******************************************************************************** Trades report produced on 05/01/2024 21:36 from 04/01/2024 21:36 to 05/01/2024 21:36 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9554 BUXL caleb_strategy_v3 [20240300] 2024-01-05 08:00:38 [-1] 138.820000 9564 COCOA caleb_strategy_v3 [20240500] 2024-01-05 14:02:04 [-1] 4219.000000 9560 COCOA caleb_strategy_v3 [20240500] 2024-01-05 14:01:36 [-1] 4218.000000 9562 COPPER caleb_strategy_v3 [20240300] 2024-01-05 14:01:39 [-1] 3.851500 9563 CRUDE_W caleb_strategy_v3 [20241200] 2024-01-05 14:01:40 [1] 71.400000 9558 EURIBOR-ICE caleb_strategy_v3 [20251200] 2024-01-05 09:03:39 [1] 97.940000 9555 EURIBOR-ICE caleb_strategy_v3 [20251200] 2024-01-05 09:00:34 [1] 97.945000 9556 EURIBOR-ICE caleb_strategy_v3 [20251200] 2024-01-05 09:01:55 [1] 97.950000 9557 EURIBOR-ICE caleb_strategy_v3 [20251200] 2024-01-05 09:02:38 [1] 97.945000 9559 EURIBOR-ICE caleb_strategy_v3 [20251200] 2024-01-05 09:05:27 [1] 97.935000 9553 EUROSTX caleb_strategy_v3 [20240300] 2024-01-05 08:00:36 [-1] 4465.000000 9570 JPY caleb_strategy_v3 [20240300] 2024-01-05 15:01:10 [-1] 0.007001 9572 JPY caleb_strategy_v3 [20240300] 2024-01-05 15:01:58 [-1] 0.007005 9571 MXP caleb_strategy_v3 [20240300] 2024-01-05 15:01:57 [1] 0.058510 9566 MXP caleb_strategy_v3 [20240300] 2024-01-05 15:00:58 [1] 0.058490 9565 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-01-05 15:00:57 [-1] 16495.500000 9552 NIKKEI caleb_strategy_v3 [20240300] 2024-01-05 03:05:31 [1] 33485.000000 9551 NIKKEI caleb_strategy_v3 [20240300] 2024-01-05 03:04:21 [1] 33485.000000 9550 NIKKEI caleb_strategy_v3 [20240300] 2024-01-05 03:03:16 [1] 33490.000000 9549 NIKKEI caleb_strategy_v3 [20240300] 2024-01-05 03:02:31 [1] 33485.000000 9548 NIKKEI caleb_strategy_v3 [20240300] 2024-01-05 03:01:58 [1] 33480.000000 9561 PLAT caleb_strategy_v3 [20240400] 2024-01-05 14:01:39 [-1] 966.700000 9568 RUSSELL caleb_strategy_v3 [20240300] 2024-01-05 15:01:01 [-1] 1980.200000 9573 SOYMEAL caleb_strategy_v3 [20240500] 2024-01-05 15:31:01 [1] 372.200000 9567 US30 caleb_strategy_v3 [20240300] 2024-01-05 15:01:00 [1] 130.281250 9569 VIX caleb_strategy_v3 [20240300] 2024-01-05 15:01:10 [-1] 16.100000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9548 NIKKEI caleb_strategy_v3 2024-01-04 2024-01-05 03:01:16.186 2024-01-05 03:01:58 97276.186 41.814 9549 NIKKEI caleb_strategy_v3 2024-01-04 2024-01-05 03:02:16.282 2024-01-05 03:02:31 97336.282 14.718 9550 NIKKEI caleb_strategy_v3 2024-01-04 2024-01-05 03:03:16.312 2024-01-05 03:03:16 97396.312 NaN 9551 NIKKEI caleb_strategy_v3 2024-01-04 2024-01-05 03:04:16.382 2024-01-05 03:04:21 97456.382 4.618 9552 NIKKEI caleb_strategy_v3 2024-01-04 2024-01-05 03:05:16.862 2024-01-05 03:05:31 97516.862 14.138 9553 EUROSTX caleb_strategy_v3 2024-01-04 2024-01-05 08:00:32.918 2024-01-05 08:00:36 115232.918 3.082 9554 BUXL caleb_strategy_v3 2024-01-04 2024-01-05 08:00:36.706 2024-01-05 08:00:38 115236.706 1.294 9555 EURIBOR-ICE caleb_strategy_v3 2024-01-04 2024-01-05 09:00:34.301 