******************************************************************************** Trades report produced on 25/03/2024 21:37 from 24/03/2024 21:37 to 25/03/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11456 CRUDE_W caleb_strategy_v3 [20241200] 2024-03-25 14:00:48 [-1] 77.0700 11455 GASOIL caleb_strategy_v3 [20240600] 2024-03-25 09:00:43 [-1] 803.5000 11460 GASOLINE _ROLL_PSEUDO_STRATEGY [20240700] 2024-03-25 14:01:02 [1] 2.6485 11459 GASOLINE _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-25 14:00:59 [-1] 2.6957 11468 GASOLINE _ROLL_PSEUDO_STRATEGY [20240700] 2024-03-25 14:03:46 [1] 2.6459 11463 GASOLINE _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-25 14:01:47 [-1] 2.6925 11464 GASOLINE _ROLL_PSEUDO_STRATEGY [20240700] 2024-03-25 14:01:47 [1] 2.6454 11465 GASOLINE _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-25 14:02:45 [-1] 2.6918 11466 GASOLINE _ROLL_PSEUDO_STRATEGY [20240700] 2024-03-25 14:02:46 [1] 2.6448 11467 GASOLINE _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-25 14:03:45 [-1] 2.6932 11457 HEATOIL _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-25 14:00:54 [-1] 2.6543 11458 HEATOIL _ROLL_PSEUDO_STRATEGY [20240700] 2024-03-25 14:00:57 [1] 2.6424 11461 HEATOIL _ROLL_PSEUDO_STRATEGY [20240600] 2024-03-25 14:01:45 [-1] 2.6506 11462 HEATOIL _ROLL_PSEUDO_STRATEGY [20240700] 2024-03-25 14:01:46 [1] 2.6392 11454 NIKKEI caleb_strategy_v3 [20240600] 2024-03-25 03:01:27 [1] 40365.0000 11469 RUSSELL caleb_strategy_v3 [20240600] 2024-03-25 15:00:53 [-1] 2110.0000 11470 RUSSELL caleb_strategy_v3 [20240600] 2024-03-25 15:01:50 [-1] 2108.7000 11471 RUSSELL caleb_strategy_v3 [20240600] 2024-03-25 15:02:50 [-1] 2109.9000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11454 NIKKEI caleb_strategy_v3 2024-03-22 00:00:00 2024-03-25 03:01:22.906 2024-03-25 03:01:27 270082.906 4.094 11455 GASOIL caleb_strategy_v3 2024-03-22 00:00:00 2024-03-25 09:00:35.266 2024-03-25 09:00:43 291635.266 7.734 11456 CRUDE_W caleb_strategy_v3 2024-03-22 00:00:00 2024-03-25 14:00:45.746 2024-03-25 14:00:48 309645.746 2.254 11457 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-03-22 20:00:00 2024-03-25 14:00:49.347 2024-03-25 14:00:54 237649.347 4.653 11458 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-03-22 20:00:00 2024-03-25 14:00:55.976 2024-03-25 14:00:57 237655.976 1.024 11461 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-03-22 20:00:00 2024-03-25 14:01:45.380 2024-03-25 14:01:45 237705.38 NaN 11462 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-03-22 20:00:00 2024-03-25 14:01:46.246 2024-03-25 14:01:46 237706.246 NaN 11459 GASOLINE _ROLL_PSEUDO_STRATEGY 2024-03-22 20:00:00 2024-03-25 14:00:58.224 2024-03-25 14:00:59 237658.224 0.776 11460 GASOLINE _ROLL_PSEUDO_STRATEGY 2024-03-22 20:00:00 2024-03-25 14:01:01.171 2024-03-25 14:01:02 237661.171 0.829 11463 GASOLINE _ROLL_PSEUDO_STRATEGY 2024-03-22 20:00:00 2024-03-25 14:01:46.946 2024-03-25 14:01:47 237706.946 0.054 11464 GASOLINE _ROLL_PSEUDO_STRATEGY 2024-03-22 20:00:00 2024-03-25 14:01:47.770 2024-03-25 14:01:47 237707.77 NaN 11465 GASOLINE _ROLL_PSEUDO_STRATEGY 2024-03-22 20:00:00 2024-03-25 14:02:45.284 2024-03-25 14:02:45 237765.284 NaN 11466 GASOLINE _ROLL_PSEUDO_STRATEGY 2024-03-22 20:00:00 2024-03-25 14:02:46.288 2024-03-25 14:02:46 237766.288 NaN 11467 GASOLINE _ROLL_PSEUDO_STRATEGY 2024-03-22 20:00:00 2024-03-25 14:03:45.404 2024-03-25 14:03:45 237825.404 NaN 11468 GASOLINE _ROLL_PSEUDO_STRATEGY 2024-03-22 20:00:00 2024-03-25 14:03:45.929 2024-03-25 14:03:46 237825.929 0.071 11469 RUSSELL caleb_strategy_v3 2024-03-22 00:00:00 2024-03-25 15:00:50.755 2024-03-25 15:00:53 313250.755 2.245 11470 RUSSELL caleb_strategy_v3 2024-03-22 00:00:00 2024-03-25 15:01:50.469 2024-03-25 15:01:50 313310.469 NaN 11471 RUSSELL caleb_strategy_v3 2024-03-22 00:00:00 2024-03-25 15:02:50.291 2024-03-25 15:02:50 313370.291 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 11454 NIKKEI caleb_strategy_v3 [1] 40525.0 None 40367.5 40370.0 40365.0 40365.0 