******************************************************************************** Trades report produced on 24/11/2023 21:39 from 23/11/2023 21:39 to 24/11/2023 21:39 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8585 AUD caleb_strategy_v3 [20231200] 2023-11-24 15:00:41 [1] 0.65870 8582 CRUDE_W caleb_strategy_v3 [20241200] 2023-11-24 14:00:37 [1] 73.80000 8579 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-11-24 09:05:29 [1] 97.28000 8580 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-11-24 09:10:02 [1] 97.27500 8584 GOLD_micro caleb_strategy_v3 [20240200] 2023-11-24 14:01:33 [-1] 2021.50000 8583 GOLD_micro caleb_strategy_v3 [20240200] 2023-11-24 14:00:39 [-1] 2021.60000 8591 LEANHOG caleb_strategy_v3 [20240200] 2023-11-24 15:30:52 [-1] 70.00000 8588 LIVECOW caleb_strategy_v3 [20240200] 2023-11-24 15:30:36 [1] 172.42500 8586 MXP caleb_strategy_v3 [20231200] 2023-11-24 15:00:43 [1] 0.05830 8587 MXP caleb_strategy_v3 [20231200] 2023-11-24 15:01:39 [1] 0.05831 8576 NIKKEI caleb_strategy_v3 [20240300] 2023-11-24 03:01:35 [1] 33600.00000 8577 NIKKEI caleb_strategy_v3 [20240300] 2023-11-24 03:02:50 [1] 33605.00000 8578 NIKKEI caleb_strategy_v3 [20240300] 2023-11-24 03:03:16 [1] 33600.00000 8590 REDWHEAT caleb_strategy_v3 [20240300] 2023-11-24 15:30:47 [-1] 613.75000 8589 SOYOIL caleb_strategy_v3 [20240300] 2023-11-24 15:30:40 [1] 50.48000 8581 SUGAR11 caleb_strategy_v3 [20240500] 2023-11-24 14:00:35 [-1] 25.73000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8576 NIKKEI caleb_strategy_v3 2023-11-23 2023-11-24 03:01:15.892 2023-11-24 03:01:35 97275.9 19.108 8577 NIKKEI caleb_strategy_v3 2023-11-23 2023-11-24 03:02:16.084 2023-11-24 03:02:50 97336.1 33.916 8578 NIKKEI caleb_strategy_v3 2023-11-23 2023-11-24 03:03:16.277 2023-11-24 03:03:16 97396.3 NaN 8579 EURIBOR-ICE caleb_strategy_v3 2023-11-23 2023-11-24 09:00:29.732 2023-11-24 09:05:29 118830 299.268 8580 EURIBOR-ICE caleb_strategy_v3 2023-11-23 2023-11-24 09:05:32.015 2023-11-24 09:10:02 119132 269.985 8581 SUGAR11 caleb_strategy_v3 2023-11-22 2023-11-24 14:00:32.782 2023-11-24 14:00:35 223233 2.218 8582 CRUDE_W caleb_strategy_v3 2023-11-22 2023-11-24 14:00:36.287 2023-11-24 14:00:37 223236 0.713 8584 GOLD_micro caleb_strategy_v3 2023-11-22 2023-11-24 14:01:32.578 2023-11-24 14:01:33 223293 0.422 8583 GOLD_micro caleb_strategy_v3 2023-11-22 2023-11-24 14:00:38.163 2023-11-24 14:00:39 223238 0.837 8585 AUD caleb_strategy_v3 2023-11-23 2023-11-24 15:00:35.534 2023-11-24 15:00:41 140436 5.466 8586 MXP caleb_strategy_v3 2023-11-23 2023-11-24 15:00:41.710 2023-11-24 15:00:43 140442 1.29 8587 MXP caleb_strategy_v3 2023-11-23 2023-11-24 15:01:35.342 2023-11-24 15:01:39 140495 3.658 8588 LIVECOW caleb_strategy_v3 2023-11-22 2023-11-24 15:30:36.038 2023-11-24 15:30:36 228636 NaN 8589 SOYOIL caleb_strategy_v3 2023-11-22 2023-11-24 15:30:37.018 2023-11-24 15:30:40 228637 2.982 8590 REDWHEAT caleb_strategy_v3 2023-11-22 2023-11-24 15:30:41.031 2023-11-24 15:30:47 228641 5.969 8591 LEANHOG caleb_strategy_v3 2023-11-22 2023-11-24 15:30:47.955 2023-11-24 15:30:52 228648 4.045 =============================================================================================================================================================================================================================== 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 