******************************************************************************** Trades report produced on 19/04/2024 21:37 from 18/04/2024 21:37 to 19/04/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 12033 BTP caleb_strategy_v3 [20240600] 2024-04-19 07:01:29 [-1] 117.22000 12031 BTP caleb_strategy_v3 [20240600] 2024-04-19 07:00:32 [-1] 117.20000 12042 CAD caleb_strategy_v3 [20240600] 2024-04-19 14:01:20 [-1] 0.72810 12037 COCOA caleb_strategy_v3 [20240700] 2024-04-19 13:00:48 [-1] 11017.00000 12038 DOW caleb_strategy_v3 [20240600] 2024-04-19 14:00:43 [1] 38174.00000 12035 GASOIL caleb_strategy_v3 [20240700] 2024-04-19 08:00:32 [-1] 784.50000 12036 GAS_US_mini caleb_strategy_v3 [20240700] 2024-04-19 13:00:46 [-1] 2.32000 12044 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-19 14:01:42 [1] 17464.25000 12043 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-19 14:01:21 [1] 17463.50000 12028 NIKKEI caleb_strategy_v3 [20240600] 2024-04-19 02:01:16 [-1] 36945.00000 12029 NIKKEI caleb_strategy_v3 [20240600] 2024-04-19 02:02:16 [-1] 36925.00000 12039 NZD caleb_strategy_v3 [20240600] 2024-04-19 14:00:45 [-1] 0.58945 12030 OAT caleb_strategy_v3 [20240600] 2024-04-19 07:00:31 [1] 126.35000 12034 OAT caleb_strategy_v3 [20240600] 2024-04-19 07:02:28 [1] 126.38000 12032 OAT caleb_strategy_v3 [20240600] 2024-04-19 07:01:28 [1] 126.34000 12041 SP400 caleb_strategy_v3 [20240600] 2024-04-19 14:01:19 [-1] 2865.20000 12040 US10U caleb_strategy_v3 [20240600] 2024-04-19 14:01:18 [-1] 110.78125 12045 WHEAT caleb_strategy_v3 [20241200] 2024-04-19 14:30:43 [-1] 602.50000 12046 WHEAT caleb_strategy_v3 [20241200] 2024-04-19 14:31:43 [-1] 602.25000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12028 NIKKEI caleb_strategy_v3 2024-04-18 2024-04-19 03:01:15.542 2024-04-19 02:01:16 97275.542 NaN 12029 NIKKEI caleb_strategy_v3 2024-04-18 2024-04-19 03:02:15.545 2024-04-19 02:02:16 97335.545 NaN 12033 BTP caleb_strategy_v3 2024-04-18 2024-04-19 08:01:29.125 2024-04-19 07:01:29 115289.125 NaN 12031 BTP caleb_strategy_v3 2024-04-18 2024-04-19 08:00:31.814 2024-04-19 07:00:32 115231.814 NaN 12032 OAT caleb_strategy_v3 2024-04-18 2024-04-19 08:01:28.587 2024-04-19 07:01:28 115288.587 NaN 12034 OAT caleb_strategy_v3 2024-04-18 2024-04-19 08:02:28.596 2024-04-19 07:02:28 115348.596 NaN 12030 OAT caleb_strategy_v3 2024-04-18 2024-04-19 08:00:28.682 2024-04-19 07:00:31 115228.682 NaN 12035 GASOIL caleb_strategy_v3 2024-04-18 2024-04-19 09:00:30.202 2024-04-19 08:00:32 118830.202 NaN 12036 GAS_US_mini caleb_strategy_v3 2024-04-18 2024-04-19 14:00:39.938 2024-04-19 13:00:46 136839.938 NaN 12037 COCOA caleb_strategy_v3 2024-04-18 2024-04-19 14:00:47.642 2024-04-19 13:00:48 136847.642 NaN 12038 DOW caleb_strategy_v3 2024-04-18 2024-04-19 15:00:42.466 2024-04-19 14:00:43 140442.466 NaN 12039 NZD caleb_strategy_v3 2024-04-18 2024-04-19 15:00:43.878 