2024-01-05 09:00:34 118834.301 NaN 9556 EURIBOR-ICE caleb_strategy_v3 2024-01-04 2024-01-05 09:01:34.158 2024-01-05 09:01:55 118894.158 20.842 9557 EURIBOR-ICE caleb_strategy_v3 2024-01-04 2024-01-05 09:02:34.075 2024-01-05 09:02:38 118954.075 3.925 9558 EURIBOR-ICE caleb_strategy_v3 2024-01-04 2024-01-05 09:03:34.213 2024-01-05 09:03:39 119014.213 4.787 9559 EURIBOR-ICE caleb_strategy_v3 2024-01-04 2024-01-05 09:04:34.235 2024-01-05 09:05:27 119074.235 52.765 9561 PLAT caleb_strategy_v3 2024-01-04 2024-01-05 14:01:36.671 2024-01-05 14:01:39 136896.671 2.329 9562 COPPER caleb_strategy_v3 2024-01-04 2024-01-05 14:01:39.578 2024-01-05 14:01:39 136899.578 NaN 9563 CRUDE_W caleb_strategy_v3 2024-01-04 2024-01-05 14:01:40.447 2024-01-05 14:01:40 136900.447 NaN 9560 COCOA caleb_strategy_v3 2024-01-04 2024-01-05 14:00:54.630 2024-01-05 14:01:36 136854.63 41.37 9564 COCOA caleb_strategy_v3 2024-01-04 2024-01-05 14:01:54.588 2024-01-05 14:02:04 136914.588 9.412 9565 NASDAQ_micro caleb_strategy_v3 2024-01-04 2024-01-05 15:00:57.554 2024-01-05 15:00:57 140457.554 NaN 9567 US30 caleb_strategy_v3 2024-01-04 2024-01-05 15:00:59.304 2024-01-05 15:01:00 140459.304 0.696 9568 RUSSELL caleb_strategy_v3 2024-01-04 2024-01-05 15:01:01.406 2024-01-05 15:01:01 140461.406 NaN 9569 VIX caleb_strategy_v3 2024-01-04 2024-01-05 15:01:02.237 2024-01-05 15:01:10 140462.237 7.763 9571 MXP caleb_strategy_v3 2024-01-04 2024-01-05 15:01:57.489 2024-01-05 15:01:57 140517.489 NaN 9566 MXP caleb_strategy_v3 2024-01-04 2024-01-05 15:00:58.414 2024-01-05 15:00:58 140458.414 NaN 9570 JPY caleb_strategy_v3 2024-01-04 2024-01-05 15:01:10.651 2024-01-05 15:01:10 140470.651 NaN 9572 JPY caleb_strategy_v3 2024-01-04 2024-01-05 15:01:58.216 2024-01-05 15:01:58 140518.216 NaN 9573 SOYMEAL caleb_strategy_v3 2024-01-04 2024-01-05 15:30:59.190 2024-01-05 15:31:01 142259.19 1.81 ================================================================================================================================================================================================================================== 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 9548 NIKKEI caleb_strategy_v3 [1] 33315.0 None 33472.5 33475.0 33470.0 33470.0 33480.0 -157.5 -2.5 -5.0 -10.0 NaN -7.5 9549 NIKKEI caleb_strategy_v3 [1] 33315.0 None 33477.5 33480.0 33475.0 33475.0 33485.0 -162.5 -2.5 -5.0 -10.0 NaN -7.5 9550 NIKKEI caleb_strategy_v3 [1] 33315.0 None 33482.5 33485.0 33480.0 33480.0 33490.0 -167.5 -2.5 -5.0 -10.0 NaN -7.5 9551 NIKKEI caleb_strategy_v3 [1] 33315.0 None 33487.5 33490.0 33485.0 33485.0 33485.0 -172.5 -2.5 5.0 0.0 NaN 2.5 9552 NIKKEI caleb_strategy_v3 [1] 33315.0 None 33487.5 33490.0 33485.0 33485.0 33485.0 -172.5 -2.5 5.0 0.0 NaN 2.5 9553 EUROSTX caleb_strategy_v3 [-1] 4490.0 None 4464.5 4464.0 4465.0 4465.0 4465.0 -25.5 -0.5 1.0 -0.0 NaN 0.5 9554 BUXL caleb_strategy_v3 [-1] 138.9 None 138.81 138.8 138.82 138.82 138.82 -0.09 -0.01 0.02 -0.0 NaN 0.01 9555 EURIBOR-ICE caleb_strategy_v3 [1] 97.975 None 97.9425 97.945 97.94 NaN 97.945 0.0325 -0.0025 0.0 NaN NaN -0.0025 9556 EURIBOR-ICE caleb_strategy_v3 [1] 97.975 None 97.945 97.95 97.94 97.94 97.95 0.03 -0.005 0.0 -0.01 NaN -0.005 9557 EURIBOR-ICE caleb_strategy_v3 [1] 97.975 None 97.9475 97.95 97.945 97.945 97.945 0.0275 -0.0025 0.005 0.0 NaN 0.0025 9558 EURIBOR-ICE caleb_strategy_v3 [1] 97.975 None 97.9425 97.945 97.94 97.94 97.94 0.0325 -0.0025 0.005 0.0 NaN 0.0025 9559 EURIBOR-ICE caleb_strategy_v3 [1] 97.975 None 97.9375 97.94 97.935 97.935 97.935 0.0375 -0.0025 0.005 0.0 NaN 0.0025 9561 PLAT caleb_strategy_v3 [-1] 966.4 None 966.55 966.4 966.7 966.7 966.7 0.15 -0.15 0.3 -0.0 NaN 0.15 9562 COPPER caleb_strategy_v3 [-1] 3.8475 None 3.85175 3.8515 3.852 NaN 3.8515 0.00425 -0.00025 -0.0 NaN NaN -0.00025 9563 CRUDE_W caleb_strategy_v3 [1] 70.46 None 71.385 71.4 71.37 71.37 71.4 -0.925 -0.015 0.0 -0.03 NaN -0.015 9560 COCOA caleb_strategy_v3 [-1] 4229.0 None 4219.5 4219.0 4220.0 4220.0 4218.0 -9.5 -0.5 -1.0 -2.0 NaN -1.5 9564 COCOA caleb_strategy_v3 [-1] 4229.0 None 4218.5 4218.0 4219.0 4219.0 4219.0 -10.5 -0.5 1.0 -0.0 NaN 0.5 9565 NASDAQ_micro caleb_strategy_v3 [-1] 16505.5 None 16495.75 16495.5 16496.0 16496.0 16495.5 -9.75 -0.25 -0.0 -0.5 NaN -0.25 9567 US30 caleb_strategy_v3 [1] 130.78125 None 130.203125 130.21875 130.1875 130.1875 130.28125 0.578125 -0.015625 -0.0625 -0.09375 NaN -0.078125 9568 RUSSELL caleb_strategy_v3 [-1] 1980.3 None 1980.3 1980.2 1980.4 1980.4 1980.2 0.0 -0.1 -0.0 -0.2 NaN -0.1 9569 VIX caleb_strategy_v3 [-1] 16.4 None 16.075 16.05 16.1 16.1 16.1 -0.325 -0.025 0.05 -0.0 NaN 0.025 9571 MXP caleb_strategy_v3 [1] 0.05802 None 0.05848 0.05849 0.05847 0.05847 0.05851 -0.00046 -0.00001 -0.00002 -0.00004 NaN -0.00003 9566 MXP caleb_strategy_v3 [1] 0.05802 None 0.05848 0.05849 0.05847 0.05847 0.05849 -0.00046 -0.00001 0.0 -0.00002 NaN -0.00001 9570 JPY caleb_strategy_v3 [-1] 0.006997 None 0.007 0.007 0.007 0.007 0.007001 0.000004 -0.0 0.000001 0.000001 NaN 0.000001 9572 JPY caleb_strategy_v3 [-1] 0.006997 None 0.007001 0.007 0.007001 0.007001 0.007005 0.000004 -0.0 0.000005 0.000004 NaN 0.000004 9573 SOYMEAL caleb_strategy_v3 [1] 375.9 None 372.1 372.2 372.0 372.0 372.2 3.8 -0.1 0.0 -0.2 NaN -0.1 ============================================================================================================================================================== 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 9548 NIKKEI caleb_strategy_v3 [1] 4573.004932 -344.412487 -5.466865 -10.93373 -21.867459 NaN -16.400595 9549 NIKKEI caleb_strategy_v3 [1] 4573.004932 -355.346216 -5.466865 -10.93373 -21.867459 NaN -16.400595 9550 NIKKEI caleb_strategy_v3 [1] 4573.004932 -366.279946 -5.466865 -10.93373 -21.867459 NaN -16.400595 9551 NIKKEI caleb_strategy_v3 [1] 4573.004932 -377.213676 -5.466865 10.93373 0.0 NaN 5.466865 9552 NIKKEI caleb_strategy_v3 [1] 4573.004932 -377.213676 -5.466865 10.93373 0.0 NaN 5.466865 9553 EUROSTX caleb_strategy_v3 [-1] 543.641752 -469.058896 -9.197233 18.394466 -0.0 NaN 9.197233 9554 BUXL caleb_strategy_v3 [-1] 27.024617 -33.30297 -3.70033 7.40066 -0.0 NaN 3.70033 9555 EURIBOR-ICE