******************************************************************************** Trades report produced on 08/08/2024 21:37 from 07/08/2024 21:37 to 08/08/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14351 CAD caleb_strategy_v3 [20240900] 2024-08-08 19:45:36.901 [0] NaN 14354 CAD caleb_strategy_v3 [20240900] 2024-08-08 14:20:26.000 [1] 0.728350 14341 CANOLA caleb_strategy_v3 [20250100] 2024-08-08 13:13:47.000 [1] 608.000000 14350 CHF caleb_strategy_v3 [20240900] 2024-08-08 14:05:39.000 [-1] 1.161550 14355 CORN caleb_strategy_v3 [20241200] 2024-08-08 14:31:22.000 [1] 402.000000 14339 CRUDE_W caleb_strategy_v3 [20241200] 2024-08-08 13:06:09.000 [1] 72.860000 14347 DOW caleb_strategy_v3 [20240900] 2024-08-08 14:05:33.000 [1] 39390.000000 14357 FEEDCOW caleb_strategy_v3 [20241100] 2024-08-08 14:31:26.000 [-1] 237.025000 14337 GASOIL caleb_strategy_v3 [20241100] 2024-08-08 08:00:23.000 [-1] 720.000000 14338 GOLD_micro caleb_strategy_v3 [20241000] 2024-08-08 13:06:07.000 [-1] 2425.600000 14340 HEATOIL caleb_strategy_v3 [20241100] 2024-08-08 13:06:11.000 [1] 2.372800 14333 JGB-SGX-mini caleb_strategy_v3 [20240900] 2024-08-08 02:09:52.000 [1] 144.870000 14352 JPY caleb_strategy_v3 [20240900] 2024-08-08 14:15:41.000 [1] 0.006838 14346 NASDAQ_micro caleb_strategy_v3 [20240900] 2024-08-08 14:00:24.000 [-1] 18203.500000 14336 NIKKEI caleb_strategy_v3 [20240900] 2024-08-08 02:38:49.000 [1] 35060.000000 14334 NIKKEI caleb_strategy_v3 [20240900] 2024-08-08 19:45:36.794 [0] NaN 14335 NIKKEI caleb_strategy_v3 [20240900] 2024-08-08 19:45:36.847 [0] NaN 14345 NZD caleb_strategy_v3 [20240900] 2024-08-08 14:00:23.000 [-1] 0.598500 14344 RUSSELL caleb_strategy_v3 [20240900] 2024-08-08 14:00:22.000 [-1] 2071.600000 14353 RUSSELL caleb_strategy_v3 [20240900] 2024-08-08 14:16:00.000 [-1] 2073.500000 14356 SOYBEAN caleb_strategy_v3 [20241100] 2024-08-08 14:31:24.000 [-1] 1011.250000 14348 SP400 caleb_strategy_v3 [20240900] 2024-08-08 14:05:36.000 [-1] 2925.500000 14342 US10U caleb_strategy_v3 [20240900] 2024-08-08 14:00:19.000 [-1] 116.546875 14343 US30 caleb_strategy_v3 [20240900] 2024-08-08 14:00:20.000 [1] 129.593750 14349 VIX caleb_strategy_v3 [20241000] 2024-08-08 14:05:37.000 [1] 23.250000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14333 JGB-SGX-mini caleb_strategy_v3 2024-08-07 2024-08-08 03:00:22.850 2024-08-08 02:09:52.000 97222.85 NaN 14337 GASOIL caleb_strategy_v3 2024-08-07 2024-08-08 09:00:21.867 2024-08-08 08:00:23.000 118821.867 NaN 14338 GOLD_micro caleb_strategy_v3 2024-08-07 2024-08-08 14:00:38.750 2024-08-08 13:06:07.000 136838.75 NaN 14339 CRUDE_W caleb_strategy_v3 2024-08-07 2024-08-08 14:06:08.918 2024-08-08 13:06:09.000 137168.918 NaN 14340 HEATOIL caleb_strategy_v3 2024-08-07 2024-08-08 14:06:10.258 2024-08-08 13:06:11.000 137170.258 NaN 14341 CANOLA caleb_strategy_v3 2024-08-07 2024-08-08 14:06:12.846 2024-08-08 13:13:47.000 137172.846 NaN 14342 US10U caleb_strategy_v3 2024-08-07 2024-08-08 15:00:12.814 2024-08-08 14:00:19.000 140412.814 NaN 14343 US30 caleb_strategy_v3 2024-08-07 2024-08-08 15:00:20.822 2024-08-08 14:00:20.000 