******************************************************************************** Trades report produced on 20/11/2023 21:39 from 19/11/2023 21:39 to 20/11/2023 21:39 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8497 BTP caleb_strategy_v3 [20231200] 2023-11-20 08:00:24.000 [1] 114.17000 8498 CAC caleb_strategy_v3 [20231200] 2023-11-20 19:45:00.392 [0] NaN 8499 CAC caleb_strategy_v3 [20231200] 2023-11-20 08:10:27.000 [1] 7272.00000 8500 CAC caleb_strategy_v3 [20231200] 2023-11-20 08:16:29.000 [1] 7266.00000 8506 CHF caleb_strategy_v3 [20231200] 2023-11-20 15:00:07.000 [1] 1.13515 8505 DOW caleb_strategy_v3 [20231200] 2023-11-20 15:00:03.000 [1] 35081.00000 8509 DOW caleb_strategy_v3 [20231200] 2023-11-20 15:01:02.000 [1] 35081.00000 8502 GOLD_micro caleb_strategy_v3 [20240200] 2023-11-20 14:01:09.000 [-1] 1990.40000 8503 GOLD_micro caleb_strategy_v3 [20240200] 2023-11-20 14:01:59.000 [-1] 1991.00000 8496 JGB-SGX-mini caleb_strategy_v3 [20231200] 2023-11-20 03:03:53.000 [1] 145.71000 8507 MXP caleb_strategy_v3 [20231200] 2023-11-20 15:00:22.000 [1] 0.05810 8510 MXP caleb_strategy_v3 [20231200] 2023-11-20 15:01:03.000 [1] 0.05809 8504 RUSSELL caleb_strategy_v3 [20231200] 2023-11-20 15:00:02.000 [1] 1807.40000 8508 RUSSELL caleb_strategy_v3 [20231200] 2023-11-20 15:01:02.000 [1] 1806.30000 8501 SUGAR11 caleb_strategy_v3 [20240500] 2023-11-20 14:01:07.000 [-1] 25.99000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8496 JGB-SGX-mini caleb_strategy_v3 2023-11-17 2023-11-20 03:01:15.300 2023-11-20 03:03:53.000 270075 157.7 8497 BTP caleb_strategy_v3 2023-11-17 2023-11-20 08:00:24.312 2023-11-20 08:00:24.000 288024 NaN 8501 SUGAR11 caleb_strategy_v3 2023-11-17 2023-11-20 14:00:59.074 2023-11-20 14:01:07.000 309659 7.926 8502 GOLD_micro caleb_strategy_v3 2023-11-17 2023-11-20 14:01:08.314 2023-11-20 14:01:09.000 309668 0.686 8503 GOLD_micro caleb_strategy_v3 2023-11-17 2023-11-20 14:01:59.033 2023-11-20 14:01:59.000 309719 NaN 8506 CHF caleb_strategy_v3 2023-11-17 2023-11-20 15:00:04.189 2023-11-20 15:00:07.000 313204 2.811 8504 RUSSELL caleb_strategy_v3 2023-11-17 2023-11-20 15:00:02.080 2023-11-20 15:00:02.000 313202 NaN 8508 RUSSELL caleb_strategy_v3 2023-11-17 2023-11-20 15:01:01.985 2023-11-20 15:01:02.000 313262 0.015 8505 DOW caleb_strategy_v3 2023-11-17 2023-11-20 15:00:03.078 2023-11-20 15:00:03.000 313203 NaN 8509 DOW caleb_strategy_v3 2023-11-17 2023-11-20 15:01:02.496 2023-11-20 15:01:02.000 313262 NaN 8507 MXP caleb_strategy_v3 2023-11-17 2023-11-20 15:00:08.636 2023-11-20 15:00:22.000 313209 13.364 8510 MXP caleb_strategy_v3 2023-11-17 2023-11-20 15:01:03.004 2023-11-20 15:01:03.000 313263 NaN 8498 CAC caleb_strategy_v3 2023-11-17 2023-11-20 08:00:25.871 2023-11-20 19:45:00.392 288026 42274.5 8499 CAC caleb_strategy_v3 2023-11-17 2023-11-20 08:10:27.853 2023-11-20 08:10:27.000 288628 NaN 8500 CAC caleb_strategy_v3 2023-11-17 2023-11-20 08:11:27.948 2023-11-20 08:16:29.000 288688 301.052 ============================================================================================================================================================================================================================== 