******************************************************************************** Trades report produced on 20/03/2024 21:37 from 19/03/2024 21:37 to 20/03/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11387 COTTON2 _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-20 14:00:35 [1] 92.270000 11388 COTTON2 _ROLL_PSEUDO_STRATEGY [20240700] 2024-03-20 14:00:36 [-1] 92.200000 11389 COTTON2 _ROLL_PSEUDO_STRATEGY [20240500] 2024-03-20 14:01:29 [1] 92.280000 11390 COTTON2 _ROLL_PSEUDO_STRATEGY [20240700] 2024-03-20 14:02:01 [-1] 92.190000 11394 EUR caleb_strategy_v3 [20240600] 2024-03-20 15:03:40 [-1] 1.089000 11396 EUR caleb_strategy_v3 [20240600] 2024-03-20 15:03:44 [-1] 1.089050 11385 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-03-20 09:06:56 [-1] 97.605000 11386 HEATOIL caleb_strategy_v3 [20240600] 2024-03-20 14:00:34 [1] 2.658200 11383 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-03-20 03:05:19 [-1] 145.600000 11384 NIKKEI caleb_strategy_v3 [20240600] 2024-03-20 03:06:01 [1] 39985.000000 11391 NZD caleb_strategy_v3 [20240600] 2024-03-20 15:00:44 [-1] 0.603350 11392 RUSSELL caleb_strategy_v3 [20240600] 2024-03-20 15:00:45 [1] 2062.400000 11395 RUSSELL caleb_strategy_v3 [20240600] 2024-03-20 15:03:43 [1] 2062.100000 11393 US10U caleb_strategy_v3 [20240600] 2024-03-20 15:03:35 [-1] 113.859375 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11383 JGB-SGX-mini caleb_strategy_v3 2024-03-19 00:00:00 2024-03-20 03:00:18.787 2024-03-20 03:05:19 97218.787 300.213 11384 NIKKEI caleb_strategy_v3 2024-03-19 00:00:00 2024-03-20 03:05:33.938 2024-03-20 03:06:01 97533.938 27.062 11385 EURIBOR-ICE caleb_strategy_v3 2024-03-19 00:00:00 2024-03-20 09:01:56.454 2024-03-20 09:06:56 118916.454 299.546 11386 HEATOIL caleb_strategy_v3 2024-03-19 00:00:00 2024-03-20 14:00:30.670 2024-03-20 14:00:34 136830.67 3.33 11387 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-03-19 18:00:00 2024-03-20 14:00:35.105 2024-03-20 14:00:35 72035.105 NaN 11388 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-03-19 18:00:00 2024-03-20 14:00:36.314 2024-03-20 14:00:36 72036.314 NaN 11389 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-03-19 18:00:00 2024-03-20 14:01:29.478 2024-03-20 14:01:29 72089.478 NaN 11390 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-03-19 18:00:00 2024-03-20 14:01:30.427 2024-03-20 14:02:01 72090.427 30.573 11391 NZD caleb_strategy_v3 2024-03-19 00:00:00 2024-03-20 15:00:32.990 2024-03-20 15:00:44 140432.99 11.01 11393 US10U caleb_strategy_v3 2024-03-19 00:00:00 2024-03-20 15:00:46.450 2024-03-20 15:03:35 140446.45 168.55 11392 RUSSELL caleb_strategy_v3 2024-03-19 00:00:00 2024-03-20 15:00:44.854 2024-03-20 15:00:45 140444.854 0.146 11395 RUSSELL caleb_strategy_v3 2024-03-19 00:00:00 2024-03-20 15:03:43.806 2024-03-20 15:03:43 140623.806 NaN 11394 EUR caleb_strategy_v3 2024-03-19 00:00:00 2024-03-20 15:03:36.107 2024-03-20 15:03:40 140616.107 3.893 11396 EUR caleb_strategy_v3 2024-03-19 00:00:00 2024-03-20 15:03:44.417 2024-03-20 15:03:44 140624.417 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 11383 JGB-SGX-mini caleb_strategy_v3 [-1] 145.67 None 145.61 145.6 145.62 145.62 145.6 -0.06 -0.01 -0.0 -0.02 NaN -0.01 11384 