******************************************************************************** Trades report produced on 12/04/2024 21:37 from 11/04/2024 21:37 to 12/04/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11801 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-04-12 08:03:36 [1] 97.555000 11800 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-04-12 08:03:20 [1] 97.550000 11802 GOLD_micro caleb_strategy_v3 [20240600] 2024-04-12 13:00:49 [1] 2415.400000 11793 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-04-12 02:01:28 [-1] 144.590000 11791 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-04-12 02:00:30 [-1] 144.600000 11795 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-04-12 02:06:05 [-1] 144.580000 11797 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-04-12 02:11:11 [-1] 144.580000 11809 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-12 14:01:55 [1] 18320.000000 11805 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-12 14:00:57 [1] 18327.500000 11792 NIKKEI caleb_strategy_v3 [20240600] 2024-04-12 02:01:27 [1] 39720.000000 11798 NIKKEI caleb_strategy_v3 [20240600] 2024-04-12 02:11:15 [1] 39715.000000 11796 NIKKEI caleb_strategy_v3 [20240600] 2024-04-12 02:06:10 [1] 39715.000000 11794 NIKKEI caleb_strategy_v3 [20240600] 2024-04-12 02:02:25 [1] 39710.000000 11799 NIKKEI caleb_strategy_v3 [20240600] 2024-04-12 02:12:15 [1] 39695.000000 11803 NZD caleb_strategy_v3 [20240600] 2024-04-12 14:00:55 [-1] 0.594200 11812 RUSSELL caleb_strategy_v3 [20240600] 2024-04-12 14:02:55 [-1] 2038.500000 11808 RUSSELL caleb_strategy_v3 [20240600] 2024-04-12 14:01:55 [-1] 2039.300000 11804 RUSSELL caleb_strategy_v3 [20240600] 2024-04-12 14:00:56 [-1] 2040.500000 11813 RUSSELL caleb_strategy_v3 [20240600] 2024-04-12 14:03:55 [-1] 2038.300000 11814 SOYOIL caleb_strategy_v3 [20240800] 2024-04-12 14:31:00 [-1] 46.980000 11811 SP500_micro caleb_strategy_v3 [20240600] 2024-04-12 14:01:57 [-1] 5209.500000 11807 SP500_micro caleb_strategy_v3 [20240600] 2024-04-12 14:01:01 [-1] 5210.750000 11810 US5 caleb_strategy_v3 [20240600] 2024-04-12 14:01:56 [-1] 105.492188 11806 US5 caleb_strategy_v3 [20240600] 2024-04-12 14:01:00 [-1] 105.484375 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11793 JGB-SGX-mini caleb_strategy_v3 2024-04-11 2024-04-12 03:01:27.851 2024-04-12 02:01:28 97287.851 NaN 11795 JGB-SGX-mini caleb_strategy_v3 2024-04-11 2024-04-12 03:02:25.911 2024-04-12 02:06:05 97345.911 NaN 11797 JGB-SGX-mini caleb_strategy_v3 2024-04-11 2024-04-12 03:06:10.928 2024-04-12 02:11:11 97570.928 NaN 11791 JGB-SGX-mini caleb_strategy_v3 2024-04-11 2024-04-12 03:00:27.873 2024-04-12 02:00:30 97227.873 NaN 11792 NIKKEI caleb_strategy_v3 2024-04-11 2024-04-12 03:01:25.330 2024-04-12 02:01:27 97285.33 NaN 11794 NIKKEI caleb_strategy_v3 2024-04-11 2024-04-12 03:02:25.064 2024-04-12 02:02:25 