******************************************************************************** Trades report produced on 22/12/2023 21:37 from 21/12/2023 21:37 to 22/12/2023 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9412 CAD caleb_strategy_v3 [20240300] 2023-12-22 15:00:49 [1] 0.756850 9402 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-22 09:00:37 [1] 98.070000 9403 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-22 09:05:10 [1] 98.065000 9404 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-22 09:05:25 [1] 98.065000 9413 FEEDCOW _ROLL_PSEUDO_STRATEGY [20240300] 2023-12-22 15:30:47 [1] 223.725000 9414 FEEDCOW _ROLL_PSEUDO_STRATEGY [20240400] 2023-12-22 15:30:49 [-1] 228.775000 9406 HEATOIL _ROLL_PSEUDO_STRATEGY [20240300] 2023-12-22 14:00:40 [1] 2.643900 9407 HEATOIL _ROLL_PSEUDO_STRATEGY [20240400] 2023-12-22 14:00:53 [-1] 2.591600 9411 JPY caleb_strategy_v3 [20240300] 2023-12-22 15:00:48 [-1] 0.007137 9416 LIVECOW _ROLL_PSEUDO_STRATEGY [20240400] 2023-12-22 15:31:38 [-1] 172.050000 9415 LIVECOW _ROLL_PSEUDO_STRATEGY [20240200] 2023-12-22 15:30:50 [1] 168.825000 9410 MXP caleb_strategy_v3 [20240300] 2023-12-22 15:00:46 [1] 0.058170 9401 NIKKEI caleb_strategy_v3 [20240300] 2023-12-22 03:01:26 [1] 33150.000000 9408 PLAT _ROLL_PSEUDO_STRATEGY [20240100] 2023-12-22 14:00:54 [-1] 983.400000 9409 PLAT _ROLL_PSEUDO_STRATEGY [20240400] 2023-12-22 14:00:55 [1] 993.100000 9405 ROBUSTA caleb_strategy_v3 [20240300] 2023-12-22 10:00:54 [-1] 2882.000000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9401 NIKKEI caleb_strategy_v3 2023-12-21 00:00:00 2023-12-22 03:01:18.522 2023-12-22 03:01:26 97278.522 7.478 9402 EURIBOR-ICE caleb_strategy_v3 2023-12-21 00:00:00 2023-12-22 09:00:33.979 2023-12-22 09:00:37 118833.979 3.021 9403 EURIBOR-ICE caleb_strategy_v3 2023-12-21 00:00:00 2023-12-22 09:01:33.781 2023-12-22 09:05:10 118893.781 216.219 9404 EURIBOR-ICE caleb_strategy_v3 2023-12-21 00:00:00 2023-12-22 09:05:13.758 2023-12-22 09:05:25 119113.758 11.242 9405 ROBUSTA caleb_strategy_v3 2023-12-21 00:00:00 2023-12-22 10:00:23.338 2023-12-22 10:00:54 122423.338 30.662 9406 HEATOIL _ROLL_PSEUDO_STRATEGY 2023-12-21 20:00:00 2023-12-22 14:00:38.991 2023-12-22 14:00:40 64838.991 1.009 9407 HEATOIL _ROLL_PSEUDO_STRATEGY 2023-12-21 20:00:00 2023-12-22 14:00:41.058 2023-12-22 14:00:53 64841.058 11.942 9408 PLAT _ROLL_PSEUDO_STRATEGY 2023-12-21 20:00:00 2023-12-22 14:00:54.107 2023-12-22 14:00:54 64854.107 NaN 9409 PLAT _ROLL_PSEUDO_STRATEGY 2023-12-21 20:00:00 2023-12-22 14:00:55.135 2023-12-22 14:00:55 64855.135 NaN 9410 MXP caleb_strategy_v3 2023-12-21 00:00:00 2023-12-22 15:00:41.706 2023-12-22 15:00:46 140441.706 4.294 9411 JPY caleb_strategy_v3 2023-12-21 00:00:00 2023-12-22 15:00:47.103 2023-12-22 15:00:48 140447.103 0.897 9412 CAD caleb_strategy_v3 2023-12-21 00:00:00 2023-12-22 15:00:49.574 2023-12-22 15:00:49 140449.574 NaN 9413 FEEDCOW _ROLL_PSEUDO_STRATEGY 2023-12-21 19:00:00 2023-12-22 15:30:42.992 2023-12-22 15:30:47 73842.992 4.008 9414 FEEDCOW _ROLL_PSEUDO_STRATEGY 2023-12-21 19:00:00 2023-12-22 15:30:48.874 2023-12-22 15:30:49 73848.874 0.126 9416 LIVECOW _ROLL_PSEUDO_STRATEGY 2023-12-21 19:00:00 2023-12-22 15:30:51.408 2023-12-22 15:31:38 73851.408 46.592 9415 LIVECOW _ROLL_PSEUDO_STRATEGY 2023-12-21 19:00:00 2023-12-22 15:30:50.331 2023-12-22 15:30:50 73850.331 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 9401 NIKKEI caleb_strategy_v3 [1] 33140.0 None 33142.5 33145.0 33140.0 33140.0 33150.0 -2.5 -2.5 -5.0 -10.0 NaN -7.5 9402 