******************************************************************************** Trades report produced on 05/03/2024 21:36 from 04/03/2024 21:36 to 05/03/2024 21:36 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10852 BTP caleb_strategy_v3 [20240600] 2024-03-05 08:00:51 [1] 118.000000 10854 BTP caleb_strategy_v3 [20240600] 2024-03-05 08:01:55 [1] 118.030000 10858 CRUDE_W caleb_strategy_v3 [20241200] 2024-03-05 14:00:05 [1] 73.390000 10874 FEEDCOW caleb_strategy_v3 [20240800] 2024-03-05 15:30:13 [1] 269.375000 10855 GASOIL caleb_strategy_v3 [20240600] 2024-03-05 09:00:52 [1] 779.000000 10861 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-05 14:03:02 [-1] 2136.100000 10860 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-05 14:02:02 [-1] 2135.400000 10859 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-05 14:01:02 [-1] 2134.900000 10862 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-05 14:04:03 [-1] 2136.100000 10857 GOLD_micro caleb_strategy_v3 [20240400] 2024-03-05 14:00:04 [-1] 2136.300000 10851 JGB-SGX-mini caleb_strategy_v3 [20240300] 2024-03-05 03:05:20 [-1] 146.350000 10864 JPY caleb_strategy_v3 [20240600] 2024-03-05 15:00:07 [1] 0.006781 10867 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-05 15:01:06 [1] 18302.750000 10863 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-05 15:00:06 [1] 18307.000000 10856 ROBUSTA caleb_strategy_v3 [20240500] 2024-03-05 10:00:54 [-1] 3201.000000 10853 SMI caleb_strategy_v3 [20240300] 2024-03-05 08:00:52 [-1] 11387.000000 10873 SOYOIL caleb_strategy_v3 [20240700] 2024-03-05 15:30:12 [1] 45.720000 10866 US5 caleb_strategy_v3 [20240600] 2024-03-05 15:00:36 [1] 107.492188 10868 US5 caleb_strategy_v3 [20240600] 2024-03-05 15:01:07 [1] 107.531250 10869 US5 caleb_strategy_v3 [20240600] 2024-03-05 15:02:06 [1] 107.539063 10870 US5 caleb_strategy_v3 [20240600] 2024-03-05 15:03:06 [1] 107.523438 10871 US5 caleb_strategy_v3 [20240600] 2024-03-05 15:04:10 [1] 107.500000 10872 US5 caleb_strategy_v3 [20240600] 2024-03-05 15:05:08 [1] 107.476563 10865 VIX caleb_strategy_v3 [20240500] 2024-03-05 15:00:35 [1] 15.950000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10851 JGB-SGX-mini caleb_strategy_v3 2024-03-04 2024-03-05 03:01:18.238 2024-03-05 03:05:20 97278.238 241.762 10853 SMI caleb_strategy_v3 2024-03-04 2024-03-05 08:00:51.870 2024-03-05 08:00:52 115251.87 0.13 10852 BTP caleb_strategy_v3 2024-03-04 2024-03-05 08:00:48.331 2024-03-05 08:00:51 115248.331 2.669 10854 BTP caleb_strategy_v3 2024-03-04 2024-03-05 08:01:48.170 2024-03-05 08:01:55 115308.17 6.83 10855 GASOIL caleb_strategy_v3 2024-03-04 2024-03-05 09:00:50.988 2024-03-05 09:00:52 118850.988 1.012 10856 ROBUSTA caleb_strategy_v3 2024-03-04 2024-03-05 10:00:54.466 2024-03-05 10:00:54 122454.466 NaN 10858 CRUDE_W caleb_strategy_v3 2024-03-04 