******************************************************************************** Trades report produced on 23/01/2024 21:37 from 22/01/2024 21:37 to 23/01/2024 21:37 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9883 AUD caleb_strategy_v3 [20240300] 2024-01-23 15:00:43 [-1] 0.659100 9884 CHF caleb_strategy_v3 [20240300] 2024-01-23 15:00:46 [-1] 1.155050 9881 COCOA caleb_strategy_v3 [20240500] 2024-01-23 14:00:58 [1] 4590.000000 9880 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-01-23 09:02:21 [-1] 97.770000 9879 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-01-23 09:02:06 [-1] 97.765000 9878 JGB-SGX-mini caleb_strategy_v3 [20240300] 2024-01-23 03:03:00 [1] 147.130000 9885 JPY caleb_strategy_v3 [20240300] 2024-01-23 15:00:47 [1] 0.006802 9886 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-01-23 15:00:48 [1] 17481.500000 9887 NZD caleb_strategy_v3 [20240300] 2024-01-23 15:00:53 [-1] 0.608400 9888 RUSSELL caleb_strategy_v3 [20240300] 2024-01-23 15:01:42 [1] 2007.900000 9882 RUSSELL caleb_strategy_v3 [20240300] 2024-01-23 15:00:42 [1] 2009.000000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9878 JGB-SGX-mini caleb_strategy_v3 2024-01-22 2024-01-23 03:01:15.934 2024-01-23 03:03:00 97275.934 104.066 9880 EURIBOR-ICE caleb_strategy_v3 2024-01-22 2024-01-23 09:02:10.359 2024-01-23 09:02:21 118930.359 10.641 9879 EURIBOR-ICE caleb_strategy_v3 2024-01-22 2024-01-23 09:00:28.082 2024-01-23 09:02:06 118828.082 97.918 9881 COCOA caleb_strategy_v3 2024-01-22 2024-01-23 14:00:35.730 2024-01-23 14:00:58 136835.73 22.27 9883 AUD caleb_strategy_v3 2024-01-22 2024-01-23 15:00:43.038 2024-01-23 15:00:43 140443.038 NaN 9884 CHF caleb_strategy_v3 2024-01-22 2024-01-23 15:00:44.646 2024-01-23 15:00:46 140444.646 1.354 9885 JPY caleb_strategy_v3 2024-01-22 2024-01-23 15:00:47.006 2024-01-23 15:00:47 140447.006 NaN 9886 NASDAQ_micro caleb_strategy_v3 2024-01-22 2024-01-23 15:00:48.462 2024-01-23 15:00:48 140448.462 NaN 9887 NZD caleb_strategy_v3 2024-01-22 2024-01-23 15:00:49.226 2024-01-23 15:00:53 140449.226 3.774 9888 RUSSELL caleb_strategy_v3 2024-01-22 2024-01-23 15:01:42.135 2024-01-23 15:01:42 140502.135 NaN 9882 RUSSELL caleb_strategy_v3 2024-01-22 2024-01-23 15:00:42.262 2024-01-23 15:00:42 140442.262 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 9878 JGB-SGX-mini caleb_strategy_v3 [1] 146.95 None 147.08 147.14 147.02 147.02 147.13 -0.13 -0.06 0.01 -0.11 NaN -0.05 9880 EURIBOR-ICE caleb_strategy_v3 [-1] 97.78 None 97.7675 97.765 97.77 97.77 97.77 -0.0125 -0.0025 0.005 -0.0 NaN 0.0025 9879 EURIBOR-ICE caleb_strategy_v3 [-1] 97.78 None 97.7725 97.77 97.775 97.775 97.765 -0.0075 -0.0025 -0.005 -0.01 NaN -0.0075 9881 COCOA caleb_strategy_v3 [1] 4529.0 None 4591.0 4592.0 4590.0 4590.0 4590.0 -62.0 -1.0 2.0 0.0 NaN 1.0 9883 AUD caleb_strategy_v3 [-1] 0.6581 None 0.659075 0.65905 0.6591 0.6591 0.6591 0.000975 -0.000025 0.00005 -0.0 NaN 0.000025 9884 CHF caleb_strategy_v3 [-1] 1.1573 None 1.1552 1.15515 1.15525 1.15525 1.15505 -0.0021 -0.00005 -0.0001 -0.0002 NaN -0.00015 9885 JPY caleb_strategy_v3 [1] 0.006812 None 0.006802 0.006802 0.006801 0.006801 0.006802 0.000011 -0.0 0.0 -0.000001 NaN -0.0 9886 NASDAQ_micro caleb_strategy_v3 [1] 17469.75 None 17481.75 17482.0 17481.5 17481.5 17481.5 -12.0 -0.25 0.5 0.0 NaN 0.25 9887 NZD caleb_strategy_v3 [-1] 0.60765 None 0.608375 0.60835 0.6084 0.6084 0.6084 0.000725 -0.000025 0.00005 -0.0 NaN 0.000025 9888 RUSSELL caleb_strategy_v3 [1] 1989.1 None 2008.95 2009.0 2008.9 2008.9 2007.9 -19.85 -0.05 1.1 1.0 NaN 1.05 9882 RUSSELL caleb_strategy_v3 [1] 1989.1 None 2009.05 2009.1 2009.0 2009.0 2009.0 -19.95 -0.05 0.1 0.0 NaN 0.05 ============================================================================================================================================================== 