8576 NIKKEI caleb_strategy_v3 [1] 33645 None 33602.5 33605 33600 33600 33600 42.5 -2.5 5 0 NaN 2.5 8577 NIKKEI caleb_strategy_v3 [1] 33645 None 33597.5 33600 33595 33595 33605 47.5 -2.5 -5 -10 NaN -7.5 8578 NIKKEI caleb_strategy_v3 [1] 33645 None 33592.5 33595 33590 33590 33600 52.5 -2.5 -5 -10 NaN -7.5 8579 EURIBOR-ICE caleb_strategy_v3 [1] 97.305 None 97.2775 97.28 97.275 97.275 97.28 0.0275 -0.0025 0 -0.005 NaN -0.0025 8580 EURIBOR-ICE caleb_strategy_v3 [1] 97.305 None 97.2775 97.28 97.275 97.275 97.275 0.0275 -0.0025 0.005 0 NaN 0.0025 8581 SUGAR11 caleb_strategy_v3 [-1] 25.94 None 25.745 25.74 25.75 25.75 25.73 -0.195 -0.005 -0.01 -0.02 NaN -0.015 8582 CRUDE_W caleb_strategy_v3 [1] 74.13 None 73.785 73.8 73.77 73.77 73.8 0.345 -0.015 0 -0.03 NaN -0.015 8584 GOLD_micro caleb_strategy_v3 [-1] 2012.2 None 2021.6 2021.5 2021.7 NaN 2021.5 9.4 -0.1 -0 NaN NaN -0.1 8583 GOLD_micro caleb_strategy_v3 [-1] 2012.2 None 2021.5 2021.4 2021.6 2021.6 2021.6 9.3 -0.1 0.2 -2.27374e-13 NaN 0.1 8585 AUD caleb_strategy_v3 [1] 0.6564 None 0.658725 0.65875 0.6587 0.6587 0.6587 -0.002325 -2.5e-05 5e-05 1.11022e-16 NaN 2.5e-05 8586 MXP caleb_strategy_v3 [1] 0.05796 None 0.05829 0.0583 0.05828 0.05828 0.0583 -0.00033 -1e-05 0 -2e-05 NaN -1e-05 8587 MXP caleb_strategy_v3 [1] 0.05796 None 0.058295 0.0583 0.05829 0.05829 0.05831 -0.000335 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 8588 LIVECOW caleb_strategy_v3 [1] 175.3 None 172.4 172.425 172.375 172.375 172.425 2.9 -0.025 0 -0.05 NaN -0.025 8589 SOYOIL caleb_strategy_v3 [1] 52.4 None 50.47 50.48 50.46 50.46 50.48 1.93 -0.01 0 -0.02 NaN -0.01 8590 REDWHEAT caleb_strategy_v3 [-1] 625.25 None 613.625 613.5 613.75 613.75 613.75 -11.625 -0.125 0.25 -0 NaN 0.125 8591 LEANHOG caleb_strategy_v3 [-1] 71.825 None 70 70 70 70 70 -1.825 -0 -0 -0 NaN -0 ============================================================================================================================================================ 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 8576 NIKKEI caleb_strategy_v3 [1] 5349.9 79.4407 -4.67298 9.34596 0 NaN 4.67298 8577 NIKKEI caleb_strategy_v3 [1] 5349.9 88.7866 -4.67298 -9.34596 -18.6919 NaN -14.0189 8578 NIKKEI caleb_strategy_v3 [1] 5349.9 98.1326 -4.67298 -9.34596 -18.6919 NaN -14.0189 8579 EURIBOR-ICE caleb_strategy_v3 [1] 0.984232 279.406 -25.4005 0 -50.801 NaN -25.4005 8580 EURIBOR-ICE caleb_strategy_v3 [1] 0.984232 279.406 -25.4005 50.801 0 NaN 25.4005 8581 SUGAR11 caleb_strategy_v3 [-1] 5.4823 -355.69 -9.12026 -18.2405 -36.481 NaN -27.3608 8582 CRUDE_W caleb_strategy_v3 [1] 23.4718 146.985 -6.39064 0 -12.7813 NaN -6.39064 8584 GOLD_micro caleb_strategy_v3 [-1] 244.962 383.733 -4.08227 -0 NaN NaN -4.08227 8583 GOLD_micro caleb_strategy_v3 [-1] 244.962 379.651 -4.08227 8.16454 -9.28201e-12 NaN 4.08227 8585 AUD caleb_strategy_v3 [1] 0.0721263 -322.351 -3.46614 6.93229 1.53928e-11 NaN 3.46614 8586 MXP caleb_strategy_v3 [1] 0.00637618 -517.551 -15.6834 0 -31.3667 NaN -15.6834 8587 MXP caleb_strategy_v3 [1] 0.00637618 -525.393 -7.84168 -15.6834 -31.3667 NaN -23.525 8588 LIVECOW caleb_strategy_v3 [1] 27.0541 1071.93 -9.24074 0 -18.4815 NaN -9.24074 8589 SOYOIL caleb_strategy_v3 [1] 15.9097 1213.1 -6.28549 0 -12.571 NaN -6.28549 8590 REDWHEAT caleb_strategy_v3 [-1] 189.789 -612.521 -6.58625 13.1725 -0 NaN 6.58625 8591 LEANHOG