******************************************************************************** Trades report produced on 24/04/2024 21:37 from 23/04/2024 21:37 to 24/04/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 12111 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-04-24 08:02:25 [-1] 97.380000 12112 HEATOIL _ROLL_PSEUDO_STRATEGY [20240700] 2024-04-24 13:00:54 [-1] 2.574000 12113 HEATOIL _ROLL_PSEUDO_STRATEGY [20240800] 2024-04-24 13:00:56 [1] 2.580700 12115 JPY caleb_strategy_v3 [20240600] 2024-04-24 14:01:17 [-1] 0.006507 12107 NIKKEI caleb_strategy_v3 [20240600] 2024-04-24 02:01:30 [-1] 38300.000000 12108 NIKKEI caleb_strategy_v3 [20240600] 2024-04-24 02:02:28 [-1] 38305.000000 12109 NIKKEI caleb_strategy_v3 [20240600] 2024-04-24 02:03:28 [-1] 38325.000000 12110 NIKKEI caleb_strategy_v3 [20240600] 2024-04-24 02:04:28 [-1] 38315.000000 12114 RUSSELL caleb_strategy_v3 [20240600] 2024-04-24 14:01:00 [1] 2013.200000 12117 RUSSELL caleb_strategy_v3 [20240600] 2024-04-24 14:02:00 [1] 2013.100000 12119 RUSSELL caleb_strategy_v3 [20240600] 2024-04-24 14:02:59 [1] 2012.700000 12120 SP500_micro caleb_strategy_v3 [20240600] 2024-04-24 14:03:00 [1] 5115.500000 12121 SP500_micro caleb_strategy_v3 [20240600] 2024-04-24 14:03:59 [1] 5115.000000 12116 SP500_micro caleb_strategy_v3 [20240600] 2024-04-24 14:01:17 [1] 5113.750000 12118 SP500_micro caleb_strategy_v3 [20240600] 2024-04-24 14:02:00 [1] 5113.500000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12107 NIKKEI caleb_strategy_v3 2024-04-23 00:00:00 2024-04-24 03:01:28.190 2024-04-24 02:01:30 97288.19 NaN 12108 NIKKEI caleb_strategy_v3 2024-04-23 00:00:00 2024-04-24 03:02:27.973 2024-04-24 02:02:28 97347.973 NaN 12109 NIKKEI caleb_strategy_v3 2024-04-23 00:00:00 2024-04-24 03:03:27.992 2024-04-24 02:03:28 97407.992 NaN 12110 NIKKEI caleb_strategy_v3 2024-04-23 00:00:00 2024-04-24 03:04:27.984 2024-04-24 02:04:28 97467.984 NaN 12111 EURIBOR-ICE caleb_strategy_v3 2024-04-23 00:00:00 2024-04-24 09:00:39.238 2024-04-24 08:02:25 118839.238 NaN 12112 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-04-23 20:00:00 2024-04-24 14:00:54.014 2024-04-24 13:00:54 64854.014 NaN 12113 HEATOIL _ROLL_PSEUDO_STRATEGY 2024-04-23 20:00:00 2024-04-24 14:00:54.995 2024-04-24 13:00:56 64854.995 NaN 12115 JPY caleb_strategy_v3 2024-04-23 00:00:00 2024-04-24 15:01:00.830 2024-04-24 14:01:17 140460.83 NaN 12114 RUSSELL caleb_strategy_v3 2024-04-23 00:00:00 2024-04-24 15:00:59.998 2024-04-24 14:01:00 140459.998 NaN 12117 RUSSELL caleb_strategy_v3 2024-04-23 00:00:00 2024-04-24 15:01:59.858 2024-04-24 14:02:00 140519.858 NaN 12119 RUSSELL caleb_strategy_v3 2024-04-23 00:00:00 2024-04-24 15:02:59.862 2024-04-24 14:02:59 140579.862 NaN 12120 SP500_micro caleb_strategy_v3 2024-04-23 00:00:00 2024-04-24 15:03:00.506 2024-04-24 14:03:00 140580.506 NaN 12121 SP500_micro caleb_strategy_v3 2024-04-23 00:00:00 2024-04-24 15:03:59.888 2024-04-24 14:03:59 140639.888 NaN 12116 SP500_micro caleb_strategy_v3 2024-04-23 00:00:00 2024-04-24 15:01:17.690 2024-04-24 14:01:17 140477.69 NaN 12118 SP500_micro caleb_strategy_v3 2024-04-23 00:00:00 2024-04-24 15:02:00.590 2024-04-24 14:02:00 140520.59 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 12107 NIKKEI caleb_strategy_v3 [-1] 37915.0 None 38307.5 