******************************************************************************** Trades report produced on 22/03/2024 21:37 from 21/03/2024 21:37 to 22/03/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11432 BOBL caleb_strategy_v3 [20240600] 2024-03-22 08:01:35 [-1] 117.89000 11430 BOBL caleb_strategy_v3 [20240600] 2024-03-22 08:01:05 [-1] 117.89000 11447 CHF caleb_strategy_v3 [20240600] 2024-03-22 15:01:34 [1] 1.12355 11442 CHF caleb_strategy_v3 [20240600] 2024-03-22 15:01:00 [1] 1.12355 11435 COCOA caleb_strategy_v3 [20240700] 2024-03-22 14:00:25 [1] 8153.00000 11438 CRUDE_W caleb_strategy_v3 [20241200] 2024-03-22 14:01:24 [-1] 76.50000 11439 CRUDE_W caleb_strategy_v3 [20241200] 2024-03-22 14:02:15 [-1] 76.57000 11443 EUR caleb_strategy_v3 [20240600] 2024-03-22 15:01:09 [-1] 1.08525 11433 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-03-22 09:00:56 [-1] 97.62000 11431 EUROSTX caleb_strategy_v3 [20240600] 2024-03-22 08:01:27 [-1] 4988.00000 11434 GASOIL caleb_strategy_v3 [20240600] 2024-03-22 09:01:03 [-1] 806.50000 11446 MXP caleb_strategy_v3 [20240600] 2024-03-22 15:01:15 [-1] 0.05898 11445 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-22 15:01:12 [1] 18512.50000 11429 NIKKEI caleb_strategy_v3 [20240600] 2024-03-22 03:01:34 [1] 40570.00000 11440 NZD caleb_strategy_v3 [20240600] 2024-03-22 15:00:30 [-1] 0.60030 11437 PLAT caleb_strategy_v3 [20240700] 2024-03-22 14:00:35 [1] 915.40000 11453 SOYBEAN caleb_strategy_v3 [20241100] 2024-03-22 15:30:40 [1] 1188.50000 11444 SP500_micro caleb_strategy_v3 [20240600] 2024-03-22 15:01:11 [1] 5291.00000 11448 SP500_micro caleb_strategy_v3 [20240600] 2024-03-22 15:01:35 [1] 5290.75000 11449 SP500_micro caleb_strategy_v3 [20240600] 2024-03-22 15:02:34 [1] 5293.25000 11450 SP500_micro caleb_strategy_v3 [20240600] 2024-03-22 15:03:34 [1] 5294.75000 11451 SP500_micro caleb_strategy_v3 [20240600] 2024-03-22 15:04:34 [1] 5295.25000 11452 SP500_micro caleb_strategy_v3 [20240600] 2024-03-22 15:05:34 [1] 5294.50000 11436 SUGAR11 caleb_strategy_v3 [20240700] 2024-03-22 14:00:26 [1] 21.73000 11441 US20 caleb_strategy_v3 [20240600] 2024-03-22 15:00:38 [-1] 119.75000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11429 NIKKEI caleb_strategy_v3 2024-03-21 2024-03-22 03:01:22.662 2024-03-22 03:01:34 97282.662 11.338 11431 EUROSTX caleb_strategy_v3 2024-03-21 2024-03-22 08:01:05.914 2024-03-22 08:01:27 115265.914 21.086 11432 BOBL caleb_strategy_v3 2024-03-21 2024-03-22 08:01:35.171 2024-03-22 08:01:35 115295.171 NaN 11430 BOBL caleb_strategy_v3 2024-03-21 2024-03-22 08:00:34.938 2024-03-22 08:01:05 115234.938 30.062 11433 EURIBOR-ICE caleb_strategy_v3 2024-03-21 2024-03-22 09:00:45.702 2024-03-22 09:00:56 118845.702 10.298 11434 GASOIL caleb_strategy_v3 2024-03-21 2024-03-22 09:00:57.642 2024-03-22 09:01:03 118857.642 5.358 11435 COCOA caleb_strategy_v3 2024-03-21 2024-03-22 14:00:15.775 2024-03-22 14:00:25 136815.775 9.225 11436 SUGAR11 caleb_strategy_v3 