******************************************************************************** Trades report produced on 12/06/2024 21:38 from 11/06/2024 21:38 to 12/06/2024 21:38 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 13281 BTP caleb_strategy_v3 [20240900] 2024-06-12 07:30:39.000 [-1] 115.39000 13279 BTP caleb_strategy_v3 [20240900] 2024-06-12 19:45:00.751 [0] NaN 13280 BTP caleb_strategy_v3 [20240900] 2024-06-12 19:45:00.806 [0] NaN 13284 COCOA caleb_strategy_v3 [20240900] 2024-06-12 13:01:26.000 [-1] 9557.00000 13294 DOW caleb_strategy_v3 [20240900] 2024-06-12 14:13:10.000 [1] 39411.00000 13288 DX caleb_strategy_v3 [20240900] 2024-06-12 13:13:07.000 [1] 104.05000 13286 DX caleb_strategy_v3 [20240900] 2024-06-12 13:08:33.000 [1] 104.04500 13287 GAS_US_mini caleb_strategy_v3 [20240800] 2024-06-12 13:13:04.000 [1] 3.17500 13290 GAS_US_mini caleb_strategy_v3 [20240800] 2024-06-12 13:14:08.000 [1] 3.18000 13289 GAS_US_mini caleb_strategy_v3 [20240800] 2024-06-12 13:13:14.000 [1] 3.17500 13283 GOLD_micro caleb_strategy_v3 [20240800] 2024-06-12 13:00:47.000 [-1] 2355.50000 13285 HEATOIL caleb_strategy_v3 [20240900] 2024-06-12 13:08:32.000 [1] 2.49130 13298 LEANHOG caleb_strategy_v3 [20241000] 2024-06-12 14:30:35.000 [-1] 77.00000 13295 MXP caleb_strategy_v3 [20240900] 2024-06-12 14:13:32.000 [-1] 0.05193 13296 MXP caleb_strategy_v3 [20240900] 2024-06-12 14:14:32.000 [-1] 0.05197 13297 MXP caleb_strategy_v3 [20240900] 2024-06-12 14:15:32.000 [-1] 0.05195 13293 MXP caleb_strategy_v3 [20240900] 2024-06-12 14:13:09.000 [-1] 0.05188 13277 NIKKEI caleb_strategy_v3 [20240900] 2024-06-12 02:01:25.000 [1] 38835.00000 13278 NIKKEI caleb_strategy_v3 [20240900] 2024-06-12 02:09:54.000 [1] 38845.00000 13282 ROBUSTA caleb_strategy_v3 [20240900] 2024-06-12 09:09:19.000 [1] 4078.00000 13300 SOYBEAN caleb_strategy_v3 [20241100] 2024-06-12 14:31:12.000 [-1] 1148.25000 13302 SOYMEAL caleb_strategy_v3 [20241000] 2024-06-12 14:42:49.000 [1] 349.00000 13301 SOYMEAL caleb_strategy_v3 [20241000] 2024-06-12 19:45:00.859 [0] NaN 13291 US5 caleb_strategy_v3 [20240900] 2024-06-12 14:00:16.000 [-1] 106.96875 13292 VIX caleb_strategy_v3 [20240800] 2024-06-12 14:05:18.000 [-1] 14.65000 13299 WHEAT caleb_strategy_v3 [20241200] 2024-06-12 14:31:08.000 [-1] 655.75000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 13277 NIKKEI caleb_strategy_v3 2024-06-11 2024-06-12 03:01:21.558 2024-06-12 02:01:25.000 97281.558 NaN 13278 NIKKEI caleb_strategy_v3 2024-06-11 2024-06-12 03:02:21.375 2024-06-12 02:09:54.000 97341.375 NaN 13282 ROBUSTA caleb_strategy_v3 2024-06-11 2024-06-12 10:00:55.492 2024-06-12 09:09:19.000 122455.492 NaN 13283 GOLD_micro caleb_strategy_v3 2024-06-11 2024-06-12 14:00:46.994 2024-06-12 13:00:47.000 136846.994 NaN 13284 COCOA caleb_strategy_v3 2024-06-11 2024-06-12 14:00:47.930 2024-06-12 13:01:26.000 136847.93 NaN 13285 HEATOIL caleb_strategy_v3 2024-06-11 2024-06-12 14:01:27.754 2024-06-12 13:08:32.000 136887.754 NaN 13288 DX caleb_strategy_v3 2024-06-11 