NIKKEI caleb_strategy_v3 [1] 39835.0 None 39987.5 39990.0 39985.0 39985.0 39985.0 -152.5 -2.5 5.0 0.0 NaN 2.5 11385 EURIBOR-ICE caleb_strategy_v3 [-1] 97.575 None 97.6075 97.605 97.61 97.61 97.605 0.0325 -0.0025 -0.0 -0.005 NaN -0.0025 11386 HEATOIL caleb_strategy_v3 [1] 2.7156 None 2.65845 2.6587 2.6582 2.6582 2.6582 0.05715 -0.00025 0.0005 0.0 NaN 0.00025 11387 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 93.38 None 92.0 92.0 92.0 NaN 92.27 1.38 0.0 -0.27 NaN NaN -0.27 11388 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 93.12 None 92.0 92.0 92.0 92.0 92.2 -1.12 -0.0 0.2 0.2 NaN 0.2 11389 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 93.38 None 92.265 92.28 92.25 NaN 92.28 1.115 -0.015 0.0 NaN NaN -0.015 11390 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 93.12 None 92.21 92.2 92.22 92.22 92.19 -0.91 -0.01 -0.01 -0.03 NaN -0.02 11391 NZD caleb_strategy_v3 [-1] 0.60535 None 0.603325 0.6033 0.60335 0.60335 0.60335 -0.002025 -0.000025 0.00005 -0.0 NaN 0.000025 11393 US10U caleb_strategy_v3 [-1] 113.78125 None 113.851562 113.84375 113.859375 113.859375 113.859375 0.070312 -0.007812 0.015625 -0.0 NaN 0.007812 11392 RUSSELL caleb_strategy_v3 [1] 2059.8 None 2062.3 2062.4 2062.2 2062.2 2062.4 -2.5 -0.1 0.0 -0.2 NaN -0.1 11395 RUSSELL caleb_strategy_v3 [1] 2059.8 None 2062.3 2062.4 2062.2 2062.2 2062.1 -2.5 -0.1 0.3 0.1 NaN 0.2 11394 EUR caleb_strategy_v3 [-1] 1.0905 None 1.08905 1.089 1.0891 1.0891 1.089 -0.00145 -0.00005 -0.0 -0.0001 NaN -0.00005 11396 EUR caleb_strategy_v3 [-1] 1.0905 None 1.089025 1.089 1.08905 1.08905 1.08905 -0.001475 -0.000025 0.00005 -0.0 NaN 0.000025 =================================================================================================================================================================== 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 11383 JGB-SGX-mini caleb_strategy_v3 [-1] 3.938652 -152.336369 -25.389395 -0.0 -50.77879 NaN -25.389395 11384 NIKKEI caleb_strategy_v3 [1] 6705.649715 -227.42017 -3.7282 7.456399 0.0 NaN 3.7282 11385 EURIBOR-ICE caleb_strategy_v3 [-1] 0.934562 347.756492 -26.750499 -0.0 -53.500999 NaN -26.750499 11386 HEATOIL caleb_strategy_v3 [1] 0.720929 792.72676 -3.467746 6.935492 0.0 NaN 3.467746 11387 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 28.085393 491.358615 0.0 -96.135381 NaN NaN -96.135381 11388 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 28.085393 -398.783804 -0.0 71.211394 71.211394 NaN 71.211394 11389 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 28.085393 397.003519 -5.340855 0.0 NaN NaN -5.340855 11390 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 28.085393 -324.01184 -3.56057 -3.56057 -10.681709 NaN -7.121139 11391 NZD caleb_strategy_v3 [-1] 0.054748 -369.878748 -4.566404 9.132809 -0.0 NaN 4.566404 11393 US10U caleb_strategy_v3 [-1] 8.775716 80.121665 -8.902407 17.804814 -0.0 NaN 8.902407 11392 RUSSELL caleb_strategy_v3 [1] 402.674379 -62.084904 -2.483396 0.0 -4.966792 NaN -2.483396 11395 RUSSELL caleb_strategy_v3 [1] 402.674379 -62.084904 -2.483396 7.450188 2.483396 NaN 4.966792 11394 EUR caleb_strategy_v3 [-1] 0.062458 -232.154213 -8.005318 -0.0 -16.010635 NaN -8.005318 11396 EUR caleb_strategy_v3 [-1] 0.062458 -236.156872 -4.002659 8.005318 -0.0 NaN 4.002659 ============================================================================================================================================================================= 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 11383 JGB-SGX-mini caleb_strategy_v3 [-1] 660.177126 -39.610628 -6.601771 -0.0 -13.203543 NaN -6.601771 11384 NIKKEI caleb_strategy_v3 [1] 0.660177 -100.677012 -1.650443 3.300886 0.0 NaN 1.650443 11385 EURIBOR-ICE caleb_strategy_v3 [-1] 2716.625 88.290312 -6.791562 -0.0 -13.583125 NaN -6.791562 11386 HEATOIL caleb_strategy_v3 [1] 42000.0 2400.3 -10.5 21.0 0.0 NaN 10.5 11387 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 500.0 690.0 0.0 -135.0 NaN NaN -135.0 11388 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 500.0 -560.0 -0.0 100.0 100.0 NaN 100.0 11389 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 500.0 557.5 -7.5 0.0 NaN NaN -7.5 11390 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 500.0 -455.0 -5.0 -5.0 -15.0 NaN -10.0 11391 NZD caleb_strategy_v3 [-1] 100000.0 -202.5 -2.5 5.0 -0.0 NaN 2.5 11393 US10U caleb_strategy_v3 [-1] 1000.0 70.3125 -7.8125 15.625 -0.0 NaN 7.8125 11392 RUSSELL caleb_strategy_v3 [1] 5.0 -12.5 -0.5 0.0 -1.0 NaN -0.5 11395 RUSSELL caleb_strategy_v3 [1] 5.0 -12.5 -0.5 1.5 0.5 NaN 1.0 11394 EUR caleb_strategy_v3 [-1] 125000.0 -181.25 -6.25 -0.0 -12.5 NaN -6.25 11396 EUR caleb_strategy_v3 [-1] 125000.0 -184.375 -3.125 6.25 -0.0 NaN 3.125 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 232.5 caleb_strategy_v3 EUR -365.625 EURIBOR-ICE 88.290312 HEATOIL 2400.3 JGB-SGX-mini -39.610628 NIKKEI -100.677012 NZD -202.5 RUSSELL -25.0 US10U 70.3125 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 232.5 caleb_strategy_v3 1825.490173 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 -12.5 caleb_strategy_v3 EUR -9.375 EURIBOR-ICE -6.791562 HEATOIL -10.5 JGB-SGX-mini -6.601771 NIKKEI -1.650443 NZD -2.5 RUSSELL -1.0 US10U -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -12.5 caleb_strategy_v3 -46.231277 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 -40.0 caleb_strategy_v3 EUR 6.25 EURIBOR-ICE -0.0 HEATOIL 21.0 JGB-SGX-mini -0.0 NIKKEI 3.300886 NZD 5.0 RUSSELL 1.5 US10U 15.625 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -40.0 caleb_strategy_v3 52.675886 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 85.0 caleb_strategy_v3 EUR -12.5 EURIBOR-ICE -13.583125 HEATOIL 0.0 JGB-SGX-mini -13.203543 NIKKEI 0.0 NZD -0.0 RUSSELL -0.5 US10U -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 85.0 caleb_strategy_v3 -39.786668 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 0 caleb_strategy_v3 EUR 0 EURIBOR-ICE 0 HEATOIL 0 JGB-SGX-mini 0 NIKKEI 0 NZD 0 RUSSELL 0 US10U 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 COTTON2 -52.5 caleb_strategy_v3 EUR -3.125 EURIBOR-ICE -6.791562 HEATOIL 10.5 JGB-SGX-mini -6.601771 NIKKEI 1.650443 NZD 2.5 RUSSELL 0.5 US10U 7.8125 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -52.5 caleb_strategy_v3 6.444609 ******************************************************************************** END OF REPORT ********************************************************************************