2024-03-21 2024-03-22 14:00:26.308 2024-03-22 14:00:26 136826.308 NaN 11437 PLAT caleb_strategy_v3 2024-03-21 2024-03-22 14:00:29.119 2024-03-22 14:00:35 136829.119 5.881 11438 CRUDE_W caleb_strategy_v3 2024-03-21 2024-03-22 14:01:15.582 2024-03-22 14:01:24 136875.582 8.418 11439 CRUDE_W caleb_strategy_v3 2024-03-21 2024-03-22 14:02:15.420 2024-03-22 14:02:15 136935.42 NaN 11440 NZD caleb_strategy_v3 2024-03-21 2024-03-22 15:00:25.446 2024-03-22 15:00:30 140425.446 4.554 11441 US20 caleb_strategy_v3 2024-03-21 2024-03-22 15:00:31.902 2024-03-22 15:00:38 140431.902 6.098 11443 EUR caleb_strategy_v3 2024-03-21 2024-03-22 15:01:01.188 2024-03-22 15:01:09 140461.188 7.812 11445 NASDAQ_micro caleb_strategy_v3 2024-03-21 2024-03-22 15:01:12.791 2024-03-22 15:01:12 140472.791 NaN 11446 MXP caleb_strategy_v3 2024-03-21 2024-03-22 15:01:13.910 2024-03-22 15:01:15 140473.91 1.09 11442 CHF caleb_strategy_v3 2024-03-21 2024-03-22 15:00:39.716 2024-03-22 15:01:00 140439.716 20.284 11447 CHF caleb_strategy_v3 2024-03-21 2024-03-22 15:01:34.664 2024-03-22 15:01:34 140494.664 NaN 11444 SP500_micro caleb_strategy_v3 2024-03-21 2024-03-22 15:01:10.191 2024-03-22 15:01:11 140470.191 0.809 11448 SP500_micro caleb_strategy_v3 2024-03-21 2024-03-22 15:01:35.126 2024-03-22 15:01:35 140495.126 NaN 11449 SP500_micro caleb_strategy_v3 2024-03-21 2024-03-22 15:02:34.718 2024-03-22 15:02:34 140554.718 NaN 11450 SP500_micro caleb_strategy_v3 2024-03-21 2024-03-22 15:03:34.732 2024-03-22 15:03:34 140614.732 NaN 11451 SP500_micro caleb_strategy_v3 2024-03-21 2024-03-22 15:04:34.634 2024-03-22 15:04:34 140674.634 NaN 11452 SP500_micro caleb_strategy_v3 2024-03-21 2024-03-22 15:05:34.663 2024-03-22 15:05:34 140734.663 NaN 11453 SOYBEAN caleb_strategy_v3 2024-03-21 2024-03-22 15:30:40.534 2024-03-22 15:30:40 142240.534 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 11429 NIKKEI caleb_strategy_v3 [1] 40785.0 None 40562.5 40565.0 40560.0 40560.0 40570.0 222.5 -2.5 -5.0 -10.0 NaN -7.5 11431 EUROSTX caleb_strategy_v3 [-1] 4999.0 None 4987.5 4987.0 4988.0 4988.0 4988.0 -11.5 -0.5 1.0 -0.0 NaN 0.5 11432 BOBL caleb_strategy_v3 [-1] 117.78 None 117.885 117.88 117.89 117.89 117.89 0.105 -0.005 0.01 -0.0 NaN 0.005 11430 BOBL caleb_strategy_v3 [-1] 117.78 None 117.885 117.88 117.89 117.89 117.89 0.105 -0.005 0.01 -0.0 NaN 0.005 11433 EURIBOR-ICE caleb_strategy_v3 [-1] 97.605 None 97.6275 97.625 97.63 97.63 97.62 0.0225 -0.0025 -0.005 -0.01 NaN -0.0075 11434 GASOIL caleb_strategy_v3 [-1] 803.75 None 806.75 806.5 807.0 807.0 806.5 3.0 -0.25 -0.0 -0.5 NaN -0.25 11435 COCOA caleb_strategy_v3 [1] 7934.0 None 8155.5 8158.0 8153.0 8153.0 8153.0 -221.5 -2.5 5.0 0.0 NaN 2.5 11436 SUGAR11 caleb_strategy_v3 [1] 21.77 None 21.725 21.73 21.72 NaN 21.73 0.045 -0.005 0.0 NaN NaN -0.005 11437 PLAT caleb_strategy_v3 [1] 920.9 None 915.25 915.4 915.1 915.1 915.4 5.65 -0.15 0.0 -0.3 NaN -0.15 11438 CRUDE_W caleb_strategy_v3 [-1] 76.68 None 76.495 76.49 76.5 76.5 76.5 -0.185 -0.005 0.01 -0.0 NaN 0.005 11439 CRUDE_W caleb_strategy_v3 [-1] 76.68 None 76.495 76.49 76.5 76.5 76.57 -0.185 -0.005 0.08 0.07 NaN 0.075 11440 NZD caleb_strategy_v3 [-1] 0.6042 None 0.60035 0.6003 0.6004 0.6004 0.6003 -0.00385 -0.00005 -0.0 -0.0001 NaN -0.00005 11441 US20 caleb_strategy_v3 [-1] 119.03125 None 119.796875 119.78125 119.8125 119.8125 119.75 0.765625 -0.015625 -0.03125 -0.0625 NaN -0.046875 11443 EUR caleb_strategy_v3 [-1] 1.08965 None 1.085225 1.0852 1.08525 1.08525 1.08525 -0.004425 -0.000025 0.00005 -0.0 NaN 0.000025 11445 NASDAQ_micro caleb_strategy_v3 [1] 18569.75 None 18512.625 18512.75 18512.5 18512.5 18512.5 57.125 -0.125 0.25 0.0 NaN 0.125 11446 MXP caleb_strategy_v3 [-1] 0.05895 None 0.05897 0.05896 0.05898 0.05898 0.05898 0.00002 -0.00001 0.00002 -0.0 NaN 0.00001 11442 CHF caleb_strategy_v3 [1] 1.12415 None 1.1236 1.12365 1.12355 1.12355 1.12355 0.00055 -0.00005 0.0001 0.0 NaN 0.00005 11447 CHF caleb_strategy_v3 [1] 1.12415 None 1.1236 1.12365 1.12355 1.12355 1.12355 0.00055 -0.00005 0.0001 0.0 NaN 0.00005 11444 SP500_micro caleb_strategy_v3 [1] 5308.0 None 5290.625 5290.75 5290.5 5290.5 5291.0 17.375 -0.125 -0.25 -0.5 NaN -0.375 11448 SP500_micro caleb_strategy_v3 [1] 5308.0 None 5290.875 5291.0 5290.75 5290.75 5290.75 17.125 -0.125 0.25 0.0 NaN 0.125 11449 SP500_micro caleb_strategy_v3 [1] 5308.0 None 5290.625 5290.75 5290.5 5290.5 5293.25 17.375 -0.125 -2.5 -2.75 NaN -2.625 11450 SP500_micro caleb_strategy_v3 [1] 5308.0 None 5293.125 5293.25 5293.0 5293.0 5294.75 14.875 -0.125 -1.5 -1.75 NaN -1.625 11451 SP500_micro caleb_strategy_v3 [1] 5308.0 None 5294.625 5294.75 5294.5 5294.5 5295.25 13.375 -0.125 -0.5 -0.75 NaN -0.625 11452 SP500_micro caleb_strategy_v3 [1] 5308.0 None 5295.125 5295.25 5295.0 5295.0 5294.5 12.875 -0.125 0.75 0.5 NaN 0.625 11453 SOYBEAN caleb_strategy_v3 [1] 1203.75 None 1188.375 1188.5 1188.25 1188.25 1188.5 15.375 -0.125 0.0 -0.25 NaN -0.125 =============================================================================================================================================================== 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 11429 NIKKEI caleb_strategy_v3 [1] 6614.703504 336.371842 -3.779459 -7.558918 -15.117836 NaN -11.338377 11431 EUROSTX caleb_strategy_v3 [-1] 505.484117 -227.504676 -9.891508 19.783015 -0.0 NaN 9.891508 11432 BOBL caleb_strategy_v3 [-1] 4.881744 215.087071 -10.242241 20.484483 -0.0 NaN 10.242241 11430 BOBL caleb_strategy_v3 [-1] 4.881744 215.087071 -10.242241 20.484483 -0.0 NaN 10.242241 11433 EURIBOR-ICE caleb_strategy_v3 [-1] 0.953335 236.013528 -26.223725 -52.447451 -104.894901 NaN -78.671176 11434 GASOIL caleb_strategy_v3 [-1] 227.966525 131.598268 -10.966522 -0.0 -21.933045 NaN -10.966522 11435 COCOA caleb_strategy_v3 [1] 2650.502209 -835.690682 -9.432175 18.864349 0.0 NaN 9.432175 11436 SUGAR11 caleb_strategy_v3 [1] 5.597216 80.397109 -8.933012 0.0 NaN NaN -8.933012 11437 PLAT caleb_strategy_v3 [1] 255.373396 