2024-06-12 14:13:07.847 2024-06-12 13:13:07.000 137587.847 NaN 13286 DX caleb_strategy_v3 2024-06-11 2024-06-12 14:08:33.538 2024-06-12 13:08:33.000 137313.538 NaN 13289 GAS_US_mini caleb_strategy_v3 2024-06-11 2024-06-12 14:13:08.508 2024-06-12 13:13:14.000 137588.508 NaN 13290 GAS_US_mini caleb_strategy_v3 2024-06-11 2024-06-12 14:14:08.073 2024-06-12 13:14:08.000 137648.073 NaN 13287 GAS_US_mini caleb_strategy_v3 2024-06-11 2024-06-12 14:08:34.522 2024-06-12 13:13:04.000 137314.522 NaN 13291 US5 caleb_strategy_v3 2024-06-11 2024-06-12 15:00:16.362 2024-06-12 14:00:16.000 140416.362 NaN 13292 VIX caleb_strategy_v3 2024-06-11 2024-06-12 15:00:17.970 2024-06-12 14:05:18.000 140417.97 NaN 13294 DOW caleb_strategy_v3 2024-06-11 2024-06-12 15:13:10.375 2024-06-12 14:13:10.000 141190.375 NaN 13296 MXP caleb_strategy_v3 2024-06-11 2024-06-12 15:14:32.136 2024-06-12 14:14:32.000 141272.136 NaN 13297 MXP caleb_strategy_v3 2024-06-11 2024-06-12 15:15:32.524 2024-06-12 14:15:32.000 141332.524 NaN 13293 MXP caleb_strategy_v3 2024-06-11 2024-06-12 15:05:19.554 2024-06-12 14:13:09.000 140719.554 NaN 13295 MXP caleb_strategy_v3 2024-06-11 2024-06-12 15:13:31.989 2024-06-12 14:13:32.000 141211.989 NaN 13298 LEANHOG caleb_strategy_v3 2024-06-11 2024-06-12 15:30:35.882 2024-06-12 14:30:35.000 142235.882 NaN 13299 WHEAT caleb_strategy_v3 2024-06-11 2024-06-12 15:30:37.186 2024-06-12 14:31:08.000 142237.186 NaN 13300 SOYBEAN caleb_strategy_v3 2024-06-11 2024-06-12 15:31:10.150 2024-06-12 14:31:12.000 142270.15 NaN 13280 BTP caleb_strategy_v3 2024-06-11 2024-06-12 08:11:24.278 2024-06-12 19:45:00.806 115884.278 41616.528 13281 BTP caleb_strategy_v3 2024-06-11 2024-06-12 08:21:28.100 2024-06-12 07:30:39.000 116488.1 NaN 13279 BTP caleb_strategy_v3 2024-06-11 2024-06-12 08:01:20.422 2024-06-12 19:45:00.751 115280.422 42220.329 13301 SOYMEAL caleb_strategy_v3 2024-06-11 2024-06-12 15:31:13.403 2024-06-12 19:45:00.859 142273.403 15227.456 13302 SOYMEAL caleb_strategy_v3 2024-06-11 2024-06-12 15:41:17.353 2024-06-12 14:42:49.000 142877.353 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 13277 NIKKEI caleb_strategy_v3 [1] 38990.0 None 38837.5 38840.0 38835.0 38835.0 38835.0 152.5 -2.5 5.0 0.0 NaN 2.5 13278 NIKKEI caleb_strategy_v3 [1] 38990.0 None 38827.5 38830.0 38825.0 38825.0 38845.0 162.5 -2.5 -15.0 -20.0 NaN -17.5 13282 ROBUSTA caleb_strategy_v3 [1] 4037.0 None 4064.5 4067.0 4062.0 4062.0 4078.0 -27.5 -2.5 -11.0 -16.0 NaN -13.5 13283 GOLD_micro caleb_strategy_v3 [-1] 2330.5 None 2351.15 2351.1 2351.2 2351.2 2355.5 20.65 -0.05 4.4 4.3 NaN 4.35 13284 COCOA caleb_strategy_v3 [-1] 9318.0 None 9544.5 9532.0 9557.0 9557.0 9557.0 226.5 -12.5 25.0 -0.0 NaN 12.5 13285 HEATOIL caleb_strategy_v3 [1] 2.4557 None 2.4876 2.4878 2.4874 2.4874 2.4913 -0.0319 -0.0002 -0.0035 -0.0039 NaN -0.0037 13288 DX caleb_strategy_v3 [1] 104.82 None 104.055 104.06 104.05 104.05 104.05 0.765 -0.005 0.01 0.0 NaN 0.005 13286 DX caleb_strategy_v3 [1] 104.82 None 104.055 104.06 104.05 104.05 