******************************************************************************** Trades report produced on 02/01/2024 21:36 from 01/01/2024 21:36 to 02/01/2024 21:36 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9491 BTP caleb_strategy_v3 [20240300] 2024-01-02 08:00:32 [-1] 118.870000 9498 COPPER caleb_strategy_v3 [20240300] 2024-01-02 14:00:13 [1] 3.868500 9499 CRUDE_W caleb_strategy_v3 [20241200] 2024-01-02 14:00:14 [-1] 71.840000 9496 EURIBOR-ICE caleb_strategy_v3 [20251200] 2024-01-02 09:05:44 [-1] 98.020000 9493 EURIBOR-ICE caleb_strategy_v3 [20251200] 2024-01-02 09:03:41 [-1] 98.015000 9494 EURIBOR-ICE caleb_strategy_v3 [20251200] 2024-01-02 09:03:44 [-1] 98.020000 9495 EURIBOR-ICE caleb_strategy_v3 [20251200] 2024-01-02 09:04:45 [-1] 98.015000 9490 EUROSTX caleb_strategy_v3 [20240300] 2024-01-02 08:00:29 [1] 4573.000000 9492 EUROSTX caleb_strategy_v3 [20240300] 2024-01-02 08:01:27 [1] 4575.000000 9503 GAS_US_mini caleb_strategy_v3 [20240300] 2024-01-02 14:03:24 [1] 2.405000 9501 GAS_US_mini caleb_strategy_v3 [20240300] 2024-01-02 14:01:16 [1] 2.420000 9502 GAS_US_mini caleb_strategy_v3 [20240300] 2024-01-02 14:02:16 [1] 2.415000 9500 GAS_US_mini caleb_strategy_v3 [20240300] 2024-01-02 14:01:02 [1] 2.415000 9507 JPY caleb_strategy_v3 [20240300] 2024-01-02 15:00:46 [1] 0.007151 9515 LEANHOG caleb_strategy_v3 [20240400] 2024-01-02 15:30:44 [-1] 73.975000 9513 MXP caleb_strategy_v3 [20240300] 2024-01-02 15:02:28 [1] 0.058120 9508 MXP caleb_strategy_v3 [20240300] 2024-01-02 15:00:47 [1] 0.058130 9511 MXP caleb_strategy_v3 [20240300] 2024-01-02 15:01:29 [1] 0.058130 9512 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-01-02 15:02:28 [1] 16782.250000 9505 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-01-02 15:00:29 [1] 16773.750000 9510 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-01-02 15:01:28 [1] 16778.500000 9497 ROBUSTA caleb_strategy_v3 [20240300] 2024-01-02 10:01:33 [-1] 2847.000000 9504 RUSSELL caleb_strategy_v3 [20240300] 2024-01-02 15:00:28 [1] 2051.100000 9509 RUSSELL caleb_strategy_v3 [20240300] 2024-01-02 15:01:28 [1] 2051.100000 9514 SOYMEAL caleb_strategy_v3 [20240500] 2024-01-02 15:30:32 [-1] 378.200000 9506 SP400 caleb_strategy_v3 [20240300] 2024-01-02 15:00:41 [-1] 2808.800000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9491 BTP caleb_strategy_v3 2023-12-29 2024-01-02 08:00:30.182 2024-01-02 08:00:32 374430.182 1.818 9490 EUROSTX caleb_strategy_v3 2023-12-29 2024-01-02 08:00:27.230 2024-01-02 08:00:29 374427.23 1.77 9492 EUROSTX caleb_strategy_v3 2023-12-29 2024-01-02 08:01:27.002 2024-01-02 08:01:27 374487.002 NaN 9496 EURIBOR-ICE caleb_strategy_v3 2023-12-29 2024-01-02 09:05:44.744 2024-01-02 09:05:44 378344.744 NaN 9493 EURIBOR-ICE caleb_strategy_v3 2023-12-29 2024-01-02 09:00:29.018 2024-01-02 09:03:41 378029.018 191.982 9494 EURIBOR-ICE caleb_strategy_v3 2023-12-29 2024-01-02 09:03:44.694 2024-01-02 09:03:44 378224.694 NaN 9495 EURIBOR-ICE caleb_strategy_v3 2023-12-29 2024-01-02 09:04:44.756 2024-01-02 09:04:45 378284.756 0.244 9497 ROBUSTA caleb_strategy_v3 