******************************************************************************** Trades report produced on 04/01/2024 21:36 from 03/01/2024 21:36 to 04/01/2024 21:36 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9545 BITCOIN caleb_strategy_v3 [20240100] 2024-01-04 15:04:48 [-1] 44145.000000 9544 BITCOIN caleb_strategy_v3 [20240100] 2024-01-04 15:03:48 [-1] 44165.000000 9542 BITCOIN caleb_strategy_v3 [20240100] 2024-01-04 15:02:48 [-1] 44215.000000 9546 BITCOIN caleb_strategy_v3 [20240100] 2024-01-04 15:05:48 [-1] 44170.000000 9540 BITCOIN caleb_strategy_v3 [20240100] 2024-01-04 15:01:47 [-1] 44220.000000 9536 BITCOIN caleb_strategy_v3 [20240100] 2024-01-04 15:01:06 [-1] 44235.000000 9527 BTP caleb_strategy_v3 [20240300] 2024-01-04 08:00:34 [-1] 119.480000 9529 COFFEE caleb_strategy_v3 [20240500] 2024-01-04 14:01:27 [-1] 184.300000 9534 DOW caleb_strategy_v3 [20240300] 2024-01-04 15:00:56 [-1] 37836.000000 9528 EURIBOR-ICE caleb_strategy_v3 [20251200] 2024-01-04 09:00:40 [-1] 98.125000 9526 EUROSTX caleb_strategy_v3 [20240300] 2024-01-04 08:00:29 [1] 4481.000000 9530 GAS_US_mini caleb_strategy_v3 [20240300] 2024-01-04 14:01:33 [1] 2.565000 9531 GAS_US_mini caleb_strategy_v3 [20240300] 2024-01-04 14:01:39 [1] 2.565000 9539 JPY caleb_strategy_v3 [20240300] 2024-01-04 15:01:11 [1] 0.006985 9547 LEANHOG caleb_strategy_v3 [20240400] 2024-01-04 15:30:54 [-1] 72.850000 9537 NZD caleb_strategy_v3 [20240300] 2024-01-04 15:01:07 [-1] 0.623050 9541 RUSSELL caleb_strategy_v3 [20240300] 2024-01-04 15:01:48 [-1] 1982.200000 9538 RUSSELL caleb_strategy_v3 [20240300] 2024-01-04 15:01:09 [-1] 1980.100000 9543 RUSSELL caleb_strategy_v3 [20240300] 2024-01-04 15:02:49 [-1] 1983.000000 9532 SP400 caleb_strategy_v3 [20240300] 2024-01-04 15:00:49 [-1] 2733.000000 9535 US10 caleb_strategy_v3 [20240300] 2024-01-04 15:01:05 [1] 111.953125 9533 US30 caleb_strategy_v3 [20240300] 2024-01-04 15:00:55 [-1] 130.750000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9526 EUROSTX caleb_strategy_v3 2024-01-03 2024-01-04 08:00:27.667 2024-01-04 08:00:29 115227.667 1.333 9527 BTP caleb_strategy_v3 2024-01-03 2024-01-04 08:00:30.686 2024-01-04 08:00:34 115230.686 3.314 9528 EURIBOR-ICE caleb_strategy_v3 2024-01-03 2024-01-04 09:00:28.930 2024-01-04 09:00:40 118828.93 11.07 9529 COFFEE caleb_strategy_v3 2024-01-03 2024-01-04 14:00:38.882 2024-01-04 14:01:27 136838.882 48.118 9530 GAS_US_mini caleb_strategy_v3 2024-01-03 2024-01-04 14:01:28.662 2024-01-04 14:01:33 136888.662 4.338 9531 GAS_US_mini caleb_strategy_v3 2024-01-03 2024-01-04 14:01:38.922 2024-01-04 14:01:39 136898.922 0.078 9532 SP400 caleb_strategy_v3 2024-01-03 