caleb_strategy_v3 [1] 1.163516 279.325783 -21.486599 0.0 NaN NaN -21.486599 9556 EURIBOR-ICE caleb_strategy_v3 [1] 1.163516 257.839185 -42.973197 0.0 -85.946395 NaN -42.973197 9557 EURIBOR-ICE caleb_strategy_v3 [1] 1.163516 236.352586 -21.486599 42.973197 0.0 NaN 21.486599 9558 EURIBOR-ICE caleb_strategy_v3 [1] 1.163516 279.325783 -21.486599 42.973197 0.0 NaN 21.486599 9559 EURIBOR-ICE caleb_strategy_v3 [1] 1.163516 322.298981 -21.486599 42.973197 0.0 NaN 21.486599 9561 PLAT caleb_strategy_v3 [-1] 239.692283 6.258024 -6.258024 12.516047 -0.0 NaN 6.258024 9562 COPPER caleb_strategy_v3 [-1] 0.723277 58.760313 -3.456489 -0.0 NaN NaN -3.456489 9563 CRUDE_W caleb_strategy_v3 [1] 21.173116 -436.874758 -7.084456 0.0 -14.168911 NaN -7.084456 9560 COCOA caleb_strategy_v3 [-1] 655.633562 -144.898013 -7.626211 -15.252422 -30.504845 NaN -22.878634 9564 COCOA caleb_strategy_v3 [-1] 655.633562 -160.150435 -7.626211 15.252422 -0.0 NaN 7.626211 9565 NASDAQ_micro caleb_strategy_v3 [-1] 2442.226721 -39.922583 -1.023656 -0.0 -2.047312 NaN -1.023656 9567 US30 caleb_strategy_v3 [1] 23.796634 242.944024 -6.566055 -26.264219 -39.396328 NaN -32.830273 9568 RUSSELL caleb_strategy_v3 [-1] 447.466873 0.0 -2.234802 -0.0 -4.469605 NaN -2.234802 9569 VIX caleb_strategy_v3 [-1] 6.964184 -466.6735 -35.897962 71.795923 -0.0 NaN 35.897962 9571 MXP caleb_strategy_v3 [1] 0.00552 -833.326602 -18.115796 -36.231591 -72.463183 NaN -54.347387 9566 MXP caleb_strategy_v3 [1] 0.00552 -833.326602 -18.115796 0.0 -36.231591 NaN -18.115796 9570 JPY caleb_strategy_v3 [-1] 0.000813 46.124412 -3.074961 12.299843 6.149922 NaN 9.224882 9572 JPY caleb_strategy_v3 [-1] 0.000813 52.274334 -3.074961 55.349295 49.199373 NaN 52.274334 9573 SOYMEAL caleb_strategy_v3 [1] 84.231438 451.137972 -11.872052 0.0 -23.744104 NaN -11.872052 ======================================================================================================================================================================== 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 9548 NIKKEI caleb_strategy_v3 [1] 0.688966 -108.512177 -1.722416 -3.444831 -6.889662 NaN -5.167247 9549 NIKKEI caleb_strategy_v3 [1] 0.688966 -111.957009 -1.722416 -3.444831 -6.889662 NaN -5.167247 9550 NIKKEI caleb_strategy_v3 [1] 0.688966 -115.40184 -1.722416 -3.444831 -6.889662 NaN -5.167247 9551 NIKKEI caleb_strategy_v3 [1] 0.688966 -118.846671 -1.722416 3.444831 0.0 NaN 1.722416 9552 NIKKEI caleb_strategy_v3 [1] 0.688966 -118.846671 -1.722416 3.444831 0.0 NaN 1.722416 9553 EUROSTX caleb_strategy_v3 [-1] 10.927 -278.6385 -5.4635 10.927 -0.0 NaN 5.4635 9554 BUXL caleb_strategy_v3 [-1] 1092.7 -98.343 -10.927 21.854 -0.0 NaN 10.927 9555 EURIBOR-ICE caleb_strategy_v3 [1] 2731.75 88.781875 -6.829375 0.0 NaN NaN -6.829375 9556 EURIBOR-ICE caleb_strategy_v3 [1] 2731.75 81.9525 -13.65875 0.0 -27.3175 NaN -13.65875 9557 EURIBOR-ICE caleb_strategy_v3 [1] 2731.75 75.123125 -6.829375 13.65875 0.0 NaN 6.829375 9558 EURIBOR-ICE caleb_strategy_v3 [1] 2731.75 88.781875 -6.829375 13.65875 0.0 NaN 6.829375 9559 EURIBOR-ICE