221.24466 -5.873752 0.0 -11.747504 NaN -5.873752 11438 CRUDE_W caleb_strategy_v3 [-1] 14.797184 -125.023787 -3.379021 6.758043 -0.0 NaN 3.379021 11439 CRUDE_W caleb_strategy_v3 [-1] 14.797184 -125.023787 -3.379021 54.06434 47.306298 NaN 50.685319 11440 NZD caleb_strategy_v3 [-1] 0.055972 -687.840299 -8.932991 -0.0 -17.865982 NaN -8.932991 11441 US20 caleb_strategy_v3 [-1] 12.841969 596.189732 -12.167137 -24.334275 -48.66855 NaN -36.501412 11443 EUR caleb_strategy_v3 [-1] 0.065529 -675.271991 -3.815096 7.630192 -0.0 NaN 3.815096 11445 NASDAQ_micro caleb_strategy_v3 [1] 2752.302942 207.55346 -0.454165 0.90833 0.0 NaN 0.454165 11446 MXP caleb_strategy_v3 [-1] 0.004598 43.493954 -21.746977 43.493954 -0.0 NaN 21.746977 11442 CHF caleb_strategy_v3 [1] 0.082998 66.266386 -6.024217 12.048434 0.0 NaN 6.024217 11447 CHF caleb_strategy_v3 [1] 0.082998 66.266386 -6.024217 12.048434 0.0 NaN 6.024217 11444 SP500_micro caleb_strategy_v3 [1] 569.518614 305.082215 -2.194836 -4.389672 -8.779344 NaN -6.584508 11448 SP500_micro caleb_strategy_v3 [1] 569.518614 300.692543 -2.194836 4.389672 0.0 NaN 2.194836 11449 SP500_micro caleb_strategy_v3 [1] 569.518614 305.082215 -2.194836 -43.896722 -48.286394 NaN -46.091558 11450 SP500_micro caleb_strategy_v3 [1] 569.518614 261.185493 -2.194836 -26.338033 -30.727705 NaN -28.532869 11451 SP500_micro caleb_strategy_v3 [1] 569.518614 234.84746 -2.194836 -8.779344 -13.169016 NaN -10.97418 11452 SP500_micro caleb_strategy_v3 [1] 569.518614 226.068116 -2.194836 13.169016 8.779344 NaN 10.97418 11453 SOYBEAN caleb_strategy_v3 [1] 181.94273 845.046132 -6.870294 0.0 -13.740588 NaN -6.870294 ========================================================================================================================================================================= 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 11429 NIKKEI caleb_strategy_v3 [1] 0.660751 147.017041 -1.651877 -3.303754 -6.607507 NaN -4.955631 11431 EUROSTX caleb_strategy_v3 [-1] 10.833 -124.5795 -5.4165 10.833 -0.0 NaN 5.4165 11432 BOBL caleb_strategy_v3 [-1] 1083.3 113.7465 -5.4165 10.833 -0.0 NaN 5.4165 11430 BOBL caleb_strategy_v3 [-1] 1083.3 113.7465 -5.4165 10.833 -0.0 NaN 5.4165 11433 EURIBOR-ICE caleb_strategy_v3 [-1] 2708.25 60.935625 -6.770625 -13.54125 -27.0825 NaN -20.311875 11434 GASOIL caleb_strategy_v3 [-1] 100.0 300.0 -25.0 -0.0 -50.0 NaN -25.0 11435 COCOA caleb_strategy_v3 [1] 10.0 -2215.0 -25.0 50.0 0.0 NaN 25.0 11436 SUGAR11 caleb_strategy_v3 [1] 1120.0 50.4 -5.6 0.0 NaN NaN -5.6 11437 PLAT caleb_strategy_v3 [1] 50.0 282.5 -7.5 0.0 -15.0 NaN -7.5 11438 CRUDE_W caleb_strategy_v3 [-1] 1000.0 -185.0 -5.0 10.0 -0.0 NaN 5.0 11439 CRUDE_W caleb_strategy_v3 [-1] 1000.0 -185.0 -5.0 80.0 70.0 NaN 75.0 11440 NZD caleb_strategy_v3 [-1] 100000.0 -385.0 -5.0 -0.0 -10.0 NaN -5.0 11441 US20 caleb_strategy_v3 [-1] 1000.0 765.625 -15.625 -31.25 -62.5 NaN -46.875 11443 EUR caleb_strategy_v3 [-1] 125000.0 -553.125 -3.125 6.25 -0.0 