******************************************************************************** Trades report produced on 27/03/2024 21:37 from 26/03/2024 21:37 to 27/03/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11517 COCOA caleb_strategy_v3 [20240700] 2024-03-27 14:00:48 [-1] 9038.000000 11526 CORN caleb_strategy_v3 [20241200] 2024-03-27 15:31:02 [-1] 464.000000 11516 CRUDE_W caleb_strategy_v3 [20241200] 2024-03-27 14:00:39 [1] 76.560000 11513 DAX caleb_strategy_v3 [20240600] 2024-03-27 08:00:57 [1] 18665.000000 11514 DAX caleb_strategy_v3 [20240600] 2024-03-27 08:01:52 [1] 18662.000000 11524 DOW caleb_strategy_v3 [20240600] 2024-03-27 15:02:59 [1] 39878.000000 11520 DOW caleb_strategy_v3 [20240600] 2024-03-27 15:00:56 [1] 39866.000000 11515 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-03-27 09:04:04 [-1] 97.630000 11511 EUROSTX caleb_strategy_v3 [20240600] 2024-03-27 08:00:54 [-1] 5023.000000 11528 FEEDCOW caleb_strategy_v3 [20240800] 2024-03-27 15:32:06 [-1] 256.750000 11525 FEEDCOW caleb_strategy_v3 [20240800] 2024-03-27 15:30:03 [-1] 256.650000 11527 FEEDCOW caleb_strategy_v3 [20240800] 2024-03-27 15:31:06 [-1] 256.550000 11522 GBP caleb_strategy_v3 [20240600] 2024-03-27 15:02:54 [-1] 1.262900 11505 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-03-27 03:06:15 [-1] 145.570000 11518 MXP caleb_strategy_v3 [20240600] 2024-03-27 15:00:52 [1] 0.059550 11510 NIKKEI caleb_strategy_v3 [20240600] 2024-03-27 03:09:48 [1] 40645.000000 11509 NIKKEI caleb_strategy_v3 [20240600] 2024-03-27 03:08:31 [1] 40640.000000 11508 NIKKEI caleb_strategy_v3 [20240600] 2024-03-27 03:07:31 [1] 40635.000000 11507 NIKKEI caleb_strategy_v3 [20240600] 2024-03-27 03:06:30 [1] 40620.000000 11506 NIKKEI caleb_strategy_v3 [20240600] 2024-03-27 03:06:26 [1] 40625.000000 11504 NIKKEI caleb_strategy_v3 [20240600] 2024-03-27 03:00:20 [1] 40630.000000 11523 RUSSELL caleb_strategy_v3 [20240600] 2024-03-27 15:02:58 [1] 2113.800000 11519 RUSSELL caleb_strategy_v3 [20240600] 2024-03-27 15:00:54 [1] 2113.700000 11512 SMI caleb_strategy_v3 [20240600] 2024-03-27 08:00:56 [-1] 11599.000000 11521 US5 caleb_strategy_v3 [20240600] 2024-03-27 15:02:38 [-1] 107.117188 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11505 JGB-SGX-mini caleb_strategy_v3 2024-03-26 2024-03-27 03:01:15.338 2024-03-27 03:06:15 97275.338 299.662 11504 NIKKEI caleb_strategy_v3 2024-03-26 2024-03-27 03:00:18.718 2024-03-27 03:00:20 97218.718 1.282 11506 NIKKEI caleb_strategy_v3 2024-03-26 2024-03-27 03:06:16.159 2024-03-27 03:06:26 97576.159 9.841 11507 NIKKEI caleb_strategy_v3 2024-03-26 2024-03-27 03:06:30.487 2024-03-27 03:06:30 97590.487 NaN 11508 NIKKEI caleb_strategy_v3 2024-03-26 2024-03-27 03:07:30.520 2024-03-27 03:07:31 97650.52 0.48 11509 NIKKEI caleb_strategy_v3 2024-03-26 2024-03-27 03:08:30.899 2024-03-27 03:08:31 97710.899 0.101 11510 NIKKEI caleb_strategy_v3 2024-03-26 2024-03-27 03:09:31.064 2024-03-27 03:09:48 97771.064 16.936 11511 EUROSTX