2023-12-29 2024-01-02 10:00:55.495 2024-01-02 10:01:33 381655.495 37.505 9498 COPPER caleb_strategy_v3 2023-12-29 2024-01-02 14:00:08.302 2024-01-02 14:00:13 396008.302 4.698 9499 CRUDE_W caleb_strategy_v3 2023-12-29 2024-01-02 14:00:14.186 2024-01-02 14:00:14 396014.186 NaN 9500 GAS_US_mini caleb_strategy_v3 2023-12-29 2024-01-02 14:00:15.218 2024-01-02 14:01:02 396015.218 46.782 9501 GAS_US_mini caleb_strategy_v3 2023-12-29 2024-01-02 14:01:15.940 2024-01-02 14:01:16 396075.94 0.06 9502 GAS_US_mini caleb_strategy_v3 2023-12-29 2024-01-02 14:02:16.415 2024-01-02 14:02:16 396136.415 NaN 9503 GAS_US_mini caleb_strategy_v3 2023-12-29 2024-01-02 14:03:17.105 2024-01-02 14:03:24 396197.105 6.895 9506 SP400 caleb_strategy_v3 2023-12-29 2024-01-02 15:00:30.306 2024-01-02 15:00:41 399630.306 10.694 9507 JPY caleb_strategy_v3 2023-12-29 2024-01-02 15:00:42.722 2024-01-02 15:00:46 399642.722 3.278 9504 RUSSELL caleb_strategy_v3 2023-12-29 2024-01-02 15:00:28.431 2024-01-02 15:00:28 399628.431 NaN 9509 RUSSELL caleb_strategy_v3 2023-12-29 2024-01-02 15:01:27.995 2024-01-02 15:01:28 399687.995 0.005 9512 NASDAQ_micro caleb_strategy_v3 2023-12-29 2024-01-02 15:02:28.135 2024-01-02 15:02:28 399748.135 NaN 9505 NASDAQ_micro caleb_strategy_v3 2023-12-29 2024-01-02 15:00:29.282 2024-01-02 15:00:29 399629.282 NaN 9510 NASDAQ_micro caleb_strategy_v3 2023-12-29 2024-01-02 15:01:28.718 2024-01-02 15:01:28 399688.718 NaN 9513 MXP caleb_strategy_v3 2023-12-29 2024-01-02 15:02:28.759 2024-01-02 15:02:28 399748.759 NaN 9508 MXP caleb_strategy_v3 2023-12-29 2024-01-02 15:00:46.915 2024-01-02 15:00:47 399646.915 0.085 9511 MXP caleb_strategy_v3 2023-12-29 2024-01-02 15:01:29.400 2024-01-02 15:01:29 399689.4 NaN 9514 SOYMEAL caleb_strategy_v3 2023-12-29 2024-01-02 15:30:31.284 2024-01-02 15:30:32 401431.284 0.716 9515 LEANHOG caleb_strategy_v3 2023-12-29 2024-01-02 15:30:33.310 2024-01-02 15:30:44 401433.31 10.69 ================================================================================================================================================================================================================================= 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 9491 BTP caleb_strategy_v3 [-1] 119.15 None 118.865 118.86 118.87 118.87 118.87 -0.285 -0.005 0.01 -0.0 NaN 0.005 9490 EUROSTX caleb_strategy_v3 [1] 4543.0 None 4571.5 4572.0 4571.0 4571.0 4573.0 -28.5 -0.5 -1.0 -2.0 NaN -1.5 9492 EUROSTX caleb_strategy_v3 [1] 4543.0 None 4572.5 4573.0 4572.0 4572.0 4575.0 -29.5 -0.5 -2.0 -3.0 NaN -2.5 9496 EURIBOR-ICE caleb_strategy_v3 [-1] 98.09 None 98.0175 98.015 98.02 98.02 98.02 -0.0725 -0.0025 0.005 -0.0 NaN 0.0025 9493 EURIBOR-ICE caleb_strategy_v3 [-1] 98.09 None 98.02 98.015 98.025 98.025 98.015 -0.07 -0.005 -0.0 -0.01 NaN -0.005 9494 EURIBOR-ICE caleb_strategy_v3 [-1] 98.09 None 98.0175 98.015 98.02 98.02 98.02 -0.0725 -0.0025 0.005 -0.0 NaN 0.0025 9495 EURIBOR-ICE caleb_strategy_v3 [-1] 98.09 None 98.02 98.015 98.025 98.025 98.015 -0.07 -0.005 -0.0 -0.01 NaN -0.005 9497 ROBUSTA caleb_strategy_v3 [-1] 