EURIBOR-ICE caleb_strategy_v3 [1] 98.05 None 98.0625 98.065 98.06 98.06 98.07 -0.0125 -0.0025 -0.005 -0.01 NaN -0.0075 9403 EURIBOR-ICE caleb_strategy_v3 [1] 98.05 None 98.0675 98.07 98.065 98.065 98.065 -0.0175 -0.0025 0.005 0.0 NaN 0.0025 9404 EURIBOR-ICE caleb_strategy_v3 [1] 98.05 None 98.0675 98.07 98.065 98.065 98.065 -0.0175 -0.0025 0.005 0.0 NaN 0.0025 9405 ROBUSTA caleb_strategy_v3 [-1] 2947.0 None 2885.0 2884.0 2886.0 2886.0 2882.0 -62.0 -1.0 -2.0 -4.0 NaN -3.0 9406 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 2.628 None 2.64285 2.6434 2.6423 2.6423 2.6439 -0.01485 -0.00055 -0.0005 -0.0016 NaN -0.00105 9407 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 2.576 None 2.5923 2.5915 2.5931 2.5931 2.5916 0.0163 -0.0008 0.0001 -0.0015 NaN -0.0007 9408 PLAT _ROLL_PSEUDO_STRATEGY [-1] 970.2 None 983.25 983.1 983.4 983.4 983.4 13.05 -0.15 0.3 -0.0 NaN 0.15 9409 PLAT _ROLL_PSEUDO_STRATEGY [1] 979.9 None 992.9 993.1 992.7 992.7 993.1 -13.0 -0.2 0.0 -0.4 NaN -0.2 9410 MXP caleb_strategy_v3 [1] 0.05787 None 0.058175 0.05818 0.05817 0.05817 0.05817 -0.000305 -0.000005 0.00001 0.0 NaN 0.000005 9411 JPY caleb_strategy_v3 [-1] 0.007127 None 0.007137 0.007137 0.007137 0.007137 0.007137 0.00001 -0.0 -0.0 -0.0 NaN -0.0 9412 CAD caleb_strategy_v3 [1] 0.7533 None 0.7568 0.75685 0.75675 0.75675 0.75685 -0.0035 -0.00005 0.0 -0.0001 NaN -0.00005 9413 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 223.45 None 223.6375 223.675 223.6 223.6 223.725 -0.1875 -0.0375 -0.05 -0.125 NaN -0.0875 9414 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 228.675 None 228.825 228.775 228.875 228.875 228.775 0.15 -0.05 -0.0 -0.1 NaN -0.05 9416 LIVECOW _ROLL_PSEUDO_STRATEGY [-1] 172.3 None 172.1 172.075 172.125 172.125 172.05 -0.2 -0.025 -0.025 -0.075 NaN -0.05 9415 LIVECOW _ROLL_PSEUDO_STRATEGY [1] 168.775 None 168.8125 168.825 168.8 168.8 168.825 -0.0375 -0.0125 0.0 -0.025 NaN -0.0125 ================================================================================================================================================================== 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 9401 NIKKEI caleb_strategy_v3 [1] 5012.349083 -4.987681 -4.987681 -9.975363 -19.950725 NaN -14.963044 9402 EURIBOR-ICE caleb_strategy_v3 [1] 1.029736 -121.390341 -24.278068 -48.556136 -97.112273 NaN -72.834205 9403 EURIBOR-ICE caleb_strategy_v3 [1] 1.029736 -169.946478 -24.278068 48.556136 0.0 NaN 24.278068 9404 EURIBOR-ICE caleb_strategy_v3 [1] 1.029736 -169.946478 -24.278068 48.556136 0.0 NaN 24.278068 9405 ROBUSTA caleb_strategy_v3 [-1] 868.478776 -713.891942 -11.514386 -23.028772 -46.057545 NaN -34.543158 9406 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 0.868924 -170.900929 -6.329664 -5.75424 -18.413568 NaN -12.083904 9407 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 0.868924 187.588225 -9.206784 1.150848 -17.26272 NaN -8.055936 9408 PLAT _ROLL_PSEUDO_STRATEGY [-1] 238.37623 547.453913 -6.292574 12.585147 -0.0 NaN 6.292574 9409 PLAT _ROLL_PSEUDO_STRATEGY [1] 238.37623 -545.356389 -8.390098 0.0 -16.780197 NaN -8.390098 9410 MXP caleb_strategy_v3 [1] 0.006015 -507.08998 -8.31295 16.625901 0.0 NaN 8.31295 9411 JPY caleb_strategy_v3 [-1] 0.00081 126.536434 -3.086254 -0.0 -6.172509 NaN -3.086254 9412 CAD caleb_strategy_v3 [1] 0.045875 -762.943893 -10.899198 0.0 -21.798397 NaN -10.899198 9413 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 42.982903 -43.621996 -8.724399 -11.632532 -29.081331 NaN -20.356931 9414 