******************************************************************************** Trades report produced on 13/03/2024 21:37 from 12/03/2024 21:37 to 13/03/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11225 COCOA _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-13 14:00:42 [-1] 7082.00 11226 COCOA _ROLL_PSEUDO_STRATEGY [20240700] 2024-03-13 14:01:01 [1] 6521.00 11227 COCOA _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-13 14:01:16 [-1] 7091.00 11228 COCOA _ROLL_PSEUDO_STRATEGY [20240700] 2024-03-13 14:01:49 [1] 6515.00 11229 COCOA _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-13 14:02:16 [-1] 7089.00 11230 COCOA _ROLL_PSEUDO_STRATEGY [20240700] 2024-03-13 14:02:20 [1] 6514.00 11232 DOW _ROLL_PSEUDO_STRATEGY [20240300] 2024-03-13 15:00:33 [-1] 39155.00 11233 DOW _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-13 15:00:35 [1] 39605.00 11224 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-03-13 03:05:34 [-1] 145.41 11231 RUSSELL caleb_strategy_v3 [20240600] 2024-03-13 15:00:31 [1] 2095.00 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11224 JGB-SGX-mini caleb_strategy_v3 2024-03-12 00:00:00 2024-03-13 03:01:20.250 2024-03-13 03:05:34 97280.25 253.75 11225 COCOA _ROLL_PSEUDO_STRATEGY 2024-03-12 17:00:00 2024-03-13 14:00:13.975 2024-03-13 14:00:42 75613.975 28.025 11226 COCOA _ROLL_PSEUDO_STRATEGY 2024-03-12 17:00:00 2024-03-13 14:00:43.478 2024-03-13 14:01:01 75643.478 17.522 11227 COCOA _ROLL_PSEUDO_STRATEGY 2024-03-12 17:00:00 2024-03-13 14:01:16.818 2024-03-13 14:01:16 75676.818 NaN 11228 COCOA _ROLL_PSEUDO_STRATEGY 2024-03-12 17:00:00 2024-03-13 14:01:17.208 2024-03-13 14:01:49 75677.208 31.792 11229 COCOA _ROLL_PSEUDO_STRATEGY 2024-03-12 17:00:00 2024-03-13 14:02:16.879 2024-03-13 14:02:16 75736.879 NaN 11230 COCOA _ROLL_PSEUDO_STRATEGY 2024-03-12 17:00:00 2024-03-13 14:02:17.533 2024-03-13 14:02:20 75737.533 2.467 11231 RUSSELL caleb_strategy_v3 2024-03-12 00:00:00 2024-03-13 15:00:28.946 2024-03-13 15:00:31 140428.946 2.054 11232 DOW _ROLL_PSEUDO_STRATEGY 2024-03-12 20:00:00 2024-03-13 15:00:32.162 2024-03-13 15:00:33 68432.162 0.838 11233 DOW _ROLL_PSEUDO_STRATEGY 2024-03-12 20:00:00 2024-03-13 15:00:34.686 2024-03-13 15:00:35 68434.686 0.314 ================================================================================================================================================================================================================================ 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 11224 JGB-SGX-mini caleb_strategy_v3 [-1] 145.39 None 145.42 145.41 145.43 145.43 145.41 0.03 -0.01 -0.0 -0.02 NaN -0.01 11225 COCOA _ROLL_PSEUDO_STRATEGY [-1] 7051.0 None 7079.5 7077.0 7082.0 7082.0 7082.0 28.5 -2.5 5.0 -0.0 NaN 2.5 11226 COCOA _ROLL_PSEUDO_STRATEGY [1] 6513.0 None 6515.5 6518.0 6513.0 6513.0 6521.0 -2.5 -2.5 -3.0 -8.0 NaN -5.5 11227 COCOA _ROLL_PSEUDO_STRATEGY [-1] 7051.0 None 7080.5 7078.0 7083.0 7083.0 7091.0 29.5 -2.5 13.0 8.0 NaN 10.5 11228 COCOA _ROLL_PSEUDO_STRATEGY [1] 6513.0 None 6518.0 6521.0 6515.0 6515.0 6515.0 -5.0 -3.0 6.0 0.0 NaN 3.0 11229 COCOA _ROLL_PSEUDO_STRATEGY [-1] 7051.0 None 7093.0 7091.0 7095.0 7095.0 7089.0 42.0 -2.0 -2.0 -6.0 NaN -4.0 11230 COCOA _ROLL_PSEUDO_STRATEGY [1] 6513.0 None 6516.0 6518.0 6514.0 6514.0 6514.0 -3.0 -2.0 4.0 0.0 NaN 2.0 11231 RUSSELL caleb_strategy_v3 [1] 2090.9 None 2095.05 2095.1 2095.0 2095.0 2095.0 -4.15 -0.05 0.1 0.0 NaN 0.05 11232 DOW _ROLL_PSEUDO_STRATEGY [-1] 39034.0 None 39154.0 39153.0 39155.0 39155.0 39155.0 120.0 -1.0 2.0 -0.0 NaN 1.0 11233 DOW _ROLL_PSEUDO_STRATEGY [1] 39480.0 None 39605.5 39606.0 