2024-03-05 14:00:05.186 2024-03-05 14:00:05 136805.186 NaN 10857 GOLD_micro caleb_strategy_v3 2024-03-04 2024-03-05 14:00:03.726 2024-03-05 14:00:04 136803.726 0.274 10859 GOLD_micro caleb_strategy_v3 2024-03-04 2024-03-05 14:01:02.870 2024-03-05 14:01:02 136862.87 NaN 10860 GOLD_micro caleb_strategy_v3 2024-03-04 2024-03-05 14:02:02.883 2024-03-05 14:02:02 136922.883 NaN 10861 GOLD_micro caleb_strategy_v3 2024-03-04 2024-03-05 14:03:02.784 2024-03-05 14:03:02 136982.784 NaN 10862 GOLD_micro caleb_strategy_v3 2024-03-04 2024-03-05 14:04:03.096 2024-03-05 14:04:03 137043.096 NaN 10864 JPY caleb_strategy_v3 2024-03-04 2024-03-05 15:00:07.502 2024-03-05 15:00:07 140407.502 NaN 10865 VIX caleb_strategy_v3 2024-03-04 2024-03-05 15:00:08.771 2024-03-05 15:00:35 140408.771 26.229 10867 NASDAQ_micro caleb_strategy_v3 2024-03-04 2024-03-05 15:01:05.581 2024-03-05 15:01:06 140465.581 0.419 10863 NASDAQ_micro caleb_strategy_v3 2024-03-04 2024-03-05 15:00:06.390 2024-03-05 15:00:06 140406.39 NaN 10866 US5 caleb_strategy_v3 2024-03-04 2024-03-05 15:00:36.405 2024-03-05 15:00:36 140436.405 NaN 10868 US5 caleb_strategy_v3 2024-03-04 2024-03-05 15:01:06.557 2024-03-05 15:01:07 140466.557 0.443 10869 US5 caleb_strategy_v3 2024-03-04 2024-03-05 15:02:06.147 2024-03-05 15:02:06 140526.147 NaN 10870 US5 caleb_strategy_v3 2024-03-04 2024-03-05 15:03:06.255 2024-03-05 15:03:06 140586.255 NaN 10871 US5 caleb_strategy_v3 2024-03-04 2024-03-05 15:04:06.342 2024-03-05 15:04:10 140646.342 3.658 10872 US5 caleb_strategy_v3 2024-03-04 2024-03-05 15:05:06.471 2024-03-05 15:05:08 140706.471 1.529 10873 SOYOIL caleb_strategy_v3 2024-03-04 2024-03-05 15:30:12.367 2024-03-05 15:30:12 142212.367 NaN 10874 FEEDCOW caleb_strategy_v3 2024-03-04 2024-03-05 15:30:13.446 2024-03-05 15:30:13 142213.446 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 10851 JGB-SGX-mini caleb_strategy_v3 [-1] 146.36 None 146.365 146.35 146.38 146.38 146.35 0.005 -0.015 -0.0 -0.03 NaN -0.015 10853 SMI caleb_strategy_v3 [-1] 11389.0 None 11386.5 11386.0 11387.0 11387.0 11387.0 -2.5 -0.5 1.0 -0.0 NaN 0.5 10852 BTP caleb_strategy_v3 [1] 117.69 None 118.005 118.01 118.0 118.0 118.0 -0.315 -0.005 0.01 0.0 NaN 0.005 10854 BTP caleb_strategy_v3 [1] 117.69 None 118.015 118.02 118.01 118.01 118.03 -0.325 -0.005 -0.01 -0.02 NaN -0.015 10855 GASOIL caleb_strategy_v3 [1] 778.0 None 778.875 779.0 778.75 NaN 779.0 -0.875 -0.125 0.0 NaN NaN -0.125 10856 ROBUSTA caleb_strategy_v3 [-1] 3190.0 None 3199.0 3198.0 3200.0 3200.0 3201.0 9.0 -1.0 3.0 1.0 NaN 2.0 10858 CRUDE_W caleb_strategy_v3 [1] 73.93 None 73.4 73.41 73.39 73.39 73.39 0.53 -0.01 0.02 0.0 NaN 0.01 10857 GOLD_micro caleb_strategy_v3 [-1] 2124.4 None 2136.2 2136.1 2136.3 2136.3 2136.3 11.8 -0.1 0.2 -0.0 NaN 0.1 10859 GOLD_micro caleb_strategy_v3 [-1] 2124.4 None 2136.3 2136.2 