2024-04-19 14:00:45 140443.878 NaN 12040 US10U caleb_strategy_v3 2024-04-18 2024-04-19 15:00:46.484 2024-04-19 14:01:18 140446.484 NaN 12041 SP400 caleb_strategy_v3 2024-04-18 2024-04-19 15:01:18.738 2024-04-19 14:01:19 140478.738 NaN 12042 CAD caleb_strategy_v3 2024-04-18 2024-04-19 15:01:20.503 2024-04-19 14:01:20 140480.503 NaN 12043 NASDAQ_micro caleb_strategy_v3 2024-04-18 2024-04-19 15:01:21.350 2024-04-19 14:01:21 140481.35 NaN 12044 NASDAQ_micro caleb_strategy_v3 2024-04-18 2024-04-19 15:01:42.352 2024-04-19 14:01:42 140502.352 NaN 12045 WHEAT caleb_strategy_v3 2024-04-18 2024-04-19 15:30:43.658 2024-04-19 14:30:43 142243.658 NaN 12046 WHEAT caleb_strategy_v3 2024-04-18 2024-04-19 15:31:42.894 2024-04-19 14:31:43 142302.894 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 12028 NIKKEI caleb_strategy_v3 [-1] 37790.0 None 36942.5 36940.0 36945.0 36945.0 36945.0 -847.5 -2.5 5.0 -0.0 NaN 2.5 12029 NIKKEI caleb_strategy_v3 [-1] 37790.0 None 36942.5 36940.0 36945.0 36945.0 36925.0 -847.5 -2.5 -15.0 -20.0 NaN -17.5 12033 BTP caleb_strategy_v3 [-1] 116.9 None 117.205 117.2 117.21 117.21 117.22 0.305 -0.005 0.02 0.01 NaN 0.015 12031 BTP caleb_strategy_v3 [-1] 116.9 None 117.21 117.2 117.22 117.22 117.2 0.31 -0.01 -0.0 -0.02 NaN -0.01 12032 OAT caleb_strategy_v3 [1] 126.03 None 126.345 126.35 126.34 126.34 126.34 -0.315 -0.005 0.01 0.0 NaN 0.005 12034 OAT caleb_strategy_v3 [1] 126.03 None 126.335 126.34 126.33 126.33 126.38 -0.305 -0.005 -0.04 -0.05 NaN -0.045 12030 OAT caleb_strategy_v3 [1] 126.03 None 126.335 126.34 126.33 126.33 126.35 -0.305 -0.005 -0.01 -0.02 NaN -0.015 12035 GASOIL caleb_strategy_v3 [-1] 782.0 None 784.875 784.75 785.0 785.0 784.5 2.875 -0.125 -0.25 -0.5 NaN -0.375 12036 GAS_US_mini caleb_strategy_v3 [-1] 2.295 None 2.325 2.32 2.33 2.33 2.32 0.03 -0.005 -0.0 -0.01 NaN -0.005 12037 COCOA caleb_strategy_v3 [-1] 11020.0 None 11020.0 11017.0 11023.0 11023.0 11017.0 -0.0 -3.0 -0.0 -6.0 NaN -3.0 12038 DOW caleb_strategy_v3 [1] 38009.0 None 38173.5 38174.0 38173.0 38173.0 38174.0 -164.5 -0.5 0.0 -1.0 NaN -0.5 12039 NZD caleb_strategy_v3 [-1] 0.59065 None 0.5895 0.58945 0.58955 0.58955 0.58945 -0.00115 -0.00005 -0.0 -0.0001 NaN -0.00005 12040 US10U caleb_strategy_v3 [-1] 110.65625 None 110.804688 110.796875 110.8125 110.8125 110.78125 0.148438 -0.007812 -0.015625 -0.03125 NaN -0.023438 12041 SP400 caleb_strategy_v3 [-1] 2845.7 None 2865.8 2865.6 2866.0 2866.0 2865.2 20.1 -0.2 -0.4 -0.8 NaN -0.6 12042 CAD caleb_strategy_v3 [-1] 0.72685 None 0.72815 0.7281 0.7282 0.7282 0.7281 0.0013 -0.00005 -0.0 -0.0001 NaN -0.00005 12043 NASDAQ_micro caleb_strategy_v3 [1] 17565.5 None 17464.125 17464.25 17464.0 17464.0 17463.5 101.375 -0.125 0.75 0.5 NaN 0.625 12044 NASDAQ_micro caleb_strategy_v3 [1] 17565.5 None 17463.25 17463.5 17463.0 17463.0 17464.25 102.25 -0.25 -0.75 -1.25 NaN -1.0 12045 WHEAT caleb_strategy_v3 [-1] 