******************************************************************************** Trades report produced on 01/03/2024 21:36 from 29/02/2024 21:36 to 01/03/2024 21:36 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10762 BTP _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-01 08:00:37 [-1] 117.670000 10763 BTP _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-01 08:00:42 [1] 117.310000 10765 BTP _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-01 08:01:32 [-1] 117.650000 10766 BTP _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-01 08:01:32 [1] 117.300000 10768 BTP caleb_strategy_v3 [20240600] 2024-03-01 08:02:46 [1] 117.310000 10770 CAC caleb_strategy_v3 [20240400] 2024-03-01 08:04:32 [1] 7995.500000 10760 CAC caleb_strategy_v3 [20240400] 2024-03-01 08:00:33 [1] 7987.000000 10764 CAC caleb_strategy_v3 [20240400] 2024-03-01 08:01:31 [1] 7992.000000 10767 CAC caleb_strategy_v3 [20240400] 2024-03-01 08:02:31 [1] 7993.000000 10769 CAC caleb_strategy_v3 [20240400] 2024-03-01 08:03:31 [1] 7994.500000 10771 CAC caleb_strategy_v3 [20240400] 2024-03-01 08:05:32 [1] 7994.000000 10772 CAC caleb_strategy_v3 [20240400] 2024-03-01 08:06:32 [1] 7992.500000 10774 COCOA caleb_strategy_v3 [20240500] 2024-03-01 14:01:01 [-1] 6292.000000 10776 DOW caleb_strategy_v3 [20240300] 2024-03-01 15:00:06 [-1] 38980.000000 10773 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-03-01 09:01:28 [-1] 97.530000 10780 LEANHOG caleb_strategy_v3 [20240600] 2024-03-01 15:30:05 [1] 99.750000 10775 MXP caleb_strategy_v3 [20240300] 2024-03-01 15:00:05 [-1] 0.058580 10761 SMI caleb_strategy_v3 [20240300] 2024-03-01 08:00:34 [-1] 11395.000000 10779 US5 caleb_strategy_v3 [20240600] 2024-03-01 15:01:03 [-1] 107.046875 10778 US5 caleb_strategy_v3 [20240600] 2024-03-01 15:00:13 [-1] 107.039063 10777 VIX caleb_strategy_v3 [20240500] 2024-03-01 15:00:11 [-1] 15.650000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10761 SMI caleb_strategy_v3 2024-02-29 00:00:00 2024-03-01 08:00:34.094 2024-03-01 08:00:34 115234.094 NaN 10762 BTP _ROLL_PSEUDO_STRATEGY 2024-02-29 17:00:00 2024-03-01 08:00:35.418 2024-03-01 08:00:37 54035.418 1.582 10763 BTP _ROLL_PSEUDO_STRATEGY 2024-02-29 17:00:00 2024-03-01 08:00:38.306 2024-03-01 08:00:42 54038.306 3.694 10765 BTP _ROLL_PSEUDO_STRATEGY 2024-02-29 17:00:00 2024-03-01 08:01:31.935 2024-03-01 08:01:32 54091.935 0.065 10766 BTP _ROLL_PSEUDO_STRATEGY 2024-02-29 17:00:00 2024-03-01 08:01:32.417 2024-03-01 08:01:32 54092.417 NaN 10768 BTP caleb_strategy_v3 2024-02-29 00:00:00 2024-03-01 08:02:32.130 2024-03-01 08:02:46 115352.13 13.87 10760 CAC caleb_strategy_v3 2024-02-29 00:00:00 2024-03-01 08:00:32.443 2024-03-01 08:00:33 115232.443 0.557 10764 CAC caleb_strategy_v3 2024-02-29 00:00:00 2024-03-01 08:01:31.449 2024-03-01 08:01:31 115291.449 NaN 10767 CAC caleb_strategy_v3 2024-02-29 00:00:00 2024-03-01 08:02:31.565 2024-03-01 08:02:31 115351.565 NaN 10769 CAC caleb_strategy_v3 2024-02-29 00:00:00 2024-03-01 08:03:31.836 2024-03-01 08:03:31 115411.836 NaN 10770 CAC caleb_strategy_v3 2024-02-29 00:00:00 2024-03-01 08:04:31.970 2024-03-01 08:04:32 115471.97 0.03 10771 CAC caleb_strategy_v3 2024-02-29 00:00:00 