40365.0 157.5 -2.5 5.0 0.0 NaN 2.5 11455 GASOIL caleb_strategy_v3 [-1] 800.75 None 803.375 803.25 803.5 803.5 803.5 2.625 -0.125 0.25 -0.0 NaN 0.125 11456 CRUDE_W caleb_strategy_v3 [-1] 76.26 None 77.085 77.08 77.09 77.09 77.07 0.825 -0.005 -0.01 -0.02 NaN -0.015 11457 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 2.6236 None 2.6541 2.6539 2.6543 2.6543 2.6543 0.0305 -0.0002 0.0004 -0.0 NaN 0.0002 11458 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 2.6126 None 2.6425 2.6428 2.6422 2.6422 2.6424 -0.0299 -0.0003 0.0004 -0.0002 NaN 0.0001 11461 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 2.6236 None 2.65425 2.654 2.6545 2.6545 2.6506 0.03065 -0.00025 -0.0034 -0.0039 NaN -0.00365 11462 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 2.6126 None 2.6422 2.6424 2.642 2.642 2.6392 -0.0296 -0.0002 0.0032 0.0028 NaN 0.003 11459 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 2.6741 None 2.6961 2.6959 2.6963 2.6963 2.6957 0.022 -0.0002 -0.0002 -0.0006 NaN -0.0004 11460 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 2.626 None 2.64785 2.6481 2.6476 2.6476 2.6485 -0.02185 -0.00025 -0.0004 -0.0009 NaN -0.00065 11463 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 2.6741 None 2.6959 2.6957 2.6961 2.6961 2.6925 0.0218 -0.0002 -0.0032 -0.0036 NaN -0.0034 11464 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 2.626 None 2.64815 2.6485 2.6478 2.6478 2.6454 -0.02215 -0.00035 0.0031 0.0024 NaN 0.00275 11465 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 2.6741 None 2.69275 2.6925 2.693 2.693 2.6918 0.01865 -0.00025 -0.0007 -0.0012 NaN -0.00095 11466 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 2.626 None 2.6451 2.6454 2.6448 2.6448 2.6448 -0.0191 -0.0003 0.0006 0.0 NaN 0.0003 11467 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 2.6741 None 2.6921 2.6918 2.6924 2.6924 2.6932 0.018 -0.0003 0.0014 0.0008 NaN 0.0011 11468 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 2.626 None 2.64445 2.6448 2.6441 2.6441 2.6459 -0.01845 -0.00035 -0.0011 -0.0018 NaN -0.00145 11469 RUSSELL caleb_strategy_v3 [-1] 2092.1 None 2110.1 2110.0 2110.2 2110.2 2110.0 18.0 -0.1 -0.0 -0.2 NaN -0.1 11470 RUSSELL caleb_strategy_v3 [-1] 2092.1 None 2110.1 2110.0 2110.2 2110.2 2108.7 18.0 -0.1 -1.3 -1.5 NaN -1.4 11471 RUSSELL caleb_strategy_v3 [-1] 2092.1 None 2108.75 2108.7 2108.8 NaN 2109.9 16.65 -0.05 1.2 NaN NaN 1.15 =================================================================================================================================================================== 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 11454 NIKKEI caleb_strategy_v3 [1] 6658.159098 236.551872 -3.754792 7.509583 0.0 NaN 3.754792 11455 GASOIL caleb_strategy_v3 [-1] 223.921489 117.228588 -5.582314 11.164627 -0.0 NaN 5.582314 11456 CRUDE_W caleb_strategy_v3 [-1] 14.871662 554.746354 -3.362099 -6.724198 -13.448396 NaN -10.086297 11457 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 0.697414 437.329607 -2.867735 5.73547 -0.0 NaN 2.867735 11458 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 0.697414 -428.726402 -4.301603 5.73547 -2.867735 NaN 1.433868 11461 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 0.697414 439.480409 -3.584669 -48.751497 -55.920835 NaN -52.336166 11462 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 0.697414 -424.424799 -2.867735 45.883762 40.148292 NaN 43.016027 11459 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 0.600654 366.267689 -3.329706 -3.329706 -9.989119 NaN -6.659413 11460 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 0.600654 -363.770409 -4.162133 -6.659413 -14.983678 NaN -10.821545 11463 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 0.600654 362.937983 -3.329706 -53.2753 -59.934713 NaN -56.605006 11464 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 0.600654 -368.764968 -5.826986 51.610447 39.956475 NaN 45.783461 11465 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 0.600654 310.495109 -4.162133 -11.653972 -19.978238 NaN -15.816105 11466 