140420.822 NaN 14345 NZD caleb_strategy_v3 2024-08-07 2024-08-08 15:00:23.378 2024-08-08 14:00:23.000 140423.378 NaN 14346 NASDAQ_micro caleb_strategy_v3 2024-08-07 2024-08-08 15:00:24.750 2024-08-08 14:00:24.000 140424.75 NaN 14347 DOW caleb_strategy_v3 2024-08-07 2024-08-08 15:00:26.058 2024-08-08 14:05:33.000 140426.058 NaN 14348 SP400 caleb_strategy_v3 2024-08-07 2024-08-08 15:05:35.150 2024-08-08 14:05:36.000 140735.15 NaN 14349 VIX caleb_strategy_v3 2024-08-07 2024-08-08 15:05:37.854 2024-08-08 14:05:37.000 140737.854 NaN 14350 CHF caleb_strategy_v3 2024-08-07 2024-08-08 15:05:39.119 2024-08-08 14:05:39.000 140739.119 NaN 14352 JPY caleb_strategy_v3 2024-08-07 2024-08-08 15:15:41.710 2024-08-08 14:15:41.000 141341.71 NaN 14344 RUSSELL caleb_strategy_v3 2024-08-07 2024-08-08 15:00:22.086 2024-08-08 14:00:22.000 140422.086 NaN 14353 RUSSELL caleb_strategy_v3 2024-08-07 2024-08-08 15:16:00.537 2024-08-08 14:16:00.000 141360.537 NaN 14355 CORN caleb_strategy_v3 2024-08-07 2024-08-08 15:30:32.618 2024-08-08 14:31:22.000 142232.618 NaN 14356 SOYBEAN caleb_strategy_v3 2024-08-07 2024-08-08 15:31:24.238 2024-08-08 14:31:24.000 142284.238 NaN 14357 FEEDCOW caleb_strategy_v3 2024-08-07 2024-08-08 15:31:25.566 2024-08-08 14:31:26.000 142285.566 NaN 14336 NIKKEI caleb_strategy_v3 2024-08-07 2024-08-08 03:30:14.039 2024-08-08 02:38:49.000 99014.039 NaN 14334 NIKKEI caleb_strategy_v3 2024-08-07 2024-08-08 03:10:05.986 2024-08-08 19:45:36.794 97805.986 59730.808 14335 NIKKEI caleb_strategy_v3 2024-08-07 2024-08-08 03:20:09.851 2024-08-08 19:45:36.847 98409.851 59126.996 14354 CAD caleb_strategy_v3 2024-08-07 2024-08-08 15:16:01.154 2024-08-08 14:20:26.000 141361.154 NaN 14351 CAD caleb_strategy_v3 2024-08-07 2024-08-08 15:05:40.542 2024-08-08 19:45:36.901 140740.542 16796.359 =================================================================================================================================================================================================================================== 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 14333 JGB-SGX-mini caleb_strategy_v3 [1] 144.75 None 144.78 144.79 144.77 144.77 144.87 -0.03 -0.01 -0.08 -0.1 NaN -0.09 14337 GASOIL caleb_strategy_v3 [-1] 722.0 None 717.625 717.5 717.75 717.75 720.0 -4.375 -0.125 2.5 2.25 NaN 2.375 14338 GOLD_micro caleb_strategy_v3 [-1] 2402.9 None 2425.1 2425.0 2425.2 2425.2 2425.6 22.2 -0.1 0.6 0.4 NaN 0.5 14339 CRUDE_W caleb_strategy_v3 [1] 72.75 None 73.065 73.07 73.06 73.06 72.86 -0.315 -0.005 0.21 0.2 NaN 0.205 14340 HEATOIL caleb_strategy_v3 [1] 2.3769 None 2.3803 2.3806 2.38 2.38 2.3728 -0.0034 -0.0003 0.0078 0.0072 NaN 0.0075 14341 CANOLA caleb_strategy_v3 [1] 604.1 None 606.45 606.6 606.3 606.3 608.0 -2.35 -0.15 -1.4 -1.7 NaN -1.55 14342 US10U caleb_strategy_v3 [-1] 116.796875 None 116.539062 116.53125 116.546875 116.546875 116.546875 -0.257812 -0.007812 0.015625 -0.0 NaN 0.007812 14343 US30 caleb_strategy_v3 [1] 130.25 None 129.609375 129.625 129.59375 129.59375 129.59375 0.640625 -0.015625 0.03125 0.0 NaN 0.015625 14345 NZD caleb_strategy_v3 [-1] 0.59905 None 