caleb_strategy_v3 2024-03-26 2024-03-27 08:00:52.842 2024-03-27 08:00:54 115252.842 1.158 11512 SMI caleb_strategy_v3 2024-03-26 2024-03-27 08:00:55.546 2024-03-27 08:00:56 115255.546 0.454 11513 DAX caleb_strategy_v3 2024-03-26 2024-03-27 08:00:56.938 2024-03-27 08:00:57 115256.938 0.062 11514 DAX caleb_strategy_v3 2024-03-26 2024-03-27 08:01:52.769 2024-03-27 08:01:52 115312.769 NaN 11515 EURIBOR-ICE caleb_strategy_v3 2024-03-26 2024-03-27 09:00:55.750 2024-03-27 09:04:04 118855.75 188.25 11516 CRUDE_W caleb_strategy_v3 2024-03-26 2024-03-27 14:00:38.872 2024-03-27 14:00:39 136838.872 0.128 11517 COCOA caleb_strategy_v3 2024-03-26 2024-03-27 14:00:39.946 2024-03-27 14:00:48 136839.946 8.054 11518 MXP caleb_strategy_v3 2024-03-26 2024-03-27 15:00:43.987 2024-03-27 15:00:52 140443.987 8.013 11521 US5 caleb_strategy_v3 2024-03-26 2024-03-27 15:00:56.984 2024-03-27 15:02:38 140456.984 101.016 11522 GBP caleb_strategy_v3 2024-03-26 2024-03-27 15:02:39.314 2024-03-27 15:02:54 140559.314 14.686 11523 RUSSELL caleb_strategy_v3 2024-03-26 2024-03-27 15:02:57.926 2024-03-27 15:02:58 140577.926 0.074 11519 RUSSELL caleb_strategy_v3 2024-03-26 2024-03-27 15:00:54.186 2024-03-27 15:00:54 140454.186 NaN 11520 DOW caleb_strategy_v3 2024-03-26 2024-03-27 15:00:55.143 2024-03-27 15:00:56 140455.143 0.857 11524 DOW caleb_strategy_v3 2024-03-26 2024-03-27 15:02:59.060 2024-03-27 15:02:59 140579.06 NaN 11526 CORN caleb_strategy_v3 2024-03-26 2024-03-27 15:30:04.618 2024-03-27 15:31:02 142204.618 57.382 11528 FEEDCOW caleb_strategy_v3 2024-03-26 2024-03-27 15:32:06.495 2024-03-27 15:32:06 142326.495 NaN 11525 FEEDCOW caleb_strategy_v3 2024-03-26 2024-03-27 15:30:01.570 2024-03-27 15:30:03 142201.57 1.43 11527 FEEDCOW caleb_strategy_v3 2024-03-26 2024-03-27 15:31:06.019 2024-03-27 15:31:06 142266.019 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 11505 JGB-SGX-mini caleb_strategy_v3 [-1] 145.51 None 145.575 145.57 145.58 145.58 145.57 0.065 -0.005 -0.0 -0.01 NaN -0.005 11504 NIKKEI caleb_strategy_v3 [1] 40290.0 None 40632.5 40635.0 40630.0 40630.0 40630.0 -342.5 -2.5 5.0 0.0 NaN 2.5 11506 NIKKEI caleb_strategy_v3 [1] 40290.0 None 40627.5 40630.0 40625.0 40625.0 40625.0 -337.5 -2.5 5.0 0.0 NaN 2.5 11507 NIKKEI caleb_strategy_v3 [1] 40290.0 None 40627.5 40630.0 40625.0 40625.0 40620.0 -337.5 -2.5 10.0 5.0 NaN 7.5 11508 NIKKEI caleb_strategy_v3 [1] 40290.0 None 40617.5 40620.0 40615.0 40615.0 40635.0 -327.5 -2.5 -15.0 -20.0 NaN -17.5 11509 NIKKEI caleb_strategy_v3 [1] 40290.0 None 40632.5 40635.0 40630.0 40630.0 40640.0 -342.5 -2.5 -5.0 -10.0 NaN -7.5 11510 NIKKEI caleb_strategy_v3 [1] 40290.0 None 40637.5 40640.0 40635.0 40635.0 40645.0 -347.5 -2.5 -5.0 -10.0 NaN -7.5 11511 EUROSTX caleb_strategy_v3 [-1] 5013.0 None 5024.5 5024.0 5025.0 5025.0 5023.0 11.5 -0.5 -1.0 -2.0 NaN -1.5 11512 SMI caleb_strategy_v3 [-1] 11580.0 None 11601.0 11600.0 11602.0 11602.0 11599.0 21.0 -1.0 -1.0 -3.0 NaN -2.0 11513 DAX caleb_strategy_v3 [1] 18629.0 None 18664.0 18665.0 18663.0 18663.0 18665.0 -35.0 -1.0 0.0 -2.0 NaN -1.0 11514 DAX caleb_strategy_v3 [1] 18629.0 None 18664.5 18665.0 18664.0 18664.0 18662.0 -35.5 -0.5 3.0 2.0 NaN 2.5 11515 EURIBOR-ICE caleb_strategy_v3 [-1] 97.635 None 97.6325 97.63 97.635 97.635 97.63 -0.0025 -0.0025 -0.0 -0.005 NaN -0.0025 11516 CRUDE_W caleb_strategy_v3 [1] 76.75 None 76.56 76.57 76.55 NaN 76.56 0.19 -0.01 0.01 NaN NaN 0.0 11517 COCOA caleb_strategy_v3 [-1] 9145.0 None 9043.0 9040.0 9046.0 9046.0 9038.0 -102.0 -3.0 -2.0 -8.0 NaN -5.0 11518 MXP caleb_strategy_v3 [1] 0.05929 None 0.059535 0.05954 0.05953 0.05953 0.05955 -0.000245 -0.000005 -0.00001 -0.00002 NaN -0.000015 11521 US5 caleb_strategy_v3 [-1] 107.0 None 107.113281 107.109375 107.117188 107.117188 107.117188 0.113281 -0.003906 0.007813 0.0 NaN 0.003907 11522 GBP caleb_strategy_v3 [-1] 1.2629 None 1.26285 1.2628 1.2629 1.2629 1.2629 -0.00005 -0.00005 0.0001 -0.0 NaN 0.00005 11523 RUSSELL caleb_strategy_v3 [1] 2096.2 None 2113.65 2113.7 2113.6 2113.6 2113.8 -17.45 -0.05 -0.1 -0.2 NaN -0.15 11519 RUSSELL caleb_strategy_v3 [1] 2096.2 None 2113.65 2113.7 2113.6 NaN 2113.7 -17.45 -0.05 0.0 NaN NaN -0.05 11520 DOW caleb_strategy_v3 [1] 39710.0 None 39866.5 39867.0 39866.0 39866.0 39866.0 -156.5 -0.5 1.0 0.0 NaN 0.5 11524 DOW caleb_strategy_v3 [1] 39710.0 None 39866.5 39867.0 39866.0 39866.0 39878.0 -156.5 -0.5 -11.0 -12.0 NaN -11.5 11526 CORN caleb_strategy_v3 [-1] 467.75 None 463.875 463.75 464.0 464.0 464.0 -3.875 -0.125 0.25 -0.0 NaN 0.125 11528 FEEDCOW caleb_strategy_v3 [-1] 257.675 None 257.025 256.55 257.5 257.5 256.75 -0.65 -0.475 0.2 -0.75 NaN -0.275 11525 FEEDCOW caleb_strategy_v3 [-1] 257.675 None 256.7375 256.7 256.775 256.775 256.65 -0.9375 -0.0375 -0.05 -0.125 NaN -0.0875 11527 FEEDCOW caleb_strategy_v3 [-1] 257.675 None 257.075 256.65 257.5 257.5 256.55 -0.6 -0.425 -0.1 -0.95 NaN -0.525 =============================================================================================================================================================== 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 11505 JGB-SGX-mini caleb_strategy_v3 [-1] 3.950666 164.529206 -12.656093 -0.0 -25.312186 NaN -12.656093 11504 NIKKEI caleb_strategy_v3 [1] 6343.566553 -539.917091 -3.941001 7.882001 0.0 NaN 3.941001 11506 NIKKEI caleb_strategy_v3 [1] 6343.566553 -532.03509 -3.941001 7.882001 0.0 NaN 3.941001 11507 NIKKEI caleb_strategy_v3 [1] 6343.566553 -532.03509 -3.941001 15.764003 7.882001 NaN 11.823002 11508 NIKKEI caleb_strategy_v3 [1] 6343.566553 -516.271087 -3.941001 -23.646004 -31.528005 NaN -27.587005 11509 NIKKEI caleb_strategy_v3 [1] 6343.566553 -539.917091 -3.941001 -7.882001 -15.764003 NaN -11.823002 11510 NIKKEI caleb_strategy_v3 [1] 6343.566553 -547.799092 -3.941001 -7.882001 -15.764003 NaN -11.823002 11511 EUROSTX caleb_strategy_v3 [-1] 486.018044 236.616729 -10.287684 -20.575368 -41.150736 NaN -30.863052 11512 SMI caleb_strategy_v3 [-1] 