caleb_strategy_v3 [1] 2731.75 102.440625 -6.829375 13.65875 0.0 NaN 6.829375 9561 PLAT caleb_strategy_v3 [-1] 50.0 7.5 -7.5 15.0 -0.0 NaN 7.5 9562 COPPER caleb_strategy_v3 [-1] 25000.0 106.25 -6.25 -0.0 NaN NaN -6.25 9563 CRUDE_W caleb_strategy_v3 [1] 1000.0 -925.0 -15.0 0.0 -30.0 NaN -15.0 9560 COCOA caleb_strategy_v3 [-1] 10.0 -95.0 -5.0 -10.0 -20.0 NaN -15.0 9564 COCOA caleb_strategy_v3 [-1] 10.0 -105.0 -5.0 10.0 -0.0 NaN 5.0 9565 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -19.5 -0.5 -0.0 -1.0 NaN -0.5 9567 US30 caleb_strategy_v3 [1] 1000.0 578.125 -15.625 -62.5 -93.75 NaN -78.125 9568 RUSSELL caleb_strategy_v3 [-1] 5.0 0.0 -0.5 -0.0 -1.0 NaN -0.5 9569 VIX caleb_strategy_v3 [-1] 1000.0 -325.0 -25.0 50.0 -0.0 NaN 25.0 9571 MXP caleb_strategy_v3 [1] 500000.0 -230.0 -5.0 -10.0 -20.0 NaN -15.0 9566 MXP caleb_strategy_v3 [1] 500000.0 -230.0 -5.0 0.0 -10.0 NaN -5.0 9570 JPY caleb_strategy_v3 [-1] 12500000.0 46.875 -3.125 12.5 6.25 NaN 9.375 9572 JPY caleb_strategy_v3 [-1] 12500000.0 53.125 -3.125 56.25 50.0 NaN 53.125 9573 SOYMEAL caleb_strategy_v3 [1] 100.0 380.0 -10.0 0.0 -20.0 NaN -10.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BUXL -98.343 COCOA -200.0 COPPER 106.25 CRUDE_W -925.0 EURIBOR-ICE 437.08 EUROSTX -278.6385 JPY 100.0 MXP -460.0 NASDAQ_micro -19.5 NIKKEI -573.564367 PLAT 7.5 RUSSELL 0.0 SOYMEAL 380.0 US30 578.125 VIX -325.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1271.090867 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BUXL -10.927 COCOA -10.0 COPPER -6.25 CRUDE_W -15.0 EURIBOR-ICE -40.97625 EUROSTX -5.4635 JPY -6.25 MXP -10.0 NASDAQ_micro -0.5 NIKKEI -8.612078 PLAT -7.5 RUSSELL -0.5 SOYMEAL -10.0 US30 -15.625 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -172.603828 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BUXL 21.854 COCOA 0.0 COPPER -0.0 CRUDE_W 0.0 EURIBOR-ICE 40.97625 EUROSTX 10.927 JPY 68.75 MXP -10.0 NASDAQ_micro -0.0 NIKKEI -3.444831 PLAT 15.0 RUSSELL -0.0 SOYMEAL 0.0 US30 -62.5 VIX 50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 131.562419 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BUXL -0.0 COCOA -20.0 COPPER 0 CRUDE_W -30.0 EURIBOR-ICE -27.3175 EUROSTX -0.0 JPY 56.25 MXP -30.0 NASDAQ_micro -1.0 NIKKEI -20.668986 PLAT -0.0 RUSSELL -1.0 SOYMEAL -20.0 US30 -93.75 VIX -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -187.486486 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BUXL 0 COCOA 0 COPPER 0 CRUDE_W 0 EURIBOR-ICE 0 EUROSTX 0 JPY 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 PLAT 0 RUSSELL 0 SOYMEAL 0 US30 0 VIX 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 BUXL 10.927 COCOA -10.0 COPPER -6.25 CRUDE_W -15.0 EURIBOR-ICE -0.0 EUROSTX 5.4635 JPY 62.5 MXP -20.0 NASDAQ_micro -0.5 NIKKEI -12.056909 PLAT 7.5 RUSSELL -0.5 SOYMEAL -10.0 US30 -78.125 VIX 25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -41.041409 ******************************************************************************** END OF REPORT ********************************************************************************