38305.0 38310.0 38310.0 38300.0 392.5 -2.5 -5.0 -10.0 NaN -7.5 12108 NIKKEI caleb_strategy_v3 [-1] 37915.0 None 38302.5 38300.0 38305.0 38305.0 38305.0 387.5 -2.5 5.0 -0.0 NaN 2.5 12109 NIKKEI caleb_strategy_v3 [-1] 37915.0 None 38307.5 38305.0 38310.0 38310.0 38325.0 392.5 -2.5 20.0 15.0 NaN 17.5 12110 NIKKEI caleb_strategy_v3 [-1] 37915.0 None 38327.5 38325.0 38330.0 38330.0 38315.0 412.5 -2.5 -10.0 -15.0 NaN -12.5 12111 EURIBOR-ICE caleb_strategy_v3 [-1] 97.395 None 97.3775 97.375 97.38 97.38 97.38 -0.0175 -0.0025 0.005 -0.0 NaN 0.0025 12112 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 2.5921 None 2.5743 2.574 2.5746 NaN 2.574 -0.0178 -0.0003 -0.0 NaN NaN -0.0003 12113 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 2.5983 None 2.58105 2.5814 2.5807 2.5807 2.5807 0.01725 -0.00035 0.0007 0.0 NaN 0.00035 12115 JPY caleb_strategy_v3 [-1] 0.006515 None 0.006507 0.006507 0.006507 0.006507 0.006507 -0.000008 -0.0 0.0 -0.0 NaN 0.0 12114 RUSSELL caleb_strategy_v3 [1] 2018.7 None 2013.7 2013.8 2013.6 2013.6 2013.2 5.0 -0.1 0.6 0.4 NaN 0.5 12117 RUSSELL caleb_strategy_v3 [1] 2018.7 None 2013.15 2013.2 2013.1 2013.1 2013.1 5.55 -0.05 0.1 0.0 NaN 0.05 12119 RUSSELL caleb_strategy_v3 [1] 2018.7 None 2013.05 2013.1 2013.0 2013.0 2012.7 5.65 -0.05 0.4 0.3 NaN 0.35 12120 SP500_micro caleb_strategy_v3 [1] 5107.25 None 5113.375 5113.5 5113.25 5113.25 5115.5 -6.125 -0.125 -2.0 -2.25 NaN -2.125 12121 SP500_micro caleb_strategy_v3 [1] 5107.25 None 5115.375 5115.5 5115.25 5115.25 5115.0 -8.125 -0.125 0.5 0.25 NaN 0.375 12116 SP500_micro caleb_strategy_v3 [1] 5107.25 None 5113.875 5114.0 5113.75 5113.75 5113.75 -6.625 -0.125 0.25 0.0 NaN 0.125 12118 SP500_micro caleb_strategy_v3 [1] 5107.25 None 5113.875 5114.0 5113.75 5113.75 5113.5 -6.625 -0.125 0.5 0.25 NaN 0.375 =================================================================================================================================================================== 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 12107 NIKKEI caleb_strategy_v3 [-1] 6982.271245 562.138001 -3.580497 -7.160994 -14.321987 NaN -10.74149 12108 NIKKEI caleb_strategy_v3 [-1] 6982.271245 554.977007 -3.580497 7.160994 -0.0 NaN 3.580497 12109 NIKKEI caleb_strategy_v3 [-1] 6982.271245 562.138001 -3.580497 28.643975 21.482981 NaN 25.063478 12110 NIKKEI caleb_strategy_v3 [-1] 6982.271245 590.781976 -3.580497 -14.321987 -21.482981 NaN -17.902484 12111 EURIBOR-ICE caleb_strategy_v3 [-1] 1.008388 -173.544265 -24.792038 49.584076 -0.0 NaN 24.792038 12112 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 0.655198 -271.673405 -4.578765 -0.0 NaN NaN -4.578765 12113 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 0.655198 263.279002 -5.341893 10.683786 0.0 NaN 5.341893 12115 JPY caleb_strategy_v3 [-1] 0.00048 -171.707614 -5.203261 10.406522 -0.0 NaN 5.203261 12114 RUSSELL caleb_strategy_v3 [1] 397.020577 125.938057 -2.518761 15.112567 10.075045 NaN 12.593806 12117 RUSSELL caleb_strategy_v3 [1] 397.020577 139.791243 -1.259381 2.518761 0.0 NaN 1.259381 12119 RUSSELL caleb_strategy_v3 [1] 397.020577 142.310004 -1.259381 10.075045 7.556283 NaN 8.815664 12120 SP500_micro caleb_strategy_v3 [1] 663.407584 -92.326349 -1.884211 -30.147379 -33.915802 NaN -32.03159 12121 SP500_micro