caleb_strategy_v3 [-1] 21.6576 -842.662 -0 -0 -0 NaN -0 ======================================================================================================================================================================= 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 8576 NIKKEI caleb_strategy_v3 [1] 0.66934 28.4469 -1.67335 3.3467 0 NaN 1.67335 8577 NIKKEI caleb_strategy_v3 [1] 0.66934 31.7936 -1.67335 -3.3467 -6.6934 NaN -5.02005 8578 NIKKEI caleb_strategy_v3 [1] 0.66934 35.1403 -1.67335 -3.3467 -6.6934 NaN -5.02005 8579 EURIBOR-ICE caleb_strategy_v3 [1] 2726.62 74.9822 -6.81656 0 -13.6331 NaN -6.81656 8580 EURIBOR-ICE caleb_strategy_v3 [1] 2726.62 74.9822 -6.81656 13.6331 0 NaN 6.81656 8581 SUGAR11 caleb_strategy_v3 [-1] 1120 -218.4 -5.6 -11.2 -22.4 NaN -16.8 8582 CRUDE_W caleb_strategy_v3 [1] 1000 345 -15 0 -30 NaN -15 8584 GOLD_micro caleb_strategy_v3 [-1] 10 94 -1 -0 NaN NaN -1 8583 GOLD_micro caleb_strategy_v3 [-1] 10 93 -1 2 -2.27374e-12 NaN 1 8585 AUD caleb_strategy_v3 [1] 100000 -232.5 -2.5 5 1.11022e-11 NaN 2.5 8586 MXP caleb_strategy_v3 [1] 500000 -165 -5 0 -10 NaN -5 8587 MXP caleb_strategy_v3 [1] 500000 -167.5 -2.5 -5 -10 NaN -7.5 8588 LIVECOW caleb_strategy_v3 [1] 400 1160 -10 0 -20 NaN -10 8589 SOYOIL caleb_strategy_v3 [1] 600 1158 -6 0 -12 NaN -6 8590 REDWHEAT caleb_strategy_v3 [-1] 50 -581.25 -6.25 12.5 -0 NaN 6.25 8591 LEANHOG caleb_strategy_v3 [-1] 400 -730 -0 -0 -0 NaN -0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD -232.500000 CRUDE_W 345.000000 EURIBOR-ICE 149.964375 GOLD_micro 187.000000 LEANHOG -730.000000 LIVECOW 1160.000000 MXP -332.500000 NIKKEI 95.380888 REDWHEAT -581.250000 SOYOIL 1158.000000 SUGAR11 -218.400000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1000.695263 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -2.500000 CRUDE_W -15.000000 EURIBOR-ICE -13.633125 GOLD_micro -2.000000 LEANHOG -0.000000 LIVECOW -10.000000 MXP -7.500000 NIKKEI -5.020047 REDWHEAT -6.250000 SOYOIL -6.000000 SUGAR11 -5.600000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -73.503172 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 5.000000 CRUDE_W 0.000000 EURIBOR-ICE 13.633125 GOLD_micro 2.000000 LEANHOG -0.000000 LIVECOW 0.000000 MXP -5.000000 NIKKEI -3.346698 REDWHEAT 12.500000 SOYOIL 0.000000 SUGAR11 -11.200000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 13.586427 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 1.110223e-11 CRUDE_W -3.000000e+01 EURIBOR-ICE -1.363312e+01 GOLD_micro -2.273737e-12 LEANHOG -0.000000e+00 LIVECOW -2.000000e+01 MXP -2.000000e+01 NIKKEI -1.338679e+01 REDWHEAT -0.000000e+00 SOYOIL -1.200000e+01 SUGAR11 -2.240000e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -131.419916 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 CRUDE_W 0 EURIBOR-ICE 0 GOLD_micro 0 LEANHOG 0 LIVECOW 0 MXP 0 NIKKEI 0 REDWHEAT 0 SOYOIL 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 AUD 2.500000 CRUDE_W -15.000000 EURIBOR-ICE 0.000000 GOLD_micro 0.000000 LEANHOG -0.000000 LIVECOW -10.000000 MXP -12.500000 NIKKEI -8.366745 REDWHEAT 6.250000 SOYOIL -6.000000 SUGAR11 -16.800000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -59.916745 ******************************************************************************** END OF REPORT ********************************************************************************