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 42.982903 34.897597 -11.632532 -0.0 -23.265064 NaN -11.632532 9416 LIVECOW _ROLL_PSEUDO_STRATEGY [-1] 27.923785 -71.623528 -8.952941 -8.952941 -26.858823 NaN -17.905882 9415 LIVECOW _ROLL_PSEUDO_STRATEGY [1] 27.923785 -13.429412 -4.476471 0.0 -8.952941 NaN -4.476471 =========================================================================================================================================================================== 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 9401 NIKKEI caleb_strategy_v3 [1] 0.702758 -1.756895 -1.756895 -3.51379 -7.02758 NaN -5.270685 9402 EURIBOR-ICE caleb_strategy_v3 [1] 2749.625 -34.370313 -6.874062 -13.748125 -27.49625 NaN -20.622187 9403 EURIBOR-ICE caleb_strategy_v3 [1] 2749.625 -48.118437 -6.874062 13.748125 0.0 NaN 6.874062 9404 EURIBOR-ICE caleb_strategy_v3 [1] 2749.625 -48.118437 -6.874062 13.748125 0.0 NaN 6.874062 9405 ROBUSTA caleb_strategy_v3 [-1] 10.0 -620.0 -10.0 -20.0 -40.0 NaN -30.0 9406 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 42000.0 -623.7 -23.1 -21.0 -67.2 NaN -44.1 9407 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 42000.0 684.6 -33.6 4.2 -63.0 NaN -29.4 9408 PLAT _ROLL_PSEUDO_STRATEGY [-1] 50.0 652.5 -7.5 15.0 -0.0 NaN 7.5 9409 PLAT _ROLL_PSEUDO_STRATEGY [1] 50.0 -650.0 -10.0 0.0 -20.0 NaN -10.0 9410 MXP caleb_strategy_v3 [1] 500000.0 -152.5 -2.5 5.0 0.0 NaN 2.5 9411 JPY caleb_strategy_v3 [-1] 12500000.0 128.125 -3.125 -0.0 -6.25 NaN -3.125 9412 CAD caleb_strategy_v3 [1] 100000.0 -350.0 -5.0 0.0 -10.0 NaN -5.0 9413 FEEDCOW _ROLL_PSEUDO_STRATEGY [1] 500.0 -93.75 -18.75 -25.0 -62.5 NaN -43.75 9414 FEEDCOW _ROLL_PSEUDO_STRATEGY [-1] 500.0 75.0 -25.0 -0.0 -50.0 NaN -25.0 9416 LIVECOW _ROLL_PSEUDO_STRATEGY [-1] 400.0 -80.0 -10.0 -10.0 -30.0 NaN -20.0 9415 LIVECOW _ROLL_PSEUDO_STRATEGY [1] 400.0 -15.0 -5.0 0.0 -10.0 NaN -5.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -18.75 HEATOIL 60.9 LIVECOW -95.0 PLAT 2.5 caleb_strategy_v3 CAD -350.0 EURIBOR-ICE -130.607187 JPY 128.125 MXP -152.5 NIKKEI -1.756895 ROBUSTA -620.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -50.35 caleb_strategy_v3 -1126.739082 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -43.75 HEATOIL -56.7 LIVECOW -15.0 PLAT -17.5 caleb_strategy_v3 CAD -5.0 EURIBOR-ICE -20.622187 JPY -3.125 MXP -2.5 NIKKEI -1.756895 ROBUSTA -10.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -132.95 caleb_strategy_v3 -43.004082 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -25.0 HEATOIL -16.8 LIVECOW -10.0 PLAT 15.0 caleb_strategy_v3 CAD 0.0 EURIBOR-ICE 13.748125 JPY -0.0 MXP 5.0 NIKKEI -3.51379 ROBUSTA -20.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -36.8 caleb_strategy_v3 -4.765665 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -112.5 HEATOIL -130.2 LIVECOW -40.0 PLAT -20.0 caleb_strategy_v3 CAD -10.0 EURIBOR-ICE -27.49625 JPY -6.25 MXP 0.0 NIKKEI -7.02758 ROBUSTA -40.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -302.7 caleb_strategy_v3 -90.77383 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 0 HEATOIL 0 LIVECOW 0 PLAT 0 caleb_strategy_v3 CAD 0 EURIBOR-ICE 0 JPY 0 MXP 0 NIKKEI 0 ROBUSTA 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 FEEDCOW -68.75 HEATOIL -73.5 LIVECOW -25.0 PLAT -2.5 caleb_strategy_v3 CAD -5.0 EURIBOR-ICE -6.874062 JPY -3.125 MXP 2.5 NIKKEI -5.270685 ROBUSTA -30.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -169.75 caleb_strategy_v3 -47.769747 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