******************************************************************************** Trades report produced on 06/11/2023 21:39 from 05/11/2023 21:39 to 06/11/2023 21:39 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8202 CAD caleb_strategy_v3 [20231200] 2023-11-06 15:02:01 [1] 0.732100 8211 CAD caleb_strategy_v3 [20231200] 2023-11-06 15:02:31 [1] 0.732050 8200 CRUDE_W caleb_strategy_v3 [20241200] 2023-11-06 14:00:39 [-1] 76.580000 8214 DOW caleb_strategy_v3 [20231200] 2023-11-06 15:02:38 [1] 34120.000000 8206 DOW caleb_strategy_v3 [20231200] 2023-11-06 15:02:09 [1] 34127.000000 8217 DOW caleb_strategy_v3 [20231200] 2023-11-06 15:04:31 [1] 34121.000000 8216 DOW caleb_strategy_v3 [20231200] 2023-11-06 15:03:31 [1] 34127.000000 8204 EUR caleb_strategy_v3 [20231200] 2023-11-06 15:02:06 [1] 1.075800 8199 GOLD_micro caleb_strategy_v3 [20231200] 2023-11-06 14:00:39 [1] 1993.600000 8196 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-06 03:05:20 [-1] 144.440000 8208 JPY caleb_strategy_v3 [20231200] 2023-11-06 15:02:17 [1] 0.006723 8213 MXP caleb_strategy_v3 [20231200] 2023-11-06 15:02:37 [1] 0.056700 8205 MXP caleb_strategy_v3 [20231200] 2023-11-06 15:02:08 [1] 0.056700 8203 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-11-06 15:02:02 [1] 15219.500000 8212 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-11-06 15:02:32 [1] 15209.250000 8215 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-11-06 15:03:31 [1] 15202.250000 8197 NIKKEI caleb_strategy_v3 [20231200] 2023-11-06 03:05:32 [1] 32760.000000 8198 ROBUSTA caleb_strategy_v3 [20240100] 2023-11-06 10:02:13 [1] 2401.000000 8218 SOYBEAN caleb_strategy_v3 [20241100] 2023-11-06 15:30:47 [1] 1300.500000 8219 SOYMEAL caleb_strategy_v3 [20240300] 2023-11-06 15:30:48 [1] 418.300000 8209 US30 caleb_strategy_v3 [20231200] 2023-11-06 15:02:27 [1] 116.250000 8207 US5 caleb_strategy_v3 [20231200] 2023-11-06 15:02:15 [-1] 105.414063 8210 VIX caleb_strategy_v3 [20240100] 2023-11-06 15:02:31 [-1] 18.000000 8201 VIX caleb_strategy_v3 [20240100] 2023-11-06 15:01:55 [-1] 18.000000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8196 JGB-SGX-mini caleb_strategy_v3 2023-11-02 2023-11-06 03:00:20.161 2023-11-06 03:05:20 356420 299.839 8197 NIKKEI caleb_strategy_v3 2023-11-02 2023-11-06 03:05:31.383 2023-11-06 03:05:32 356731 0.617 8198 ROBUSTA caleb_strategy_v3 2023-11-03 2023-11-06 10:00:58.969 2023-11-06 10:02:13 295259 74.031 8199 GOLD_micro caleb_strategy_v3 2023-11-03 2023-11-06 14:00:36.376 2023-11-06 14:00:39 309636 2.624 8200 CRUDE_W caleb_strategy_v3 2023-11-03 2023-11-06 14:00:39.883 2023-11-06 14:00:39 309640 NaN 8204 EUR caleb_strategy_v3 2023-11-03 2023-11-06 15:02:03.044 2023-11-06 15:02:06 313323 2.956 8207 US5 caleb_strategy_v3 2023-11-03 2023-11-06 15:02:09.986 