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 0.600654 -317.986948 -4.994559 9.989119 0.0 NaN 4.994559 11467 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 0.600654 299.673564 -4.994559 23.307944 13.318825 NaN 18.313384 11468 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 0.600654 -307.165403 -5.826986 -18.313384 -29.967356 NaN -24.14037 11469 RUSSELL caleb_strategy_v3 [-1] 401.408123 448.421419 -2.49123 -0.0 -4.98246 NaN -2.49123 11470 RUSSELL caleb_strategy_v3 [-1] 401.408123 448.421419 -2.49123 -32.385991 -37.368452 NaN -34.877221 11471 RUSSELL caleb_strategy_v3 [-1] 401.408123 414.789813 -1.245615 29.894761 NaN NaN 28.649146 ============================================================================================================================================================================= 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 11454 NIKKEI caleb_strategy_v3 [1] 0.660631 104.049336 -1.651577 3.303154 0.0 NaN 1.651577 11455 GASOIL caleb_strategy_v3 [-1] 100.0 262.5 -12.5 25.0 -0.0 NaN 12.5 11456 CRUDE_W caleb_strategy_v3 [-1] 1000.0 825.0 -5.0 -10.0 -20.0 NaN -15.0 11457 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 42000.0 1281.0 -8.4 16.8 -0.0 NaN 8.4 11458 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 42000.0 -1255.8 -12.6 16.8 -8.4 NaN 4.2 11461 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 42000.0 1287.3 -10.5 -142.8 -163.8 NaN -153.3 11462 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 42000.0 -1243.2 -8.4 134.4 117.6 NaN 126.0 11459 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 42000.0 924.0 -8.4 -8.4 -25.2 NaN -16.8 11460 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 42000.0 -917.7 -10.5 -16.8 -37.8 NaN -27.3 11463 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 42000.0 915.6 -8.4 -134.4 -151.2 NaN -142.8 11464 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 42000.0 -930.3 -14.7 130.2 100.8 NaN 115.5 11465 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 42000.0 783.3 -10.5 -29.4 -50.4 NaN -39.9 11466 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 42000.0 -802.2 -12.6 25.2 0.0 NaN 12.6 11467 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 42000.0 756.0 -12.6 58.8 33.6 NaN 46.2 11468 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 42000.0 -774.9 -14.7 -46.2 -75.6 NaN -60.9 11469 RUSSELL caleb_strategy_v3 [-1] 5.0 90.0 -0.5 -0.0 -1.0 NaN -0.5 11470 RUSSELL caleb_strategy_v3 [-1] 5.0 90.0 -0.5 -6.5 -7.5 NaN -7.0 11471 RUSSELL caleb_strategy_v3 [-1] 5.0 83.25 -0.25 6.0 NaN NaN 5.75 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -46.2 HEATOIL 69.3 caleb_strategy_v3 CRUDE_W 825.0 GASOIL 262.5 NIKKEI 104.049336 RUSSELL 263.25 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 23.1 caleb_strategy_v3 1454.799336 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -92.4 HEATOIL -39.9 caleb_strategy_v3 CRUDE_W -5.0 GASOIL -12.5 NIKKEI -1.651577 RUSSELL -1.25 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -132.3 caleb_strategy_v3 -20.401577 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -21.0 HEATOIL 25.2 caleb_strategy_v3 CRUDE_W -10.0 GASOIL 25.0 NIKKEI 3.303154 RUSSELL -0.5 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 4.2 caleb_strategy_v3 17.803154 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -205.8 HEATOIL -54.6 caleb_strategy_v3 CRUDE_W -20.0 GASOIL -0.0 NIKKEI 0.0 RUSSELL -8.5 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -260.4 caleb_strategy_v3 -28.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE 0 HEATOIL 0 caleb_strategy_v3 CRUDE_W 0 GASOIL 0 NIKKEI 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 GASOLINE -113.4 HEATOIL -14.7 caleb_strategy_v3 CRUDE_W -15.0 GASOIL 12.5 NIKKEI 1.651577 RUSSELL -1.75 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -128.1 caleb_strategy_v3 -2.598423 ******************************************************************************** END OF REPORT ********************************************************************************