104.045 0.765 -0.005 0.015 0.005 NaN 0.01 13289 GAS_US_mini caleb_strategy_v3 [1] 3.2 None 3.17 3.175 3.165 3.165 3.175 0.03 -0.005 0.0 -0.01 NaN -0.005 13290 GAS_US_mini caleb_strategy_v3 [1] 3.2 None 3.1725 3.175 3.17 3.17 3.18 0.0275 -0.0025 -0.005 -0.01 NaN -0.0075 13287 GAS_US_mini caleb_strategy_v3 [1] 3.2 None 3.1275 3.13 3.125 3.125 3.175 0.0725 -0.0025 -0.045 -0.05 NaN -0.0475 13291 US5 caleb_strategy_v3 [-1] 106.257812 None 106.949219 106.945312 106.953125 106.953125 106.96875 0.691406 -0.003906 0.023438 0.015625 NaN 0.019531 13292 VIX caleb_strategy_v3 [-1] 14.9 None 14.675 14.65 14.7 14.7 14.65 -0.225 -0.025 -0.0 -0.05 NaN -0.025 13294 DOW caleb_strategy_v3 [1] 39176.0 None 39483.5 39485.0 39482.0 39482.0 39411.0 -307.5 -1.5 74.0 71.0 NaN 72.5 13296 MXP caleb_strategy_v3 [-1] 0.05331 None 0.051955 0.05195 0.05196 0.05196 0.05197 -0.001355 -0.000005 0.00002 0.00001 NaN 0.000015 13297 MXP caleb_strategy_v3 [-1] 0.05331 None 0.05195 0.05194 0.05196 0.05196 0.05195 -0.00136 -0.00001 0.00001 -0.00001 NaN 0.0 13293 MXP caleb_strategy_v3 [-1] 0.05331 None 0.05206 0.05205 0.05207 0.05207 0.05188 -0.00125 -0.00001 -0.00017 -0.00019 NaN -0.00018 13295 MXP caleb_strategy_v3 [-1] 0.05331 None 0.05189 0.05188 0.0519 0.0519 0.05193 -0.00142 -0.00001 0.00005 0.00003 NaN 0.00004 13298 LEANHOG caleb_strategy_v3 [-1] 76.65 None 76.95 76.925 76.975 76.975 77.0 0.3 -0.025 0.075 0.025 NaN 0.05 13299 WHEAT caleb_strategy_v3 [-1] 669.5 None 656.0 655.75 656.25 656.25 655.75 -13.5 -0.25 -0.0 -0.5 NaN -0.25 13300 SOYBEAN caleb_strategy_v3 [-1] 1150.5 None 1148.125 1148.0 1148.25 1148.25 1148.25 -2.375 -0.125 0.25 -0.0 NaN 0.125 13280 BTP caleb_strategy_v3 [-1] 115.22 None 115.53 115.52 115.54 115.54 NaN 0.31 -0.01 NaN NaN NaN NaN 13281 BTP caleb_strategy_v3 [-1] 115.22 None 115.465 115.46 115.47 115.47 115.39 0.245 -0.005 -0.07 -0.08 NaN -0.075 13279 BTP caleb_strategy_v3 [-1] 115.22 None 115.555 115.55 115.56 115.56 NaN 0.335 -0.005 NaN NaN NaN NaN 13301 SOYMEAL caleb_strategy_v3 [1] 348.6 None 348.45 348.5 348.4 348.4 NaN 0.15 -0.05 NaN NaN NaN NaN 13302 SOYMEAL caleb_strategy_v3 [1] 348.6 None 348.5 348.6 348.4 348.4 349.0 0.1 -0.1 -0.4 -0.6 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 13277 NIKKEI caleb_strategy_v3 [1] 5619.446158 271.379057 -4.448837 8.897674 0.0 NaN 4.448837 13278 NIKKEI caleb_strategy_v3 [1] 5619.446158 289.174405 -4.448837 -26.693022 -35.590696 NaN -31.141859 13282 ROBUSTA caleb_strategy_v3 [1] 1346.09187 -204.29512 -18.572284 -81.718048 -118.862615 NaN -100.290332 13283 GOLD_micro caleb_strategy_v3 [-1] 413.348508 499.578433 -1.209633 106.447705 104.028439 NaN 105.238072 13284 COCOA caleb_strategy_v3 [-1] 5663.966122 399.89646 -22.069341 44.138682 -0.0 NaN 22.069341 13285 HEATOIL caleb_strategy_v3 [1] 0.650247 -490.582898 -3.075755 -53.82571 -59.977219 NaN -56.901465 13288 DX caleb_strategy_v3 [1] 6.28138 1217.885204 -7.960034 15.920068 0.0 NaN 7.960034 13286 DX caleb_strategy_v3 [1] 6.28138 1217.885204 -7.960034 23.880102 