2024-01-04 15:00:47.527 2024-01-04 15:00:49 140447.527 1.473 9533 US30 caleb_strategy_v3 2024-01-03 2024-01-04 15:00:50.282 2024-01-04 15:00:55 140450.282 4.718 9534 DOW caleb_strategy_v3 2024-01-03 2024-01-04 15:00:56.046 2024-01-04 15:00:56 140456.046 NaN 9535 US10 caleb_strategy_v3 2024-01-03 2024-01-04 15:00:56.718 2024-01-04 15:01:05 140456.718 8.282 9537 NZD caleb_strategy_v3 2024-01-03 2024-01-04 15:01:06.594 2024-01-04 15:01:07 140466.594 0.406 9539 JPY caleb_strategy_v3 2024-01-03 2024-01-04 15:01:10.074 2024-01-04 15:01:11 140470.074 0.926 9538 RUSSELL caleb_strategy_v3 2024-01-03 2024-01-04 15:01:08.462 2024-01-04 15:01:09 140468.462 0.538 9541 RUSSELL caleb_strategy_v3 2024-01-03 2024-01-04 15:01:48.387 2024-01-04 15:01:48 140508.387 NaN 9543 RUSSELL caleb_strategy_v3 2024-01-03 2024-01-04 15:02:49.515 2024-01-04 15:02:49 140569.515 NaN 9536 BITCOIN caleb_strategy_v3 2024-01-03 2024-01-04 15:01:05.882 2024-01-04 15:01:06 140465.882 0.118 9540 BITCOIN caleb_strategy_v3 2024-01-03 2024-01-04 15:01:47.791 2024-01-04 15:01:47 140507.791 NaN 9542 BITCOIN caleb_strategy_v3 2024-01-03 2024-01-04 15:02:47.844 2024-01-04 15:02:48 140567.844 0.156 9544 BITCOIN caleb_strategy_v3 2024-01-03 2024-01-04 15:03:47.933 2024-01-04 15:03:48 140627.933 0.067 9545 BITCOIN caleb_strategy_v3 2024-01-03 2024-01-04 15:04:47.987 2024-01-04 15:04:48 140687.987 0.013 9546 BITCOIN caleb_strategy_v3 2024-01-03 2024-01-04 15:05:47.814 2024-01-04 15:05:48 140747.814 0.186 9547 LEANHOG caleb_strategy_v3 2024-01-03 2024-01-04 15:30:53.478 2024-01-04 15:30:54 142253.478 0.522 ================================================================================================================================================================================================================================== 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 9526 EUROSTX caleb_strategy_v3 [1] 4477.0 None 4479.5 4480.0 4479.0 4479.0 4481.0 -2.5 -0.5 -1.0 -2.0 NaN -1.5 9527 BTP caleb_strategy_v3 [-1] 119.32 None 119.475 119.47 119.48 119.48 119.48 0.155 -0.005 0.01 -0.0 NaN 0.005 9528 EURIBOR-ICE caleb_strategy_v3 [-1] 98.135 None 98.1225 98.12 98.125 98.125 98.125 -0.0125 -0.0025 0.005 -0.0 NaN 0.0025 9529 COFFEE caleb_strategy_v3 [-1] 184.35 None 184.5 184.45 184.55 184.55 184.3 0.15 -0.05 -0.15 -0.25 NaN -0.2 9530 GAS_US_mini caleb_strategy_v3 [1] 2.445 None 2.5625 2.565 2.56 2.56 2.565 -0.1175 -0.0025 0.0 -0.005 NaN -0.0025 9531 GAS_US_mini caleb_strategy_v3 [1] 2.445 None 2.5625 2.565 2.56 NaN 2.565 -0.1175 -0.0025 0.0 NaN NaN -0.0025 9532 SP400 caleb_strategy_v3 [-1] 2736.9 None 2732.75 2732.5 2733.0 2733.0 2733.0 -4.15 -0.25 