595.0 None 600.0 600.0 600.0 600.0 602.5 5.0 -0.0 2.5 2.5 NaN 2.5 12046 WHEAT caleb_strategy_v3 [-1] 595.0 None 602.75 602.5 603.0 603.0 602.25 7.75 -0.25 -0.25 -0.75 NaN -0.5 ================================================================================================================================================================ 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 12028 NIKKEI caleb_strategy_v3 [-1] 6451.320135 -1313.684614 -3.875176 7.750352 -0.0 NaN 3.875176 12029 NIKKEI caleb_strategy_v3 [-1] 6451.320135 -1313.684614 -3.875176 -23.251055 -31.001407 NaN -27.126231 12033 BTP caleb_strategy_v3 [-1] 10.602016 287.681148 -4.716084 18.864338 9.432169 NaN 14.148253 12031 BTP caleb_strategy_v3 [-1] 10.602016 292.397233 -9.432169 -0.0 -18.864338 NaN -9.432169 12032 OAT caleb_strategy_v3 [1] 9.952712 -316.496662 -5.023757 10.047513 0.0 NaN 5.023757 12034 OAT caleb_strategy_v3 [1] 9.952712 -306.449149 -5.023757 -40.190052 -50.237565 NaN -45.213809 12030 OAT caleb_strategy_v3 [1] 9.952712 -306.449149 -5.023757 -10.047513 -20.095026 NaN -15.07127 12035 GASOIL caleb_strategy_v3 [-1] 220.748753 130.238561 -5.662546 -11.325092 -22.650185 NaN -16.987638 12036 GAS_US_mini caleb_strategy_v3 [-1] 1.374983 218.184508 -36.364085 -0.0 -72.728169 NaN -36.364085 12037 COCOA caleb_strategy_v3 [-1] 4617.784554 -0.0 -6.496622 -0.0 -12.993244 NaN -6.496622 12038 DOW caleb_strategy_v3 [1] 4273.090962 -384.967232 -1.170113 0.0 -2.340226 NaN -1.170113 12039 NZD caleb_strategy_v3 [-1] 0.057032 -201.641789 -8.767034 -0.0 -17.534069 NaN -8.767034 12040 US10U caleb_strategy_v3 [-1] 9.653628 153.763437 -8.092812 -16.185625 -32.37125 NaN -24.278437 12041 SP400 caleb_strategy_v3 [-1] 449.532765 447.130923 -4.449064 -8.898128 -17.796256 NaN -13.347192 12042 CAD caleb_strategy_v3 [-1] 0.041417 313.878149 -12.072237 -0.0 -24.144473 NaN -12.072237 12043 NASDAQ_micro caleb_strategy_v3 [1] 3056.370265 331.68429 -0.408982 2.453891 1.635927 NaN 2.044909 12044 NASDAQ_micro caleb_strategy_v3 [1] 3056.370265 334.547163 -0.817964 -2.453891 -4.089819 NaN -3.271855 12045 WHEAT caleb_strategy_v3 [-1] 149.992989 333.348914 -0.0 166.674457 166.674457 NaN 166.674457 12046 WHEAT caleb_strategy_v3 [-1] 149.992989 516.690817 -16.667446 -16.667446 -50.002337 NaN -33.334891 ========================================================================================================================================================================= 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 12028 NIKKEI caleb_strategy_v3 [-1] 0.648189 -549.340144 -1.620472 3.240945 -0.0 NaN 1.620472 12029 NIKKEI caleb_strategy_v3 [-1] 0.648189 -549.340144 -1.620472 -9.722834 -12.963779 NaN -11.343307 12033 BTP caleb_strategy_v3 [-1] 1063.1 324.2455 -5.3155 21.262 10.631 NaN 15.9465 12031 BTP caleb_strategy_v3 [-1] 1063.1 329.561 -10.631 -0.0 -21.262 NaN -10.631 12032 OAT