******************************************************************************** Trades report produced on 30/10/2023 21:38 from 29/10/2023 21:38 to 30/10/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8106 EUR caleb_strategy_v3 [20231200] 2023-10-30 15:01:45 [1] 1.062950 8102 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-10-30 09:03:24 [1] 97.205000 8098 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-10-30 03:06:15 [-1] 144.200000 8099 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-10-30 03:11:17 [-1] 144.200000 8100 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-10-30 03:14:15 [-1] 144.200000 8101 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-10-30 03:15:27 [-1] 144.220000 8105 JPY caleb_strategy_v3 [20231200] 2023-10-30 15:01:43 [1] 0.006763 8103 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-10-30 15:00:53 [-1] 14360.250000 8107 US30 caleb_strategy_v3 [20231200] 2023-10-30 15:01:47 [-1] 111.906250 8104 US5 caleb_strategy_v3 [20231200] 2023-10-30 15:01:39 [1] 104.515625 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8098 JGB-SGX-mini caleb_strategy_v3 2023-10-27 2023-10-30 03:01:14.911 2023-10-30 03:06:15 270075 300.089 8099 JGB-SGX-mini caleb_strategy_v3 2023-10-27 2023-10-30 03:06:17.563 2023-10-30 03:11:17 270378 299.437 8100 JGB-SGX-mini caleb_strategy_v3 2023-10-27 2023-10-30 03:11:20.029 2023-10-30 03:14:15 270680 174.971 8101 JGB-SGX-mini caleb_strategy_v3 2023-10-27 2023-10-30 03:14:18.169 2023-10-30 03:15:27 270858 68.831 8102 EURIBOR-ICE caleb_strategy_v3 2023-10-27 2023-10-30 09:00:54.565 2023-10-30 09:03:24 291655 149.435 8103 NASDAQ_micro caleb_strategy_v3 2023-10-27 2023-10-30 15:00:52.479 2023-10-30 15:00:53 313252 0.521 8104 US5 caleb_strategy_v3 2023-10-27 2023-10-30 15:00:53.759 2023-10-30 15:01:39 313254 45.241 8105 JPY caleb_strategy_v3 2023-10-27 2023-10-30 15:01:39.943 2023-10-30 15:01:43 313300 3.057 8106 EUR caleb_strategy_v3 2023-10-27 2023-10-30 15:01:44.586 2023-10-30 15:01:45 313305 0.414 8107 US30 caleb_strategy_v3 2023-10-27 2023-10-30 15:01:46.106 2023-10-30 15:01:47 313306 0.894 ===================================================================================================================================================================================================================================== 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 8098 JGB-SGX-mini caleb_strategy_v3 [-1] 144.26 None 144.215 144.2 144.23 144.23 144.2 -0.045 -0.015 -0 -0.03 NaN -0.015 8099 JGB-SGX-mini caleb_strategy_v3 [-1] 144.26 None 144.215 144.2 144.23 144.23 144.2 -0.045 -0.015 -0 -0.03 NaN -0.015 8100 JGB-SGX-mini caleb_strategy_v3 [-1] 144.26 None 144.215 144.2 144.23 144.23 144.2 -0.045 -0.015 -0 -0.03 NaN -0.015 8101 JGB-SGX-mini caleb_strategy_v3 [-1] 144.26 None 144.21 144.2 144.22 144.22 144.22 -0.05 -0.01 0.02 -0 NaN 0.01 8102 EURIBOR-ICE caleb_strategy_v3 [1] 97.175 None 97.2075 97.21 97.205 97.205 97.205 -0.0325 -0.0025 0.005 0 NaN 0.0025 8103 NASDAQ_micro caleb_strategy_v3 [-1] 14237.5 None 14362.4 14362.2 14362.5 14362.5 14360.2 124.875 -0.125 -2 -2.25 NaN -2.125 8104 US5 caleb_strategy_v3 [1] 104.695 None 104.512 104.516 104.508 104.508 104.516 0.183594 -0.00390625 0 -0.0078125 NaN -0.00390625 8105 JPY caleb_strategy_v3 [1] 0.006742 None 0.00676175 0.006762 0.0067615 0.0067615 0.006763 -1.975e-05 -2.5e-07 -1e-06 -1.5e-06 NaN -1.25e-06 8106 EUR caleb_strategy_v3 [1] 1.0588 None 1.06298 1.063 1.06295 1.06295 1.06295 -0.004175 -2.5e-05 5e-05 0 NaN 2.5e-05 8107 US30 caleb_strategy_v3 [-1] 112.5 None 111.953 111.938 111.969 111.969 111.906 -0.546875 -0.015625 -0.03125 -0.0625 NaN -0.046875 ============================================================================================================================================================ 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 8098 JGB-SGX-mini caleb_strategy_v3 [-1] 3.63551 -123.779 -41.2597 -0 -82.5194 NaN -41.2597 8099 JGB-SGX-mini caleb_strategy_v3 [-1] 3.63551 -123.779 -41.2597 -0 -82.5194 NaN -41.2597 8100 JGB-SGX-mini caleb_strategy_v3 [-1] 3.63551 -123.779 -41.2597 -0 -82.5194 NaN -41.2597 8101 JGB-SGX-mini caleb_strategy_v3 [-1] 3.63551 -137.532 -27.5065 55.013 -0 NaN 27.5065 8102 EURIBOR-ICE caleb_strategy_v3 [1] 1.03946 -312.664 -24.0511 48.1021 0 NaN 24.0511 8103 NASDAQ_micro caleb_strategy_v3 [-1] 3029.42 412.208 -0.412621 -6.60193 -7.42717 NaN -7.01455 8104 US5 caleb_strategy_v3 [1] 5.32981 344.466 -7.32906 0 -14.6581 NaN -7.32906 8105 JPY caleb_strategy_v3 [1] 0.000491244 -402.041 -5.08912 -20.3565 -30.5347 NaN -25.4456 8106 EUR caleb_strategy_v3 [1] 0.0784705 -532.047 -3.18591 6.37182 0 NaN 3.18591 8107 US30 caleb_strategy_v3 [-1] 25.4373 -214.99 -6.14257 -12.2851 -24.5703 NaN -18.4277 ======================================================================================================================================================================= 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 8098 JGB-SGX-mini caleb_strategy_v3 [-1] 669.602 -30.1321 -10.044 -0 -20.0881 NaN -10.044 8099 JGB-SGX-mini caleb_strategy_v3 [-1] 669.602 -30.1321 -10.044 -0 -20.0881 NaN -10.044 8100 JGB-SGX-mini caleb_strategy_v3 [-1] 669.602 -30.1321 -10.044 -0 -20.0881 NaN -10.044 8101 JGB-SGX-mini caleb_strategy_v3 [-1] 669.602 -33.4801 -6.69602 13.392 -0 NaN 6.69602 8102 EURIBOR-ICE caleb_strategy_v3 [1] 2641.38 -85.8447 -6.60344 13.2069 0 NaN 6.60344 8103 NASDAQ_micro caleb_strategy_v3 [-1] 2 249.75 -0.25 -4 -4.5 NaN -4.25 8104 US5 caleb_strategy_v3 [1] 1000 183.594 -3.90625 0 -7.8125 NaN -3.90625 8105 JPY caleb_strategy_v3 [1] 1.25e+07 -246.875 -3.125 -12.5 -18.75 NaN -15.625 8106 EUR caleb_strategy_v3 [1] 125000 -521.875 -3.125 6.25 0 NaN 3.125 8107 US30 caleb_strategy_v3 [-1] 1000 -546.875 -15.625 -31.25 -62.5 NaN -46.875 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 EUR -521.875000 EURIBOR-ICE -85.844687 JGB-SGX-mini -123.876325 JPY -246.875000 NASDAQ_micro 249.750000 US30 -546.875000 US5 183.593750 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1092.002262 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 EUR -3.125000 EURIBOR-ICE -6.603437 JGB-SGX-mini -36.828096 JPY -3.125000 NASDAQ_micro -0.250000 US30 -15.625000 US5 -3.906250 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -69.462784 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 EUR 6.250000 EURIBOR-ICE 13.206875 JGB-SGX-mini 13.392035 JPY -12.500000 NASDAQ_micro -4.000000 US30 -31.250000 US5 0.000000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -14.90109 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 EUR 0.000000 EURIBOR-ICE 0.000000 JGB-SGX-mini -60.264158 JPY -18.750000 NASDAQ_micro -4.500000 US30 -62.500000 US5 -7.812500 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -153.826658 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 EUR 0 EURIBOR-ICE 0 JGB-SGX-mini 0 JPY 0 NASDAQ_micro 0 US30 0 US5 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 EUR 3.125000 EURIBOR-ICE 6.603437 JGB-SGX-mini -23.436061 JPY -15.625000 NASDAQ_micro -4.250000 US30 -46.875000 US5 -3.906250 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -84.363874 ******************************************************************************** END OF REPORT ********************************************************************************