39605.0 39605.0 39605.0 -125.5 -0.5 1.0 0.0 NaN 0.5 =================================================================================================================================================================== 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 11224 JGB-SGX-mini caleb_strategy_v3 [-1] 3.945949 76.027341 -25.342447 -0.0 -50.684894 NaN -25.342447 11225 COCOA _ROLL_PSEUDO_STRATEGY [-1] 2368.048058 120.352287 -10.557218 21.114436 -0.0 NaN 10.557218 11226 COCOA _ROLL_PSEUDO_STRATEGY [1] 2368.048058 -10.557218 -10.557218 -12.668662 -33.783098 NaN -23.22588 11227 COCOA _ROLL_PSEUDO_STRATEGY [-1] 2368.048058 124.575174 -10.557218 54.897535 33.783098 NaN 44.340316 11228 COCOA _ROLL_PSEUDO_STRATEGY [1] 2368.048058 -21.114436 -12.668662 25.337324 0.0 NaN 12.668662 11229 COCOA _ROLL_PSEUDO_STRATEGY [-1] 2368.048058 177.361265 -8.445775 -8.445775 -25.337324 NaN -16.891549 11230 COCOA _ROLL_PSEUDO_STRATEGY [1] 2368.048058 -12.668662 -8.445775 16.891549 0.0 NaN 8.445775 11231 RUSSELL caleb_strategy_v3 [1] 387.426037 -107.11722 -1.290569 2.581138 0.0 NaN 1.290569 11232 DOW _ROLL_PSEUDO_STRATEGY [-1] 3587.415651 334.502638 -2.787522 5.575044 -0.0 NaN 2.787522 11233 DOW _ROLL_PSEUDO_STRATEGY [1] 3587.415651 -349.834009 -1.393761 2.787522 0.0 NaN 1.393761 ============================================================================================================================================================================ 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 11224 JGB-SGX-mini caleb_strategy_v3 [-1] 677.185617 20.315568 -6.771856 -0.0 -13.543712 NaN -6.771856 11225 COCOA _ROLL_PSEUDO_STRATEGY [-1] 10.0 285.0 -25.0 50.0 -0.0 NaN 25.0 11226 COCOA _ROLL_PSEUDO_STRATEGY [1] 10.0 -25.0 -25.0 -30.0 -80.0 NaN -55.0 11227 COCOA _ROLL_PSEUDO_STRATEGY [-1] 10.0 295.0 -25.0 130.0 80.0 NaN 105.0 11228 COCOA _ROLL_PSEUDO_STRATEGY [1] 10.0 -50.0 -30.0 60.0 0.0 NaN 30.0 11229 COCOA _ROLL_PSEUDO_STRATEGY [-1] 10.0 420.0 -20.0 -20.0 -60.0 NaN -40.0 11230 COCOA _ROLL_PSEUDO_STRATEGY [1] 10.0 -30.0 -20.0 40.0 0.0 NaN 20.0 11231 RUSSELL caleb_strategy_v3 [1] 5.0 -20.75 -0.25 0.5 0.0 NaN 0.25 11232 DOW _ROLL_PSEUDO_STRATEGY [-1] 0.5 60.0 -0.5 1.0 -0.0 NaN 0.5 11233 DOW _ROLL_PSEUDO_STRATEGY [1] 0.5 -62.75 -0.25 0.5 0.0 NaN 0.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA 895.0 DOW -2.75 caleb_strategy_v3 JGB-SGX-mini 20.315568 RUSSELL -20.75 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 892.25 caleb_strategy_v3 -0.434432 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA -145.0 DOW -0.75 caleb_strategy_v3 JGB-SGX-mini -6.771856 RUSSELL -0.25 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -145.75 caleb_strategy_v3 -7.021856 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA 230.0 DOW 1.5 caleb_strategy_v3 JGB-SGX-mini -0.0 RUSSELL 0.5 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 231.5 caleb_strategy_v3 0.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA -60.0 DOW 0.0 caleb_strategy_v3 JGB-SGX-mini -13.543712 RUSSELL 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -60.0 caleb_strategy_v3 -13.543712 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA 0 DOW 0 caleb_strategy_v3 JGB-SGX-mini 0 RUSSELL 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 COCOA 85.0 DOW 0.75 caleb_strategy_v3 JGB-SGX-mini -6.771856 RUSSELL 0.25 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 85.75 caleb_strategy_v3 -6.521856 ******************************************************************************** END OF REPORT ********************************************************************************