2136.4 2136.4 2134.9 11.9 -0.1 -1.3 -1.5 NaN -1.4 10860 GOLD_micro caleb_strategy_v3 [-1] 2124.4 None 2135.0 2134.9 2135.1 2135.1 2135.4 10.6 -0.1 0.5 0.3 NaN 0.4 10861 GOLD_micro caleb_strategy_v3 [-1] 2124.4 None 2135.45 2135.4 2135.5 2135.5 2136.1 11.05 -0.05 0.7 0.6 NaN 0.65 10862 GOLD_micro caleb_strategy_v3 [-1] 2124.4 None 2136.2 2136.1 2136.3 2136.3 2136.1 11.8 -0.1 -0.0 -0.2 NaN -0.1 10864 JPY caleb_strategy_v3 [1] 0.006752 None 0.006779 0.006781 0.006778 0.006778 0.006781 -0.000027 -0.000001 -0.0 -0.000002 NaN -0.000001 10865 VIX caleb_strategy_v3 [1] 15.75 None 15.975 16.0 15.95 15.95 15.95 -0.225 -0.025 0.05 0.0 NaN 0.025 10867 NASDAQ_micro caleb_strategy_v3 [1] 18584.25 None 18301.625 18307.0 18296.25 NaN 18302.75 282.625 -5.375 4.25 NaN NaN -1.125 10863 NASDAQ_micro caleb_strategy_v3 [1] 18584.25 None 18301.75 18307.0 18296.5 18296.5 18307.0 282.5 -5.25 0.0 -10.5 NaN -5.25 10866 US5 caleb_strategy_v3 [1] 107.101562 None 107.480469 107.484375 107.476562 NaN 107.492188 -0.378906 -0.003906 -0.007813 NaN NaN -0.011719 10868 US5 caleb_strategy_v3 [1] 107.101562 None 107.535156 107.539062 107.53125 107.53125 107.53125 -0.433594 -0.003906 0.007812 0.0 NaN 0.003906 10869 US5 caleb_strategy_v3 [1] 107.101562 None 107.527344 107.53125 107.523438 107.523438 107.539063 -0.425781 -0.003906 -0.007813 -0.015625 NaN -0.011719 10870 US5 caleb_strategy_v3 [1] 107.101562 None 107.527344 107.53125 107.523438 107.523438 107.523438 -0.425781 -0.003906 0.007812 -0.0 NaN 0.003906 10871 US5 caleb_strategy_v3 [1] 107.101562 None 107.496094 107.5 107.492188 107.492188 107.5 -0.394531 -0.003906 0.0 -0.007812 NaN -0.003906 10872 US5 caleb_strategy_v3 [1] 107.101562 None 107.464844 107.46875 107.460938 107.460938 107.476563 -0.363281 -0.003906 -0.007813 -0.015625 NaN -0.011719 10873 SOYOIL caleb_strategy_v3 [1] 45.59 None 46.0 46.0 46.0 46.0 45.72 -0.41 0.0 0.28 0.28 NaN 0.28 10874 FEEDCOW caleb_strategy_v3 [1] 267.9 None 270.0 270.0 270.0 270.0 269.375 -2.1 0.0 0.625 0.625 NaN 0.625 =============================================================================================================================================================== 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 10851 JGB-SGX-mini caleb_strategy_v3 [-1] 4.30424 11.616452 -34.849355 -0.0 -69.69871 NaN -34.849355 10853 SMI caleb_strategy_v3 [-1] 1054.994133 -23.696814 -4.739363 9.478726 -0.0 NaN 4.739363 10852 BTP caleb_strategy_v3 [1] 9.99233 -315.241782 -5.003838 10.007676 0.0 NaN 5.003838 10854 BTP caleb_strategy_v3 [1] 9.99233 -325.249458 -5.003838 -10.007676 -20.015351 NaN -15.011513 10855 GASOIL caleb_strategy_v3 [1] 245.480156 -35.644429 -5.092061 0.0 NaN NaN -5.092061 10856 ROBUSTA caleb_strategy_v3 [-1] 710.653019 126.644083 -14.071565 42.214694 14.071565 NaN 28.14313 10858 CRUDE_W caleb_strategy_v3 [1] 