0.5 -0.0 NaN 0.25 9533 US30 caleb_strategy_v3 [-1] 132.6875 None 130.796875 130.78125 130.8125 130.8125 130.75 -1.890625 -0.015625 -0.03125 -0.0625 NaN -0.046875 9534 DOW caleb_strategy_v3 [-1] 37765.0 None 37835.5 37835.0 37836.0 37836.0 37836.0 70.5 -0.5 1.0 -0.0 NaN 0.5 9535 US10 caleb_strategy_v3 [1] 112.5 None 111.929688 111.9375 111.921875 111.921875 111.953125 0.570312 -0.007812 -0.015625 -0.03125 NaN -0.023438 9537 NZD caleb_strategy_v3 [-1] 0.62445 None 0.623025 0.623 0.62305 0.62305 0.62305 -0.001425 -0.000025 0.00005 -0.0 NaN 0.000025 9539 JPY caleb_strategy_v3 [1] 0.007066 None 0.006984 0.006985 0.006984 0.006984 0.006985 0.000082 -0.0 -0.0 -0.000001 NaN -0.000001 9538 RUSSELL caleb_strategy_v3 [-1] 1981.6 None 1980.0 1979.9 1980.1 1980.1 1980.1 -1.6 -0.1 0.2 -0.0 NaN 0.1 9541 RUSSELL caleb_strategy_v3 [-1] 1981.6 None 1980.0 1979.9 1980.1 1980.1 1982.2 -1.6 -0.1 2.3 2.1 NaN 2.2 9543 RUSSELL caleb_strategy_v3 [-1] 1981.6 None 1982.35 1982.3 1982.4 1982.4 1983.0 0.75 -0.05 0.7 0.6 NaN 0.65 9536 BITCOIN caleb_strategy_v3 [-1] 43020.0 None 44230.0 44225.0 44235.0 44235.0 44235.0 1210.0 -5.0 10.0 -0.0 NaN 5.0 9540 BITCOIN caleb_strategy_v3 [-1] 43020.0 None 44237.5 44230.0 44245.0 44245.0 44220.0 1217.5 -7.5 -10.0 -25.0 NaN -17.5 9542 BITCOIN caleb_strategy_v3 [-1] 43020.0 None 44220.0 44215.0 44225.0 44225.0 44215.0 1200.0 -5.0 -0.0 -10.0 NaN -5.0 9544 BITCOIN caleb_strategy_v3 [-1] 43020.0 None 44220.0 44215.0 44225.0 44225.0 44165.0 1200.0 -5.0 -50.0 -60.0 NaN -55.0 9545 BITCOIN caleb_strategy_v3 [-1] 43020.0 None 44170.0 44165.0 44175.0 44175.0 44145.0 1150.0 -5.0 -20.0 -30.0 NaN -25.0 9546 BITCOIN caleb_strategy_v3 [-1] 43020.0 None 44152.5 44145.0 44160.0 NaN 44170.0 1132.5 -7.5 25.0 NaN NaN 17.5 9547 LEANHOG caleb_strategy_v3 [-1] 72.05 None 72.5 72.5 72.5 72.5 72.85 0.45 -0.0 0.35 0.35 NaN 0.35 =============================================================================================================================================================== 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 9526 EUROSTX caleb_strategy_v3 [1] 541.253638 -46.189066 -9.237813 -18.475626 -36.951253 NaN -27.71344 9527 BTP caleb_strategy_v3 [-1] 12.458111 124.41694 -4.01345 8.026899 -0.0 NaN 4.01345 9528 EURIBOR-ICE caleb_strategy_v3 [-1] 1.162761 -107.502699 -21.50054 43.00108 -0.0 NaN 21.50054 9529 COFFEE caleb_strategy_v3 [-1] 75.910104 19.760215 -6.586738 -19.760215 -32.933692 NaN -26.346954 9530 GAS_US_mini caleb_strategy_v3 [1] 1.831558 -641.53049 -13.649585 0.0 -27.29917 NaN -13.649585 9531 GAS_US_mini caleb_strategy_v3 [1] 1.831558 -641.53049 -13.649585 0.0 NaN NaN -13.649585 9532 