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 9878 JGB-SGX-mini caleb_strategy_v3 [1] 5.027235 -258.591458 -119.349904 19.891651 -218.808157 NaN -99.458253 9880 EURIBOR-ICE caleb_strategy_v3 [-1] 1.045776 -119.528435 -23.905687 47.811374 -0.0 NaN 23.905687 9879 EURIBOR-ICE caleb_strategy_v3 [-1] 1.045776 -71.717061 -23.905687 -47.811374 -95.622748 NaN -71.717061 9881 COCOA caleb_strategy_v3 [1] 806.815173 -768.45357 -12.394412 24.788825 0.0 NaN 12.394412 9883 AUD caleb_strategy_v3 [-1] 0.062944 154.90022 -3.971801 7.943601 -0.0 NaN 3.971801 9884 CHF caleb_strategy_v3 [-1] 0.077909 -269.544861 -6.417735 -12.83547 -25.670939 NaN -19.253204 9885 JPY caleb_strategy_v3 [1] 0.000698 157.694543 -7.167934 0.0 -14.335868 NaN -7.167934 9886 NASDAQ_micro caleb_strategy_v3 [1] 2637.219172 -45.502475 -0.947968 1.895936 0.0 NaN 0.947968 9887 NZD caleb_strategy_v3 [-1] 0.05821 124.548329 -4.29477 8.58954 -0.0 NaN 4.29477 9888 RUSSELL caleb_strategy_v3 [1] 407.605004 -486.991078 -1.226678 26.986911 24.533556 NaN 25.760233 9882 RUSSELL caleb_strategy_v3 [1] 407.605004 -489.444433 -1.226678 2.453356 0.0 NaN 1.226678 ======================================================================================================================================================================= 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 9878 JGB-SGX-mini caleb_strategy_v3 [1] 679.020309 -88.27264 -40.741219 6.790203 -74.692234 NaN -33.951015 9880 EURIBOR-ICE caleb_strategy_v3 [-1] 2728.5 -34.10625 -6.82125 13.6425 -0.0 NaN 6.82125 9879 EURIBOR-ICE caleb_strategy_v3 [-1] 2728.5 -20.46375 -6.82125 -13.6425 -27.285 NaN -20.46375 9881 COCOA caleb_strategy_v3 [1] 10.0 -620.0 -10.0 20.0 0.0 NaN 10.0 9883 AUD caleb_strategy_v3 [-1] 100000.0 97.5 -2.5 5.0 -0.0 NaN 2.5 9884 CHF caleb_strategy_v3 [-1] 125000.0 -262.5 -6.25 -12.5 -25.0 NaN -18.75 9885 JPY caleb_strategy_v3 [1] 12500000.0 137.5 -6.25 0.0 -12.5 NaN -6.25 9886 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -24.0 -0.5 1.0 0.0 NaN 0.5 9887 NZD caleb_strategy_v3 [-1] 100000.0 72.5 -2.5 5.0 -0.0 NaN 2.5 9888 RUSSELL caleb_strategy_v3 [1] 5.0 -99.25 -0.25 5.5 5.0 NaN 5.25 9882 RUSSELL caleb_strategy_v3 [1] 5.0 -99.75 -0.25 0.5 0.0 NaN 0.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD 97.5 CHF -262.5 COCOA -620.0 EURIBOR-ICE -54.57 JGB-SGX-mini -88.27264 JPY 137.5 NASDAQ_micro -24.0 NZD 72.5 RUSSELL -199.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -940.84264 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -2.5 CHF -6.25 COCOA -10.0 EURIBOR-ICE -13.6425 JGB-SGX-mini -40.741219 JPY -6.25 NASDAQ_micro -0.5 NZD -2.5 RUSSELL -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -82.883719 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 5.0 CHF -12.5 COCOA 20.0 EURIBOR-ICE 0.0 JGB-SGX-mini 6.790203 JPY 0.0 NASDAQ_micro 1.0 NZD 5.0 RUSSELL 6.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 31.290203 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD -0.0 CHF -25.0 COCOA 0.0 EURIBOR-ICE -27.285 JGB-SGX-mini -74.692234 JPY -12.5 NASDAQ_micro 0.0 NZD -0.0 RUSSELL 5.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -134.477234 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 CHF 0 COCOA 0 EURIBOR-ICE 0 JGB-SGX-mini 0 JPY 0 NASDAQ_micro 0 NZD 0 RUSSELL 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 AUD 2.5 CHF -18.75 COCOA 10.0 EURIBOR-ICE -13.6425 JGB-SGX-mini -33.951015 JPY -6.25 NASDAQ_micro 0.5 NZD 2.5 RUSSELL 5.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -51.593515 ******************************************************************************** END OF REPORT ********************************************************************************