******************************************************************************** Trades report produced on 09/01/2024 21:36 from 08/01/2024 21:36 to 09/01/2024 21:36 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9612 BOBL caleb_strategy_v3 [20240300] 2024-01-09 08:00:49 [-1] 118.35000 9617 CHF caleb_strategy_v3 [20240300] 2024-01-09 15:01:09 [1] 1.18365 9620 CHF caleb_strategy_v3 [20240300] 2024-01-09 15:02:00 [1] 1.18380 9613 EURIBOR-ICE caleb_strategy_v3 [20251200] 2024-01-09 09:00:47 [-1] 97.89500 9614 GAS_US_mini caleb_strategy_v3 [20240300] 2024-01-09 14:00:59 [1] 2.67500 9615 GAS_US_mini caleb_strategy_v3 [20240300] 2024-01-09 14:01:58 [1] 2.67500 9611 JGB-SGX-mini caleb_strategy_v3 [20240300] 2024-01-09 03:06:16 [1] 146.98000 9616 MXP caleb_strategy_v3 [20240300] 2024-01-09 15:01:03 [1] 0.05859 9619 MXP caleb_strategy_v3 [20240300] 2024-01-09 15:02:00 [1] 0.05860 9621 MXP caleb_strategy_v3 [20240300] 2024-01-09 15:03:00 [1] 0.05859 9622 MXP caleb_strategy_v3 [20240300] 2024-01-09 15:04:00 [1] 0.05857 9623 MXP caleb_strategy_v3 [20240300] 2024-01-09 15:05:00 [1] 0.05858 9624 MXP caleb_strategy_v3 [20240300] 2024-01-09 15:06:05 [1] 0.05857 9618 SP500_micro caleb_strategy_v3 [20240300] 2024-01-09 15:01:12 [1] 4775.75000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9611 JGB-SGX-mini caleb_strategy_v3 2024-01-08 2024-01-09 03:01:16.594 2024-01-09 03:06:16 97276.594 299.406 9612 BOBL caleb_strategy_v3 2024-01-08 2024-01-09 08:00:43.942 2024-01-09 08:00:49 115243.942 5.058 9613 EURIBOR-ICE caleb_strategy_v3 2024-01-08 2024-01-09 09:00:46.841 2024-01-09 09:00:47 118846.841 0.159 9614 GAS_US_mini caleb_strategy_v3 2024-01-08 2024-01-09 14:00:57.878 2024-01-09 14:00:59 136857.878 1.122 9615 GAS_US_mini caleb_strategy_v3 2024-01-08 2024-01-09 14:01:57.564 2024-01-09 14:01:58 136917.564 0.436 9618 SP500_micro caleb_strategy_v3 2024-01-08 2024-01-09 15:01:10.550 2024-01-09 15:01:12 140470.55 1.45 9617 CHF caleb_strategy_v3 2024-01-08 2024-01-09 15:01:03.838 2024-01-09 15:01:09 140463.838 5.162 9620 CHF caleb_strategy_v3 2024-01-08 2024-01-09 15:02:00.636 2024-01-09 15:02:00 140520.636 NaN 9616 MXP caleb_strategy_v3 2024-01-08 2024-01-09 15:00:59.950 2024-01-09 15:01:03 140459.95 3.05 9619 MXP caleb_strategy_v3 2024-01-08 2024-01-09 15:01:59.889 2024-01-09 15:02:00 140519.889 0.111 9621 MXP caleb_strategy_v3 2024-01-08 2024-01-09 15:03:00.071 2024-01-09 15:03:00 140580.071 NaN 9622 MXP caleb_strategy_v3 2024-01-08 2024-01-09 15:04:00.095 2024-01-09 15:04:00 140640.095 NaN 9623 MXP caleb_strategy_v3 2024-01-08 2024-01-09 15:05:00.156 2024-01-09 15:05:00 140700.156 NaN 9624 MXP caleb_strategy_v3 2024-01-08 2024-01-09 15:06:00.215 2024-01-09 15:06:05 140760.215 4.785 ================================================================================================================================================================================================================================ 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 9611 JGB-SGX-mini