******************************************************************************** Trades report produced on 02/11/2023 21:39 from 01/11/2023 21:39 to 02/11/2023 21:39 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8148 CANOLA caleb_strategy_v3 [20240100] 2023-11-02 14:00:20 [-1] 683.60000 8149 CANOLA caleb_strategy_v3 [20240100] 2023-11-02 14:01:02 [-1] 683.20000 8151 CHF caleb_strategy_v3 [20231200] 2023-11-02 15:00:07 [-1] 1.11065 8146 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-11-02 09:01:14 [-1] 97.34000 8147 GAS_US_mini caleb_strategy_v3 [20240100] 2023-11-02 14:00:19 [1] 3.70500 8144 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-02 03:09:15 [-1] 144.01000 8143 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-02 03:06:15 [-1] 144.01000 8152 MXP caleb_strategy_v3 [20231200] 2023-11-02 15:00:17 [1] 0.05635 8154 MXP caleb_strategy_v3 [20231200] 2023-11-02 15:01:06 [1] 0.05633 8155 MXP caleb_strategy_v3 [20231200] 2023-11-02 15:02:06 [1] 0.05635 8145 OAT caleb_strategy_v3 [20231200] 2023-11-02 08:00:51 [1] 123.94000 8153 RUSSELL caleb_strategy_v3 [20231200] 2023-11-02 15:01:05 [1] 1706.90000 8150 RUSSELL caleb_strategy_v3 [20231200] 2023-11-02 15:00:06 [1] 1707.40000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8144 JGB-SGX-mini caleb_strategy_v3 2023-11-01 2023-11-02 03:06:18.375 2023-11-02 03:09:15 97578.4 176.625 8143 JGB-SGX-mini caleb_strategy_v3 2023-11-01 2023-11-02 03:01:15.646 2023-11-02 03:06:15 97275.6 299.354 8145 OAT caleb_strategy_v3 2023-11-01 2023-11-02 08:00:49.864 2023-11-02 08:00:51 115250 1.136 8146 EURIBOR-ICE caleb_strategy_v3 2023-11-01 2023-11-02 09:00:52.077 2023-11-02 09:01:14 118852 21.923 8147 GAS_US_mini caleb_strategy_v3 2023-11-01 2023-11-02 14:00:02.628 2023-11-02 14:00:19 136803 16.372 8148 CANOLA caleb_strategy_v3 2023-11-01 2023-11-02 14:00:20.671 2023-11-02 14:00:20 136821 NaN 8149 CANOLA caleb_strategy_v3 2023-11-01 2023-11-02 14:01:02.064 2023-11-02 14:01:02 136862 NaN 8151 CHF caleb_strategy_v3 2023-11-01 2023-11-02 15:00:07.249 2023-11-02 15:00:07 140407 NaN 8153 RUSSELL caleb_strategy_v3 2023-11-01 2023-11-02 15:01:05.529 2023-11-02 15:01:05 140466 NaN 8150 RUSSELL caleb_strategy_v3 2023-11-01 2023-11-02 15:00:06.094 2023-11-02 15:00:06 140406 NaN 8152 MXP caleb_strategy_v3 2023-11-01 2023-11-02 15:00:08.234 2023-11-02 15:00:17 140408 8.766 8154 MXP caleb_strategy_v3 2023-11-01 2023-11-02 15:01:06.196 2023-11-02 15:01:06 140466 NaN 8155 MXP caleb_strategy_v3 2023-11-01 2023-11-02 15:02:05.781 2023-11-02 15:02:06 140526 0.219 ============================================================================================================================================================================================================================== 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 8144 JGB-SGX-mini caleb_strategy_v3 [-1] 143.92 None 144.02 144.01 144.03 144.03 144.01 0.1 -0.01 -0 -0.02 NaN -0.01 8143 JGB-SGX-mini caleb_strategy_v3 [-1] 143.92 None 144.02 144.01 144.03 144.03 144.01 0.1 -0.01 -0 -0.02 NaN -0.01 8145 OAT caleb_strategy_v3 [1] 123.97 None 123.93 123.94 123.92 123.92 123.94 0.04 -0.01 0 -0.02 NaN -0.01 8146 EURIBOR-ICE caleb_strategy_v3 [-1] 97.315 None 97.3475 97.345 97.35 97.35 97.34 0.0325 -0.0025 -0.005 -0.01 NaN -0.0075 8147 GAS_US_mini caleb_strategy_v3 [1] 3.75 None 3.7 3.705 3.695 3.695 3.705 0.05 -0.005 0 -0.01 NaN -0.005 8148 CANOLA caleb_strategy_v3 [-1] 673.7 None 681.8 681.7 681.9 681.9 683.6 8.1 -0.1 1.9 1.7 NaN 1.8 8149 CANOLA caleb_strategy_v3 [-1] 673.7 None 681.8 681.7 681.9 681.9 683.2 8.1 -0.1 1.5 1.3 NaN 1.4 8151 CHF caleb_strategy_v3 [-1] 1.10725 None 1.1107 1.11065 1.11075 NaN 1.11065 0.00345 -5e-05 -0 NaN NaN -5e-05 8153 RUSSELL caleb_strategy_v3 [1] 1674.8 None 1707.35 1707.4 1707.3 1707.3 1706.9 -32.55 -0.05 0.5 0.4 NaN 0.45 8150 RUSSELL caleb_strategy_v3 [1] 1674.8 None 1707.5 1707.6 1707.4 1707.4 1707.4 -32.7 -0.1 0.2 0 NaN 0.1 8152 MXP caleb_strategy_v3 [1] 0.05577 None 0.056355 0.05636 0.05635 0.05635 0.05635 -0.000585 -5e-06 1e-05 6.93889e-18 NaN 5e-06 8154 MXP caleb_strategy_v3 [1] 0.05577 None 0.056345 0.05635 0.05634 0.05634 0.05633 -0.000575 -5e-06 