******************************************************************************** Trades report produced on 02/04/2024 21:37 from 01/04/2024 21:37 to 02/04/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11551 BTP caleb_strategy_v3 [20240600] 2024-04-02 07:00:35 [-1] 118.180000 11561 CHF caleb_strategy_v3 [20240600] 2024-04-02 14:00:21 [1] 1.112700 11554 COCOA caleb_strategy_v3 [20240700] 2024-04-02 13:00:49 [1] 9559.000000 11556 COCOA caleb_strategy_v3 [20240700] 2024-04-02 13:02:08 [1] 9561.000000 11557 CRUDE_W caleb_strategy_v3 [20241200] 2024-04-02 13:02:13 [-1] 78.620000 11562 DOW caleb_strategy_v3 [20240600] 2024-04-02 14:00:22 [1] 39415.000000 11564 FEEDCOW caleb_strategy_v3 [20240800] 2024-04-02 14:30:21 [-1] 253.475000 11553 GASOIL caleb_strategy_v3 [20240600] 2024-04-02 08:00:40 [-1] 813.000000 11559 GBP caleb_strategy_v3 [20240600] 2024-04-02 14:00:16 [-1] 1.256300 11566 LIVECOW caleb_strategy_v3 [20240600] 2024-04-02 14:31:21 [1] 175.800000 11565 LIVECOW caleb_strategy_v3 [20240600] 2024-04-02 14:30:26 [1] 175.875000 11550 NIKKEI caleb_strategy_v3 [20240600] 2024-04-02 02:02:25 [-1] 39995.000000 11549 NIKKEI caleb_strategy_v3 [20240600] 2024-04-02 02:01:26 [-1] 40005.000000 11563 RUSSELL caleb_strategy_v3 [20240600] 2024-04-02 14:01:14 [-1] 2087.700000 11558 RUSSELL caleb_strategy_v3 [20240600] 2024-04-02 14:00:15 [-1] 2087.900000 11552 SMI caleb_strategy_v3 [20240600] 2024-04-02 07:00:37 [1] 11667.000000 11555 SUGAR11 caleb_strategy_v3 [20240700] 2024-04-02 13:01:43 [1] 22.190000 11560 US5 caleb_strategy_v3 [20240600] 2024-04-02 14:00:19 [-1] 106.273438 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11549 NIKKEI caleb_strategy_v3 2024-04-01 2024-04-02 03:01:25.402 2024-04-02 02:01:26 97285.402 NaN 11550 NIKKEI caleb_strategy_v3 2024-04-01 2024-04-02 03:02:25.118 2024-04-02 02:02:25 97345.118 NaN 11551 BTP caleb_strategy_v3 2024-03-28 2024-04-02 08:00:33.215 2024-04-02 07:00:35 460833.215 NaN 11552 SMI caleb_strategy_v3 2024-03-28 2024-04-02 08:00:36.706 2024-04-02 07:00:37 460836.706 NaN 11553 GASOIL caleb_strategy_v3 2024-04-01 2024-04-02 09:00:34.922 2024-04-02 08:00:40 118834.922 NaN 11555 SUGAR11 caleb_strategy_v3 2024-04-01 2024-04-02 14:00:50.491 2024-04-02 13:01:43 136850.491 NaN 11554 COCOA caleb_strategy_v3 2024-04-01 2024-04-02 14:00:43.834 2024-04-02 13:00:49 136843.834 NaN 11556 COCOA caleb_strategy_v3 2024-04-01 2024-04-02 14:02:01.853 2024-04-02 13:02:08 136921.853 NaN 11557 CRUDE_W caleb_strategy_v3 2024-04-01 2024-04-02 14:02:09.798 2024-04-02 13:02:13 136929.798 NaN 11559 GBP caleb_strategy_v3 2024-04-01 2024-04-02 15:00:16.670 2024-04-02 14:00:16 140416.67 NaN 11560 US5 caleb_strategy_v3 2024-04-01 2024-04-02 15:00:18.367 2024-04-02 14:00:19 140418.367 NaN 11561 