caleb_strategy_v3 [1] 147.07 None 146.97 146.98 146.96 146.96 146.98 0.1 -0.01 0.0 -0.02 NaN -0.01 9612 BOBL caleb_strategy_v3 [-1] 118.49 None 118.345 118.34 118.35 118.35 118.35 -0.145 -0.005 0.01 -0.0 NaN 0.005 9613 EURIBOR-ICE caleb_strategy_v3 [-1] 97.945 None 97.8975 97.895 97.9 NaN 97.895 -0.0475 -0.0025 -0.0 NaN NaN -0.0025 9614 GAS_US_mini caleb_strategy_v3 [1] 2.6 None 2.6725 2.675 2.67 2.67 2.675 -0.0725 -0.0025 0.0 -0.005 NaN -0.0025 9615 GAS_US_mini caleb_strategy_v3 [1] 2.6 None 2.6725 2.675 2.67 NaN 2.675 -0.0725 -0.0025 0.0 NaN NaN -0.0025 9618 SP500_micro caleb_strategy_v3 [1] 4790.25 None 4775.625 4775.75 4775.5 4775.5 4775.75 14.625 -0.125 0.0 -0.25 NaN -0.125 9617 CHF caleb_strategy_v3 [1] 1.1886 None 1.18355 1.1836 1.1835 1.1835 1.18365 0.00505 -0.00005 -0.00005 -0.00015 NaN -0.0001 9620 CHF caleb_strategy_v3 [1] 1.1886 None 1.1836 1.18365 1.18355 1.18355 1.1838 0.005 -0.00005 -0.00015 -0.00025 NaN -0.0002 9616 MXP caleb_strategy_v3 [1] 0.05876 None 0.058595 0.0586 0.05859 0.05859 0.05859 0.000165 -0.000005 0.00001 0.0 NaN 0.000005 9619 MXP caleb_strategy_v3 [1] 0.05876 None 0.058585 0.05859 0.05858 0.05858 0.0586 0.000175 -0.000005 -0.00001 -0.00002 NaN -0.000015 9621 MXP caleb_strategy_v3 [1] 0.05876 None 0.058595 0.0586 0.05859 0.05859 0.05859 0.000165 -0.000005 0.00001 0.0 NaN 0.000005 9622 MXP caleb_strategy_v3 [1] 0.05876 None 0.058585 0.05859 0.05858 0.05858 0.05857 0.000175 -0.000005 0.00002 0.00001 NaN 0.000015 9623 MXP caleb_strategy_v3 [1] 0.05876 None 0.058565 0.05857 0.05856 0.05856 0.05858 0.000195 -0.000005 -0.00001 -0.00002 NaN -0.000015 9624 MXP caleb_strategy_v3 [1] 0.05876 None 0.058555 0.05856 0.05855 0.05855 0.05857 0.000205 -0.000005 -0.00001 -0.00002 NaN -0.000015 ============================================================================================================================================================== 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 9611 JGB-SGX-mini caleb_strategy_v3 [1] 5.057821 197.71359 -19.771359 0.0 -39.542718 NaN -19.771359 9612 BOBL caleb_strategy_v3 [-1] 5.474071 -264.885152 -9.133971 18.267942 -0.0 NaN 9.133971 9613 EURIBOR-ICE caleb_strategy_v3 [-1] 1.117614 -425.012561 -22.369082 -0.0 NaN NaN -22.369082 9614 GAS_US_mini caleb_strategy_v3 [1] 1.847581 -392.404973 -13.531206 0.0 -27.062412 NaN -13.531206 9615 GAS_US_mini caleb_strategy_v3 [1] 1.847581 -392.404973 -13.531206 0.0 NaN NaN -13.531206 9618 SP500_micro caleb_strategy_v3 [1] 575.760705 254.011777 -2.171041 0.0 -4.342082 NaN -2.171041 9617 CHF caleb_strategy_v3 [1] 0.08262 611.230765 -6.05179 -6.05179 -18.155369 NaN -12.103579 9620 CHF caleb_strategy_v3 [1] 0.08262 605.178975 -6.05179 -18.155369 -30.258949 NaN -24.207159 9616 MXP caleb_strategy_v3 [1] 0.005702 289.382977 -8.769181 17.538362 0.0 NaN 8.769181 9619 MXP caleb_strategy_v3 [1] 0.005702 306.921339 -8.769181 -17.538362 -35.076724 NaN -26.307543 9621 MXP caleb_strategy_v3 [1] 0.005702 289.382977 -8.769181 17.538362 0.0 NaN 8.769181 9622 MXP caleb_strategy_v3 [1] 0.005702 306.921339 -8.769181 35.076724 17.538362 NaN 26.307543 9623 MXP caleb_strategy_v3 [1] 0.005702 341.998063 -8.769181 -17.538362 -35.076724 NaN -26.307543 9624 MXP caleb_strategy_v3 [1] 0.005702 359.536426 -8.769181 -17.538362 -35.076724 NaN -26.307543 ======================================================================================================================================================================== 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 9611 JGB-SGX-mini caleb_strategy_v3 [1] 694.30944 69.430944 -6.943094 0.0 -13.886189 NaN -6.943094 9612 BOBL caleb_strategy_v3 [-1] 1094.95 -158.76775 -5.47475 10.9495 -0.0 NaN 5.47475 9613 EURIBOR-ICE caleb_strategy_v3 [-1] 2737.375 -130.025312 -6.843438 -0.0 NaN NaN -6.843438 9614 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -181.25 -6.25 0.0 -12.5 NaN -6.25 9615 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -181.25 -6.25 0.0 NaN NaN -6.25 9618 SP500_micro caleb_strategy_v3 [1] 5.0 73.125 -0.625 0.0 -1.25 NaN -0.625 9617 CHF caleb_strategy_v3 [1] 125000.0 631.25 -6.25 -6.25 -18.75 NaN -12.5 9620 CHF caleb_strategy_v3 [1] 125000.0 625.0 -6.25 -18.75 -31.25 NaN -25.0 9616 MXP caleb_strategy_v3 [1] 500000.0 82.5 -2.5 5.0 0.0 NaN 2.5 9619 MXP caleb_strategy_v3 [1] 500000.0 87.5 -2.5 -5.0 -10.0 NaN -7.5 9621 MXP caleb_strategy_v3 [1] 500000.0 82.5 -2.5 5.0 0.0 NaN 2.5 9622 MXP caleb_strategy_v3 [1] 500000.0 87.5 -2.5 10.0 5.0 NaN 7.5 9623 MXP caleb_strategy_v3 [1] 500000.0 97.5 -2.5 -5.0 -10.0 NaN -7.5 9624 MXP caleb_strategy_v3 [1] 500000.0 102.5 -2.5 -5.0 -10.0 NaN -7.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BOBL -158.76775 CHF 1256.25 EURIBOR-ICE -130.025312 GAS_US_mini -362.5 JGB-SGX-mini 69.430944 MXP 540.0 SP500_micro 73.125 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1287.512881 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BOBL -5.47475 CHF -12.5 EURIBOR-ICE -6.843438 GAS_US_mini -12.5 JGB-SGX-mini -6.943094 MXP -15.0 SP500_micro -0.625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -59.886282 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BOBL 10.9495 CHF -25.0 EURIBOR-ICE -0.0 GAS_US_mini 0.0 JGB-SGX-mini 0.0 MXP 5.0 SP500_micro 0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -9.0505 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL -0.0 CHF -50.0 EURIBOR-ICE 0 GAS_US_mini -12.5 JGB-SGX-mini -13.886189 MXP -25.0 SP500_micro -1.25 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -102.636189 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0 CHF 0 EURIBOR-ICE 0 GAS_US_mini 0 JGB-SGX-mini 0 MXP 0 SP500_micro 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 BOBL 5.47475 CHF -37.5 EURIBOR-ICE -6.843438 GAS_US_mini -12.5 JGB-SGX-mini -6.943094 MXP -10.0 SP500_micro -0.625 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -68.936782 ******************************************************************************** END OF REPORT ********************************************************************************