0.597925 0.5979 0.59795 0.59795 0.5985 -0.001125 -0.000025 0.0006 0.00055 NaN 0.000575 14346 NASDAQ_micro caleb_strategy_v3 [-1] 18033.0 None 18091.25 18091.0 18091.5 18091.5 18203.5 58.25 -0.25 112.5 112.0 NaN 112.25 14347 DOW caleb_strategy_v3 [1] 38901.0 None 39178.5 39179.0 39178.0 39178.0 39390.0 -277.5 -0.5 -211.0 -212.0 NaN -211.5 14348 SP400 caleb_strategy_v3 [-1] 2895.1 None 2924.65 2924.4 2924.9 2924.9 2925.5 29.55 -0.25 1.1 0.6 NaN 0.85 14349 VIX caleb_strategy_v3 [1] 24.05 None 23.325 23.35 23.3 23.3 23.25 0.725 -0.025 0.1 0.05 NaN 0.075 14350 CHF caleb_strategy_v3 [-1] 1.1656 None 1.1606 1.16055 1.16065 1.16065 1.16155 -0.005 -0.00005 0.001 0.0009 NaN 0.00095 14352 JPY caleb_strategy_v3 [1] 0.006846 None 0.00684 0.00684 0.006839 0.006839 0.006838 0.000006 -0.0 0.000002 0.000001 NaN 0.000001 14344 RUSSELL caleb_strategy_v3 [-1] 2045.3 None 2062.3 2062.2 2062.4 2062.4 2071.6 17.0 -0.1 9.4 9.2 NaN 9.3 14353 RUSSELL caleb_strategy_v3 [-1] 2045.3 None 2062.3 2062.2 2062.4 2062.4 2073.5 17.0 -0.1 11.3 11.1 NaN 11.2 14355 CORN caleb_strategy_v3 [1] 401.5 None 401.625 401.75 401.5 401.5 402.0 -0.125 -0.125 -0.25 -0.5 NaN -0.375 14356 SOYBEAN caleb_strategy_v3 [-1] 1019.5 None 1009.375 1009.25 1009.5 1009.5 1011.25 -10.125 -0.125 2.0 1.75 NaN 1.875 14357 FEEDCOW caleb_strategy_v3 [-1] 236.925 None 236.2625 236.225 236.3 236.3 237.025 -0.6625 -0.0375 0.8 0.725 NaN 0.7625 14336 NIKKEI caleb_strategy_v3 [1] 34460.0 None 34737.5 34740.0 34735.0 34735.0 35060.0 -277.5 -2.5 -320.0 -325.0 NaN -322.5 14334 NIKKEI caleb_strategy_v3 [1] 34460.0 None 34605.0 34610.0 34600.0 34600.0 NaN -145.0 -5.0 NaN NaN NaN NaN 14335 NIKKEI caleb_strategy_v3 [1] 34460.0 None 34662.5 34665.0 34660.0 34660.0 NaN -202.5 -2.5 NaN NaN NaN NaN 14354 CAD caleb_strategy_v3 [1] 0.7282 None 0.728175 0.7282 0.72815 0.72815 0.72835 0.000025 -0.000025 -0.00015 -0.0002 NaN -0.000175 14351 CAD caleb_strategy_v3 [1] 0.7282 None 0.727925 0.72795 0.7279 0.7279 NaN 0.000275 -0.000025 NaN NaN NaN NaN =============================================================================================================================================================== 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 14333 JGB-SGX-mini caleb_strategy_v3 [1] 7.511684 -39.937785 -13.312595 -106.500759 -133.125949 NaN -119.813354 14337 GASOIL caleb_strategy_v3 [-1] 212.152431 -206.21965 -5.89199 117.8398 106.05582 NaN 111.94781 14338 GOLD_micro caleb_strategy_v3 [-1] 372.38958 596.149871 -2.68536 16.112159 10.741439 NaN 13.426799 14339 CRUDE_W caleb_strategy_v3 [1] 19.830807 -158.843761 -2.52133 105.895841 100.853182 NaN 103.374511 14340 HEATOIL caleb_strategy_v3 [1] 0.691425 -49.173774 -4.338862 112.810422 104.132697 NaN 108.471559 14341 CANOLA caleb_strategy_v3 [1] 168.489391 -139.474657 -8.902638 -83.091285 -100.89656 NaN -91.993923 14342 US10U caleb_strategy_v3 [-1] 10.197239 -252.825789 -7.661388 15.322775 -0.0 NaN 7.661388 14343 US30 caleb_strategy_v3 [1] 22.541519 284.197796 -6.931654 13.863307 0.0 NaN 6.931654 14345 NZD caleb_strategy_v3 [-1] 0.05008 -224.639761 -4.991995 119.807873 109.823883 