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 8496 JGB-SGX-mini caleb_strategy_v3 [1] 145.75 None 145.71 145.72 145.7 145.7 145.71 0.04 -0.01 0.01 -0.01 NaN -2.84217e-14 8497 BTP caleb_strategy_v3 [1] 113.93 None 114.175 114.18 114.17 114.17 114.17 -0.245 -0.005 0.01 0 NaN 0.005 8501 SUGAR11 caleb_strategy_v3 [-1] 25.88 None 25.99 25.98 26 26 25.99 0.11 -0.01 0.01 -0.01 NaN -3.55271e-15 8502 GOLD_micro caleb_strategy_v3 [-1] 2002.7 None 1990.45 1990.3 1990.6 1990.6 1990.4 -12.25 -0.15 0.1 -0.2 NaN -0.05 8503 GOLD_micro caleb_strategy_v3 [-1] 2002.7 None 1990.5 1990.4 1990.6 NaN 1991 -12.2 -0.1 0.6 NaN NaN 0.5 8506 CHF caleb_strategy_v3 [1] 1.1324 None 1.13505 1.1351 1.135 1.135 1.13515 -0.00265 -5e-05 -5e-05 -0.00015 NaN -0.0001 8504 RUSSELL caleb_strategy_v3 [1] 1801.7 None 1807.4 1807.5 1807.3 1807.3 1807.4 -5.7 -0.1 0.1 -0.1 NaN 0 8508 RUSSELL caleb_strategy_v3 [1] 1801.7 None 1807.35 1807.4 1807.3 1807.3 1806.3 -5.65 -0.05 1.1 1 NaN 1.05 8505 DOW caleb_strategy_v3 [1] 35027 None 35081.5 35082 35081 35081 35081 -54.5 -0.5 1 0 NaN 0.5 8509 DOW caleb_strategy_v3 [1] 35027 None 35082 35083 35081 35081 35081 -55 -1 2 0 NaN 1 8507 MXP caleb_strategy_v3 [1] 0.05773 None 0.058105 0.05811 0.0581 0.0581 0.0581 -0.000375 -5e-06 1e-05 6.93889e-18 NaN 5e-06 8510 MXP caleb_strategy_v3 [1] 0.05773 None 0.058095 0.0581 0.05809 0.05809 0.05809 -0.000365 -5e-06 1e-05 0 NaN 5e-06 8498 CAC caleb_strategy_v3 [1] 7252 None 7249.75 7250 7249.5 7249.5 NaN 2.25 -0.25 NaN NaN NaN NaN 8499 CAC caleb_strategy_v3 [1] 7252 None 7249.75 7250 7249.5 NaN 7272 2.25 -0.25 -22 NaN NaN -22.25 8500 CAC caleb_strategy_v3 [1] 7252 None 7250.75 7251 7250.5 7250.5 7266 1.25 -0.25 -15 -15.5 NaN -15.25 ============================================================================================================================================================ 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 8496 JGB-SGX-mini caleb_strategy_v3 [1] 4.72434 84.6679 -21.167 21.167 -21.167 NaN -6.01602e-11 8497 BTP caleb_strategy_v3 [1] 11.5578 -211.977 -4.32607 8.65213 0 NaN 4.32607 8501 SUGAR11 caleb_strategy_v3 [-1] 5.41939 202.975 -18.4522 18.4522 -18.4522 NaN -6.55555e-12 8502 GOLD_micro caleb_strategy_v3 [-1] 244.014 -502.021 -6.14719 4.09813 -8.19625 NaN -2.04906 8503 GOLD_micro caleb_strategy_v3 [-1] 244.014 -499.972 -4.09813 24.5888 NaN NaN 20.4906 8506 CHF caleb_strategy_v3 [1] 0.0847187 -312.8 -5.90188 -5.90188 -17.7057 NaN -11.8038 8504 RUSSELL caleb_strategy_v3 [1] 455.391 -125.167 -2.19592 2.19592 -2.19592 NaN 0 8508 RUSSELL caleb_strategy_v3 [1] 455.391 -124.069 -1.09796 24.1551 21.9592 NaN 23.0571 8505 DOW caleb_strategy_v3 [1] 4381.11 -124.398 -1.14126 2.28252 0 NaN 1.14126 8509 DOW caleb_strategy_v3 [1] 4381.11 -125.539 -2.28252 4.56505 0 NaN 2.28252 8507 MXP caleb_strategy_v3 [1] 0.00676359 -554.439 -7.39252 14.785 1.02592e-11 NaN 7.39252 8510 MXP caleb_strategy_v3 [1] 0.00676359 -539.654 -7.39252 14.785 0 NaN 7.39252 8498 CAC caleb_strategy_v3 [1] 1031.26 21.8179 -2.42421 NaN NaN NaN NaN 8499 CAC caleb_strategy_v3 [1] 1031.26 21.8179 -2.42421 -213.33 NaN NaN -215.754 8500 CAC caleb_strategy_v3 [1] 1031.26 12.121 -2.42421 -145.452 -150.301 NaN -147.877 ======================================================================================================================================================================= 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 8496 JGB-SGX-mini caleb_strategy_v3 [1] 670.356 26.8142 -6.70356 6.70356 -6.70356 NaN -1.90527e-11 8497 BTP caleb_strategy_v3 [1] 1091.7 -267.467 -5.4585 10.917 0 NaN 5.4585 8501 SUGAR11 caleb_strategy_v3 [-1] 1120 123.2 -11.2 11.2 -11.2 NaN -3.97904e-12 8502 GOLD_micro caleb_strategy_v3 [-1] 10 -122.5 -1.5 1 -2 NaN -0.5 8503 GOLD_micro caleb_strategy_v3 [-1] 10 -122 -1 6 NaN NaN 5 8506 CHF caleb_strategy_v3 [1] 125000 -331.25 -6.25 -6.25 -18.75 NaN -12.5 8504 RUSSELL caleb_strategy_v3 [1] 5 -28.5 -0.5 0.5 -0.5 NaN 0 8508 RUSSELL caleb_strategy_v3 [1] 5 -28.25 -0.25 5.5 5 NaN 5.25 8505 DOW caleb_strategy_v3 [1] 0.5 -27.25 -0.25 0.5 0 NaN 0.25 8509 DOW caleb_strategy_v3 [1] 0.5 -27.5 -0.5 1 0 NaN 0.5 8507 MXP caleb_strategy_v3 [1] 500000 -187.5 -2.5 5 3.46945e-12 NaN 2.5 8510 MXP caleb_strategy_v3 [1] 500000 -182.5 -2.5 5 0 NaN 2.5 8498 CAC caleb_strategy_v3 [1] 10.917 24.5632 -2.72925 NaN NaN NaN NaN 8499 CAC caleb_strategy_v3 [1] 10.917 24.5632 -2.72925 -240.174 NaN NaN -242.903 8500 CAC caleb_strategy_v3 [1] 10.917 13.6462 -2.72925 -163.755 -169.213 NaN -166.484 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BTP -267.466500 CAC 62.772750 CHF -331.250000 DOW -54.750000 GOLD_micro -244.500000 JGB-SGX-mini 26.814234 MXP -370.000000 RUSSELL -56.750000 SUGAR11 123.200000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1111.929516 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BTP -5.458500 CAC -8.187750 CHF -6.250000 DOW -0.750000 GOLD_micro -2.500000 JGB-SGX-mini -6.703559 MXP -5.000000 RUSSELL -0.750000 SUGAR11 -11.200000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -46.799809 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BTP 10.917000 CAC -403.929000 CHF -6.250000 DOW 1.500000 GOLD_micro 7.000000 JGB-SGX-mini 6.703559 MXP 10.000000 RUSSELL 6.000000 SUGAR11 11.200000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -356.858441 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP 0.000000e+00 CAC -1.692135e+02 CHF -1.875000e+01 DOW 0.000000e+00 GOLD_micro -2.000000e+00 JGB-SGX-mini -6.703559e+00 MXP 3.469447e-12 RUSSELL 4.500000e+00 SUGAR11 -1.120000e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -203.367059 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP 0 CAC 0 CHF 0 DOW 0 GOLD_micro 0 JGB-SGX-mini 0 MXP 0 RUSSELL 0 SUGAR11 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 BTP 5.458500e+00 CAC -4.093875e+02 CHF -1.250000e+01 DOW 7.500000e-01 GOLD_micro 4.500000e+00 JGB-SGX-mini -1.905266e-11 MXP 5.000000e+00 RUSSELL 5.250000e+00 SUGAR11 -3.979039e-12 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -400.929 ******************************************************************************** END OF REPORT ********************************************************************************