2841.0 None 2847.0 2846.0 2848.0 2848.0 2847.0 6.0 -1.0 1.0 -1.0 NaN 0.0 9498 COPPER caleb_strategy_v3 [1] 3.8915 None 3.86875 3.869 3.8685 3.8685 3.8685 0.02275 -0.00025 0.0005 0.0 NaN 0.00025 9499 CRUDE_W caleb_strategy_v3 [-1] 70.03 None 71.82 71.81 71.83 71.83 71.84 1.79 -0.01 0.03 0.01 NaN 0.02 9500 GAS_US_mini caleb_strategy_v3 [1] 2.34 None 2.4125 2.415 2.41 2.41 2.415 -0.0725 -0.0025 0.0 -0.005 NaN -0.0025 9501 GAS_US_mini caleb_strategy_v3 [1] 2.34 None 2.4125 2.415 2.41 NaN 2.42 -0.0725 -0.0025 -0.005 NaN NaN -0.0075 9502 GAS_US_mini caleb_strategy_v3 [1] 2.34 None 2.4125 2.415 2.41 NaN 2.415 -0.0725 -0.0025 0.0 NaN NaN -0.0025 9503 GAS_US_mini caleb_strategy_v3 [1] 2.34 None 2.4025 2.405 2.4 2.4 2.405 -0.0625 -0.0025 0.0 -0.005 NaN -0.0025 9506 SP400 caleb_strategy_v3 [-1] 2808.0 None 2809.85 2809.5 2810.2 2810.2 2808.8 1.85 -0.35 -0.7 -1.4 NaN -1.05 9507 JPY caleb_strategy_v3 [1] 0.007176 None 0.007151 0.007151 0.007151 0.007151 0.007151 0.000025 -0.0 0.0 -0.0 NaN 0.0 9504 RUSSELL caleb_strategy_v3 [1] 2045.4 None 2051.2 2051.3 2051.1 2051.1 2051.1 -5.8 -0.1 0.2 0.0 NaN 0.1 9509 RUSSELL caleb_strategy_v3 [1] 2045.4 None 2051.15 2051.2 2051.1 2051.1 2051.1 -5.75 -0.05 0.1 0.0 NaN 0.05 9512 NASDAQ_micro caleb_strategy_v3 [1] 17004.0 None 16778.25 16778.5 16778.0 16778.0 16782.25 225.75 -0.25 -3.75 -4.25 NaN -4.0 9505 NASDAQ_micro caleb_strategy_v3 [1] 17004.0 None 16775.125 16775.25 16775.0 16775.0 16773.75 228.875 -0.125 1.5 1.25 NaN 1.375 9510 NASDAQ_micro caleb_strategy_v3 [1] 17004.0 None 16773.875 16774.0 16773.75 16773.75 16778.5 230.125 -0.125 -4.5 -4.75 NaN -4.625 9513 MXP caleb_strategy_v3 [1] 0.05824 None 0.058125 0.05813 0.05812 0.05812 0.05812 0.000115 -0.000005 0.00001 0.0 NaN 0.000005 9508 MXP caleb_strategy_v3 [1] 0.05824 None 0.058135 0.05814 0.05813 0.05813 0.05813 0.000105 -0.000005 0.00001 0.0 NaN 0.000005 9511 MXP caleb_strategy_v3 [1] 0.05824 None 0.058135 0.05814 0.05813 0.05813 0.05813 0.000105 -0.000005 0.00001 0.0 NaN 0.000005 9514 SOYMEAL caleb_strategy_v3 [-1] 384.8 None 378.05 378.0 378.1 NaN 378.2 -6.75 -0.05 0.2 NaN NaN 0.15 9515 LEANHOG caleb_strategy_v3 [-1] 74.95 None 74.0 73.975 74.025 74.025 73.975 -0.95 -0.025 -0.0 -0.05 NaN -0.025 ============================================================================================================================================================== 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 9491 BTP caleb_strategy_v3 [-1] 12.251826 -232.618385 -4.081024 8.162049 -0.0 NaN 4.081024 9490 EUROSTX caleb_strategy_v3 [1] 485.940949 -586.491014 -10.289316 -20.578632 -41.157264 NaN -30.867948 9492 EUROSTX caleb_strategy_v3 [1] 485.940949 -607.069646 -10.289316 -41.157264 -61.735896 NaN -51.44658 9496 EURIBOR-ICE caleb_strategy_v3 [-1] 1.043947 -694.479628 -23.947573 47.895147 -0.0 NaN 23.947573 9493 EURIBOR-ICE caleb_strategy_v3 [-1] 1.043947 -670.532054 -47.895147 -0.0 -95.790293 NaN -47.895147 9494 EURIBOR-ICE caleb_strategy_v3 [-1] 1.043947 -694.479628 -23.947573 47.895147 -0.0 NaN 23.947573 9495 EURIBOR-ICE caleb_strategy_v3 [-1] 1.043947 -670.532054 -47.895147 -0.0 -95.790293 NaN -47.895147 9497 ROBUSTA caleb_strategy_v3 [-1] 903.218381 66.429118 -11.07152 11.07152 -11.07152 NaN 0.0 9498 COPPER caleb_strategy_v3 [1] 0.744891 305.413894 -3.356197 6.712393 0.0 NaN 3.356197 9499 CRUDE_W caleb_strategy_v3 [-1] 20.622709 867.975197 -4.849023 14.54707 4.849023 NaN 9.698047 9500 GAS_US_mini caleb_strategy_v3 [1] 1.784735 -406.222854 -14.007685 0.0 -28.015369 NaN -14.007685 9501 GAS_US_mini caleb_strategy_v3 [1] 1.784735 -406.222854 -14.007685 -28.015369 NaN NaN -42.023054 9502 GAS_US_mini caleb_strategy_v3 [1] 1.784735 -406.222854 -14.007685 0.0 NaN NaN -14.007685 9503 GAS_US_mini caleb_strategy_v3 [1] 1.784735 -350.192115 -14.007685 0.0 -28.015369 NaN -14.007685 9506 SP400 caleb_strategy_v3 [-1] 490.716433 37.699981 -7.132429 -14.264858 -28.529715 NaN -21.397286 9507 JPY caleb_strategy_v3 [1] 0.000762 331.460067 -3.281783 6.563566 -0.0 NaN 3.281783 9504 RUSSELL caleb_strategy_v3 [1] 430.990978 -134.573583 -2.320234 4.640468 0.0 NaN 2.320234 9509 RUSSELL caleb_strategy_v3 [1] 430.990978 -133.413465 -1.160117 2.320234 0.0 NaN 1.160117 9512 NASDAQ_micro caleb_strategy_v3 [1] 2428.660349 929.52479 -1.029374 -15.440611 -17.499359 NaN -16.469985 9505 NASDAQ_micro caleb_strategy_v3 [1] 2428.660349 942.391966 -0.514687 6.176244 5.14687 NaN 5.661557 9510 NASDAQ_micro caleb_strategy_v3 [1] 2428.660349 947.538836 -0.514687 -18.528733 -19.558107 NaN -19.04342 9513 MXP caleb_strategy_v3 [1] 0.005673 202.729971 -8.814347 17.628693 0.0 NaN 8.814347 9508 MXP caleb_strategy_v3 [1] 0.005673 185.101278 -8.814347 17.628693 0.0 NaN 8.814347 9511 MXP caleb_strategy_v3 [1] 0.005673 185.101278 -8.814347 17.628693 0.0 NaN 8.814347 9514 SOYMEAL caleb_strategy_v3 [-1] 88.002711 -767.021828 -5.681643 22.726573 NaN NaN 17.04493 9515 LEANHOG caleb_strategy_v3 [-1] 20.268613 -468.704978 -12.334342 -0.0 -24.668683 NaN -12.334342 ======================================================================================================================================================================== 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 9491 BTP caleb_strategy_v3 [-1] 1102.7 -314.2695 -5.5135 11.027 -0.0 NaN 5.5135 9490 EUROSTX caleb_strategy_v3 [1] 11.027 -314.2695 -5.5135 -11.027 -22.054 NaN -16.5405 9492 EUROSTX caleb_strategy_v3 [1] 11.027 -325.2965 -5.5135 -22.054 -33.081 NaN -27.5675 9496 EURIBOR-ICE caleb_strategy_v3 [-1] 2756.75 -199.864375 -6.891875 13.78375 -0.0 NaN 6.891875 9493 EURIBOR-ICE caleb_strategy_v3 [-1] 2756.75 -192.9725 -13.78375 -0.0 -27.5675 NaN -13.78375 9494 EURIBOR-ICE caleb_strategy_v3 [-1] 2756.75 -199.864375 -6.891875 13.78375 -0.0 NaN 6.891875 9495 EURIBOR-ICE caleb_strategy_v3 [-1] 2756.75 -192.9725 -13.78375 -0.0 -27.5675 NaN -13.78375 9497 ROBUSTA caleb_strategy_v3 [-1] 10.0 60.0 -10.0 10.0 -10.0 NaN 0.0 9498 COPPER caleb_strategy_v3 [1] 25000.0 568.75 -6.25 12.5 0.0 NaN 6.25 9499 CRUDE_W caleb_strategy_v3 [-1] 1000.0 1790.0 -10.0 30.0 10.0 NaN 20.0 9500 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -181.25 -6.25 0.0 -12.5 NaN -6.25 9501 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -181.25 -6.25 -12.5 NaN NaN -18.75 9502 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -181.25 -6.25 0.0 NaN NaN -6.25 9503 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -156.25 -6.25 0.0 -12.5 NaN -6.25 9506 SP400 caleb_strategy_v3 [-1] 100.0 185.0 -35.0 -70.0 -140.0 NaN -105.0 9507 JPY caleb_strategy_v3 [1] 12500000.0 315.625 -3.125 6.25 -0.0 NaN 3.125 9504 RUSSELL caleb_strategy_v3 [1] 5.0 -29.0 -0.5 1.0 0.0 NaN 0.5 9509 RUSSELL caleb_strategy_v3 [1] 5.0 -28.75 -0.25 0.5 0.0 NaN 0.25 9512 NASDAQ_micro caleb_strategy_v3 [1] 2.0 451.5 -0.5 -7.5 -8.5 NaN -8.0 9505 NASDAQ_micro caleb_strategy_v3 [1] 2.0 457.75 -0.25 3.0 2.5 NaN 2.75 9510 NASDAQ_micro caleb_strategy_v3 [1] 2.0 460.25 -0.25 -9.0 -9.5 NaN -9.25 9513 MXP caleb_strategy_v3 [1] 500000.0 57.5 -2.5 5.0 0.0 NaN 2.5 9508 MXP caleb_strategy_v3 [1] 500000.0 52.5 -2.5 5.0 0.0 NaN 2.5 9511 MXP caleb_strategy_v3 [1] 500000.0 52.5 -2.5 5.0 0.0 NaN 2.5 9514 SOYMEAL caleb_strategy_v3 [-1] 100.0 -675.0 -5.0 20.0 NaN NaN 15.0 9515 LEANHOG caleb_strategy_v3 [-1] 400.0 -380.0 -10.0 -0.0 -20.0 NaN -10.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BTP -314.2695 COPPER 568.75 CRUDE_W 1790.0 EURIBOR-ICE -785.67375 EUROSTX -639.566 GAS_US_mini -700.0 JPY 315.625 LEANHOG -380.0 MXP 162.5 NASDAQ_micro 1369.5 ROBUSTA 60.0 RUSSELL -57.75 SOYMEAL -675.0 SP400 185.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 899.11575 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BTP -5.5135 COPPER -6.25 CRUDE_W -10.0 EURIBOR-ICE -41.35125 EUROSTX -11.027 GAS_US_mini -25.0 JPY -3.125 LEANHOG -10.0 MXP -7.5 NASDAQ_micro -1.0 ROBUSTA -10.0 RUSSELL -0.75 SOYMEAL -5.0 SP400 -35.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -171.51675 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BTP 11.027 COPPER 12.5 CRUDE_W 30.0 EURIBOR-ICE 27.5675 EUROSTX -33.081 GAS_US_mini -12.5 JPY 6.25 LEANHOG -0.0 MXP 15.0 NASDAQ_micro -13.5 ROBUSTA 10.0 RUSSELL 1.5 SOYMEAL 20.0 SP400 -70.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 4.7635 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP -0.0 COPPER 0.0 CRUDE_W 10.0 EURIBOR-ICE -55.135 EUROSTX -55.135 GAS_US_mini -25.0 JPY -0.0 LEANHOG -20.0 MXP 0.0 NASDAQ_micro -15.5 ROBUSTA -10.0 RUSSELL 0.0 SOYMEAL 0 SP400 -140.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -310.77 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP 0 COPPER 0 CRUDE_W 0 EURIBOR-ICE 0 EUROSTX 0 GAS_US_mini 0 JPY 0 LEANHOG 0 MXP 0 NASDAQ_micro 0 ROBUSTA 0 RUSSELL 0 SOYMEAL 0 SP400 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 5.5135 COPPER 6.25 CRUDE_W 20.0 EURIBOR-ICE -13.78375 EUROSTX -44.108 GAS_US_mini -37.5 JPY 3.125 LEANHOG -10.0 MXP 7.5 NASDAQ_micro -14.5 ROBUSTA 0.0 RUSSELL 0.75 SOYMEAL 15.0 SP400 -105.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -166.75325 ******************************************************************************** END OF REPORT ********************************************************************************