CHF caleb_strategy_v3 2024-04-01 2024-04-02 15:00:20.290 2024-04-02 14:00:21 140420.29 NaN 11562 DOW caleb_strategy_v3 2024-04-01 2024-04-02 15:00:22.323 2024-04-02 14:00:22 140422.323 NaN 11563 RUSSELL caleb_strategy_v3 2024-04-01 2024-04-02 15:01:13.859 2024-04-02 14:01:14 140473.859 NaN 11558 RUSSELL caleb_strategy_v3 2024-04-01 2024-04-02 15:00:14.524 2024-04-02 14:00:15 140414.524 NaN 11564 FEEDCOW caleb_strategy_v3 2024-03-28 2024-04-02 15:30:21.223 2024-04-02 14:30:21 487821.223 NaN 11565 LIVECOW caleb_strategy_v3 2024-03-28 2024-04-02 15:30:22.683 2024-04-02 14:30:26 487822.683 NaN 11566 LIVECOW caleb_strategy_v3 2024-03-28 2024-04-02 15:31:20.900 2024-04-02 14:31:21 487880.9 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 11549 NIKKEI caleb_strategy_v3 [-1] 39970.0 None 40007.5 40005.0 40010.0 40010.0 40005.0 37.5 -2.5 -0.0 -5.0 NaN -2.5 11550 NIKKEI caleb_strategy_v3 [-1] 39970.0 None 40007.5 40005.0 40010.0 40010.0 39995.0 37.5 -2.5 -10.0 -15.0 NaN -12.5 11551 BTP caleb_strategy_v3 [-1] 119.01 None 118.175 118.17 118.18 118.18 118.18 -0.835 -0.005 0.01 -0.0 NaN 0.005 11552 SMI caleb_strategy_v3 [1] 11635.0 None 11666.0 11667.0 11665.0 11665.0 11667.0 -31.0 -1.0 0.0 -2.0 NaN -1.0 11553 GASOIL caleb_strategy_v3 [-1] 806.25 None 813.125 813.0 813.25 813.25 813.0 6.875 -0.125 -0.0 -0.25 NaN -0.125 11555 SUGAR11 caleb_strategy_v3 [1] 22.27 None 22.185 22.19 22.18 22.18 22.19 0.085 -0.005 0.0 -0.01 NaN -0.005 11554 COCOA caleb_strategy_v3 [1] 9795.0 None 9554.5 9558.0 9551.0 9551.0 9559.0 240.5 -3.5 -1.0 -8.0 NaN -4.5 11556 COCOA caleb_strategy_v3 [1] 9795.0 None 9555.5 9559.0 9552.0 9552.0 9561.0 239.5 -3.5 -2.0 -9.0 NaN -5.5 11557 CRUDE_W caleb_strategy_v3 [-1] 77.87 None 78.61 78.6 78.62 78.62 78.62 0.74 -0.01 0.02 -0.0 NaN 0.01 11559 GBP caleb_strategy_v3 [-1] 1.255 None 1.2565 1.2564 1.2566 1.2566 1.2563 0.0015 -0.0001 -0.0001 -0.0003 NaN -0.0002 11560 US5 caleb_strategy_v3 [-1] 106.46875 None 106.285156 106.28125 106.289062 106.289062 106.273438 -0.183594 -0.003906 -0.007812 -0.015625 NaN -0.011718 11561 CHF caleb_strategy_v3 [1] 1.11445 None 1.1126 1.1127 1.1125 1.1125 1.1127 0.00185 -0.0001 0.0 -0.0002 NaN -0.0001 11562 DOW caleb_strategy_v3 [1] 39892.0 None 39413.5 39415.0 39412.0 39412.0 39415.0 478.5 -1.5 0.0 -3.0 NaN -1.5 11563 RUSSELL caleb_strategy_v3 [-1] 2124.1 None 2088.0 2087.9 2088.1 2088.1 2087.7 -36.1 -0.1 -0.2 -0.4 NaN -0.3 11558 RUSSELL caleb_strategy_v3 [-1] 2124.1 None 2088.4 2088.3 2088.5 2088.5 2087.9 -35.7 -0.1 -0.4 -0.6 NaN -0.5 11564 FEEDCOW caleb_strategy_v3 [-1] 258.825 None 252.5 252.5 252.5 252.5 253.475 -6.325 -0.0 0.975 0.975 NaN 0.975 11565 LIVECOW caleb_strategy_v3 [1] 180.25 None 175.85 175.875 175.825 175.825 175.875 4.4 -0.025 0.0 -0.05 NaN -0.025 11566 