SP400 caleb_strategy_v3 [-1] 526.669606 -78.797029 -4.746809 9.493618 -0.0 NaN 4.746809 9533 US30 caleb_strategy_v3 [-1] 23.62671 -800.20663 -6.613278 -13.226556 -26.453112 NaN -19.839834 9534 DOW caleb_strategy_v3 [-1] 3876.79287 181.851346 -1.289726 2.579452 -0.0 NaN 1.289726 9535 US10 caleb_strategy_v3 [1] 8.356936 682.442144 -9.348523 -18.697045 -37.39409 NaN -28.045568 9537 NZD caleb_strategy_v3 [-1] 0.055415 -257.152475 -4.511447 9.022894 -0.0 NaN 4.511447 9539 JPY caleb_strategy_v3 [1] 0.000807 1018.845121 -3.096794 -6.193587 -12.387175 NaN -9.290381 9538 RUSSELL caleb_strategy_v3 [-1] 457.2044 -34.995289 -2.187206 4.374411 -0.0 NaN 2.187206 9541 RUSSELL caleb_strategy_v3 [-1] 457.2044 -34.995289 -2.187206 50.305728 45.931317 NaN 48.118522 9543 RUSSELL caleb_strategy_v3 [-1] 457.2044 16.404042 -1.093603 15.310439 13.123233 NaN 14.216836 9536 BITCOIN caleb_strategy_v3 [-1] 19453.088091 622.009212 -2.570286 5.140572 -0.0 NaN 2.570286 9540 BITCOIN caleb_strategy_v3 [-1] 19453.088091 625.864641 -3.855429 -5.140572 -12.85143 NaN -8.996001 9542 BITCOIN caleb_strategy_v3 [-1] 19453.088091 616.86864 -2.570286 -0.0 -5.140572 NaN -2.570286 9544 BITCOIN caleb_strategy_v3 [-1] 19453.088091 616.86864 -2.570286 -25.70286 -30.843432 NaN -28.273146 9545 BITCOIN caleb_strategy_v3 [-1] 19453.088091 591.16578 -2.570286 -10.281144 -15.421716 NaN -12.85143 9546 BITCOIN caleb_strategy_v3 [-1] 19453.088091 582.169779 -3.855429 12.85143 NaN NaN 8.996001 9547 LEANHOG caleb_strategy_v3 [-1] 22.319474 201.617658 -0.0 156.813734 156.813734 NaN 156.813734 ======================================================================================================================================================================= 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 9526 EUROSTX caleb_strategy_v3 [1] 10.931 -27.3275 -5.4655 -10.931 -21.862 NaN -16.3965 9527 BTP caleb_strategy_v3 [-1] 1093.1 169.4305 -5.4655 10.931 -0.0 NaN 5.4655 9528 EURIBOR-ICE caleb_strategy_v3 [-1] 2732.75 -34.159375 -6.831875 13.66375 -0.0 NaN 6.831875 9529 COFFEE caleb_strategy_v3 [-1] 375.0 56.25 -18.75 -56.25 -93.75 NaN -75.0 9530 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -293.75 -6.25 0.0 -12.5 NaN -6.25 9531 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -293.75 -6.25 0.0 NaN NaN -6.25 9532 SP400 caleb_strategy_v3 [-1] 100.0 -415.0 -25.0 50.0 -0.0 NaN 25.0 9533 US30 caleb_strategy_v3 [-1] 1000.0 -1890.625 -15.625 -31.25 -62.5 NaN -46.875 9534 DOW caleb_strategy_v3 [-1] 0.5 35.25 -0.25 0.5 -0.0 NaN 0.25 9535 US10 caleb_strategy_v3 [1] 1000.0 570.3125 -7.8125 -15.625 -31.25 NaN -23.4375 9537 NZD caleb_strategy_v3 [-1] 