1023.642873 205.149672 -9.769032 -9.769032 -29.307096 NaN -19.538064 11513 DAX caleb_strategy_v3 [1] 1617.785015 -216.345186 -6.181291 0.0 -12.362582 NaN -6.181291 11514 DAX caleb_strategy_v3 [1] 1617.785015 -219.435832 -3.090646 18.543873 12.362582 NaN 15.453228 11515 EURIBOR-ICE caleb_strategy_v3 [-1] 0.95089 -26.291146 -26.291146 -0.0 -52.582292 NaN -26.291146 11516 CRUDE_W caleb_strategy_v3 [1] 14.691816 129.323702 -6.806511 6.806511 NaN NaN 0.0 11517 COCOA caleb_strategy_v3 [-1] 2983.231131 -341.911154 -10.05621 -6.70414 -26.816561 NaN -16.760351 11518 MXP caleb_strategy_v3 [1] 0.004563 -536.966568 -10.958501 -21.917003 -43.834006 NaN -32.875504 11521 US5 caleb_strategy_v3 [-1] 4.500695 251.697249 -8.679215 17.359542 0.001111 NaN 8.680326 11522 GBP caleb_strategy_v3 [-1] 0.086292 -5.794266 -5.794266 11.588532 -0.0 NaN 5.794266 11523 RUSSELL caleb_strategy_v3 [1] 409.844238 -425.77151 -1.219976 -2.439951 -4.879903 NaN -3.659927 11519 RUSSELL caleb_strategy_v3 [1] 409.844238 -425.77151 -1.219976 0.0 NaN NaN -1.219976 11520 DOW caleb_strategy_v3 [1] 4154.323548 -376.715964 -1.203565 2.407131 0.0 NaN 1.203565 11524 DOW caleb_strategy_v3 [1] 4154.323548 -376.715964 -1.203565 -26.478438 -28.885569 NaN -27.682004 11526 CORN caleb_strategy_v3 [-1] 77.165189 -502.169444 -16.199014 32.398029 -0.0 NaN 16.199014 11528 FEEDCOW caleb_strategy_v3 [-1] 33.259134 -195.435034 -142.81791 60.133857 -225.501962 NaN -82.684053 11525 FEEDCOW caleb_strategy_v3 [-1] 33.259134 -281.877453 -11.275098 -15.033464 -37.58366 NaN -26.308562 11527 FEEDCOW caleb_strategy_v3 [-1] 33.259134 -180.40157 -127.784445 -30.066928 -285.635819 NaN -157.851374 ========================================================================================================================================================================= 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 11505 JGB-SGX-mini caleb_strategy_v3 [-1] 659.141468 42.844195 -3.295707 -0.0 -6.591415 NaN -3.295707 11504 NIKKEI caleb_strategy_v3 [1] 0.659141 -225.755953 -1.647854 3.295707 0.0 NaN 1.647854 11506 NIKKEI caleb_strategy_v3 [1] 0.659141 -222.460246 -1.647854 3.295707 0.0 NaN 1.647854 11507 NIKKEI caleb_strategy_v3 [1] 0.659141 -222.460246 -1.647854 6.591415 3.295707 NaN 4.943561 11508 NIKKEI caleb_strategy_v3 [1] 0.659141 -215.868831 -1.647854 -9.887122 -13.182829 NaN -11.534976 11509 NIKKEI caleb_strategy_v3 [1] 0.659141 -225.755953 -1.647854 -3.295707 -6.591415 NaN -4.943561 11510 NIKKEI caleb_strategy_v3 [1] 0.659141 -229.05166 -1.647854 -3.295707 -6.591415 NaN -4.943561 11511 EUROSTX caleb_strategy_v3 [-1] 10.83 124.545 -5.415 -10.83 -21.66 NaN -16.245 11512 SMI caleb_strategy_v3 [-1] 11.0545 232.1445 -11.0545 -11.0545 -33.1635 NaN -22.109 11513 DAX caleb_strategy_v3 [1] 1.083 -37.905 -1.083 0.0 -2.166 NaN -1.083 11514 DAX caleb_strategy_v3 [1] 1.083 -38.4465 -0.5415 3.249 2.166 NaN 2.7075 11515 EURIBOR-ICE caleb_strategy_v3 [-1] 2707.5 -6.76875 -6.76875 -0.0 -13.5375 NaN -6.76875 11516 CRUDE_W caleb_strategy_v3 [1] 1000.0 190.0 -10.0 10.0 NaN NaN 0.0 11517 COCOA caleb_strategy_v3 [-1] 10.0 -1020.0 -30.0 -20.0 -80.0 NaN -50.0 11518 MXP caleb_strategy_v3 [1] 500000.0 -122.5 -2.5 -5.0 -10.0 NaN -7.5 11521 US5 caleb_strategy_v3 [-1] 1000.0 113.28125 -3.90625 7.813 0.0005 NaN 3.90675 11522 GBP caleb_strategy_v3 [-1] 62500.0 -3.125 -3.125 6.25 -0.0 NaN 3.125 11523 RUSSELL caleb_strategy_v3 [1] 5.0 -87.25 -0.25 -0.5 -1.0 NaN -0.75 11519 RUSSELL caleb_strategy_v3 [1] 5.0 -87.25 -0.25 0.0 NaN NaN -0.25 11520 DOW caleb_strategy_v3 [1] 0.5 -78.25 -0.25 0.5 0.0 NaN 0.25 11524 DOW caleb_strategy_v3 [1] 0.5 -78.25 -0.25 -5.5 -6.0 NaN -5.75 11526 CORN caleb_strategy_v3 [-1] 50.0 -193.75 -6.25 12.5 -0.0 NaN 6.25 11528 FEEDCOW caleb_strategy_v3 [-1] 500.0 -325.0 -237.5 100.0 -375.0 NaN -137.5 11525 FEEDCOW caleb_strategy_v3 [-1] 500.0 -468.75 -18.75 -25.0 -62.5 NaN -43.75 11527 FEEDCOW caleb_strategy_v3 [-1] 500.0 -300.0 -212.5 -50.0 -475.0 NaN -262.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 COCOA -1020.0 CORN -193.75 CRUDE_W 190.0 DAX -76.3515 DOW -156.5 EURIBOR-ICE -6.76875 EUROSTX 124.545 FEEDCOW -1093.75 GBP -3.125 JGB-SGX-mini 42.844195 MXP -122.5 NIKKEI -1341.352888 RUSSELL -174.5 SMI 232.1445 US5 113.28125 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -3485.783192 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 COCOA -30.0 CORN -6.25 CRUDE_W -10.0 DAX -1.6245 DOW -0.5 EURIBOR-ICE -6.76875 EUROSTX -5.415 FEEDCOW -468.75 GBP -3.125 JGB-SGX-mini -3.295707 MXP -2.5 NIKKEI -9.887122 RUSSELL -0.5 SMI -11.0545 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -563.576829 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 COCOA -20.0 CORN 12.5 CRUDE_W 10.0 DAX 3.249 DOW -5.0 EURIBOR-ICE -0.0 EUROSTX -10.83 FEEDCOW 25.0 GBP 6.25 JGB-SGX-mini -0.0 MXP -5.0 NIKKEI -3.295707 RUSSELL -0.5 SMI -11.0545 US5 7.813 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 9.131793 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 COCOA -80.0 CORN -0.0 CRUDE_W 0 DAX 0.0 DOW -6.0 EURIBOR-ICE -13.5375 EUROSTX -21.66 FEEDCOW -912.5 GBP -0.0 JGB-SGX-mini -6.591415 MXP -10.0 NIKKEI -23.069951 RUSSELL -1.0 SMI -33.1635 US5 0.0005 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -1107.521866 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 COCOA 0 CORN 0 CRUDE_W 0 DAX 0 DOW 0 EURIBOR-ICE 0 EUROSTX 0 FEEDCOW 0 GBP 0 JGB-SGX-mini 0 MXP 0 NIKKEI 0 RUSSELL 0 SMI 0 US5 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 COCOA -50.0 CORN 6.25 CRUDE_W 0.0 DAX 1.6245 DOW -5.5 EURIBOR-ICE -6.76875 EUROSTX -16.245 FEEDCOW -443.75 GBP 3.125 JGB-SGX-mini -3.295707 MXP -7.5 NIKKEI -13.182829 RUSSELL -1.0 SMI -22.109 US5 3.90675 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -554.445037 ******************************************************************************** END OF REPORT ********************************************************************************