NaN 114.815878 14346 NASDAQ_micro caleb_strategy_v3 [-1] 4874.19789 119.506843 -0.512905 230.807207 229.781397 NaN 230.294302 14347 DOW caleb_strategy_v3 [1] 6027.952917 -460.355288 -0.829469 -350.035913 -351.69485 NaN -350.865381 14348 SP400 caleb_strategy_v3 [-1] 631.795577 467.714575 -3.956976 17.410695 9.496743 NaN 13.453719 14349 VIX caleb_strategy_v3 [1] 20.518998 353.331091 -12.183831 48.735323 24.367661 NaN 36.551492 14350 CHF caleb_strategy_v3 [-1] 0.105836 -472.429734 -4.724297 94.485947 85.037352 NaN 89.761649 14352 JPY caleb_strategy_v3 [1] 0.000889 67.457831 -5.621486 22.485944 11.242972 NaN 16.864458 14344 RUSSELL caleb_strategy_v3 [-1] 574.87153 295.718245 -1.739519 163.514794 160.035756 NaN 161.775275 14353 RUSSELL caleb_strategy_v3 [-1] 574.87153 295.718245 -1.739519 196.565657 193.086619 NaN 194.826138 14355 CORN caleb_strategy_v3 [1] 91.45555 -13.667842 -13.667842 -27.335684 -54.671368 NaN -41.003526 14356 SOYBEAN caleb_strategy_v3 [-1] 216.798524 -467.023475 -5.765722 92.251551 80.720107 NaN 86.485829 14357 FEEDCOW caleb_strategy_v3 [-1] 36.005283 -184.000778 -10.415138 222.189618 201.359342 NaN 211.77448 14336 NIKKEI caleb_strategy_v3 [1] 17171.244881 -161.607386 -1.455922 -186.358067 -189.269912 NaN -187.813989 14334 NIKKEI caleb_strategy_v3 [1] 17171.244881 -84.443499 -2.911845 NaN NaN NaN NaN 14335 NIKKEI caleb_strategy_v3 [1] 17171.244881 -117.929714 -1.455922 NaN NaN NaN NaN 14354 CAD caleb_strategy_v3 [1] 0.033013 7.572712 -7.572712 -45.436272 -60.581696 NaN -53.008984 14351 CAD caleb_strategy_v3 [1] 0.033013 83.299832 -7.572712 NaN NaN NaN NaN ========================================================================================================================================================================= 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 14333 JGB-SGX-mini caleb_strategy_v3 [1] 684.603272 -20.538098 -6.846033 -54.768262 -68.460327 NaN -61.614295 14337 GASOIL caleb_strategy_v3 [-1] 100.0 -437.5 -12.5 250.0 225.0 NaN 237.5 14338 GOLD_micro caleb_strategy_v3 [-1] 10.0 222.0 -1.0 6.0 4.0 NaN 5.0 14339 CRUDE_W caleb_strategy_v3 [1] 1000.0 -315.0 -5.0 210.0 200.0 NaN 205.0 14340 HEATOIL caleb_strategy_v3 [1] 42000.0 -142.8 -12.6 327.6 302.4 NaN 315.0 14341 CANOLA caleb_strategy_v3 [1] 14.5571 -34.209186 -2.183565 -20.37994 -24.74707 NaN -22.563505 14342 US10U caleb_strategy_v3 [-1] 1000.0 -257.8125 -7.8125 15.625 -0.0 NaN 7.8125 14343 US30 caleb_strategy_v3 [1] 1000.0 640.625 -15.625 31.25 0.0 NaN 15.625 14345 NZD caleb_strategy_v3 [-1] 100000.0 -112.5 -2.5 60.0 55.0 NaN 57.5 14346 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 116.5 -0.5 225.0 224.0 NaN 224.5 14347 DOW caleb_strategy_v3 [1] 0.5 -138.75 -0.25 -105.5 -106.0 NaN -105.75 14348 SP400 caleb_strategy_v3 [-1] 100.0 2955.0 -25.0 110.0 60.0 NaN 85.0 14349 VIX caleb_strategy_v3 [1] 1000.0 725.0 -25.0 100.0 50.0 NaN 75.0 14350 CHF caleb_strategy_v3 [-1] 125000.0 -625.0 -6.25 125.0 112.5 NaN 118.75 14352 JPY caleb_strategy_v3 [1] 12500000.0 75.0 -6.25 25.0 12.5 NaN 18.75 14344 RUSSELL caleb_strategy_v3 [-1] 5.0 85.0 -0.5 47.0 46.0 NaN 46.5 