******************************************************************************** Trades report produced on 06/05/2024 21:37 from 05/05/2024 21:37 to 06/05/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 12319 BOBL caleb_strategy_v3 [20240600] 2024-05-06 07:00:20 [1] 117.170 12321 BTP caleb_strategy_v3 [20240600] 2024-05-06 07:00:58 [-1] 118.400 12330 CORN caleb_strategy_v3 [20241200] 2024-05-06 14:30:02 [1] 487.250 12320 DAX caleb_strategy_v3 [20240600] 2024-05-06 07:00:25 [-1] 18190.000 12322 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-05-06 08:03:53 [1] 97.470 12323 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-05-06 08:04:01 [1] 97.475 12324 GOLD_micro caleb_strategy_v3 [20240600] 2024-05-06 13:00:26 [1] 2333.500 12325 GOLD_micro caleb_strategy_v3 [20240600] 2024-05-06 13:01:25 [1] 2331.800 12315 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-05-06 02:01:31 [1] 144.770 12317 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-05-06 02:02:01 [1] 144.770 12318 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-05-06 02:02:47 [1] 144.770 12326 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-05-06 14:00:29 [1] 18105.250 12316 NIKKEI caleb_strategy_v3 [20240600] 2024-05-06 02:02:00 [1] 38605.000 12328 VIX caleb_strategy_v3 [20240700] 2024-05-06 14:10:50 [-1] 15.600 12329 VIX caleb_strategy_v3 [20240700] 2024-05-06 14:15:54 [-1] 15.600 12327 VIX caleb_strategy_v3 [20240700] 2024-05-06 14:05:31 [-1] 15.600 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12316 NIKKEI caleb_strategy_v3 2024-05-03 2024-05-06 03:01:46.803 2024-05-06 02:02:00 270106.803 NaN 12315 JGB-SGX-mini caleb_strategy_v3 2024-05-03 2024-05-06 03:00:18.835 2024-05-06 02:01:31 270018.835 NaN 12317 JGB-SGX-mini caleb_strategy_v3 2024-05-03 2024-05-06 03:02:01.323 2024-05-06 02:02:01 270121.323 NaN 12318 JGB-SGX-mini caleb_strategy_v3 2024-05-03 2024-05-06 03:02:47.059 2024-05-06 02:02:47 270167.059 NaN 12319 BOBL caleb_strategy_v3 2024-05-03 2024-05-06 08:00:08.610 2024-05-06 07:00:20 288008.61 NaN 12320 DAX caleb_strategy_v3 2024-05-03 2024-05-06 08:00:20.906 2024-05-06 07:00:25 288020.906 NaN 12321 BTP caleb_strategy_v3 2024-05-03 2024-05-06 08:00:26.306 2024-05-06 07:00:58 288026.306 NaN 12322 EURIBOR-ICE caleb_strategy_v3 2024-05-03 2024-05-06 09:01:14.527 2024-05-06 08:03:53 291674.527 NaN 12323 EURIBOR-ICE caleb_strategy_v3 2024-05-03 2024-05-06 09:04:01.110 2024-05-06 08:04:01 291841.11 NaN 12324 GOLD_micro caleb_strategy_v3 2024-05-03 2024-05-06 14:00:26.510 2024-05-06 13:00:26 309626.51 NaN 12325 GOLD_micro caleb_strategy_v3 2024-05-03 2024-05-06 14:01:25.704 2024-05-06 13:01:25 309685.704 NaN 12326 NASDAQ_micro caleb_strategy_v3 2024-05-03 2024-05-06 15:00:29.487 2024-05-06 14:00:29 313229.487 NaN 12328 VIX caleb_strategy_v3 2024-05-03 2024-05-06 15:05:50.590 2024-05-06 14:10:50 313550.59 NaN 12329 VIX caleb_strategy_v3 2024-05-03 2024-05-06 15:10:54.332 2024-05-06 14:15:54 313854.332 NaN 12327 VIX caleb_strategy_v3 2024-05-03 2024-05-06 15:00:30.934 2024-05-06 14:05:31 313230.934 NaN 12330 CORN caleb_strategy_v3 2024-05-03 2024-05-06 15:30:01.383 2024-05-06 14:30:02 315001.383 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 12316 NIKKEI caleb_strategy_v3 [1] 38365.0 None 38597.5 38600.0 38595.0 38595.0 38605.0 -232.5 -2.5 -5.0 -10.0 NaN -7.5 12315 JGB-SGX-mini caleb_strategy_v3 [1] 144.68 None 144.765 144.77 144.76 144.76 144.77 -0.085 -0.005 0.0 -0.01 NaN -0.005 12317 JGB-SGX-mini caleb_strategy_v3 [1] 144.68 None 144.765 144.77 144.76 NaN 144.77 -0.085 -0.005 0.0 NaN NaN -0.005 12318 JGB-SGX-mini caleb_strategy_v3 [1] 144.68 None 144.765 144.77 144.76 144.76 144.77 -0.085 -0.005 0.0 -0.01 NaN -0.005 12319 BOBL caleb_strategy_v3 [1] 117.04 None 117.175 117.18 117.17 117.17 117.17 -0.135 -0.005 0.01 0.0 NaN 0.005 12320 DAX caleb_strategy_v3 [-1] 18174.0 None 18190.0 18189.0 18191.0 18191.0 18190.0 16.0 -1.0 1.0 -1.0 NaN 0.0 12321 BTP caleb_strategy_v3 [-1] 118.05 None 118.395 118.39 118.4 118.4 118.4 0.345 -0.005 0.01 -0.0 NaN 0.005 12322 EURIBOR-ICE caleb_strategy_v3 [1] 97.445 None 97.4725 97.475 97.47 97.47 97.47 -0.0275 -0.0025 0.005 0.0 NaN 0.0025 12323 EURIBOR-ICE caleb_strategy_v3 [1] 97.445 None 97.47 97.475 97.465 97.465 97.475 -0.025 -0.005 0.0 -0.01 NaN -0.005 12324 GOLD_micro caleb_strategy_v3 [1] 2306.5 None 2333.3 2333.4 2333.2 2333.2 2333.5 -26.8 -0.1 -0.1 -0.3 NaN -0.2 12325 GOLD_micro caleb_strategy_v3 [1] 2306.5 None 2333.4 2333.5 2333.3 2333.3 2331.8 -26.9 -0.1 1.7 1.5 NaN 1.6 12326 NASDAQ_micro caleb_strategy_v3 [1] 18020.75 None 18105.625 18105.75 18105.5 18105.5 18105.25 -84.875 -0.125 0.5 0.25 NaN 0.375 12328 VIX caleb_strategy_v3 [-1] 15.85 None 15.625 15.6 15.65 15.65 15.6 -0.225 -0.025 -0.0 -0.05 NaN -0.025 12329 VIX caleb_strategy_v3 [-1] 15.85 None 15.625 15.6 15.65 15.65 15.6 -0.225 -0.025 -0.0 -0.05 NaN -0.025 12327 VIX caleb_strategy_v3 [-1] 15.85 None 15.625 15.6 15.65 15.65 15.6 -0.225 -0.025 -0.0 -0.05 NaN -0.025 12330 CORN caleb_strategy_v3 [1] 482.75 None 486.875 487.0 486.75 486.75 487.25 -4.125 -0.125 -0.25 -0.5 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 12316 NIKKEI caleb_strategy_v3 [1] 7012.853603 -331.534085 -3.564883 -7.129765 -14.259531 NaN -10.694648 12315 JGB-SGX-mini caleb_strategy_v3 [1] 3.941523 -215.652706 -12.685453 0.0 -25.370907 NaN -12.685453 12317 JGB-SGX-mini caleb_strategy_v3 [1] 3.941523 -215.652706 -12.685453 0.0 NaN NaN -12.685453 12318 JGB-SGX-mini caleb_strategy_v3 [1] 3.941523 -215.652706 -12.685453 0.0 -25.370907 NaN -12.685453 12319 BOBL caleb_strategy_v3 [1] 5.30465 -254.493688 -9.425692 18.851384 0.0 NaN 9.425692 12320 DAX caleb_strategy_v3 [-1] 2318.662591 69.005297 -4.312831 4.312831 -4.312831 NaN 0.0 12321 BTP caleb_strategy_v3 [-1] 10.884899 316.95286 -4.59352 9.187039 -0.0 NaN 4.59352 12322 EURIBOR-ICE caleb_strategy_v3 [1] 1.047884 -262.433597 -23.8576 47.7152 0.0 NaN 23.8576 12323 EURIBOR-ICE caleb_strategy_v3 [1] 1.047884 -238.575998 -47.7152 0.0 -95.430399 NaN -47.7152 12324 GOLD_micro caleb_strategy_v3 [1] 360.094623 -744.248825 -2.777048 -2.777048 -8.331144 NaN -5.554096 12325 GOLD_micro caleb_strategy_v3 [1] 360.094623 -747.025873 -2.777048 47.209814 41.655718 NaN 44.432766 12326 NASDAQ_micro caleb_strategy_v3 [1] 3307.084274 -256.646015 -0.377976 1.511906 0.755953 NaN 1.133929 12328 VIX caleb_strategy_v3 [-1] 6.464382 -348.061115 -38.673457 -0.0 -77.346914 NaN -38.673457 12329 VIX caleb_strategy_v3 [-1] 6.464382 -348.061115 -38.673457 -0.0 -77.346914 NaN -38.673457 12327 VIX caleb_strategy_v3 [-1] 6.464382 -348.061115 -38.673457 -0.0 -77.346914 NaN -38.673457 12330 CORN caleb_strategy_v3 [1] 81.482688 -506.242501 -15.340682 -30.681364 -61.362727 NaN -46.022046 ========================================================================================================================================================================= 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 12316 NIKKEI caleb_strategy_v3 [1] 0.649781 -151.074088 -1.624453 -3.248905 -6.49781 NaN -4.873358 12315 JGB-SGX-mini caleb_strategy_v3 [1] 649.781024 -55.231387 -3.248905 0.0 -6.49781 NaN -3.248905 12317 JGB-SGX-mini caleb_strategy_v3 [1] 649.781024 -55.231387 -3.248905 0.0 NaN NaN -3.248905 12318 JGB-SGX-mini caleb_strategy_v3 [1] 649.781024 -55.231387 -3.248905 0.0 -6.49781 NaN -3.248905 12319 BOBL caleb_strategy_v3 [1] 1076.35 -145.30725 -5.38175 10.7635 0.0 NaN 5.38175 12320 DAX caleb_strategy_v3 [-1] 1.07635 17.2216 -1.07635 1.07635 -1.07635 NaN 0.0 12321 BTP caleb_strategy_v3 [-1] 1076.35 371.34075 -5.38175 10.7635 -0.0 NaN 5.38175 12322 EURIBOR-ICE caleb_strategy_v3 [1] 2690.875 -73.999063 -6.727187 13.454375 0.0 NaN 6.727187 12323 EURIBOR-ICE caleb_strategy_v3 [1] 2690.875 -67.271875 -13.454375 0.0 -26.90875 NaN -13.454375 12324 GOLD_micro caleb_strategy_v3 [1] 10.0 -268.0 -1.0 -1.0 -3.0 NaN -2.0 12325 GOLD_micro caleb_strategy_v3 [1] 10.0 -269.0 -1.0 17.0 15.0 NaN 16.0 12326 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -169.75 -0.25 1.0 0.5 NaN 0.75 12328 VIX caleb_strategy_v3 [-1] 1000.0 -225.0 -25.0 -0.0 -50.0 NaN -25.0 12329 VIX caleb_strategy_v3 [-1] 1000.0 -225.0 -25.0 -0.0 -50.0 NaN -25.0 12327 VIX caleb_strategy_v3 [-1] 1000.0 -225.0 -25.0 -0.0 -50.0 NaN -25.0 12330 CORN caleb_strategy_v3 [1] 50.0 -206.25 -6.25 -12.5 -25.0 NaN -18.75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BOBL -145.30725 BTP 371.34075 CORN -206.25 DAX 17.2216 EURIBOR-ICE -141.270938 GOLD_micro -537.0 JGB-SGX-mini -165.694161 NASDAQ_micro -169.75 NIKKEI -151.074088 VIX -675.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1802.784087 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BOBL -5.38175 BTP -5.38175 CORN -6.25 DAX -1.07635 EURIBOR-ICE -20.181562 GOLD_micro -2.0 JGB-SGX-mini -9.746715 NASDAQ_micro -0.25 NIKKEI -1.624453 VIX -75.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -126.89258 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BOBL 10.7635 BTP 10.7635 CORN -12.5 DAX 1.07635 EURIBOR-ICE 13.454375 GOLD_micro 16.0 JGB-SGX-mini 0.0 NASDAQ_micro 1.0 NIKKEI -3.248905 VIX -0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 37.30882 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0.0 BTP -0.0 CORN -25.0 DAX -1.07635 EURIBOR-ICE -26.90875 GOLD_micro 12.0 JGB-SGX-mini -12.99562 NASDAQ_micro 0.5 NIKKEI -6.49781 VIX -150.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -209.978531 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0 BTP 0 CORN 0 DAX 0 EURIBOR-ICE 0 GOLD_micro 0 JGB-SGX-mini 0 NASDAQ_micro 0 NIKKEI 0 VIX 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 BOBL 5.38175 BTP 5.38175 CORN -18.75 DAX 0.0 EURIBOR-ICE -6.727187 GOLD_micro 14.0 JGB-SGX-mini -9.746715 NASDAQ_micro 0.75 NIKKEI -4.873358 VIX -75.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -89.583761 ******************************************************************************** END OF REPORT ********************************************************************************