100000.0 -142.5 -2.5 5.0 -0.0 NaN 2.5 9539 JPY caleb_strategy_v3 [1] 12500000.0 1028.125 -3.125 -6.25 -12.5 NaN -9.375 9538 RUSSELL caleb_strategy_v3 [-1] 5.0 -8.0 -0.5 1.0 -0.0 NaN 0.5 9541 RUSSELL caleb_strategy_v3 [-1] 5.0 -8.0 -0.5 11.5 10.5 NaN 11.0 9543 RUSSELL caleb_strategy_v3 [-1] 5.0 3.75 -0.25 3.5 3.0 NaN 3.25 9536 BITCOIN caleb_strategy_v3 [-1] 0.1 121.0 -0.5 1.0 -0.0 NaN 0.5 9540 BITCOIN caleb_strategy_v3 [-1] 0.1 121.75 -0.75 -1.0 -2.5 NaN -1.75 9542 BITCOIN caleb_strategy_v3 [-1] 0.1 120.0 -0.5 -0.0 -1.0 NaN -0.5 9544 BITCOIN caleb_strategy_v3 [-1] 0.1 120.0 -0.5 -5.0 -6.0 NaN -5.5 9545 BITCOIN caleb_strategy_v3 [-1] 0.1 115.0 -0.5 -2.0 -3.0 NaN -2.5 9546 BITCOIN caleb_strategy_v3 [-1] 0.1 113.25 -0.75 2.5 NaN NaN 1.75 9547 LEANHOG caleb_strategy_v3 [-1] 400.0 180.0 -0.0 140.0 140.0 NaN 140.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 711.0 BTP 169.4305 COFFEE 56.25 DOW 35.25 EURIBOR-ICE -34.159375 EUROSTX -27.3275 GAS_US_mini -587.5 JPY 1028.125 LEANHOG 180.0 NZD -142.5 RUSSELL -12.25 SP400 -415.0 US10 570.3125 US30 -1890.625 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -358.993875 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -3.5 BTP -5.4655 COFFEE -18.75 DOW -0.25 EURIBOR-ICE -6.831875 EUROSTX -5.4655 GAS_US_mini -12.5 JPY -3.125 LEANHOG -0.0 NZD -2.5 RUSSELL -1.25 SP400 -25.0 US10 -7.8125 US30 -15.625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -108.075375 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -4.5 BTP 10.931 COFFEE -56.25 DOW 0.5 EURIBOR-ICE 13.66375 EUROSTX -10.931 GAS_US_mini 0.0 JPY -6.25 LEANHOG 140.0 NZD 5.0 RUSSELL 16.0 SP400 50.0 US10 -15.625 US30 -31.25 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 111.28875 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -12.5 BTP -0.0 COFFEE -93.75 DOW -0.0 EURIBOR-ICE -0.0 EUROSTX -21.862 GAS_US_mini -12.5 JPY -12.5 LEANHOG 140.0 NZD -0.0 RUSSELL 13.5 SP400 -0.0 US10 -31.25 US30 -62.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -93.362 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0 BTP 0 COFFEE 0 DOW 0 EURIBOR-ICE 0 EUROSTX 0 GAS_US_mini 0 JPY 0 LEANHOG 0 NZD 0 RUSSELL 0 SP400 0 US10 0 US30 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 BITCOIN -8.0 BTP 5.4655 COFFEE -75.0 DOW 0.25 EURIBOR-ICE 6.831875 EUROSTX -16.3965 GAS_US_mini -12.5 JPY -9.375 LEANHOG 140.0 NZD 2.5 RUSSELL 14.75 SP400 25.0 US10 -23.4375 US30 -46.875 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 3.213375 ******************************************************************************** END OF REPORT ********************************************************************************