******************************************************************************** Trades report produced on 26/10/2023 21:38 from 25/10/2023 21:38 to 26/10/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8079 BITCOIN caleb_strategy_v3 [20231100] 2023-10-26 14:00:22 [1] 34645.000000 8076 BITCOIN caleb_strategy_v3 [20231100] 2023-10-26 14:00:15 [1] 34680.000000 8071 BITCOIN caleb_strategy_v3 [20231100] 2023-10-26 14:00:04 [1] 34645.000000 8068 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-10-26 08:03:02 [-1] 97.020000 8069 GAS_US_mini caleb_strategy_v3 [20240100] 2023-10-26 13:00:02 [-1] 3.645000 8075 JPY caleb_strategy_v3 [20231200] 2023-10-26 14:00:13 [-1] 0.006709 8078 JPY caleb_strategy_v3 [20231200] 2023-10-26 14:00:18 [-1] 0.006710 8082 LEANHOG caleb_strategy_v3 [20240200] 2023-10-26 14:30:20 [-1] 71.400000 8067 NIKKEI caleb_strategy_v3 [20231200] 2023-10-26 02:00:45 [-1] 30715.000000 8072 RUSSELL caleb_strategy_v3 [20231200] 2023-10-26 14:00:05 [1] 1663.800000 8080 RUSSELL caleb_strategy_v3 [20231200] 2023-10-26 14:00:22 [1] 1662.900000 8081 RUSSELL caleb_strategy_v3 [20231200] 2023-10-26 14:00:25 [1] 1663.100000 8077 RUSSELL caleb_strategy_v3 [20231200] 2023-10-26 14:00:16 [1] 1663.400000 8074 US30 caleb_strategy_v3 [20231200] 2023-10-26 14:00:11 [1] 111.656250 8073 US5 caleb_strategy_v3 [20231200] 2023-10-26 14:00:09 [-1] 104.375000 8070 VIX caleb_strategy_v3 [20240100] 2023-10-26 14:00:03 [1] 21.350000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8067 NIKKEI caleb_strategy_v3 2023-10-25 2023-10-26 03:00:28.694 2023-10-26 02:00:45 97228.7 NaN 8068 EURIBOR-ICE caleb_strategy_v3 2023-10-25 2023-10-26 09:00:02.009 2023-10-26 08:03:02 118802 NaN 8069 GAS_US_mini caleb_strategy_v3 2023-10-25 2023-10-26 14:00:02.222 2023-10-26 13:00:02 136802 NaN 8070 VIX caleb_strategy_v3 2023-10-25 2023-10-26 15:00:02.548 2023-10-26 14:00:03 140403 NaN 8073 US5 caleb_strategy_v3 2023-10-25 2023-10-26 15:00:06.059 2023-10-26 14:00:09 140406 NaN 8074 US30 caleb_strategy_v3 2023-10-25 2023-10-26 15:00:10.579 2023-10-26 14:00:11 140411 NaN 8075 JPY caleb_strategy_v3 2023-10-25 2023-10-26 15:00:12.206 2023-10-26 14:00:13 140412 NaN 8078 JPY caleb_strategy_v3 2023-10-25 2023-10-26 15:00:16.558 2023-10-26 14:00:18 140417 NaN 8079 BITCOIN caleb_strategy_v3 2023-10-25 2023-10-26 15:00:19.888 2023-10-26 14:00:22 140420 NaN 8076 BITCOIN caleb_strategy_v3 2023-10-25 2023-10-26 15:00:15.343 2023-10-26 14:00:15 140415 NaN 8071 BITCOIN caleb_strategy_v3 2023-10-25 2023-10-26 15:00:03.957 2023-10-26 14:00:04 140404 NaN 8072 RUSSELL caleb_strategy_v3 2023-10-25 2023-10-26 15:00:04.992 2023-10-26 14:00:05 140405 NaN 8080 RUSSELL caleb_strategy_v3 2023-10-25 2023-10-26 15:00:22.778 2023-10-26 14:00:22 140423 NaN 8081 RUSSELL caleb_strategy_v3 2023-10-25 2023-10-26 15:00:24.803 2023-10-26 14:00:25 140425 NaN 8077 RUSSELL caleb_strategy_v3 2023-10-25 2023-10-26 15:00:16.096 2023-10-26 14:00:16 140416 NaN 8082 LEANHOG caleb_strategy_v3 2023-10-25 2023-10-26 15:30:01.236 2023-10-26 14:30:20 142201 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 8067 NIKKEI caleb_strategy_v3 [-1] 30955 None 30712.5 30710 30715 30715 30715 -242.5 -2.5 5 -0 NaN 2.5 8068 EURIBOR-ICE caleb_strategy_v3 [-1] 96.995 None 97.0175 97.015 97.02 97.02 97.02 0.0225 -0.0025 0.005 -0 NaN 0.0025 8069 GAS_US_mini caleb_strategy_v3 [-1] 3.62 None 3.6475 3.645 3.65 NaN 3.645 0.0275 -0.0025 -0 NaN NaN -0.0025 8070 VIX caleb_strategy_v3 [1] 21.25 None 21.275 21.3 21.25 21.25 21.35 -0.025 -0.025 -0.05 -0.1 NaN -0.075 8073 US5 caleb_strategy_v3 [-1] 104.133 None 104.371 104.367 104.375 104.375 104.375 0.238281 -0.00390625 0.0078125 -0 NaN 0.00390625 8074 US30 caleb_strategy_v3 [1] 111.344 None 111.672 111.688 111.656 111.656 111.656 -0.328125 -0.015625 0.03125 0 NaN 0.015625 8075 JPY caleb_strategy_v3 [-1] 0.0067235 None 0.0067095 0.006709 0.00671 0.00671 0.006709 -1.4e-05 -5e-07 -0 -1e-06 NaN -5e-07 8078 JPY caleb_strategy_v3 [-1] 0.0067235 None 0.0067095 0.006709 0.00671 0.00671 0.00671 -1.4e-05 -5e-07 1e-06 -0 NaN 5e-07 8079 BITCOIN caleb_strategy_v3 [1] 35110 None 34662.5 34680 34645 34645 34645 447.5 -17.5 35 0 NaN 17.5 8076 BITCOIN caleb_strategy_v3 [1] 35110 None 34632.5 34645 34620 34620 34680 477.5 -12.5 -35 -60 NaN -47.5 8071 BITCOIN caleb_strategy_v3 [1] 35110 None 34625 34645 34605 34605 34645 485 -20 0 -40 NaN -20 8072 RUSSELL caleb_strategy_v3 [1] 1665.1 None 1663.65 1663.8 1663.5 1663.5 1663.8 1.45 -0.15 0 -0.3 NaN -0.15 8080 RUSSELL caleb_strategy_v3 [1] 1665.1 None 1663.35 1663.4 1663.3 1663.3 1662.9 1.75 -0.05 0.5 0.4 NaN 0.45 8081 RUSSELL caleb_strategy_v3 [1] 1665.1 None 1662.8 1662.9 1662.7 1662.7 1663.1 2.3 -0.1 -0.2 -0.4 NaN -0.3 8077 RUSSELL caleb_strategy_v3 [1] 1665.1 None 1663.7 1663.8 1663.6 1663.6 1663.4 1.4 -0.1 0.4 0.2 NaN 0.3 8082 LEANHOG caleb_strategy_v3 [-1] 70.75 None 71.45 71.425 71.475 71.475 71.4 0.7 -0.025 -0.025 -0.075 NaN -0.05 ============================================================================================================================================================ 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 8067 NIKKEI caleb_strategy_v3 [-1] 5867.33 -413.305 -4.26088 8.52176 -0 NaN 4.26088 8068 EURIBOR-ICE caleb_strategy_v3 [-1] 1.09021 206.382 -22.9314 45.8627 -0 NaN 22.9314 8069 GAS_US_mini caleb_strategy_v3 [-1] 1.86132 147.745 -13.4313 -0 NaN NaN -13.4313 8070 VIX caleb_strategy_v3 [1] 10.5598 -23.6747 -23.6747 -47.3493 -94.6986 NaN -71.024 8073 US5 caleb_strategy_v3 [-1] 5.43833 438.151 -7.18281 14.3656 -0 NaN 7.18281 8074 US30 caleb_strategy_v3 [1] 26.4431 -124.087 -5.90892 11.8178 0 NaN 5.90892 8075 JPY caleb_strategy_v3 [-1] 0.000478833 -292.377 -10.442 -0 -20.8841 NaN -10.442 8078 JPY caleb_strategy_v3 [-1] 0.000478833 -292.377 -10.442 20.8841 -0 NaN 10.442 8079 BITCOIN caleb_strategy_v3 [1] 14429.3 310.134 -12.1281 24.2563 0 NaN 12.1281 8076 BITCOIN caleb_strategy_v3 [1] 14429.3 330.925 -8.66295 -24.2563 -41.5822 NaN -32.9192 8071 BITCOIN caleb_strategy_v3 [1] 14429.3 336.123 -13.8607 0 -27.7214 NaN -13.8607 8072 RUSSELL caleb_strategy_v3 [1] 363.14 39.9295 -4.13063 0 -8.26127 NaN -4.13063 8080 RUSSELL caleb_strategy_v3 [1] 363.14 48.1907 -1.37688 13.7688 11.015 NaN 12.3919 8081 RUSSELL caleb_strategy_v3 [1] 363.14 63.3364 -2.75376 -5.50751 -11.015 NaN -8.26127 8077 RUSSELL