******************************************************************************** Trades report produced on 27/11/2023 21:39 from 26/11/2023 21:39 to 27/11/2023 21:39 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8603 DOW caleb_strategy_v3 [20231200] 2023-11-27 15:00:09 [-1] 35379.000000 8601 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-27 14:05:53 [1] 2.920000 8593 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-27 14:01:20 [1] 2.920000 8594 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-27 14:01:47 [-1] 2.870000 8595 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-27 14:02:01 [1] 2.920000 8596 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-27 14:02:02 [-1] 2.870000 8597 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-27 14:02:51 [1] 2.925000 8598 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-27 14:02:56 [-1] 2.865000 8599 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-27 14:03:52 [1] 2.920000 8600 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-27 14:04:27 [-1] 2.870000 8602 GAS_US_mini _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-27 14:05:53 [-1] 2.870000 8607 MXP caleb_strategy_v3 [20231200] 2023-11-27 15:01:16 [1] 0.058300 8604 MXP caleb_strategy_v3 [20231200] 2023-11-27 15:00:11 [1] 0.058280 8592 NIKKEI caleb_strategy_v3 [20240300] 2023-11-27 03:01:53 [1] 33390.000000 8608 US5 _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-27 15:01:16 [1] 105.796875 8609 US5 _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-27 15:01:17 [-1] 106.257813 8610 US5 _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-27 15:02:09 [1] 105.804688 8611 US5 _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-27 15:02:10 [-1] 106.273438 8605 US5 _ROLL_PSEUDO_STRATEGY [20231200] 2023-11-27 15:00:12 [1] 105.781250 8606 US5 _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-27 15:00:13 [-1] 106.250000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8592 NIKKEI caleb_strategy_v3 2023-11-24 00:00:00 2023-11-27 03:01:14.532 2023-11-27 03:01:53 270075 38.468 8593 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-11-24 18:00:00 2023-11-27 14:00:42.415 2023-11-27 14:01:20 244842 37.585 8594 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-11-24 18:00:00 2023-11-27 14:01:20.783 2023-11-27 14:01:47 244881 26.217 8595 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-11-24 18:00:00 2023-11-27 14:01:49.149 2023-11-27 14:02:01 244909 11.851 8596 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-11-24 18:00:00 2023-11-27 14:02:02.137 2023-11-27 14:02:02 244922 NaN 8597 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-11-24 18:00:00 2023-11-27 14:02:49.143 2023-11-27 14:02:51 244969 1.857 8598 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-11-24 18:00:00 2023-11-27 14:02:51.786 2023-11-27 14:02:56 244972 4.214 8599 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-11-24 18:00:00 2023-11-27 14:03:49.238 2023-11-27 14:03:52 245029 2.762 8600 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-11-24 18:00:00 2023-11-27 14:03:52.524 2023-11-27 14:04:27 245033 34.476 8601 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-11-24 18:00:00 2023-11-27 14:04:49.462 2023-11-27 14:05:53 245089 63.538 8602 GAS_US_mini _ROLL_PSEUDO_STRATEGY 2023-11-24 18:00:00 2023-11-27 14:05:53.505 2023-11-27 14:05:53 245154 NaN 8603 DOW caleb_strategy_v3 2023-11-24 00:00:00 2023-11-27 15:00:09.775 2023-11-27 15:00:09 313210 NaN 8604 MXP caleb_strategy_v3 2023-11-24 00:00:00 2023-11-27 15:00:10.695 2023-11-27 15:00:11 313211 0.305 8607 MXP caleb_strategy_v3 2023-11-24 00:00:00 2023-11-27 15:01:09.720 2023-11-27 15:01:16 313270 6.28 8608 US5 _ROLL_PSEUDO_STRATEGY 2023-11-24 18:00:00 2023-11-27 15:01:16.660 2023-11-27 15:01:16 248477 NaN 8609 US5 _ROLL_PSEUDO_STRATEGY 2023-11-24 18:00:00 2023-11-27 15:01:17.408 2023-11-27 15:01:17 248477 NaN 8610 US5 _ROLL_PSEUDO_STRATEGY 2023-11-24 18:00:00 2023-11-27 15:02:09.722 2023-11-27 15:02:09 248530 NaN 8611 US5 _ROLL_PSEUDO_STRATEGY 2023-11-24 18:00:00 2023-11-27 15:02:10.343 2023-11-27 15:02:10 248530 NaN 8605 US5 _ROLL_PSEUDO_STRATEGY 2023-11-24 18:00:00 2023-11-27 15:00:12.350 