2023-11-06 15:02:15 313330 5.014 8208 JPY caleb_strategy_v3 2023-11-03 2023-11-06 15:02:16.422 2023-11-06 15:02:17 313336 0.578 8209 US30 caleb_strategy_v3 2023-11-03 2023-11-06 15:02:18.018 2023-11-06 15:02:27 313338 8.982 8201 VIX caleb_strategy_v3 2023-11-03 2023-11-06 15:00:48.460 2023-11-06 15:01:55 313248 66.54 8210 VIX caleb_strategy_v3 2023-11-03 2023-11-06 15:02:30.806 2023-11-06 15:02:31 313351 0.194 8202 CAD caleb_strategy_v3 2023-11-03 2023-11-06 15:01:57.042 2023-11-06 15:02:01 313317 3.958 8211 CAD caleb_strategy_v3 2023-11-03 2023-11-06 15:02:31.659 2023-11-06 15:02:31 313352 NaN 8213 MXP caleb_strategy_v3 2023-11-03 2023-11-06 15:02:32.995 2023-11-06 15:02:37 313353 4.005 8205 MXP caleb_strategy_v3 2023-11-03 2023-11-06 15:02:07.757 2023-11-06 15:02:08 313328 0.243 8203 NASDAQ_micro caleb_strategy_v3 2023-11-03 2023-11-06 15:02:02.210 2023-11-06 15:02:02 313322 NaN 8212 NASDAQ_micro caleb_strategy_v3 2023-11-03 2023-11-06 15:02:32.396 2023-11-06 15:02:32 313352 NaN 8215 NASDAQ_micro caleb_strategy_v3 2023-11-03 2023-11-06 15:03:30.896 2023-11-06 15:03:31 313411 0.104 8216 DOW caleb_strategy_v3 2023-11-03 2023-11-06 15:03:31.548 2023-11-06 15:03:31 313412 NaN 8217 DOW caleb_strategy_v3 2023-11-03 2023-11-06 15:04:31.108 2023-11-06 15:04:31 313471 NaN 8206 DOW caleb_strategy_v3 2023-11-03 2023-11-06 15:02:09.070 2023-11-06 15:02:09 313329 NaN 8214 DOW caleb_strategy_v3 2023-11-03 2023-11-06 15:02:37.876 2023-11-06 15:02:38 313358 0.124 8218 SOYBEAN caleb_strategy_v3 2023-11-03 2023-11-06 15:30:43.402 2023-11-06 15:30:47 315043 3.598 8219 SOYMEAL caleb_strategy_v3 2023-11-03 2023-11-06 15:30:48.368 2023-11-06 15:30:48 315048 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 8196 JGB-SGX-mini caleb_strategy_v3 [-1] 144 None 144.445 144.44 144.45 144.45 144.44 0.445 -0.005 -0 -0.01 NaN -0.005 8197 NIKKEI caleb_strategy_v3 [1] 31880 None 32752.5 32755 32750 32750 32760 -872.5 -2.5 -5 -10 NaN -7.5 8198 ROBUSTA caleb_strategy_v3 [1] 2368 None 2399.5 2400 2399 2399 2401 -31.5 -0.5 -1 -2 NaN -1.5 8199 GOLD_micro caleb_strategy_v3 [1] 1999.9 None 1993.65 1993.7 1993.6 1993.6 1993.6 6.25 -0.05 0.1 2.27374e-13 NaN 0.05 8200 CRUDE_W caleb_strategy_v3 [-1] 75.92 None 76.575 76.57 76.58 76.58 76.58 0.655 -0.005 0.01 -0 NaN 0.005 8204 EUR caleb_strategy_v3 [1] 1.0746 None 1.07583 1.07585 1.0758 1.0758 1.0758 -0.001225 -2.5e-05 5e-05 0 NaN 2.5e-05 8207 US5 caleb_strategy_v3 [-1] 105.727 None 105.41 105.406 105.414 105.414 105.414 -0.316406 -0.00390625 0.007813 5e-07 NaN 0.00390675 8208 JPY caleb_strategy_v3 [1] 0.006737 None 0.00672175 0.006722 0.0067215 0.0067215 0.006723 1.525e-05 -2.5e-07 -1e-06 -1.5e-06 NaN -1.25e-06 8209 US30 caleb_strategy_v3 [1] 117.25 None 116.266 116.281 116.25 116.25 116.25 0.984375 -0.015625 