LIVECOW caleb_strategy_v3 [1] 180.25 None 175.4375 175.875 175.0 175.0 175.8 4.8125 -0.4375 0.075 -0.8 NaN -0.3625 ================================================================================================================================================================ 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 11549 NIKKEI caleb_strategy_v3 [-1] 6129.996975 61.174582 -4.078305 -0.0 -8.156611 NaN -4.078305 11550 NIKKEI caleb_strategy_v3 [-1] 6129.996975 61.174582 -4.078305 -16.313222 -24.469833 NaN -20.391527 11551 BTP caleb_strategy_v3 [-1] 9.106713 -916.90604 -5.490455 10.980911 -0.0 NaN 5.490455 11552 SMI caleb_strategy_v3 [1] 998.508392 -310.463089 -10.014938 0.0 -20.029877 NaN -10.014938 11553 GASOIL caleb_strategy_v3 [-1] 230.900567 297.747212 -5.413586 -0.0 -10.827171 NaN -5.413586 11555 SUGAR11 caleb_strategy_v3 [1] 5.226199 162.642096 -9.567182 0.0 -19.134364 NaN -9.567182 11554 COCOA caleb_strategy_v3 [1] 2923.840139 822.54839 -11.970559 -3.42016 -27.361277 NaN -15.390718 11556 COCOA caleb_strategy_v3 [1] 2923.840139 819.128231 -11.970559 -6.840319 -30.781437 NaN -18.810878 11557 CRUDE_W caleb_strategy_v3 [-1] 14.55371 508.461417 -6.8711 13.7422 -0.0 NaN 6.8711 11559 GBP caleb_strategy_v3 [-1] 0.083987 178.5989 -11.906593 -11.906593 -35.71978 NaN -23.813187 11560 US5 caleb_strategy_v3 [-1] 4.369078 -420.211622 -8.940673 -17.880201 -35.761547 NaN -26.820874 11561 CHF caleb_strategy_v3 [1] 0.079326 233.213782 -12.60615 0.0 -25.212301 NaN -12.60615 11562 DOW caleb_strategy_v3 [1] 4123.728412 1160.357696 -3.637485 0.0 -7.27497 NaN -3.637485 11563 RUSSELL caleb_strategy_v3 [-1] 427.378968 -844.683587 -2.339844 -4.679687 -9.359375 NaN -7.019531 11558 RUSSELL caleb_strategy_v3 [-1] 427.378968 -835.324212 -2.339844 -9.359375 -14.039062 NaN -11.699219 11564 FEEDCOW caleb_strategy_v3 [-1] 33.759733 -1873.533763 -0.0 288.8056 288.8056 NaN 288.8056 11565 LIVECOW caleb_strategy_v3 [1] 21.871449 2011.755151 -11.430427 0.0 -22.860854 NaN -11.430427 11566 LIVECOW caleb_strategy_v3 [1] 21.871449 2200.357196 -200.032472 34.291281 -365.773664 NaN -165.741191 ======================================================================================================================================================================== 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 11549 NIKKEI caleb_strategy_v3 [-1] 0.6591 24.716257 -1.64775 -0.0 -3.295501 NaN -1.64775 11550 NIKKEI caleb_strategy_v3 [-1] 0.6591 24.716257 -1.64775 -6.591002 -9.886503 NaN -8.238752 11551 BTP caleb_strategy_v3 [-1] 1072.8 -895.788 -5.364 10.728 -0.0 NaN 5.364 11552 SMI caleb_strategy_v3 [1] 11.031 -341.961 -11.031 0.0 -22.062 NaN -11.031 11553 GASOIL caleb_strategy_v3 [-1] 100.0 687.5 -12.5 -0.0 -25.0 NaN -12.5 11555 SUGAR11 