2024-03-01 08:05:31.993 2024-03-01 08:05:32 115531.993 0.007 10772 CAC caleb_strategy_v3 2024-02-29 00:00:00 2024-03-01 08:06:31.993 2024-03-01 08:06:32 115591.993 0.007 10773 EURIBOR-ICE caleb_strategy_v3 2024-02-29 00:00:00 2024-03-01 09:00:34.062 2024-03-01 09:01:28 118834.062 53.938 10774 COCOA caleb_strategy_v3 2024-02-29 00:00:00 2024-03-01 14:01:00.505 2024-03-01 14:01:01 136860.505 0.495 10775 MXP caleb_strategy_v3 2024-02-29 00:00:00 2024-03-01 15:00:03.822 2024-03-01 15:00:05 140403.822 1.178 10776 DOW caleb_strategy_v3 2024-02-29 00:00:00 2024-03-01 15:00:05.975 2024-03-01 15:00:06 140405.975 0.025 10777 VIX caleb_strategy_v3 2024-02-29 00:00:00 2024-03-01 15:00:07.598 2024-03-01 15:00:11 140407.598 3.402 10778 US5 caleb_strategy_v3 2024-02-29 00:00:00 2024-03-01 15:00:12.623 2024-03-01 15:00:13 140412.623 0.377 10779 US5 caleb_strategy_v3 2024-02-29 00:00:00 2024-03-01 15:01:03.451 2024-03-01 15:01:03 140463.451 NaN 10780 LEANHOG caleb_strategy_v3 2024-02-29 00:00:00 2024-03-01 15:30:05.662 2024-03-01 15:30:05 142205.662 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 10761 SMI caleb_strategy_v3 [-1] 11363.0 None 11394.0 11393.0 11395.0 11395.0 11395.0 31.0 -1.0 2.0 -0.0 NaN 1.0 10762 BTP _ROLL_PSEUDO_STRATEGY [-1] 117.81 None 117.675 117.67 117.68 117.68 117.67 -0.135 -0.005 -0.0 -0.01 NaN -0.005 10763 BTP _ROLL_PSEUDO_STRATEGY [1] 117.47 None 117.315 117.32 117.31 117.31 117.31 0.155 -0.005 0.01 0.0 NaN 0.005 10765 BTP _ROLL_PSEUDO_STRATEGY [-1] 117.81 None 117.675 117.67 117.68 NaN 117.65 -0.135 -0.005 -0.02 NaN NaN -0.025 10766 BTP _ROLL_PSEUDO_STRATEGY [1] 117.47 None 117.315 117.32 117.31 117.31 117.3 0.155 -0.005 0.02 0.01 NaN 0.015 10768 BTP caleb_strategy_v3 [1] 117.47 None 117.295 117.3 117.29 117.29 117.31 0.175 -0.005 -0.01 -0.02 NaN -0.015 10760 CAC caleb_strategy_v3 [1] 7986.0 None 7999.75 8002.0 7997.5 7997.5 7987.0 -13.75 -2.25 15.0 10.5 NaN 12.75 10764 CAC caleb_strategy_v3 [1] 7986.0 None 7999.75 8002.0 7997.5 7997.5 7992.0 -13.75 -2.25 10.0 5.5 NaN 7.75 10767 CAC caleb_strategy_v3 [1] 7986.0 None 7999.75 8002.0 7997.5 7997.5 7993.0 -13.75 -2.25 9.0 4.5 NaN 6.75 10769 CAC caleb_strategy_v3 [1] 7986.0 None 7999.75 8002.0 7997.5 7997.5 7994.5 -13.75 -2.25 7.5 3.0 NaN 5.25 10770 CAC caleb_strategy_v3 [1] 7986.0 None 7999.75 8002.0 7997.5 7997.5 7995.5 -13.75 -2.25 6.5 2.0 NaN 4.25 10771 CAC caleb_strategy_v3 [1] 7986.0 None 7999.75 8002.0 7997.5 7997.5 7994.0 -13.75 -2.25 8.0 3.5 NaN 5.75 10772 CAC caleb_strategy_v3 [1] 7986.0 None 7999.75 8002.0 7997.5 7997.5 7992.5 -13.75 -2.25 9.5 5.0 NaN 7.25 10773 EURIBOR-ICE caleb_strategy_v3 [-1] 97.55 None 97.5275 97.525 97.53 97.53 97.53 -0.0225 -0.0025 0.005 -0.0 NaN 0.0025 10774 COCOA caleb_strategy_v3 [-1] 6088.0 None 6295.5 6294.0 6297.0 6297.0 6292.0 207.5 -1.5 -2.0 -5.0 NaN -3.5 10775 MXP caleb_strategy_v3 [-1] 0.05849 None 0.05859 0.05858 0.0586 0.0586 0.05858 0.0001 -0.00001 -0.0 -0.00002 NaN -0.00001 10776 DOW caleb_strategy_v3 [-1] 38987.0 None 38977.5 38975.0 38980.0 38980.0 38980.0 -9.5 -2.5 5.0 -0.0 NaN 2.5 10777 VIX caleb_strategy_v3 [-1] 15.8 None 15.625 15.6 15.65 15.65 15.65 -0.175 -0.025 0.05 -0.0 NaN 0.025 10778 US5 caleb_strategy_v3 [-1] 106.914062 None 107.050781 107.046875 107.054688 107.054688 107.039063 0.136719 -0.003906 -0.007812 -0.015625 NaN -0.011718 10779 US5 caleb_strategy_v3 [-1] 106.914062 None 107.042969 107.039062 107.046875 107.046875 107.046875 0.128906 -0.003906 0.007812 -0.0 NaN 0.003906 10780 LEANHOG caleb_strategy_v3 [1] 100.375 None 99.725 99.75 99.7 99.7 99.75 0.65 -0.025 0.0 -0.05 NaN -0.025 =================================================================================================================================================================== 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 10761 SMI caleb_strategy_v3 [-1] 1073.328537 288.821166 -9.316812 18.633624 -0.0 NaN 9.316812 10762 BTP _ROLL_PSEUDO_STRATEGY [-1] 9.689001 -139.333247 -5.160491 -0.0 -10.320981 NaN -5.160491 10763 BTP _ROLL_PSEUDO_STRATEGY [1] 9.689001 159.97521 -5.160491 10.320981 0.0 NaN 5.160491 10765 BTP _ROLL_PSEUDO_STRATEGY [-1] 9.689001 -139.333247 -5.160491 -20.641963 NaN NaN -25.802453 10766 BTP _ROLL_PSEUDO_STRATEGY [1] 9.689001 159.97521 -5.160491 20.641963 10.320981 NaN 15.481472 10768 BTP caleb_strategy_v3 [1] 9.689001 180.617172 -5.160491 -10.320981 -20.641963 NaN -15.481472 10760 CAC caleb_strategy_v3 [1] 832.633969 -165.13859 -27.022678 180.15119 126.105833 NaN 153.128511 10764 CAC caleb_strategy_v3 [1] 832.633969 -165.13859 -27.022678 120.100793 66.055436 NaN 93.078115 10767 CAC caleb_strategy_v3 [1] 832.633969 -165.13859 -27.022678 108.090714 54.045357 NaN 81.068035 10769 CAC caleb_strategy_v3 [1] 832.633969 -165.13859 -27.022678 90.075595 36.030238 NaN 63.052916 10770 CAC caleb_strategy_v3 [1] 832.633969 -165.13859 -27.022678 78.065515 24.020159 NaN 51.042837 10771 CAC caleb_strategy_v3 [1] 832.633969 -165.13859 -27.022678 96.080634 42.035278 NaN 69.057956 10772 CAC caleb_strategy_v3 [1] 832.633969 -165.13859 -27.022678 114.095753 60.050397 NaN 87.073075 10773 EURIBOR-ICE caleb_strategy_v3 [-1] 0.96343 -233.540547 -25.94895 51.897899 -0.0 NaN 25.94895 10774 COCOA caleb_strategy_v3 [-1] 2372.491334 874.608042 -6.322468 -8.429957 -21.074893 NaN -14.752425 10775 MXP caleb_strategy_v3 [-1] 0.004523 221.072854 -22.107285 -0.0 -44.214571 NaN -22.107285 10776 DOW caleb_strategy_v3 [-1] 3811.994997 -24.921334 -6.558246 13.116492 -0.0 NaN 6.558246 10777 VIX caleb_strategy_v3 [-1] 5.56538 -314.443916 -44.920559 89.841119 -0.0 NaN 44.920559 10778 US5 caleb_strategy_v3 [-1] 5.123328 266.855335 -7.624438 -15.2479 -30.496777 NaN -22.872338 10779 US5 caleb_strategy_v3 [-1] 5.123328 251.606459 -7.624438 15.248876 -0.0 NaN 7.624438 10780 LEANHOG caleb_strategy_v3 [1] 17.28143 376.126283 -14.466395 0.0 -28.932791 NaN -14.466395 ============================================================================================================================================================================ 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 10761 SMI caleb_strategy_v3 [-1] 11.2945 350.1295 -11.2945 22.589 -0.0 NaN 11.2945 10762 BTP _ROLL_PSEUDO_STRATEGY [-1] 1081.4 -145.989 -5.407 -0.0 -10.814 NaN -5.407 10763 BTP _ROLL_PSEUDO_STRATEGY [1] 1081.4 167.617 -5.407 10.814 0.0 NaN 5.407 10765 BTP _ROLL_PSEUDO_STRATEGY [-1] 1081.4 -145.989 -5.407 -21.628 NaN NaN -27.035 10766 BTP _ROLL_PSEUDO_STRATEGY [1] 1081.4 167.617 -5.407 21.628 10.814 NaN 16.221 10768 BTP caleb_strategy_v3 [1] 1081.4 189.245 -5.407 -10.814 -21.628 NaN -16.221 10760 CAC caleb_strategy_v3 [1] 10.814 -148.6925 -24.3315 162.21 113.547 NaN 137.8785 10764 CAC caleb_strategy_v3 [1] 10.814 -148.6925 -24.3315 108.14 59.477 NaN 83.8085 10767 CAC caleb_strategy_v3 [1] 10.814 -148.6925 -24.3315 97.326 48.663 NaN 72.9945 10769 CAC caleb_strategy_v3 [1] 10.814 -148.6925 -24.3315 81.105 32.442 NaN 56.7735 10770 CAC caleb_strategy_v3 [1] 10.814 -148.6925 -24.3315 70.291 21.628 NaN 45.9595 10771 CAC caleb_strategy_v3 [1] 10.814 -148.6925 -24.3315 86.512 37.849 NaN 62.1805 10772 CAC caleb_strategy_v3 [1] 10.814 -148.6925 -24.3315 102.733 54.07 NaN 78.4015 10773 EURIBOR-ICE caleb_strategy_v3 [-1] 2703.5 -60.82875 -6.75875 13.5175 -0.0 NaN 6.75875 10774 COCOA caleb_strategy_v3 [-1] 10.0 2075.0 -15.0 -20.0 -50.0 NaN -35.0 10775 MXP caleb_strategy_v3 [-1] 500000.0 50.0 -5.0 -0.0 -10.0 NaN -5.0 10776 DOW caleb_strategy_v3 [-1] 0.5 -4.75 -1.25 2.5 -0.0 NaN 1.25 10777 VIX caleb_strategy_v3 [-1] 1000.0 -175.0 -25.0 50.0 -0.0 NaN 25.0 10778 US5 caleb_strategy_v3 [-1] 1000.0 136.71875 -3.90625 -7.812 -15.6245 NaN -11.71825 10779 US5 caleb_strategy_v3 [-1] 1000.0 128.90625 -3.90625 7.8125 -0.0 NaN 3.90625 10780 LEANHOG caleb_strategy_v3 [1] 400.0 260.0 -10.0 0.0 -20.0 NaN -10.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BTP 43.256 caleb_strategy_v3 BTP 189.245 CAC -1040.8475 COCOA 2075.0 DOW -4.75 EURIBOR-ICE -60.82875 LEANHOG 260.0 MXP 50.0 SMI 350.1295 US5 265.625 VIX -175.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 43.256 caleb_strategy_v3 1908.57325 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BTP -21.628 caleb_strategy_v3 BTP -5.407 CAC -170.3205 COCOA -15.0 DOW -1.25 EURIBOR-ICE -6.75875 LEANHOG -10.0 MXP -5.0 SMI -11.2945 US5 -7.8125 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -21.628 caleb_strategy_v3 -257.84325 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BTP 10.814 caleb_strategy_v3 BTP -10.814 CAC 708.317 COCOA -20.0 DOW 2.5 EURIBOR-ICE 13.5175 LEANHOG 0.0 MXP -0.0 SMI 22.589 US5 0.0005 VIX 50.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 10.814 caleb_strategy_v3 766.11 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BTP 0.0 caleb_strategy_v3 BTP -21.628 CAC 367.676 COCOA -50.0 DOW -0.0 EURIBOR-ICE -0.0 LEANHOG -20.0 MXP -10.0 SMI -0.0 US5 -15.6245 VIX -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.0 caleb_strategy_v3 250.4235 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BTP 0 caleb_strategy_v3 BTP 0 CAC 0 COCOA 0 DOW 0 EURIBOR-ICE 0 LEANHOG 0 MXP 0 SMI 0 US5 0 VIX 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BTP -10.814 caleb_strategy_v3 BTP -16.221 CAC 537.9965 COCOA -35.0 DOW 1.25 EURIBOR-ICE 6.75875 LEANHOG -10.0 MXP -5.0 SMI 11.2945 US5 -7.812 VIX 25.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -10.814 caleb_strategy_v3 508.26675 ******************************************************************************** END OF REPORT ********************************************************************************