97345.064 NaN 11796 NIKKEI caleb_strategy_v3 2024-04-11 2024-04-12 03:06:09.706 2024-04-12 02:06:10 97569.706 NaN 11798 NIKKEI caleb_strategy_v3 2024-04-11 2024-04-12 03:11:14.799 2024-04-12 02:11:15 97874.799 NaN 11799 NIKKEI caleb_strategy_v3 2024-04-11 2024-04-12 03:12:15.261 2024-04-12 02:12:15 97935.261 NaN 11800 EURIBOR-ICE caleb_strategy_v3 2024-04-11 2024-04-12 09:00:41.298 2024-04-12 08:03:20 118841.298 NaN 11801 EURIBOR-ICE caleb_strategy_v3 2024-04-11 2024-04-12 09:03:23.823 2024-04-12 08:03:36 119003.823 NaN 11802 GOLD_micro caleb_strategy_v3 2024-04-11 2024-04-12 14:00:49.730 2024-04-12 13:00:49 136849.73 NaN 11803 NZD caleb_strategy_v3 2024-04-11 2024-04-12 15:00:55.087 2024-04-12 14:00:55 140455.087 NaN 11809 NASDAQ_micro caleb_strategy_v3 2024-04-11 2024-04-12 15:01:55.555 2024-04-12 14:01:55 140515.555 NaN 11805 NASDAQ_micro caleb_strategy_v3 2024-04-11 2024-04-12 15:00:57.246 2024-04-12 14:00:57 140457.246 NaN 11810 US5 caleb_strategy_v3 2024-04-11 2024-04-12 15:01:55.943 2024-04-12 14:01:56 140515.943 NaN 11806 US5 caleb_strategy_v3 2024-04-11 2024-04-12 15:00:57.911 2024-04-12 14:01:00 140457.911 NaN 11811 SP500_micro caleb_strategy_v3 2024-04-11 2024-04-12 15:01:56.905 2024-04-12 14:01:57 140516.905 NaN 11807 SP500_micro caleb_strategy_v3 2024-04-11 2024-04-12 15:01:01.531 2024-04-12 14:01:01 140461.531 NaN 11808 RUSSELL caleb_strategy_v3 2024-04-11 2024-04-12 15:01:55.010 2024-04-12 14:01:55 140515.01 NaN 11804 RUSSELL caleb_strategy_v3 2024-04-11 2024-04-12 15:00:56.543 2024-04-12 14:00:56 140456.543 NaN 11813 RUSSELL caleb_strategy_v3 2024-04-11 2024-04-12 15:03:54.935 2024-04-12 14:03:55 140634.935 NaN 11812 RUSSELL caleb_strategy_v3 2024-04-11 2024-04-12 15:02:55.034 2024-04-12 14:02:55 140575.034 NaN 11814 SOYOIL caleb_strategy_v3 2024-04-11 2024-04-12 15:30:55.750 2024-04-12 14:31:00 142255.75 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 11793 JGB-SGX-mini caleb_strategy_v3 [-1] 144.63 None 144.61 144.6 144.62 NaN 144.59 -0.02 -0.01 -0.01 NaN NaN -0.02 11795 JGB-SGX-mini caleb_strategy_v3 [-1] 144.63 None 144.6 144.59 144.61 144.61 144.58 -0.03 -0.01 -0.01 -0.03 NaN -0.02 11797 JGB-SGX-mini caleb_strategy_v3 [-1] 144.63 None 144.59 144.58 144.6 144.6 144.58 -0.04 -0.01 -0.0 -0.02 NaN -0.01 11791 JGB-SGX-mini caleb_strategy_v3 [-1] 144.63 None 144.61 144.6 144.62 144.62 144.6 -0.02 -0.01 -0.0 -0.02 NaN -0.01 11792 NIKKEI caleb_strategy_v3 [1] 39665.0 None 39712.5 39715.0 39710.0 39710.0 39720.0 -47.5 -2.5 -5.0 -10.0 NaN -7.5 11794 NIKKEI caleb_strategy_v3 [1] 39665.0 None 39717.5 39720.0 39715.0 39715.0 39710.0 -52.5 -2.5 10.0 5.0 NaN 7.5 11796 NIKKEI caleb_strategy_v3 [1] 39665.0 None 39707.5 39710.0 39705.0 39705.0 39715.0 -42.5 -2.5 -5.0 -10.0 NaN -7.5 11798 NIKKEI caleb_strategy_v3 [1] 39665.0 None 39712.5 39715.0 39710.0 39710.0 39715.0 -47.5 -2.5 0.0 -5.0 NaN -2.5 11799 