caleb_strategy_v3 [1] 363.14 38.5526 -2.75376 11.015 5.50751 NaN 8.26127 8082 LEANHOG caleb_strategy_v3 [-1] 22.7514 307.673 -10.9883 -10.9883 -32.965 NaN -21.9767 ======================================================================================================================================================================= 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 8067 NIKKEI caleb_strategy_v3 [-1] 0.664152 -161.057 -1.66038 3.32076 -0 NaN 1.66038 8068 EURIBOR-ICE caleb_strategy_v3 [-1] 2635.25 59.2931 -6.58812 13.1762 -0 NaN 6.58812 8069 GAS_US_mini caleb_strategy_v3 [-1] 2500 68.75 -6.25 -0 NaN NaN -6.25 8070 VIX caleb_strategy_v3 [1] 1000 -25 -25 -50 -100 NaN -75 8073 US5 caleb_strategy_v3 [-1] 1000 238.281 -3.90625 7.8125 -0 NaN 3.90625 8074 US30 caleb_strategy_v3 [1] 1000 -328.125 -15.625 31.25 0 NaN 15.625 8075 JPY caleb_strategy_v3 [-1] 1.25e+07 -175 -6.25 -0 -12.5 NaN -6.25 8078 JPY caleb_strategy_v3 [-1] 1.25e+07 -175 -6.25 12.5 -0 NaN 6.25 8079 BITCOIN caleb_strategy_v3 [1] 0.1 44.75 -1.75 3.5 0 NaN 1.75 8076 BITCOIN caleb_strategy_v3 [1] 0.1 47.75 -1.25 -3.5 -6 NaN -4.75 8071 BITCOIN caleb_strategy_v3 [1] 0.1 48.5 -2 0 -4 NaN -2 8072 RUSSELL caleb_strategy_v3 [1] 5 7.25 -0.75 0 -1.5 NaN -0.75 8080 RUSSELL caleb_strategy_v3 [1] 5 8.75 -0.25 2.5 2 NaN 2.25 8081 RUSSELL caleb_strategy_v3 [1] 5 11.5 -0.5 -1 -2 NaN -1.5 8077 RUSSELL caleb_strategy_v3 [1] 5 7 -0.5 2 1 NaN 1.5 8082 LEANHOG caleb_strategy_v3 [-1] 400 280 -10 -10 -30 NaN -20 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 141.000000 EURIBOR-ICE 59.293125 GAS_US_mini 68.750000 JPY -350.000000 LEANHOG 280.000000 NIKKEI -161.056798 RUSSELL 34.500000 US30 -328.125000 US5 238.281250 VIX -25.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -42.357423 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -5.000000 EURIBOR-ICE -6.588125 GAS_US_mini -6.250000 JPY -12.500000 LEANHOG -10.000000 NIKKEI -1.660379 RUSSELL -2.000000 US30 -15.625000 US5 -3.906250 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -88.529754 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0.000000 EURIBOR-ICE 13.176250 GAS_US_mini -0.000000 JPY 12.500000 LEANHOG -10.000000 NIKKEI 3.320759 RUSSELL 3.500000 US30 31.250000 US5 7.812500 VIX -50.000000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 11.559509 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -10.0 EURIBOR-ICE -0.0 GAS_US_mini 0.0 JPY -12.5 LEANHOG -30.0 NIKKEI -0.0 RUSSELL -0.5 US30 0.0 US5 -0.0 VIX -100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -153.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0 EURIBOR-ICE 0 GAS_US_mini 0 JPY 0 LEANHOG 0 NIKKEI 0 RUSSELL 0 US30 0 US5 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 BITCOIN -5.000000e+00 EURIBOR-ICE 6.588125e+00 GAS_US_mini -6.250000e+00 JPY -1.084288e-11 LEANHOG -2.000000e+01 NIKKEI 1.660379e+00 RUSSELL 1.500000e+00 US30 1.562500e+01 US5 3.906250e+00 VIX -7.500000e+01 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -76.970246 ******************************************************************************** END OF REPORT ********************************************************************************