14353 RUSSELL caleb_strategy_v3 [-1] 5.0 85.0 -0.5 56.5 55.5 NaN 56.0 14355 CORN caleb_strategy_v3 [1] 50.0 -6.25 -6.25 -12.5 -25.0 NaN -18.75 14356 SOYBEAN caleb_strategy_v3 [-1] 50.0 -506.25 -6.25 100.0 87.5 NaN 93.75 14357 FEEDCOW caleb_strategy_v3 [-1] 500.0 -331.25 -18.75 400.0 362.5 NaN 381.25 14336 NIKKEI caleb_strategy_v3 [1] 0.684603 -189.977408 -1.711508 -219.073047 -222.496064 NaN -220.784555 14334 NIKKEI caleb_strategy_v3 [1] 0.684603 -99.267474 -3.423016 NaN NaN NaN NaN 14335 NIKKEI caleb_strategy_v3 [1] 0.684603 -138.632163 -1.711508 NaN NaN NaN NaN 14354 CAD caleb_strategy_v3 [1] 100000.0 2.5 -2.5 -15.0 -20.0 NaN -17.5 14351 CAD caleb_strategy_v3 [1] 100000.0 27.5 -2.5 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CAD 30.0 CANOLA -34.209186 CHF -625.0 CORN -6.25 CRUDE_W -315.0 DOW -138.75 FEEDCOW -331.25 GASOIL -437.5 GOLD_micro 222.0 HEATOIL -142.8 JGB-SGX-mini -20.538098 JPY 75.0 NASDAQ_micro 116.5 NIKKEI -427.877045 NZD -112.5 RUSSELL 170.0 SOYBEAN -506.25 SP400 2955.0 US10U -257.8125 US30 640.625 VIX 725.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1578.388171 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CAD -5.0 CANOLA -2.183565 CHF -6.25 CORN -6.25 CRUDE_W -5.0 DOW -0.25 FEEDCOW -18.75 GASOIL -12.5 GOLD_micro -1.0 HEATOIL -12.6 JGB-SGX-mini -6.846033 JPY -6.25 NASDAQ_micro -0.5 NIKKEI -6.846033 NZD -2.5 RUSSELL -1.0 SOYBEAN -6.25 SP400 -25.0 US10U -7.8125 US30 -15.625 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -173.41313 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CAD -15.0 CANOLA -20.37994 CHF 125.0 CORN -12.5 CRUDE_W 210.0 DOW -105.5 FEEDCOW 400.0 GASOIL 250.0 GOLD_micro 6.0 HEATOIL 327.6 JGB-SGX-mini -54.768262 JPY 25.0 NASDAQ_micro 225.0 NIKKEI -219.073047 NZD 60.0 RUSSELL 103.5 SOYBEAN 100.0 SP400 110.0 US10U 15.625 US30 31.25 VIX 100.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 1661.753751 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CAD -20.0 CANOLA -24.74707 CHF 112.5 CORN -25.0 CRUDE_W 200.0 DOW -106.0 FEEDCOW 362.5 GASOIL 225.0 GOLD_micro 4.0 HEATOIL 302.4 JGB-SGX-mini -68.460327 JPY 12.5 NASDAQ_micro 224.0 NIKKEI -222.496064 NZD 55.0 RUSSELL 101.5 SOYBEAN 87.5 SP400 60.0 US10U -0.0 US30 0.0 VIX 50.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 1330.196539 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CAD 0 CANOLA 0 CHF 0 CORN 0 CRUDE_W 0 DOW 0 FEEDCOW 0 GASOIL 0 GOLD_micro 0 HEATOIL 0 JGB-SGX-mini 0 JPY 0 NASDAQ_micro 0 NIKKEI 0 NZD 0 RUSSELL 0 SOYBEAN 0 SP400 0 US10U 0 US30 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 CAD -17.5 CANOLA -22.563505 CHF 118.75 CORN -18.75 CRUDE_W 205.0 DOW -105.75 FEEDCOW 381.25 GASOIL 237.5 GOLD_micro 5.0 HEATOIL 315.0 JGB-SGX-mini -61.614295 JPY 18.75 NASDAQ_micro 224.5 NIKKEI -220.784555 NZD 57.5 RUSSELL 102.5 SOYBEAN 93.75 SP400 85.0 US10U 7.8125 US30 15.625 VIX 75.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 1495.975145 ******************************************************************************** END OF REPORT ********************************************************************************