15.746993 336.572198 -6.350419 12.700838 0.0 NaN 6.350419 10857 GOLD_micro caleb_strategy_v3 [-1] 249.381522 473.170582 -4.00992 8.01984 -0.0 NaN 4.00992 10859 GOLD_micro caleb_strategy_v3 [-1] 249.381522 477.180502 -4.00992 -52.128962 -60.148803 NaN -56.138883 10860 GOLD_micro caleb_strategy_v3 [-1] 249.381522 425.051539 -4.00992 20.049601 12.029761 NaN 16.039681 10861 GOLD_micro caleb_strategy_v3 [-1] 249.381522 443.09618 -2.00496 28.069441 24.059521 NaN 26.064481 10862 GOLD_micro caleb_strategy_v3 [-1] 249.381522 473.170582 -4.00992 -0.0 -8.01984 NaN -4.00992 10864 JPY caleb_strategy_v3 [1] 0.000559 -492.052165 -17.892806 -8.946403 -44.732015 NaN -26.839209 10865 VIX caleb_strategy_v3 [1] 6.095976 -369.095961 -41.010662 82.021325 0.0 NaN 41.010662 10867 NASDAQ_micro caleb_strategy_v3 [1] 3076.959327 918.520429 -17.468544 13.812337 NaN NaN -3.656207 10863 NASDAQ_micro caleb_strategy_v3 [1] 3076.959327 918.114183 -17.062299 0.0 -34.124598 NaN -17.062299 10866 US5 caleb_strategy_v3 [1] 5.154377 -735.115479 -7.57851 -15.15799 NaN NaN -22.7365 10868 US5 caleb_strategy_v3 [1] 5.154377 -841.21462 -7.57851 15.15702 0.0 NaN 7.57851 10869 US5 caleb_strategy_v3 [1] 5.154377 -826.0576 -7.57851 -15.15799 -30.31501 NaN -22.7365 10870 US5 caleb_strategy_v3 [1] 5.154377 -826.0576 -7.57851 15.15605 -0.00097 NaN 7.57754 10871 US5 caleb_strategy_v3 [1] 5.154377 -765.429519 -7.57851 0.0 -15.15702 NaN -7.57851 10872 US5 caleb_strategy_v3 [1] 5.154377 -704.801438 -7.57851 -15.15799 -30.31501 NaN -22.7365 10873 SOYOIL caleb_strategy_v3 [1] 11.375565 -360.421664 0.0 246.141624 246.141624 NaN 246.141624 10874 FEEDCOW caleb_strategy_v3 [1] 30.043786 -698.979824 0.0 208.029709 208.029709 NaN 208.029709 ======================================================================================================================================================================== 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 10851 JGB-SGX-mini caleb_strategy_v3 [-1] 664.484941 3.322425 -9.967274 -0.0 -19.934548 NaN -9.967274 10853 SMI caleb_strategy_v3 [-1] 11.2895 -28.22375 -5.64475 11.2895 -0.0 NaN 5.64475 10852 BTP caleb_strategy_v3 [1] 1084.85 -341.72775 -5.42425 10.8485 0.0 NaN 5.42425 10854 BTP caleb_strategy_v3 [1] 1084.85 -352.57625 -5.42425 -10.8485 -21.697 NaN -16.27275 10855 GASOIL caleb_strategy_v3 [1] 100.0 -87.5 -12.5 0.0 NaN NaN -12.5 10856 ROBUSTA caleb_strategy_v3 [-1] 10.0 90.0 -10.0 30.0 10.0 NaN 20.0 10858 CRUDE_W caleb_strategy_v3 [1] 1000.0 530.0 -10.0 20.0 0.0 NaN 10.0 10857 GOLD_micro caleb_strategy_v3 [-1] 10.0 118.0 -1.0 2.0 -0.0 NaN 1.0 10859 GOLD_micro caleb_strategy_v3 [-1] 10.0 119.0 -1.0 -13.0 -15.0 NaN -14.0 10860 GOLD_micro caleb_strategy_v3 [-1] 10.0 106.0 -1.0 5.0 3.0 NaN 4.0 10861 GOLD_micro caleb_strategy_v3 [-1] 10.0 110.5 -0.5 7.0 6.0 NaN 6.5 10862 GOLD_micro