******************************************************************************** Trades report produced on 25/01/2024 21:37 from 24/01/2024 21:37 to 25/01/2024 21:37 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9939 CORN caleb_strategy_v3 [20241200] 2024-01-25 15:30:44 [-1] 480.25000 9937 DOW caleb_strategy_v3 [20240300] 2024-01-25 15:01:42 [1] 38136.00000 9938 DOW caleb_strategy_v3 [20240300] 2024-01-25 15:02:42 [1] 38134.00000 9935 DOW caleb_strategy_v3 [20240300] 2024-01-25 15:00:43 [1] 38148.00000 9934 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-01-25 09:00:48 [-1] 97.72000 9940 LEANHOG caleb_strategy_v3 [20240400] 2024-01-25 15:30:45 [1] 82.12500 9936 MXP caleb_strategy_v3 [20240300] 2024-01-25 15:00:44 [-1] 0.05768 9933 NIKKEI caleb_strategy_v3 [20240300] 2024-01-25 03:01:21 [1] 36125.00000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9933 NIKKEI caleb_strategy_v3 2024-01-24 2024-01-25 03:01:16.323 2024-01-25 03:01:21 97276.323 4.677 9934 EURIBOR-ICE caleb_strategy_v3 2024-01-24 2024-01-25 09:00:29.510 2024-01-25 09:00:48 118829.51 18.49 9936 MXP caleb_strategy_v3 2024-01-24 2024-01-25 15:00:43.975 2024-01-25 15:00:44 140443.975 0.025 9937 DOW caleb_strategy_v3 2024-01-24 2024-01-25 15:01:42.571 2024-01-25 15:01:42 140502.571 NaN 9938 DOW caleb_strategy_v3 2024-01-24 2024-01-25 15:02:42.762 2024-01-25 15:02:42 140562.762 NaN 9935 DOW caleb_strategy_v3 2024-01-24 2024-01-25 15:00:42.858 2024-01-25 15:00:43 140442.858 0.142 9939 CORN caleb_strategy_v3 2024-01-24 2024-01-25 15:30:44.042 2024-01-25 15:30:44 142244.042 NaN 9940 LEANHOG caleb_strategy_v3 2024-01-24 2024-01-25 15:30:45.129 2024-01-25 15:30:45 142245.129 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 9933 NIKKEI caleb_strategy_v3 [1] 36305.0 None 36127.5 36130.0 36125.0 36125.0 36125.0 177.5 -2.5 5.0 0.0 NaN 2.5 9934 EURIBOR-ICE caleb_strategy_v3 [-1] 97.73 None 97.7275 97.725 97.73 97.73 97.72 -0.0025 -0.0025 -0.005 -0.01 NaN -0.0075 9936 MXP caleb_strategy_v3 [-1] 0.05759 None 0.057675 0.05767 0.05768 0.05768 0.05768 0.000085 -0.000005 0.00001 -0.0 NaN 0.000005 9937 DOW caleb_strategy_v3 [1] 38084.0 None 38146.5 38147.0 38146.0 38146.0 38136.0 -62.5 -0.5 11.0 10.0 NaN 10.5 9938 DOW caleb_strategy_v3 [1] 38084.0 None 38135.0 38136.0 38134.0 38134.0 38134.0 -51.0 -1.0 2.0 0.0 NaN 1.0 9935 DOW caleb_strategy_v3 [1] 38084.0 None 38149.0 38150.0 38148.0 38148.0 38148.0 -65.0 -1.0 2.0 0.0 NaN 1.0 9939 CORN caleb_strategy_v3 [-1] 481.75 None 475.0 475.0 475.0 475.0 480.25 -6.75 -0.0 5.25 5.25 NaN 5.25 9940 LEANHOG caleb_strategy_v3 [1] 82.15 None 82.1125 82.125 82.1 NaN 82.125 0.0375 -0.0125 0.0 NaN NaN -0.0125 ============================================================================================================================================================== 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 9933 NIKKEI caleb_strategy_v3 [1] 5439.999406 326.2868 -4.595589 9.191177 0.0 NaN 4.595589 9934 EURIBOR-ICE caleb_strategy_v3 [-1] 1.080843 -23.130087 -23.130087 -46.260175 -92.52035 NaN -69.390262 9936 MXP caleb_strategy_v3 [-1] 0.006039 140.751531 -8.279502 16.559004 -0.0 NaN 8.279502 9937 DOW caleb_strategy_v3 [1] 3560.895069 -175.517668 -1.404141 30.89111 28.082827 NaN 29.486968 9938 DOW caleb_strategy_v3 [1] 3560.895069 -143.222417 -2.808283 5.616565 0.0 NaN 2.808283 9935 DOW caleb_strategy_v3 [1] 3560.895069 -182.538375 -2.808283 5.616565 0.0 NaN 2.808283 9939 CORN caleb_strategy_v3 [-1] 72.147496 -935.583399 -0.0 727.675977 727.675977 NaN 727.675977 9940 LEANHOG caleb_strategy_v3 [1] 20.697064 18.118512 -6.039504 0.0 NaN NaN -6.039504 ======================================================================================================================================================================== 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 9933 NIKKEI caleb_strategy_v3 [1] 0.677025 120.171964 -1.692563 3.385126 0.0 NaN 1.692563 9934 EURIBOR-ICE caleb_strategy_v3 [-1] 2721.625 -6.804063 -6.804062 -13.608125 -27.21625 NaN -20.412187 9936 MXP caleb_strategy_v3 [-1] 500000.0 42.5 -2.5 5.0 -0.0 NaN 2.5 9937 DOW caleb_strategy_v3 [1] 0.5 -31.25 -0.25 5.5 5.0 NaN 5.25 9938 DOW caleb_strategy_v3 [1] 0.5 -25.5 -0.5 1.0 0.0 NaN 0.5 9935 DOW caleb_strategy_v3 [1] 0.5 -32.5 -0.5 1.0 0.0 NaN 0.5 9939 CORN caleb_strategy_v3 [-1] 50.0 -337.5 -0.0 262.5 262.5 NaN 262.5 9940 LEANHOG caleb_strategy_v3 [1] 400.0 15.0 -5.0 0.0 NaN NaN -5.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CORN -337.5 DOW -89.25 EURIBOR-ICE -6.804063 LEANHOG 15.0 MXP 42.5 NIKKEI 120.171964 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -255.882098 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CORN -0.0 DOW -1.25 EURIBOR-ICE -6.804062 LEANHOG -5.0 MXP -2.5 NIKKEI -1.692563 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -17.246625 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CORN 262.5 DOW 7.5 EURIBOR-ICE -13.608125 LEANHOG 0.0 MXP 5.0 NIKKEI 3.385126 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 264.777001 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CORN 262.5 DOW 5.0 EURIBOR-ICE -27.21625 LEANHOG 0 MXP -0.0 NIKKEI 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 240.28375 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CORN 0 DOW 0 EURIBOR-ICE 0 LEANHOG 0 MXP 0 NIKKEI 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 CORN 262.5 DOW 6.25 EURIBOR-ICE -20.412187 LEANHOG -5.0 MXP 2.5 NIKKEI 1.692563 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 247.530375 ******************************************************************************** END OF REPORT 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