caleb_strategy_v3 [1] 1120.0 95.2 -5.6 0.0 -11.2 NaN -5.6 11554 COCOA caleb_strategy_v3 [1] 10.0 2405.0 -35.0 -10.0 -80.0 NaN -45.0 11556 COCOA caleb_strategy_v3 [1] 10.0 2395.0 -35.0 -20.0 -90.0 NaN -55.0 11557 CRUDE_W caleb_strategy_v3 [-1] 1000.0 740.0 -10.0 20.0 -0.0 NaN 10.0 11559 GBP caleb_strategy_v3 [-1] 62500.0 93.75 -6.25 -6.25 -18.75 NaN -12.5 11560 US5 caleb_strategy_v3 [-1] 1000.0 -183.59375 -3.90625 -7.812 -15.6245 NaN -11.71825 11561 CHF caleb_strategy_v3 [1] 125000.0 231.25 -12.5 0.0 -25.0 NaN -12.5 11562 DOW caleb_strategy_v3 [1] 0.5 239.25 -0.75 0.0 -1.5 NaN -0.75 11563 RUSSELL caleb_strategy_v3 [-1] 5.0 -180.5 -0.5 -1.0 -2.0 NaN -1.5 11558 RUSSELL caleb_strategy_v3 [-1] 5.0 -178.5 -0.5 -2.0 -3.0 NaN -2.5 11564 FEEDCOW caleb_strategy_v3 [-1] 500.0 -3162.5 -0.0 487.5 487.5 NaN 487.5 11565 LIVECOW caleb_strategy_v3 [1] 400.0 1760.0 -10.0 0.0 -20.0 NaN -10.0 11566 LIVECOW caleb_strategy_v3 [1] 400.0 1925.0 -175.0 30.0 -320.0 NaN -145.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BTP -895.788 CHF 231.25 COCOA 4800.0 CRUDE_W 740.0 DOW 239.25 FEEDCOW -3162.5 GASOIL 687.5 GBP 93.75 LIVECOW 3685.0 NIKKEI 49.432515 RUSSELL -359.0 SMI -341.961 SUGAR11 95.2 US5 -183.59375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 5678.539765 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BTP -5.364 CHF -12.5 COCOA -70.0 CRUDE_W -10.0 DOW -0.75 FEEDCOW -0.0 GASOIL -12.5 GBP -6.25 LIVECOW -185.0 NIKKEI -3.295501 RUSSELL -1.0 SMI -11.031 SUGAR11 -5.6 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -327.196751 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BTP 10.728 CHF 0.0 COCOA -30.0 CRUDE_W 20.0 DOW 0.0 FEEDCOW 487.5 GASOIL -0.0 GBP -6.25 LIVECOW 30.0 NIKKEI -6.591002 RUSSELL -3.0 SMI 0.0 SUGAR11 0.0 US5 -7.812 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 494.574998 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP -0.0 CHF -25.0 COCOA -170.0 CRUDE_W -0.0 DOW -1.5 FEEDCOW 487.5 GASOIL -25.0 GBP -18.75 LIVECOW -340.0 NIKKEI -13.182004 RUSSELL -5.0 SMI -22.062 SUGAR11 -11.2 US5 -15.6245 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -159.818504 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP 0 CHF 0 COCOA 0 CRUDE_W 0 DOW 0 FEEDCOW 0 GASOIL 0 GBP 0 LIVECOW 0 NIKKEI 0 RUSSELL 0 SMI 0 SUGAR11 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 BTP 5.364 CHF -12.5 COCOA -100.0 CRUDE_W 10.0 DOW -0.75 FEEDCOW 487.5 GASOIL -12.5 GBP -12.5 LIVECOW -155.0 NIKKEI -9.886503 RUSSELL -4.0 SMI -11.031 SUGAR11 -5.6 US5 -11.71825 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 167.378247 ******************************************************************************** END OF REPORT ********************************************************************************