0.03125 0 NaN 0.015625 8201 VIX caleb_strategy_v3 [-1] 18.15 None 18.025 18 18.05 18.05 18 -0.125 -0.025 -0 -0.05 NaN -0.025 8210 VIX caleb_strategy_v3 [-1] 18.15 None 18.025 18 18.05 NaN 18 -0.125 -0.025 -0 NaN NaN -0.025 8202 CAD caleb_strategy_v3 [1] 0.732 None 0.732125 0.73215 0.7321 0.7321 0.7321 -0.000125 -2.5e-05 5e-05 1.11022e-16 NaN 2.5e-05 8211 CAD caleb_strategy_v3 [1] 0.732 None 0.732075 0.7321 0.73205 0.73205 0.73205 -7.5e-05 -2.5e-05 5e-05 1.11022e-16 NaN 2.5e-05 8213 MXP caleb_strategy_v3 [1] 0.05685 None 0.056705 0.05671 0.0567 0.0567 0.0567 0.000145 -5e-06 1e-05 6.93889e-18 NaN 5e-06 8205 MXP caleb_strategy_v3 [1] 0.05685 None 0.056705 0.05671 0.0567 0.0567 0.0567 0.000145 -5e-06 1e-05 6.93889e-18 NaN 5e-06 8203 NASDAQ_micro caleb_strategy_v3 [1] 15184.5 None 15219.1 15219.2 15219 NaN 15219.5 -34.625 -0.125 -0.25 NaN NaN -0.375 8212 NASDAQ_micro caleb_strategy_v3 [1] 15184.5 None 15209.1 15209.2 15209 15209 15209.2 -24.625 -0.125 0 -0.25 NaN -0.125 8215 NASDAQ_micro caleb_strategy_v3 [1] 15184.5 None 15201.4 15201.5 15201.2 15201.2 15202.2 -16.875 -0.125 -0.75 -1 NaN -0.875 8216 DOW caleb_strategy_v3 [1] 34150 None 34126 34127 34125 34125 34127 24 -1 0 -2 NaN -1 8217 DOW caleb_strategy_v3 [1] 34150 None 34120 34121 34119 34119 34121 30 -1 0 -2 NaN -1 8206 DOW caleb_strategy_v3 [1] 34150 None 34126.5 34127 34126 NaN 34127 23.5 -0.5 0 NaN NaN -0.5 8214 DOW caleb_strategy_v3 [1] 34150 None 34119 34120 34118 34118 34120 31 -1 0 -2 NaN -1 8218 SOYBEAN caleb_strategy_v3 [1] 1298.75 None 1300.62 1300.75 1300.5 1300.5 1300.5 -1.875 -0.125 0.25 0 NaN 0.125 8219 SOYMEAL caleb_strategy_v3 [1] 425.9 None 418.3 418.4 418.2 418.2 418.3 7.6 -0.1 0.1 -0.1 NaN -5.68434e-14 ============================================================================================================================================================ 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 8196 JGB-SGX-mini caleb_strategy_v3 [-1] 4.32094 1029.87 -11.5716 -0 -23.1431 NaN -11.5716 8197 NIKKEI caleb_strategy_v3 [1] 6284.2 -1388.4 -3.97823 -7.95646 -15.9129 NaN -11.9347 8198 ROBUSTA caleb_strategy_v3 [1] 594.112 -530.203 -8.41592 -16.8318 -33.6637 NaN -25.2478 8199 GOLD_micro caleb_strategy_v3 [1] 254.99 245.108 -1.96086 3.92172 8.91697e-12 NaN 1.96086 8200 CRUDE_W caleb_strategy_v3 [-1] 22.296 293.774 -2.24255 4.48511 -0 NaN 2.24255 8204 EUR caleb_strategy_v3 [1] 0.0820805 -149.244 -3.04579 6.09158 0 NaN 3.04579 8207 US5 caleb_strategy_v3 [-1] 5.9657 -530.376 -6.54785 13.0965 0.000838125 NaN 6.54869 8208 JPY caleb_strategy_v3 [1] 0.000640906 237.944 -3.90073 -15.6029 -23.4044 NaN -19.5036 8209 US30 caleb_strategy_v3 [1] 26.5675 370.518 -5.88124 11.7625 0 NaN 5.88124 8201 VIX caleb_strategy_v3 [-1] 10.6287 -117.607 -23.5213 -0 -47.0426 