7.960034 NaN 15.920068 13289 GAS_US_mini caleb_strategy_v3 [1] 1.817028 165.10475 -27.517458 0.0 -55.034917 NaN -27.517458 13290 GAS_US_mini caleb_strategy_v3 [1] 1.817028 151.346021 -13.758729 -27.517458 -55.034917 NaN -41.276188 13287 GAS_US_mini caleb_strategy_v3 [1] 1.817028 399.003146 -13.758729 -247.657125 -275.174584 NaN -261.415854 13291 US5 caleb_strategy_v3 [-1] 5.044692 1370.561761 -7.743287 46.459721 30.973147 NaN 38.716434 13292 VIX caleb_strategy_v3 [-1] 4.760091 -472.680045 -52.520005 -0.0 -105.04001 NaN -52.520005 13294 DOW caleb_strategy_v3 [1] 4291.371264 -716.554176 -3.495386 172.439054 165.448281 NaN 168.943668 13296 MXP caleb_strategy_v3 [-1] 0.010962 -1236.112679 -4.561301 18.245206 9.122603 NaN 13.683904 13297 MXP caleb_strategy_v3 [-1] 0.010962 -1240.673981 -9.122603 9.122603 -9.122603 NaN 0.0 13293 MXP caleb_strategy_v3 [-1] 0.010962 -1140.32535 -9.122603 -155.084248 -173.329453 NaN -164.20685 13295 MXP caleb_strategy_v3 [-1] 0.010962 -1295.409598 -9.122603 45.613014 27.367808 NaN 36.490411 13298 LEANHOG caleb_strategy_v3 [-1] 17.141945 175.009314 -14.584109 43.752328 14.584109 NaN 29.168219 13299 WHEAT caleb_strategy_v3 [-1] 196.79571 -685.990562 -12.703529 -0.0 -25.407058 NaN -12.703529 13300 SOYBEAN caleb_strategy_v3 [-1] 173.15194 -137.162772 -7.219093 14.438187 -0.0 NaN 7.219093 13280 BTP caleb_strategy_v3 [-1] 11.024546 281.19072 -9.070668 NaN NaN NaN NaN 13281 BTP caleb_strategy_v3 [-1] 11.024546 222.231375 -4.535334 -63.494679 -72.565347 NaN -68.030013 13279 BTP caleb_strategy_v3 [-1] 11.024546 303.867391 -4.535334 NaN NaN NaN NaN 13301 SOYMEAL caleb_strategy_v3 [1] 78.272409 19.163841 -6.387947 NaN NaN NaN NaN 13302 SOYMEAL caleb_strategy_v3 [1] 78.272409 12.775894 -12.775894 -51.103576 -76.655364 NaN -63.87947 ========================================================================================================================================================================= 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 13277 NIKKEI caleb_strategy_v3 [1] 0.635871 96.970391 -1.589679 3.179357 0.0 NaN 1.589679 13278 NIKKEI caleb_strategy_v3 [1] 0.635871 103.329105 -1.589679 -9.538071 -12.717428 NaN -11.12775 13282 ROBUSTA caleb_strategy_v3 [1] 10.0 -275.0 -25.0 -110.0 -160.0 NaN -135.0 13283 GOLD_micro caleb_strategy_v3 [-1] 10.0 206.5 -0.5 44.0 43.0 NaN 43.5 13284 COCOA caleb_strategy_v3 [-1] 10.0 2265.0 -125.0 250.0 -0.0 NaN 125.0 13285 HEATOIL caleb_strategy_v3 [1] 42000.0 -1339.8 -8.4 -147.0 -163.8 NaN -155.4 13288 DX caleb_strategy_v3 [1] 1000.0 765.0 -5.0 10.0 0.0 NaN 5.0 13286 DX caleb_strategy_v3 [1] 1000.0 765.0 -5.0 15.0 5.0 NaN 10.0 13289 GAS_US_mini caleb_strategy_v3 [1] 2500.0 75.0 -12.5 0.0 -25.0 NaN -12.5 13290 GAS_US_mini caleb_strategy_v3 [1] 2500.0 68.75 -6.25 -12.5 -25.0 NaN -18.75 13287 GAS_US_mini caleb_strategy_v3 [1] 2500.0 181.25 -6.25 -112.5 -125.0 NaN -118.75 13291 US5 caleb_strategy_v3 [-1] 1000.0 691.40625 -3.90625 23.4375 15.625 NaN 19.53125 13292 VIX caleb_strategy_v3 [-1] 1000.0 -225.0 -25.0 -0.0 -50.0 NaN -25.0 13294 DOW caleb_strategy_v3 [1] 0.5 -153.75 -0.75 37.0 35.5 NaN 36.25 13296 MXP caleb_strategy_v3 [-1] 500000.0 -677.5 -2.5 10.0 5.0 NaN 7.5 13297 MXP caleb_strategy_v3 [-1] 500000.0 -680.0 -5.0 5.0 -5.0 NaN 0.0 13293 MXP caleb_strategy_v3 [-1] 500000.0 -625.0 -5.0 -85.0 -95.0 NaN -90.0 13295 MXP caleb_strategy_v3 [-1] 500000.0 -710.0 -5.0 25.0 15.0 NaN 20.0 13298 LEANHOG caleb_strategy_v3 [-1] 400.0 120.0 -10.0 30.0 10.0 NaN 20.0 13299 WHEAT caleb_strategy_v3 [-1] 50.0 -675.0 -12.5 -0.0 -25.0 NaN -12.5 13300 SOYBEAN caleb_strategy_v3 [-1] 50.0 -118.75 -6.25 12.5 -0.0 NaN 6.25 13280 BTP caleb_strategy_v3 [-1] 1074.35 333.0485 -10.7435 NaN NaN NaN NaN 13281 BTP caleb_strategy_v3 [-1] 1074.35 263.21575 -5.37175 -75.2045 -85.948 NaN -80.57625 13279 BTP caleb_strategy_v3 [-1] 1074.35 359.90725 -5.37175 NaN NaN NaN NaN 13301 SOYMEAL caleb_strategy_v3 [1] 100.0 15.0 -5.0 NaN NaN NaN NaN 13302 SOYMEAL caleb_strategy_v3 [1] 100.0 10.0 -10.0 -40.0 -60.0 NaN -50.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BTP 956.1715 COCOA 2265.0 DOW -153.75 DX 1530.0 GAS_US_mini 325.0 GOLD_micro 206.5 HEATOIL -1339.8 LEANHOG 120.0 MXP -2692.5 NIKKEI 200.299495 ROBUSTA -275.0 SOYBEAN -118.75 SOYMEAL 25.0 US5 691.40625 VIX -225.0 WHEAT -675.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 839.577245 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BTP -21.487 COCOA -125.0 DOW -0.75 DX -10.0 GAS_US_mini -25.0 GOLD_micro -0.5 HEATOIL -8.4 LEANHOG -10.0 MXP -17.5 NIKKEI -3.179357 ROBUSTA -25.0 SOYBEAN -6.25 SOYMEAL -15.0 US5 -3.90625 VIX -25.0 WHEAT -12.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -309.472607 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BTP -75.2045 COCOA 250.0 DOW 37.0 DX 25.0 GAS_US_mini -125.0 GOLD_micro 44.0 HEATOIL -147.0 LEANHOG 30.0 MXP -45.0 NIKKEI -6.358714 ROBUSTA -110.0 SOYBEAN 12.5 SOYMEAL -40.0 US5 23.4375 VIX -0.0 WHEAT -0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -126.625714 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP -85.948 COCOA -0.0 DOW 35.5 DX 5.0 GAS_US_mini -175.0 GOLD_micro 43.0 HEATOIL -163.8 LEANHOG 10.0 MXP -80.0 NIKKEI -12.717428 ROBUSTA -160.0 SOYBEAN -0.0 SOYMEAL -60.0 US5 15.625 VIX -50.0 WHEAT -25.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -703.340428 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP 0 COCOA 0 DOW 0 DX 0 GAS_US_mini 0 GOLD_micro 0 HEATOIL 0 LEANHOG 0 MXP 0 NIKKEI 0 ROBUSTA 0 SOYBEAN 0 SOYMEAL 0 US5 0 VIX 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 -80.57625 COCOA 125.0 DOW 36.25 DX 15.0 GAS_US_mini -150.0 GOLD_micro 43.5 HEATOIL -155.4 LEANHOG 20.0 MXP -62.5 NIKKEI -9.538071 ROBUSTA -135.0 SOYBEAN 6.25 SOYMEAL -50.0 US5 19.53125 VIX -25.0 WHEAT -12.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -414.983071 ******************************************************************************** END OF REPORT ********************************************************************************