_W 1.000000e+01 EURIBOR-ICE 0.000000e+00 EUROSTX 2.144800e+01 GAS_US_mini -1.250000e+01 GBP 1.250000e+01 JGB-SGX-mini 0.000000e+00 PLAT -0.000000e+00 REDWHEAT -0.000000e+00 SUGAR11 1.120000e+01 US10U 0.000000e+00 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 1.931433e-11 caleb_strategy_v3 1.047600e+01 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini -373.742865 caleb_strategy_v3 BUND -42.896000 CRUDE_W 0.000000 EURIBOR-ICE -13.405000 EUROSTX -21.448000 GAS_US_mini -25.000000 GBP -0.000000 JGB-SGX-mini -6.795325 PLAT -15.000000 REDWHEAT -25.000000 SUGAR11 -11.200000 US10U -15.625000 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -373.742865 caleb_strategy_v3 -176.369325 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY JGB-SGX-mini 0 caleb_strategy_v3 BUND 0 CRUDE_W 0 EURIBOR-ICE 0 EUROSTX 0 GAS_US_mini 0 GBP 0 JGB-SGX-mini 0 PLAT 0 REDWHEAT 0 SUGAR11 0 US10U 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 -5.640120e+02 caleb_strategy_v3 BUND -3.753400e+01 CRUDE_W 5.000000e+00 EURIBOR-ICE -6.702500e+00 EUROSTX 1.776357e-15 GAS_US_mini -1.875000e+01 GBP 6.250000e+00 JGB-SGX-mini -3.397662e+00 PLAT -7.500000e+00 REDWHEAT -1.250000e+01 SUGAR11 0.000000e+00 US10U -7.812500e+00 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -564.011960 caleb_strategy_v3 -82.946662 ******************************************************************************** END OF REPORT ********************************************************************************