caleb_strategy_v3 [1] 663.407584 -122.473728 -1.884211 7.536845 3.768422 NaN 5.652634 12116 SP500_micro caleb_strategy_v3 [1] 663.407584 -99.863194 -1.884211 3.768422 0.0 NaN 1.884211 12118 SP500_micro caleb_strategy_v3 [1] 663.407584 -99.863194 -1.884211 7.536845 3.768422 NaN 5.652634 ============================================================================================================================================================================= 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 12107 NIKKEI caleb_strategy_v3 [-1] 0.645642 253.414641 -1.614106 -3.228212 -6.456424 NaN -4.842318 12108 NIKKEI caleb_strategy_v3 [-1] 0.645642 250.186429 -1.614106 3.228212 -0.0 NaN 1.614106 12109 NIKKEI caleb_strategy_v3 [-1] 0.645642 253.414641 -1.614106 12.912848 9.684636 NaN 11.298742 12110 NIKKEI caleb_strategy_v3 [-1] 0.645642 266.327489 -1.614106 -6.456424 -9.684636 NaN -8.07053 12111 EURIBOR-ICE caleb_strategy_v3 [-1] 2675.875 -46.827812 -6.689687 13.379375 -0.0 NaN 6.689687 12112 HEATOIL _ROLL_PSEUDO_STRATEGY [-1] 42000.0 -747.6 -12.6 -0.0 NaN NaN -12.6 12113 HEATOIL _ROLL_PSEUDO_STRATEGY [1] 42000.0 724.5 -14.7 29.4 0.0 NaN 14.7 12115 JPY caleb_strategy_v3 [-1] 12500000.0 -103.125 -3.125 6.25 -0.0 NaN 3.125 12114 RUSSELL caleb_strategy_v3 [1] 5.0 25.0 -0.5 3.0 2.0 NaN 2.5 12117 RUSSELL caleb_strategy_v3 [1] 5.0 27.75 -0.25 0.5 0.0 NaN 0.25 12119 RUSSELL caleb_strategy_v3 [1] 5.0 28.25 -0.25 2.0 1.5 NaN 1.75 12120 SP500_micro caleb_strategy_v3 [1] 5.0 -30.625 -0.625 -10.0 -11.25 NaN -10.625 12121 SP500_micro caleb_strategy_v3 [1] 5.0 -40.625 -0.625 2.5 1.25 NaN 1.875 12116 SP500_micro caleb_strategy_v3 [1] 5.0 -33.125 -0.625 1.25 0.0 NaN 0.625 12118 SP500_micro caleb_strategy_v3 [1] 5.0 -33.125 -0.625 2.5 1.25 NaN 1.875 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -23.1 caleb_strategy_v3 EURIBOR-ICE -46.827812 JPY -103.125 NIKKEI 1023.343201 RUSSELL 81.0 SP500_micro -137.5 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -23.1 caleb_strategy_v3 816.890388 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -27.3 caleb_strategy_v3 EURIBOR-ICE -6.689687 JPY -3.125 NIKKEI -6.456424 RUSSELL -1.0 SP500_micro -2.5 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -27.3 caleb_strategy_v3 -19.771111 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL 29.4 caleb_strategy_v3 EURIBOR-ICE 13.379375 JPY 6.25 NIKKEI 6.456424 RUSSELL 5.5 SP500_micro -3.75 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 29.4 caleb_strategy_v3 27.835799 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL 0.0 caleb_strategy_v3 EURIBOR-ICE -0.0 JPY -0.0 NIKKEI -6.456424 RUSSELL 3.5 SP500_micro -8.75 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.0 caleb_strategy_v3 -11.706424 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL 0 caleb_strategy_v3 EURIBOR-ICE 0 JPY 0 NIKKEI 0 RUSSELL 0 SP500_micro 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 HEATOIL 2.1 caleb_strategy_v3 EURIBOR-ICE 6.689687 JPY 3.125 NIKKEI 0.0 RUSSELL 4.5 SP500_micro -6.25 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 2.1 caleb_strategy_v3 8.064687 ******************************************************************************** END OF REPORT ********************************************************************************