NaN -23.5213 8210 VIX caleb_strategy_v3 [-1] 10.6287 -117.607 -23.5213 -0 NaN NaN -23.5213 8202 CAD caleb_strategy_v3 [1] 0.0487733 -25.6288 -5.12576 10.2515 2.27629e-11 NaN 5.12576 8211 CAD caleb_strategy_v3 [1] 0.0487733 -15.3773 -5.12576 10.2515 2.27629e-11 NaN 5.12576 8213 MXP caleb_strategy_v3 [1] 0.00707113 205.059 -7.07101 14.142 9.81299e-12 NaN 7.07101 8205 MXP caleb_strategy_v3 [1] 0.00707113 205.059 -7.07101 14.142 9.81299e-12 NaN 7.07101 8203 NASDAQ_micro caleb_strategy_v3 [1] 3093.32 -111.935 -0.404097 -0.808194 NaN NaN -1.21229 8212 NASDAQ_micro caleb_strategy_v3 [1] 3093.32 -79.6072 -0.404097 0 -0.808194 NaN -0.404097 8215 NASDAQ_micro caleb_strategy_v3 [1] 3093.32 -54.5531 -0.404097 -2.42458 -3.23278 NaN -2.82868 8216 DOW caleb_strategy_v3 [1] 4700.54 51.0579 -2.12741 0 -4.25483 NaN -2.12741 8217 DOW caleb_strategy_v3 [1] 4700.54 63.8224 -2.12741 0 -4.25483 NaN -2.12741 8206 DOW caleb_strategy_v3 [1] 4700.54 49.9942 -1.06371 0 NaN NaN -1.06371 8214 DOW caleb_strategy_v3 [1] 4700.54 65.9498 -2.12741 0 -4.25483 NaN -2.12741 8218 SOYBEAN caleb_strategy_v3 [1] 188.753 -99.3362 -6.62242 13.2448 0 NaN 6.62242 8219 SOYMEAL caleb_strategy_v3 [1] 103.839 731.904 -9.63031 9.63031 -9.63031 NaN -5.4742e-12 ======================================================================================================================================================================= 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 8196 JGB-SGX-mini caleb_strategy_v3 [-1] 668.487 297.477 -3.34244 -0 -6.68487 NaN -3.34244 8197 NIKKEI caleb_strategy_v3 [1] 0.668487 -583.255 -1.67122 -3.34244 -6.68487 NaN -5.01365 8198 ROBUSTA caleb_strategy_v3 [1] 10 -315 -5 -10 -20 NaN -15 8199 GOLD_micro caleb_strategy_v3 [1] 10 62.5 -0.5 1 2.27374e-12 NaN 0.5 8200 CRUDE_W caleb_strategy_v3 [-1] 1000 655 -5 10 -0 NaN 5 8204 EUR caleb_strategy_v3 [1] 125000 -153.125 -3.125 6.25 0 NaN 3.125 8207 US5 caleb_strategy_v3 [-1] 1000 -316.406 -3.90625 7.813 0.0005 NaN 3.90675 8208 JPY caleb_strategy_v3 [1] 1.25e+07 190.625 -3.125 -12.5 -18.75 NaN -15.625 8209 US30 caleb_strategy_v3 [1] 1000 984.375 -15.625 31.25 0 NaN 15.625 8201 VIX caleb_strategy_v3 [-1] 1000 -125 -25 -0 -50 NaN -25 8210 VIX caleb_strategy_v3 [-1] 1000 -125 -25 -0 NaN NaN -25 8202 CAD caleb_strategy_v3 [1] 100000 -12.5 -2.5 5 1.11022e-11 NaN 2.5 8211 CAD caleb_strategy_v3 [1] 100000 -7.5 -2.5 5 1.11022e-11 NaN 2.5 8213 MXP caleb_strategy_v3 [1] 500000 72.5 -2.5 5 3.46945e-12 NaN 2.5 8205 MXP caleb_strategy_v3 [1] 500000 72.5 -2.5 5 3.46945e-12 NaN 2.5 8203 NASDAQ_micro caleb_strategy_v3 [1] 2 -69.25 -0.25 -0.5 NaN NaN -0.75 8212 NASDAQ_micro caleb_strategy_v3 [1] 2 -49.25 -0.25 0 -0.5 NaN -0.25 8215 NASDAQ_micro caleb_strategy_v3 [1] 2 -33.75 -0.25 -1.5 -2 NaN -1.75 8216 DOW caleb_strategy_v3 [1] 0.5 12 -0.5 0 -1 NaN -0.5 8217 DOW caleb_strategy_v3 [1] 0.5 15 -0.5 0 -1 NaN -0.5 8206 DOW caleb_strategy_v3 [1] 0.5 11.75 -0.25 0 NaN NaN -0.25 8214 DOW caleb_strategy_v3 [1] 0.5 15.5 -0.5 0 -1 NaN -0.5 8218 SOYBEAN caleb_strategy_v3 [1] 50 -93.75 -6.25 12.5 0 NaN 6.25 8219 SOYMEAL caleb_strategy_v3 [1] 100 760 -10 10 -10 NaN -5.68434e-12 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CAD -20.000000 CRUDE_W 655.000000 DOW 54.250000 EUR -153.125000 GOLD_micro 62.500000 JGB-SGX-mini 297.476795 JPY 190.625000 MXP 145.000000 NASDAQ_micro -152.250000 NIKKEI -583.255065 ROBUSTA -315.000000 SOYBEAN -93.750000 SOYMEAL 760.000000 US30 984.375000 US5 -316.406250 VIX -250.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1265.440481 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CAD -5.000000 CRUDE_W -5.000000 DOW -1.750000 EUR -3.125000 GOLD_micro -0.500000 JGB-SGX-mini -3.342436 JPY -3.125000 MXP -5.000000 NASDAQ_micro -0.750000 NIKKEI -1.671218 ROBUSTA -5.000000 SOYBEAN -6.250000 SOYMEAL -10.000000 US30 -15.625000 US5 -3.906250 VIX -50.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -120.044904 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CAD 10.000000 CRUDE_W 10.000000 DOW 0.000000 EUR 6.250000 GOLD_micro 1.000000 JGB-SGX-mini -0.000000 JPY -12.500000 MXP 10.000000 NASDAQ_micro -2.000000 NIKKEI -3.342436 ROBUSTA -10.000000 SOYBEAN 12.500000 SOYMEAL 10.000000 US30 31.250000 US5 7.813000 VIX -0.000000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 70.970564 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CAD 2.220446e-11 CRUDE_W -0.000000e+00 DOW -3.000000e+00 EUR 0.000000e+00 GOLD_micro 2.273737e-12 JGB-SGX-mini -6.684872e+00 JPY -1.875000e+01 MXP 6.938894e-12 NASDAQ_micro -2.500000e+00 NIKKEI -6.684872e+00 ROBUSTA -2.000000e+01 SOYBEAN 0.000000e+00 SOYMEAL -1.000000e+01 US30 0.000000e+00 US5 5.000000e-04 VIX -5.000000e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -117.619244 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CAD 0 CRUDE_W 0 DOW 0 EUR 0 GOLD_micro 0 JGB-SGX-mini 0 JPY 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 ROBUSTA 0 SOYBEAN 0 SOYMEAL 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 CAD 5.000000e+00 CRUDE_W 5.000000e+00 DOW -1.750000e+00 EUR 3.125000e+00 GOLD_micro 5.000000e-01 JGB-SGX-mini -3.342436e+00 JPY -1.562500e+01 MXP 5.000000e+00 NASDAQ_micro -2.750000e+00 NIKKEI -5.013654e+00 ROBUSTA -1.500000e+01 SOYBEAN 6.250000e+00 SOYMEAL -5.684342e-12 US30 1.562500e+01 US5 3.906750e+00 VIX -5.000000e+01 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -49.07434 ******************************************************************************** END OF REPORT ********************************************************************************