NIKKEI caleb_strategy_v3 [1] 39665.0 None 39712.5 39715.0 39710.0 39710.0 39695.0 -47.5 -2.5 20.0 15.0 NaN 17.5 11800 EURIBOR-ICE caleb_strategy_v3 [1] 97.485 None 97.5525 97.555 97.55 97.55 97.55 -0.0675 -0.0025 0.005 0.0 NaN 0.0025 11801 EURIBOR-ICE caleb_strategy_v3 [1] 97.485 None 97.55 97.555 97.545 97.545 97.555 -0.065 -0.005 0.0 -0.01 NaN -0.005 11802 GOLD_micro caleb_strategy_v3 [1] 2380.9 None 2415.25 2415.3 2415.2 2415.2 2415.4 -34.35 -0.05 -0.1 -0.2 NaN -0.15 11803 NZD caleb_strategy_v3 [-1] 0.5997 None 0.594275 0.59425 0.5943 0.5943 0.5942 -0.005425 -0.000025 -0.00005 -0.0001 NaN -0.000075 11809 NASDAQ_micro caleb_strategy_v3 [1] 18498.5 None 18327.75 18328.0 18327.5 18327.5 18320.0 170.75 -0.25 8.0 7.5 NaN 7.75 11805 NASDAQ_micro caleb_strategy_v3 [1] 18498.5 None 18327.75 18328.0 18327.5 18327.5 18327.5 170.75 -0.25 0.5 0.0 NaN 0.25 11810 US5 caleb_strategy_v3 [-1] 105.226562 None 105.488281 105.484375 105.492188 NaN 105.492188 0.261719 -0.003906 0.007813 NaN NaN 0.003907 11806 US5 caleb_strategy_v3 [-1] 105.226562 None 105.488281 105.484375 105.492188 105.492188 105.484375 0.261719 -0.003906 -0.0 -0.007812 NaN -0.003906 11811 SP500_micro caleb_strategy_v3 [-1] 5251.25 None 5211.125 5211.0 5211.25 5211.25 5209.5 -40.125 -0.125 -1.5 -1.75 NaN -1.625 11807 SP500_micro caleb_strategy_v3 [-1] 5251.25 None 5210.875 5210.75 5211.0 5211.0 5210.75 -40.375 -0.125 -0.0 -0.25 NaN -0.125 11808 RUSSELL caleb_strategy_v3 [-1] 2057.3 None 2040.5 2040.4 2040.6 2040.6 2039.3 -16.8 -0.1 -1.1 -1.3 NaN -1.2 11804 RUSSELL caleb_strategy_v3 [-1] 2057.3 None 2040.4 2040.3 2040.5 2040.5 2040.5 -16.9 -0.1 0.2 -0.0 NaN 0.1 11813 RUSSELL caleb_strategy_v3 [-1] 2057.3 None 2038.6 2038.5 2038.7 2038.7 2038.3 -18.7 -0.1 -0.2 -0.4 NaN -0.3 11812 RUSSELL caleb_strategy_v3 [-1] 2057.3 None 2039.4 2039.3 2039.5 2039.5 2038.5 -17.9 -0.1 -0.8 -1.0 NaN -0.9 11814 SOYOIL caleb_strategy_v3 [-1] 46.79 None 47.0 47.0 47.0 47.0 46.98 0.21 -0.0 -0.02 -0.02 NaN -0.02 ================================================================================================================================================================ 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 11793 JGB-SGX-mini caleb_strategy_v3 [-1] 4.419891 -45.24998 -22.62499 -22.62499 NaN NaN -45.24998 11795 JGB-SGX-mini caleb_strategy_v3 [-1] 4.419891 -67.87497 -22.62499 -22.62499 -67.87497 NaN -45.24998 11797 JGB-SGX-mini caleb_strategy_v3 [-1] 4.419891 -90.49996 -22.62499 -0.0 -45.24998 NaN -22.62499 11791 JGB-SGX-mini caleb_strategy_v3 [-1] 4.419891 -45.24998 -22.62499 -0.0 -45.24998 NaN -22.62499 11792 NIKKEI caleb_strategy_v3 [1] 6324.784118 -75.101378 -3.952704 -7.905408 -15.810816 NaN -11.858112 11794 NIKKEI caleb_strategy_v3 [1] 6324.784118 -83.006786 -3.952704 15.810816 7.905408 NaN 11.858112 11796 NIKKEI caleb_strategy_v3 [1] 6324.784118 -67.195969 -3.952704 -7.905408 -15.810816 NaN -11.858112 11798 NIKKEI caleb_strategy_v3 [1] 6324.784118 -75.101378 -3.952704 0.0 -7.905408 NaN -3.952704 11799 NIKKEI caleb_strategy_v3 [1] 6324.784118 -75.101378 -3.952704 31.621633 23.716224 NaN 27.668929 11800 EURIBOR-ICE caleb_strategy_v3 [1] 1.036366 -651.314331 -24.122753 48.245506 0.0 NaN 24.122753 11801 EURIBOR-ICE caleb_strategy_v3 [1] 1.036366 -627.191578 -48.245506 0.0 -96.491012 NaN -48.245506 11802 GOLD_micro caleb_strategy_v3 [1] 288.208208 -1191.846693 -1.734857 -3.469714 -6.939428 NaN -5.204571 11803 NZD caleb_strategy_v3 [-1] 0.061285 -885.212597 -4.079321 -8.158641 -16.317283 NaN -12.237962 11809 NASDAQ_micro caleb_strategy_v3 [1] 3007.904427 567.670962 -0.831143 26.59659 24.934303 NaN 25.765446 11805 NASDAQ_micro caleb_strategy_v3 [1] 3007.904427 567.670962 -0.831143 1.662287 0.0 NaN 0.831143 11810 US5 caleb_strategy_v3 [-1] 5.475887 477.947659 -7.133547 14.268007 NaN NaN 7.13446 11806 US5 caleb_strategy_v3 [-1] 5.475887 477.947659 -7.133547 -0.0 -14.267094 NaN -7.133547 11811 SP500_micro caleb_strategy_v3 [-1] 678.157967 -591.676305 -1.843228 -22.11874 -25.805197 NaN -23.961969 11807 SP500_micro caleb_strategy_v3 [-1] 678.157967 -595.362762 -1.843228 -0.0 -3.686457 NaN -1.843228 11808 RUSSELL caleb_strategy_v3 [-1] 438.315309 -383.285723 -2.281463 -25.096089 -29.659014 NaN -27.377552 11804 RUSSELL caleb_strategy_v3 [-1] 438.315309 -385.567186 -2.281463 4.562925 -0.0 NaN 2.281463 11813 RUSSELL caleb_strategy_v3 [-1] 438.315309 -426.633513 -2.281463 -4.562925 -9.125851 NaN -6.844388 11812 RUSSELL caleb_strategy_v3 [-1] 438.315309 -408.381812 -2.281463 -18.251701 -22.814626 NaN -20.533164 11814 SOYOIL caleb_strategy_v3 [-1] 13.245283 158.547006 -0.0 -15.099715 -15.099715 NaN -15.099715 ======================================================================================================================================================================== 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 11793 JGB-SGX-mini caleb_strategy_v3 [-1] 652.398707 -13.047974 -6.523987 -6.523987 NaN NaN -13.047974 11795 JGB-SGX-mini caleb_strategy_v3 [-1] 652.398707 -19.571961 -6.523987 -6.523987 -19.571961 NaN -13.047974 11797 JGB-SGX-mini caleb_strategy_v3 [-1] 652.398707 -26.095948 -6.523987 -0.0 -13.047974 NaN -6.523987 11791 JGB-SGX-mini caleb_strategy_v3 [-1] 652.398707 -13.047974 -6.523987 -0.0 -13.047974 NaN -6.523987 11792 NIKKEI caleb_strategy_v3 [1] 0.652399 -30.988939 -1.630997 -3.261994 -6.523987 NaN -4.89299 11794 NIKKEI caleb_strategy_v3 [1] 0.652399 -34.250932 -1.630997 6.523987 3.261994 NaN 4.89299 11796 NIKKEI caleb_strategy_v3 [1] 0.652399 -27.726945 -1.630997 -3.261994 -6.523987 NaN -4.89299 11798 NIKKEI caleb_strategy_v3 [1] 0.652399 -30.988939 -1.630997 0.0 -3.261994 NaN -1.630997 11799 NIKKEI caleb_strategy_v3 [1] 0.652399 -30.988939 -1.630997 