NaN 3.125 11445 NASDAQ_micro caleb_strategy_v3 [1] 2.0 114.25 -0.25 0.5 0.0 NaN 0.25 11446 MXP caleb_strategy_v3 [-1] 500000.0 10.0 -5.0 10.0 -0.0 NaN 5.0 11442 CHF caleb_strategy_v3 [1] 125000.0 68.75 -6.25 12.5 0.0 NaN 6.25 11447 CHF caleb_strategy_v3 [1] 125000.0 68.75 -6.25 12.5 0.0 NaN 6.25 11444 SP500_micro caleb_strategy_v3 [1] 5.0 86.875 -0.625 -1.25 -2.5 NaN -1.875 11448 SP500_micro caleb_strategy_v3 [1] 5.0 85.625 -0.625 1.25 0.0 NaN 0.625 11449 SP500_micro caleb_strategy_v3 [1] 5.0 86.875 -0.625 -12.5 -13.75 NaN -13.125 11450 SP500_micro caleb_strategy_v3 [1] 5.0 74.375 -0.625 -7.5 -8.75 NaN -8.125 11451 SP500_micro caleb_strategy_v3 [1] 5.0 66.875 -0.625 -2.5 -3.75 NaN -3.125 11452 SP500_micro caleb_strategy_v3 [1] 5.0 64.375 -0.625 3.75 2.5 NaN 3.125 11453 SOYBEAN caleb_strategy_v3 [1] 50.0 768.75 -6.25 0.0 -12.5 NaN -6.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BOBL 227.493 CHF 137.5 COCOA -2215.0 CRUDE_W -370.0 EUR -553.125 EURIBOR-ICE 60.935625 EUROSTX -124.5795 GASOIL 300.0 MXP 10.0 NASDAQ_micro 114.25 NIKKEI 147.017041 NZD -385.0 PLAT 282.5 SOYBEAN 768.75 SP500_micro 465.0 SUGAR11 50.4 US20 765.625 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -318.233834 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BOBL -10.833 CHF -12.5 COCOA -25.0 CRUDE_W -10.0 EUR -3.125 EURIBOR-ICE -6.770625 EUROSTX -5.4165 GASOIL -25.0 MXP -5.0 NASDAQ_micro -0.25 NIKKEI -1.651877 NZD -5.0 PLAT -7.5 SOYBEAN -6.25 SP500_micro -3.75 SUGAR11 -5.6 US20 -15.625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -149.272002 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BOBL 21.666 CHF 25.0 COCOA 50.0 CRUDE_W 90.0 EUR 6.25 EURIBOR-ICE -13.54125 EUROSTX 10.833 GASOIL -0.0 MXP 10.0 NASDAQ_micro 0.5 NIKKEI -3.303754 NZD -0.0 PLAT 0.0 SOYBEAN 0.0 SP500_micro -18.75 SUGAR11 0.0 US20 -31.25 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 147.403996 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL -0.0 CHF 0.0 COCOA 0.0 CRUDE_W 70.0 EUR -0.0 EURIBOR-ICE -27.0825 EUROSTX -0.0 GASOIL -50.0 MXP -0.0 NASDAQ_micro 0.0 NIKKEI -6.607507 NZD -10.0 PLAT -15.0 SOYBEAN -12.5 SP500_micro -26.25 SUGAR11 0 US20 -62.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -139.940007 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0 CHF 0 COCOA 0 CRUDE_W 0 EUR 0 EURIBOR-ICE 0 EUROSTX 0 GASOIL 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 NZD 0 PLAT 0 SOYBEAN 0 SP500_micro 0 SUGAR11 0 US20 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 BOBL 10.833 CHF 12.5 COCOA 25.0 CRUDE_W 80.0 EUR 3.125 EURIBOR-ICE -20.311875 EUROSTX 5.4165 GASOIL -25.0 MXP 5.0 NASDAQ_micro 0.25 NIKKEI -4.955631 NZD -5.0 PLAT -7.5 SOYBEAN -6.25 SP500_micro -22.5 SUGAR11 -5.6 US20 -46.875 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -1.868006 ******************************************************************************** END OF REPORT ********************************************************************************