******************************************************************************** Trades report produced on 29/11/2023 21:39 from 28/11/2023 21:39 to 29/11/2023 21:39 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8692 CHF caleb_strategy_v3 [20231200] 2023-11-29 15:00:34 [-1] 1.145800 8689 GAS_US_mini caleb_strategy_v3 [20240200] 2023-11-29 14:00:29 [-1] 2.780000 8690 GAS_US_mini caleb_strategy_v3 [20240200] 2023-11-29 14:01:52 [-1] 2.785000 8691 GAS_US_mini caleb_strategy_v3 [20240200] 2023-11-29 14:02:34 [-1] 2.790000 8680 JGB-SGX-mini caleb_strategy_v3 [20240300] 2023-11-29 03:05:17 [1] 145.780000 8682 JGB-SGX-mini caleb_strategy_v3 [20240300] 2023-11-29 03:10:34 [1] 145.780000 8684 JGB-SGX-mini caleb_strategy_v3 [20240300] 2023-11-29 03:13:43 [1] 145.730000 8685 JGB-SGX-mini caleb_strategy_v3 [20240300] 2023-11-29 03:13:45 [1] 145.730000 8686 JGB-SGX-mini caleb_strategy_v3 [20240300] 2023-11-29 03:15:07 [1] 145.750000 8687 JGB-SGX-mini caleb_strategy_v3 [20240300] 2023-11-29 03:15:46 [1] 145.720000 8681 NIKKEI caleb_strategy_v3 [20240300] 2023-11-29 03:05:33 [-1] 33370.000000 8683 NIKKEI caleb_strategy_v3 [20240300] 2023-11-29 03:11:08 [-1] 33365.000000 8688 ROBUSTA caleb_strategy_v3 [20240300] 2023-11-29 10:00:18 [1] 2458.000000 8693 US5 caleb_strategy_v3 [20240300] 2023-11-29 15:00:38 [1] 107.296875 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8681 NIKKEI caleb_strategy_v3 2023-11-28 2023-11-29 03:05:29.690 2023-11-29 03:05:33 97529.7 3.31 8683 NIKKEI caleb_strategy_v3 2023-11-28 2023-11-29 03:10:36.356 2023-11-29 03:11:08 97836.4 31.644 8680 JGB-SGX-mini caleb_strategy_v3 2023-11-28 2023-11-29 03:00:16.946 2023-11-29 03:05:17 97216.9 300.054 8682 JGB-SGX-mini caleb_strategy_v3 2023-11-28 2023-11-29 03:05:34.161 2023-11-29 03:10:34 97534.2 299.839 8684 JGB-SGX-mini caleb_strategy_v3 2023-11-28 2023-11-29 03:11:09.411 2023-11-29 03:13:43 97869.4 153.589 8685 JGB-SGX-mini caleb_strategy_v3 2023-11-28 2023-11-29 03:13:45.234 2023-11-29 03:13:45 98025.2 NaN 8686 JGB-SGX-mini caleb_strategy_v3 2023-11-28 2023-11-29 03:14:45.636 2023-11-29 03:15:07 98085.6 21.364 8687 JGB-SGX-mini caleb_strategy_v3 2023-11-28 2023-11-29 03:15:45.820 2023-11-29 03:15:46 98145.8 0.18 8688 ROBUSTA caleb_strategy_v3 2023-11-28 2023-11-29 10:00:13.723 2023-11-29 10:00:18 122414 4.277 8689 GAS_US_mini caleb_strategy_v3 2023-11-28 2023-11-29 14:00:25.010 2023-11-29 14:00:29 136825 3.99 8690 GAS_US_mini caleb_strategy_v3 2023-11-28 2023-11-29 14:01:24.372 2023-11-29 14:01:52 136884 27.628 8691 GAS_US_mini caleb_strategy_v3 2023-11-28 2023-11-29 14:02:24.553 2023-11-29 14:02:34 136945 9.447 8692 CHF caleb_strategy_v3 2023-11-28 2023-11-29 15:00:33.034 2023-11-29 15:00:34 140433 0.966 8693 US5 caleb_strategy_v3 2023-11-28 2023-11-29 15:00:34.847 2023-11-29 15:00:38 140435 3.153 =================================================================================================================================================================================================================================== 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 8681 NIKKEI caleb_strategy_v3 [-1] 33200 None 33377.5 33375 33380 33380 33370 177.5 -2.5 -5 -10 NaN -7.5 8683 NIKKEI caleb_strategy_v3 [-1] 33200 None 33362.5 33360 33365 33365 33365 162.5 -2.5 5 -0 NaN 2.5 8680 JGB-SGX-mini caleb_strategy_v3 [1] 145.11 None 145.725 145.78 145.67 145.67 145.78 -0.615 -0.055 0 -0.11 NaN -0.055 8682 JGB-SGX-mini caleb_strategy_v3 [1] 145.11 None 145.725 145.78 145.67 145.67 145.78 -0.615 -0.055 0 -0.11 NaN -0.055 8684 JGB-SGX-mini caleb_strategy_v3 [1] 145.11 None 145.725 145.78 145.67 145.67 145.73 -0.615 -0.055 0.05 -0.06 NaN -0.005 8685 JGB-SGX-mini caleb_strategy_v3 [1] 145.11 None 145.7 145.73 145.67 NaN 145.73 -0.59 -0.03 0 NaN NaN -0.03 8686 JGB-SGX-mini caleb_strategy_v3 [1] 145.11 None 145.725 145.78 145.67 145.67 145.75 -0.615 -0.055 0.03 -0.08 NaN -0.025 8687 JGB-SGX-mini caleb_strategy_v3 [1] 145.11 None 145.695 145.72 145.67 NaN 145.72 -0.585 -0.025 0 NaN NaN -0.025 8688 ROBUSTA caleb_strategy_v3 [1] 2479 None 2458 2459 2457 2457 2458 21 -1 1 -1 NaN 0 8689 GAS_US_mini caleb_strategy_v3 [-1] 2.76 None 2.785 2.78 2.79 2.79 2.78 0.025 -0.005 -0 -0.01 NaN -0.005 8690 GAS_US_mini caleb_strategy_v3 [-1] 2.76 None 2.7825 2.78 2.785 2.785 2.785 0.0225 -0.0025 0.005 -0 NaN 0.0025 8691 GAS_US_mini caleb_strategy_v3 [-1] 2.76 None 2.785 2.78 2.79 2.79 2.79 0.025 -0.005 0.01 -0 NaN 0.005 8692 CHF caleb_strategy_v3 [-1] 1.1415 None 1.14575 1.1457 1.1458 1.1458 1.1458 0.00425 -5e-05 0.0001 -2.22045e-16 NaN 5e-05 8693 US5 caleb_strategy_v3 [1] 106.844 None 107.301 107.305 107.297 107.297 107.297 -0.457031 -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 8681 NIKKEI caleb_strategy_v3 [-1] 5199.91 341.352 -4.80778 -9.61555 -19.2311 NaN -14.4233 8683 NIKKEI caleb_strategy_v3 [-1] 5199.91 312.505 -4.80778 9.61555 -0 NaN 4.80778 8680 JGB-SGX-mini caleb_strategy_v3 [1] 5.20397 -1181.79 -105.689 0 -211.377 NaN -105.689 8682 JGB-SGX-mini caleb_strategy_v3 [1] 5.20397 -1181.79 -105.689 0 -211.377 NaN -105.689 8684 JGB-SGX-mini caleb_strategy_v3 [1] 5.20397 -1181.79 -105.689 96.0806 -115.297 NaN -9.60806 8685 JGB-SGX-mini caleb_strategy_v3 [1] 5.20397 -1133.75 -57.6483 0 NaN NaN -57.6483 8686 JGB-SGX-mini caleb_strategy_v3 [1] 5.20397 -1181.79 -105.689 57.6483 -153.729 NaN -48.0403 8687 JGB-SGX-mini caleb_strategy_v3 [1] 5.20397 -1124.14 -48.0403 0 NaN NaN -48.0403 8688 ROBUSTA caleb_strategy_v3 [1] 572.984 366.502 -17.4525 17.4525 -17.4525 NaN 0 8689 GAS_US_mini caleb_strategy_v3 [-1] 1.97434 126.624 -25.3249 -0 -50.6497 NaN -25.3249 8690 GAS_US_mini caleb_strategy_v3 [-1] 1.97434 113.962 -12.6624 25.3249 -0 NaN 12.6624 8691 GAS_US_mini caleb_strategy_v3 [-1] 1.97434 126.624 -25.3249 50.6497 -0 NaN 25.3249 8692 CHF caleb_strategy_v3 [-1] 0.0773905 549.163 -6.46074 12.9215 -2.86914e-11 NaN 6.46074 8693 US5 caleb_strategy_v3 [1] 5.81741 -785.627 -6.71476 13.4295 0 NaN 6.71476 ======================================================================================================================================================================= 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 8681 NIKKEI caleb_strategy_v3 [-1] 0.678993 120.521 -1.69748 -3.39496 -6.78993 NaN -5.09244 8683 NIKKEI caleb_strategy_v3 [-1] 0.678993 110.336 -1.69748 3.39496 -0 NaN 1.69748 8680 JGB-SGX-mini caleb_strategy_v3 [1] 678.993 -417.58 -37.3446 0 -74.6892 NaN -37.3446 8682 JGB-SGX-mini caleb_strategy_v3 [1] 678.993 -417.58 -37.3446 0 -74.6892 NaN -37.3446 8684 JGB-SGX-mini caleb_strategy_v3 [1] 678.993 -417.58 -37.3446 33.9496 -40.7396 NaN -3.39496 8685 JGB-SGX-mini caleb_strategy_v3 [1] 678.993 -400.606 -20.3698 0 NaN NaN -20.3698 8686 JGB-SGX-mini caleb_strategy_v3 [1] 678.993 -417.58 -37.3446 20.3698 -54.3194 NaN -16.9748 8687 JGB-SGX-mini caleb_strategy_v3 [1] 678.993 -397.211 -16.9748 0 NaN NaN -16.9748 8688 ROBUSTA caleb_strategy_v3 [1] 10 210 -10 10 -10 NaN 0 8689 GAS_US_mini caleb_strategy_v3 [-1] 2500 62.5 -12.5 -0 -25 NaN -12.5 8690 GAS_US_mini caleb_strategy_v3 [-1] 2500 56.25 -6.25 12.5 -0 NaN 6.25 8691 GAS_US_mini caleb_strategy_v3 [-1] 2500 62.5 -12.5 25 -0 NaN 12.5 8692 CHF caleb_strategy_v3 [-1] 125000 531.25 -6.25 12.5 -2.77556e-11 NaN 6.25 8693 US5 caleb_strategy_v3 [1] 1000 -457.031 -3.90625 7.8125 0 NaN 3.90625 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CHF 531.25000 GAS_US_mini 181.25000 JGB-SGX-mini -2468.13827 NIKKEI 230.85750 ROBUSTA 210.00000 US5 -457.03125 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1771.81202 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CHF -6.250000 GAS_US_mini -31.250000 JGB-SGX-mini -186.722978 NIKKEI -3.394963 ROBUSTA -10.000000 US5 -3.906250 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -241.524191 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CHF 12.500000 GAS_US_mini 37.500000 JGB-SGX-mini 54.319412 NIKKEI 0.000000 ROBUSTA 10.000000 US5 7.812500 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 122.131912 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF -2.775558e-11 GAS_US_mini -2.500000e+01 JGB-SGX-mini -2.444374e+02 NIKKEI -6.789926e+00 ROBUSTA -1.000000e+01 US5 0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -286.227279 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF 0 GAS_US_mini 0 JGB-SGX-mini 0 NIKKEI 0 ROBUSTA 0 US5 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 CHF 6.250000 GAS_US_mini 6.250000 JGB-SGX-mini -132.403566 NIKKEI -3.394963 ROBUSTA 0.000000 US5 3.906250 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -119.392279 ******************************************************************************** END OF REPORT ********************************************************************************