2e-05 1e-05 NaN 1.5e-05 8155 MXP caleb_strategy_v3 [1] 0.05577 None 0.05632 0.05633 0.05631 0.05631 0.05635 -0.00055 -1e-05 -2e-05 -4e-05 NaN -3e-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 8144 JGB-SGX-mini caleb_strategy_v3 [-1] 4.08797 244.62 -24.462 -0 -48.924 NaN -24.462 8143 JGB-SGX-mini caleb_strategy_v3 [-1] 4.08797 244.62 -24.462 -0 -48.924 NaN -24.462 8145 OAT caleb_strategy_v3 [1] 10.4854 38.1483 -9.53707 0 -19.0741 NaN -9.53707 8146 EURIBOR-ICE caleb_strategy_v3 [-1] 1.01657 319.703 -24.5925 -49.1851 -98.3701 NaN -73.7776 8147 GAS_US_mini caleb_strategy_v3 [1] 2.09778 238.347 -23.8347 0 -47.6695 NaN -23.8347 8148 CANOLA caleb_strategy_v3 [-1] 145.995 554.814 -6.84955 130.142 116.442 NaN 123.292 8149 CANOLA caleb_strategy_v3 [-1] 145.995 554.814 -6.84955 102.743 89.0442 NaN 95.8938 8151 CHF caleb_strategy_v3 [-1] 0.080244 429.939 -6.23099 -0 NaN NaN -6.23099 8153 RUSSELL caleb_strategy_v3 [1] 381.345 -853.557 -1.31115 13.1115 10.4892 NaN 11.8003 8150 RUSSELL caleb_strategy_v3 [1] 381.345 -857.491 -2.6223 5.24459 0 NaN 2.6223 8152 MXP caleb_strategy_v3 [1] 0.00725296 -806.567 -6.89374 13.7875 9.56698e-12 NaN 6.89374 8154 MXP caleb_strategy_v3 [1] 0.00725296 -792.78 -6.89374 27.5749 13.7875 NaN 20.6812 8155 MXP caleb_strategy_v3 [1] 0.00725296 -758.311 -13.7875 -27.5749 -55.1499 NaN -41.3624 ======================================================================================================================================================================= 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 8144 JGB-SGX-mini caleb_strategy_v3 [-1] 664.896 66.4896 -6.64896 -0 -13.2979 NaN -6.64896 8143 JGB-SGX-mini caleb_strategy_v3 [-1] 664.896 66.4896 -6.64896 -0 -13.2979 NaN -6.64896 8145 OAT caleb_strategy_v3 [1] 1059.9 42.396 -10.599 0 -21.198 NaN -10.599 8146 EURIBOR-ICE caleb_strategy_v3 [-1] 2649.75 86.1169 -6.62437 -13.2487 -26.4975 NaN -19.8731 8147 GAS_US_mini caleb_strategy_v3 [1] 2500 125 -12.5 0 -25 NaN -12.5 8148 CANOLA caleb_strategy_v3 [-1] 14.455 117.086 -1.4455 27.4646 24.5736 NaN 26.0191 8149 CANOLA caleb_strategy_v3 [-1] 14.455 117.086 -1.4455 21.6826 18.7916 NaN 20.2371 8151 CHF caleb_strategy_v3 [-1] 125000 431.25 -6.25 -0 NaN NaN -6.25 8153 RUSSELL caleb_strategy_v3 [1] 5 -162.75 -0.25 2.5 2 NaN 2.25 8150 RUSSELL caleb_strategy_v3 [1] 5 -163.5 -0.5 1 0 NaN 0.5 8152 MXP caleb_strategy_v3 [1] 500000 -292.5 -2.5 5 3.46945e-12 NaN 2.5 8154 MXP caleb_strategy_v3 [1] 500000 -287.5 -2.5 10 5 NaN 7.5 8155 MXP caleb_strategy_v3 [1] 500000 -275 -5 -10 -20 NaN -15 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CANOLA 234.171726 CHF 431.250000 EURIBOR-ICE 86.116875 GAS_US_mini 125.000000 JGB-SGX-mini 132.979165 MXP -855.000000 OAT 42.396000 RUSSELL -326.250000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -129.336234 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CANOLA -2.891009 CHF -6.250000 EURIBOR-ICE -6.624375 GAS_US_mini -12.500000 JGB-SGX-mini -13.297917 MXP -10.000000 OAT -10.599000 RUSSELL -0.750000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -62.912301 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CANOLA 49.147152 CHF -0.000000 EURIBOR-ICE -13.248750 GAS_US_mini 0.000000 JGB-SGX-mini -0.000000 MXP 5.000000 OAT 0.000000 RUSSELL 3.500000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 44.398402 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CANOLA 43.365134 CHF 0.000000 EURIBOR-ICE -26.497500 GAS_US_mini -25.000000 JGB-SGX-mini -26.595833 MXP -15.000000 OAT -21.198000 RUSSELL 2.000000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -68.926199 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CANOLA 0 CHF 0 EURIBOR-ICE 0 GAS_US_mini 0 JGB-SGX-mini 0 MXP 0 OAT 0 RUSSELL 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 CANOLA 46.256143 CHF -6.250000 EURIBOR-ICE -19.873125 GAS_US_mini -12.500000 JGB-SGX-mini -13.297917 MXP -5.000000 OAT -10.599000 RUSSELL 2.750000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -18.513898 ******************************************************************************** END OF REPORT ********************************************************************************