caleb_strategy_v3 [1] 1063.1 -334.8765 -5.3155 10.631 0.0 NaN 5.3155 12034 OAT caleb_strategy_v3 [1] 1063.1 -324.2455 -5.3155 -42.524 -53.155 NaN -47.8395 12030 OAT caleb_strategy_v3 [1] 1063.1 -324.2455 -5.3155 -10.631 -21.262 NaN -15.9465 12035 GASOIL caleb_strategy_v3 [-1] 100.0 287.5 -12.5 -25.0 -50.0 NaN -37.5 12036 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 75.0 -12.5 -0.0 -25.0 NaN -12.5 12037 COCOA caleb_strategy_v3 [-1] 10.0 -0.0 -30.0 -0.0 -60.0 NaN -30.0 12038 DOW caleb_strategy_v3 [1] 0.5 -82.25 -0.25 0.0 -0.5 NaN -0.25 12039 NZD caleb_strategy_v3 [-1] 100000.0 -115.0 -5.0 -0.0 -10.0 NaN -5.0 12040 US10U caleb_strategy_v3 [-1] 1000.0 148.4375 -7.8125 -15.625 -31.25 NaN -23.4375 12041 SP400 caleb_strategy_v3 [-1] 100.0 2010.0 -20.0 -40.0 -80.0 NaN -60.0 12042 CAD caleb_strategy_v3 [-1] 100000.0 130.0 -5.0 -0.0 -10.0 NaN -5.0 12043 NASDAQ_micro caleb_strategy_v3 [1] 2.0 202.75 -0.25 1.5 1.0 NaN 1.25 12044 NASDAQ_micro caleb_strategy_v3 [1] 2.0 204.5 -0.5 -1.5 -2.5 NaN -2.0 12045 WHEAT caleb_strategy_v3 [-1] 50.0 250.0 -0.0 125.0 125.0 NaN 125.0 12046 WHEAT caleb_strategy_v3 [-1] 50.0 387.5 -12.5 -12.5 -37.5 NaN -25.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BTP 653.8065 CAD 130.0 COCOA -0.0 DOW -82.25 GASOIL 287.5 GAS_US_mini 75.0 NASDAQ_micro 407.25 NIKKEI -1098.680287 NZD -115.0 OAT -983.3675 SP400 2010.0 US10U 148.4375 WHEAT 637.5 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 2070.196213 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BTP -15.9465 CAD -5.0 COCOA -30.0 DOW -0.25 GASOIL -12.5 GAS_US_mini -12.5 NASDAQ_micro -0.75 NIKKEI -3.240945 NZD -5.0 OAT -15.9465 SP400 -20.0 US10U -7.8125 WHEAT -12.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -141.446445 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BTP 21.262 CAD -0.0 COCOA -0.0 DOW 0.0 GASOIL -25.0 GAS_US_mini -0.0 NASDAQ_micro 0.0 NIKKEI -6.48189 NZD -0.0 OAT -42.524 SP400 -40.0 US10U -15.625 WHEAT 112.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 4.13111 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP -10.631 CAD -10.0 COCOA -60.0 DOW -0.5 GASOIL -50.0 GAS_US_mini -25.0 NASDAQ_micro -1.5 NIKKEI -12.963779 NZD -10.0 OAT -74.417 SP400 -80.0 US10U -31.25 WHEAT 87.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -278.761779 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP 0 CAD 0 COCOA 0 DOW 0 GASOIL 0 GAS_US_mini 0 NASDAQ_micro 0 NIKKEI 0 NZD 0 OAT 0 SP400 0 US10U 0 WHEAT 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 5.3155 CAD -5.0 COCOA -30.0 DOW -0.25 GASOIL -37.5 GAS_US_mini -12.5 NASDAQ_micro -0.75 NIKKEI -9.722834 NZD -5.0 OAT -58.4705 SP400 -60.0 US10U -23.4375 WHEAT 100.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -137.315334 ******************************************************************************** END OF REPORT 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