2023-11-27 15:00:12 248412 NaN 8606 US5 _ROLL_PSEUDO_STRATEGY 2023-11-24 18:00:00 2023-11-27 15:00:13.327 2023-11-27 15:00:13 248413 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 8592 NIKKEI caleb_strategy_v3 [1] 33650 None 33387.5 33390 33385 33385 33390 262.5 -2.5 0 -5 NaN -2.5 8593 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2.995 None 2.9225 2.925 2.92 2.92 2.92 0.0725 -0.0025 0.005 0 NaN 0.0025 8594 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2.955 None 2.87 2.865 2.875 2.875 2.87 -0.085 -0.005 0.005 -0.005 NaN 0 8595 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2.995 None 2.9225 2.925 2.92 2.92 2.92 0.0725 -0.0025 0.005 0 NaN 0.0025 8596 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2.955 None 2.8725 2.87 2.875 NaN 2.87 -0.0825 -0.0025 -0 NaN NaN -0.0025 8597 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2.995 None 2.9175 2.92 2.915 2.915 2.925 0.0775 -0.0025 -0.005 -0.01 NaN -0.0075 8598 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2.955 None 2.875 2.87 2.88 2.88 2.865 -0.08 -0.005 -0.005 -0.015 NaN -0.01 8599 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2.995 None 2.9225 2.925 2.92 2.92 2.92 0.0725 -0.0025 0.005 0 NaN 0.0025 8600 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2.955 None 2.87 2.865 2.875 2.875 2.87 -0.085 -0.005 0.005 -0.005 NaN 0 8601 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2.995 None 2.9225 2.925 2.92 2.92 2.92 0.0725 -0.0025 0.005 0 NaN 0.0025 8602 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2.955 None 2.8725 2.87 2.875 NaN 2.87 -0.0825 -0.0025 -0 NaN NaN -0.0025 8603 DOW caleb_strategy_v3 [-1] 35435 None 35382 35379 35385 35385 35379 -53 -3 -0 -6 NaN -3 8604 MXP caleb_strategy_v3 [1] 0.05824 None 0.058285 0.05829 0.05828 0.05828 0.05828 -4.5e-05 -5e-06 1e-05 6.93889e-18 NaN 5e-06 8607 MXP caleb_strategy_v3 [1] 0.05824 None 0.058285 0.05829 0.05828 0.05828 0.0583 -4.5e-05 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 8608 US5 _ROLL_PSEUDO_STRATEGY [1] 105.641 None 105.785 105.789 105.781 105.781 105.797 -0.144531 -0.00390625 -0.0078125 -0.015625 NaN -0.0117188 8609 US5 _ROLL_PSEUDO_STRATEGY [-1] 106.109 None 106.246 106.242 106.25 106.25 106.258 0.136719 -0.00390625 0.0156255 0.007813 NaN 0.0117192 8610 US5 _ROLL_PSEUDO_STRATEGY [1] 105.641 None 105.793 105.797 105.789 105.789 105.805 -0.152344 -0.00390625 -0.007813 -0.0156255 NaN -0.0117192 8611 US5 _ROLL_PSEUDO_STRATEGY [-1] 106.109 None 106.262 106.258 106.266 106.266 106.273 0.152344 -0.00390625 0.0156255 0.007813 NaN 0.0117192 8605 US5 _ROLL_PSEUDO_STRATEGY [1] 105.641 None 105.785 105.789 105.781 105.781 105.781 -0.144531 -0.00390625 0.0078125 0 NaN 0.00390625 8606 US5 _ROLL_PSEUDO_STRATEGY [-1] 106.109 None 106.246 106.242 106.25 106.25 106.25 0.136719 -0.00390625 0.0078125 -0 NaN 0.00390625 ================================================================================================================================================================ 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 8592 NIKKEI caleb_strategy_v3 [1] 5309.01 494.442 -4.70897 0 -9.41794 NaN -4.70897 8593 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.98223 365.75 -12.6121 25.2242 0 NaN 12.6121 8594 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.98223 -428.811 -25.2242 25.2242 -25.2242 NaN 0 8595 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.98223 365.75 -12.6121 25.2242 0 NaN 12.6121 8596 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.98223 -416.199 -12.6121 -0 NaN NaN -12.6121 8597 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.98223 390.975 -12.6121 -25.2242 -50.4483 NaN -37.8362 8598 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.98223 -403.587 -25.2242 -25.2242 -75.6725 NaN -50.4483 8599 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.98223 365.75 -12.6121 25.2242 0 NaN 12.6121 8600 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.98223 -428.811 -25.2242 25.2242 -25.2242 NaN 0 8601 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 1.98223 365.75 -12.6121 25.2242 0 NaN 12.6121 8602 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 1.98223 -416.199 -12.6121 -0 NaN NaN -12.6121 8603 DOW caleb_strategy_v3 [-1] 4186.57 -126.595 -7.16578 -0 -14.3316 NaN -7.16578 8604 MXP caleb_strategy_v3 [1] 0.00630559 -71.3652 -7.92947 15.8589 1.10043e-11 NaN 7.92947 8607 MXP caleb_strategy_v3 [1] 0.00630559 -71.3652 -7.92947 -15.8589 -31.7179 NaN -23.7884 8608 US5 _ROLL_PSEUDO_STRATEGY [1] 5.83581 -247.663 -6.69359 -13.3872 -26.7744 NaN -20.0808 8609 US5 _ROLL_PSEUDO_STRATEGY [-1] 5.83581 234.276 -6.69359 26.7752 13.388 NaN 20.0816 8610 US5 _ROLL_PSEUDO_STRATEGY [1] 5.83581 -261.05 -6.69359 -13.388 -26.7752 NaN -20.0816 8611 US5 _ROLL_PSEUDO_STRATEGY [-1] 5.83581 261.05 -6.69359 26.7752 13.388 NaN 20.0816 8605 US5 _ROLL_PSEUDO_STRATEGY [1] 5.83581 -247.663 -6.69359 13.3872 0 NaN 6.69359 8606 US5 _ROLL_PSEUDO_STRATEGY [-1] 5.83581 234.276 -6.69359 13.3872 -0 NaN 6.69359 =========================================================================================================================================================================== 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 8592 NIKKEI caleb_strategy_v3 [1] 0.671303 176.217 -1.67826 0 -3.35652 NaN -1.67826 8593 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 181.25 -6.25 12.5 0 NaN 6.25 8594 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 -212.5 -12.5 12.5 -12.5 NaN 0 8595 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 181.25 -6.25 12.5 0 NaN 6.25 8596 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 -206.25 -6.25 -0 NaN NaN -6.25 8597 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 193.75 -6.25 -12.5 -25 NaN -18.75 8598 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 -200 -12.5 -12.5 -37.5 NaN -25 8599 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 181.25 -6.25 12.5 0 NaN 6.25 8600 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 -212.5 -12.5 12.5 -12.5 NaN 0 8601 GAS_US_mini _ROLL_PSEUDO_STRATEGY [1] 2500 181.25 -6.25 12.5 0 NaN 6.25 8602 GAS_US_mini _ROLL_PSEUDO_STRATEGY [-1] 2500 -206.25 -6.25 -0 NaN NaN -6.25 8603 DOW caleb_strategy_v3 [-1] 0.5 -26.5 -1.5 -0 -3 NaN -1.5 8604 MXP caleb_strategy_v3 [1] 500000 -22.5 -2.5 5 3.46945e-12 NaN 2.5 8607 MXP caleb_strategy_v3 [1] 500000 -22.5 -2.5 -5 -10 NaN -7.5 8608 US5 _ROLL_PSEUDO_STRATEGY [1] 1000 -144.531 -3.90625 -7.8125 -15.625 NaN -11.7188 8609 US5 _ROLL_PSEUDO_STRATEGY [-1] 1000 136.719 -3.90625 15.6255 7.813 NaN 11.7192 8610 US5 _ROLL_PSEUDO_STRATEGY [1] 1000 -152.344 -3.90625 -7.813 -15.6255 NaN -11.7192 8611 US5 _ROLL_PSEUDO_STRATEGY [-1] 1000 152.344 -3.90625 15.6255 7.813 NaN 11.7192 8605 US5 _ROLL_PSEUDO_STRATEGY [1] 1000 -144.531 -3.90625 7.8125 0 NaN 3.90625 8606 US5 _ROLL_PSEUDO_STRATEGY [-1] 1000 136.719 -3.90625 7.8125 -0 NaN 3.90625 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini -118.750000 US5 -15.625000 caleb_strategy_v3 DOW -26.500000 MXP -45.000000 NIKKEI 176.217073 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -134.375000 caleb_strategy_v3 104.717073 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini -81.250000 US5 -23.437500 caleb_strategy_v3 DOW -1.500000 MXP -5.000000 NIKKEI -1.678258 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -104.687500 caleb_strategy_v3 -8.178258 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini 5.000000e+01 US5 3.125050e+01 caleb_strategy_v3 DOW -0.000000e+00 MXP 3.469225e-12 NIKKEI 0.000000e+00 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 8.125050e+01 caleb_strategy_v3 3.469225e-12 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini -87.500000 US5 -15.624500 caleb_strategy_v3 DOW -3.000000 MXP -10.000000 NIKKEI -3.356516 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -103.124500 caleb_strategy_v3 -16.356516 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini 0 US5 0 caleb_strategy_v3 DOW 0 MXP 0 NIKKEI 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US_mini -31.250000 US5 7.813000 caleb_strategy_v3 DOW -1.500000 MXP -5.000000 NIKKEI -1.678258 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -23.437000 caleb_strategy_v3 -8.178258 ******************************************************************************** END OF REPORT ********************************************************************************