caleb_strategy_v3 [-1] 10.0 118.0 -1.0 -0.0 -2.0 NaN -1.0 10864 JPY caleb_strategy_v3 [1] 12500000.0 -343.75 -12.5 -6.25 -31.25 NaN -18.75 10865 VIX caleb_strategy_v3 [1] 1000.0 -225.0 -25.0 50.0 0.0 NaN 25.0 10867 NASDAQ_micro caleb_strategy_v3 [1] 2.0 565.25 -10.75 8.5 NaN NaN -2.25 10863 NASDAQ_micro caleb_strategy_v3 [1] 2.0 565.0 -10.5 0.0 -21.0 NaN -10.5 10866 US5 caleb_strategy_v3 [1] 1000.0 -378.90625 -3.90625 -7.813 NaN NaN -11.71925 10868 US5 caleb_strategy_v3 [1] 1000.0 -433.59375 -3.90625 7.8125 0.0 NaN 3.90625 10869 US5 caleb_strategy_v3 [1] 1000.0 -425.78125 -3.90625 -7.813 -15.6255 NaN -11.71925 10870 US5 caleb_strategy_v3 [1] 1000.0 -425.78125 -3.90625 7.812 -0.0005 NaN 3.90575 10871 US5 caleb_strategy_v3 [1] 1000.0 -394.53125 -3.90625 0.0 -7.8125 NaN -3.90625 10872 US5 caleb_strategy_v3 [1] 1000.0 -363.28125 -3.90625 -7.813 -15.6255 NaN -11.71925 10873 SOYOIL caleb_strategy_v3 [1] 600.0 -246.0 0.0 168.0 168.0 NaN 168.0 10874 FEEDCOW caleb_strategy_v3 [1] 500.0 -1050.0 0.0 312.5 312.5 NaN 312.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BTP -694.304 CRUDE_W 530.0 FEEDCOW -1050.0 GASOIL -87.5 GOLD_micro 571.5 JGB-SGX-mini 3.322425 JPY -343.75 NASDAQ_micro 1130.25 ROBUSTA 90.0 SMI -28.22375 SOYOIL -246.0 US5 -2421.875 VIX -225.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -2771.580325 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BTP -10.8485 CRUDE_W -10.0 FEEDCOW 0.0 GASOIL -12.5 GOLD_micro -4.5 JGB-SGX-mini -9.967274 JPY -12.5 NASDAQ_micro -21.25 ROBUSTA -10.0 SMI -5.64475 SOYOIL 0.0 US5 -23.4375 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -145.648024 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BTP 0.0 CRUDE_W 20.0 FEEDCOW 312.5 GASOIL 0.0 GOLD_micro 1.0 JGB-SGX-mini -0.0 JPY -6.25 NASDAQ_micro 8.5 ROBUSTA 30.0 SMI 11.2895 SOYOIL 168.0 US5 -7.8145 VIX 50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 587.225 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP -21.697 CRUDE_W 0.0 FEEDCOW 312.5 GASOIL 0 GOLD_micro -8.0 JGB-SGX-mini -19.934548 JPY -31.25 NASDAQ_micro -21.0 ROBUSTA 10.0 SMI -0.0 SOYOIL 168.0 US5 -39.064 VIX 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 349.554452 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP 0 CRUDE_W 0 FEEDCOW 0 GASOIL 0 GOLD_micro 0 JGB-SGX-mini 0 JPY 0 NASDAQ_micro 0 ROBUSTA 0 SMI 0 SOYOIL 0 US5 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 BTP -10.8485 CRUDE_W 10.0 FEEDCOW 312.5 GASOIL -12.5 GOLD_micro -3.5 JGB-SGX-mini -9.967274 JPY -18.75 NASDAQ_micro -12.75 ROBUSTA 20.0 SMI 5.64475 SOYOIL 168.0 US5 -31.252 VIX 25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 441.576976 ******************************************************************************** END OF REPORT ********************************************************************************