13.047974 9.785981 NaN 11.416977 11800 EURIBOR-ICE caleb_strategy_v3 [1] 2676.5 -180.66375 -6.69125 13.3825 0.0 NaN 6.69125 11801 EURIBOR-ICE caleb_strategy_v3 [1] 2676.5 -173.9725 -13.3825 0.0 -26.765 NaN -13.3825 11802 GOLD_micro caleb_strategy_v3 [1] 10.0 -343.5 -0.5 -1.0 -2.0 NaN -1.5 11803 NZD caleb_strategy_v3 [-1] 100000.0 -542.5 -2.5 -5.0 -10.0 NaN -7.5 11809 NASDAQ_micro caleb_strategy_v3 [1] 2.0 341.5 -0.5 16.0 15.0 NaN 15.5 11805 NASDAQ_micro caleb_strategy_v3 [1] 2.0 341.5 -0.5 1.0 0.0 NaN 0.5 11810 US5 caleb_strategy_v3 [-1] 1000.0 261.71875 -3.90625 7.813 NaN NaN 3.90675 11806 US5 caleb_strategy_v3 [-1] 1000.0 261.71875 -3.90625 -0.0 -7.8125 NaN -3.90625 11811 SP500_micro caleb_strategy_v3 [-1] 5.0 -200.625 -0.625 -7.5 -8.75 NaN -8.125 11807 SP500_micro caleb_strategy_v3 [-1] 5.0 -201.875 -0.625 -0.0 -1.25 NaN -0.625 11808 RUSSELL caleb_strategy_v3 [-1] 5.0 -84.0 -0.5 -5.5 -6.5 NaN -6.0 11804 RUSSELL caleb_strategy_v3 [-1] 5.0 -84.5 -0.5 1.0 -0.0 NaN 0.5 11813 RUSSELL caleb_strategy_v3 [-1] 5.0 -93.5 -0.5 -1.0 -2.0 NaN -1.5 11812 RUSSELL caleb_strategy_v3 [-1] 5.0 -89.5 -0.5 -4.0 -5.0 NaN -4.5 11814 SOYOIL caleb_strategy_v3 [-1] 600.0 126.0 -0.0 -12.0 -12.0 NaN -12.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -354.63625 GOLD_micro -343.5 JGB-SGX-mini -71.763858 NASDAQ_micro 683.0 NIKKEI -154.944693 NZD -542.5 RUSSELL -351.5 SOYOIL 126.0 SP500_micro -402.5 US5 523.4375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -888.907301 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -20.07375 GOLD_micro -0.5 JGB-SGX-mini -26.095948 NASDAQ_micro -1.0 NIKKEI -8.154984 NZD -2.5 RUSSELL -2.0 SOYOIL -0.0 SP500_micro -1.25 US5 -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -69.387182 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 13.3825 GOLD_micro -1.0 JGB-SGX-mini -13.047974 NASDAQ_micro 17.0 NIKKEI 13.047974 NZD -5.0 RUSSELL -9.5 SOYOIL -12.0 SP500_micro -7.5 US5 7.813 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 3.1955 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -26.765 GOLD_micro -2.0 JGB-SGX-mini -45.667909 NASDAQ_micro 15.0 NIKKEI -3.261994 NZD -10.0 RUSSELL -13.5 SOYOIL -12.0 SP500_micro -10.0 US5 -7.8125 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -116.007403 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 0 GOLD_micro 0 JGB-SGX-mini 0 NASDAQ_micro 0 NIKKEI 0 NZD 0 RUSSELL 0 SOYOIL 0 SP500_micro 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 EURIBOR-ICE -6.69125 GOLD_micro -1.5 JGB-SGX-mini -39.143922 NASDAQ_micro 16.0 NIKKEI 4.89299 NZD -7.5 RUSSELL -11.5 SOYOIL -12.0 SP500_micro -8.75 US5 0.0005 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -66.191682 ******************************************************************************** END OF REPORT ********************************************************************************