******************************************************************************** Trades report produced on 24/09/2024 21:38 from 23/09/2024 21:38 to 24/09/2024 21:38 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14878 BTP caleb_strategy_v3 [20241200] 2024-09-24 07:00:48.000 [1] 121.050000 14897 CHF caleb_strategy_v3 [20241200] 2024-09-24 14:19:47.000 [-1] 1.193200 14894 CHF caleb_strategy_v3 [20241200] 2024-09-24 14:11:26.000 [-1] 1.192650 14898 CHF caleb_strategy_v3 [20241200] 2024-09-24 14:19:51.000 [-1] 1.193300 14883 COPPER caleb_strategy_v3 [20241200] 2024-09-24 13:17:14.000 [1] 4.477500 14882 COTTON2 caleb_strategy_v3 [20241200] 2024-09-24 13:16:29.000 [-1] 74.380000 14900 FEEDCOW caleb_strategy_v3 [20250100] 2024-09-24 19:45:10.781 [0] NaN 14901 FEEDCOW caleb_strategy_v3 [20250100] 2024-09-24 14:42:00.000 [1] 238.850000 14887 GAS_US_mini caleb_strategy_v3 [20241200] 2024-09-24 13:38:40.000 [1] 3.275000 14885 GAS_US_mini caleb_strategy_v3 [20241200] 2024-09-24 13:27:18.000 [1] 3.275000 14881 GAS_US_mini caleb_strategy_v3 [20241200] 2024-09-24 13:16:28.000 [1] 3.290000 14877 JGB-SGX-mini caleb_strategy_v3 [20241200] 2024-09-24 02:02:21.000 [1] 145.000000 14876 JGB-SGX-mini caleb_strategy_v3 [20241200] 2024-09-24 02:01:22.000 [1] 144.990000 14896 JPY caleb_strategy_v3 [20241200] 2024-09-24 14:19:46.000 [1] 0.007044 14893 JPY caleb_strategy_v3 [20241200] 2024-09-24 19:45:10.691 [0] NaN 14899 LIVECOW caleb_strategy_v3 [20241200] 2024-09-24 14:31:23.000 [1] 183.950000 14892 MILK caleb_strategy_v3 [20241200] 2024-09-24 14:01:24.000 [1] 21.700000 14879 OAT caleb_strategy_v3 [20241200] 2024-09-24 07:00:49.000 [1] 126.770000 14895 RUSSELL caleb_strategy_v3 [20241200] 2024-09-24 14:15:01.000 [1] 2244.000000 14891 SP500_micro caleb_strategy_v3 [20241200] 2024-09-24 14:00:53.000 [1] 5763.750000 14884 SUGAR11 caleb_strategy_v3 [20250500] 2024-09-24 19:45:10.433 [0] NaN 14886 SUGAR11 caleb_strategy_v3 [20250500] 2024-09-24 19:45:10.515 [0] NaN 14888 SUGAR11 caleb_strategy_v3 [20250500] 2024-09-24 19:45:10.596 [0] NaN 14889 SUGAR11 caleb_strategy_v3 [20250500] 2024-09-24 13:56:40.000 [1] 21.600000 14890 SUGAR11 caleb_strategy_v3 [20250500] 2024-09-24 13:56:49.000 [1] 21.600000 14880 SUGAR11 caleb_strategy_v3 [20250500] 2024-09-24 19:45:10.351 [0] NaN ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14876 JGB-SGX-mini caleb_strategy_v3 2024-09-23 2024-09-24 03:01:21.431 2024-09-24 02:01:22.000 97281.431 NaN 14877 JGB-SGX-mini caleb_strategy_v3 2024-09-23 2024-09-24 03:02:21.210 2024-09-24 02:02:21.000 97341.21 NaN 14878 BTP caleb_strategy_v3 2024-09-23 2024-09-24 08:00:35.731 2024-09-24 07:00:48.000 115235.731 NaN 14879 OAT caleb_strategy_v3 2024-09-23 2024-09-24 08:00:49.211 2024-09-24 07:00:49.000 115249.211 NaN 14882 COTTON2 caleb_strategy_v3 2024-09-23 2024-09-24 14:16:29.063 2024-09-24 13:16:29.000 137789.063 NaN 14883 COPPER caleb_strategy_v3 2024-09-23 2024-09-24 14:16:29.975 2024-09-24 13:17:14.000 137789.975 NaN 14881 GAS_US_mini caleb_strategy_v3 2024-09-23 2024-09-24 14:10:46.263 2024-09-24 13:16:28.000 137446.263 NaN 14885 GAS_US_mini caleb_strategy_v3 2024-09-23 2024-09-24 14:27:18.035 2024-09-24 13:27:18.000 138438.035 NaN 14887 GAS_US_mini caleb_strategy_v3 2024-09-23 2024-09-24 14:37:22.085 2024-09-24 13:38:40.000 139042.085 NaN 14891 SP500_micro caleb_strategy_v3 2024-09-23 2024-09-24 15:00:53.154 2024-09-24 14:00:53.000 140453.154 NaN 14892 MILK caleb_strategy_v3 2024-09-23 2024-09-24 15:00:54.341 2024-09-24 14:01:24.000 140454.341 NaN 14895 RUSSELL caleb_strategy_v3 2024-09-23 2024-09-24 15:11:26.991 2024-09-24 14:15:01.000 141086.991 NaN 14897 CHF caleb_strategy_v3 2024-09-23 2024-09-24 15:19:47.009 2024-09-24 14:19:47.000 141587.009 NaN 14898 CHF caleb_strategy_v3 2024-09-23 2024-09-24 15:19:51.173 2024-09-24 14:19:51.000 141591.173 NaN 14894 CHF caleb_strategy_v3 2024-09-23 2024-09-24 15:11:25.959 2024-09-24 14:11:26.000 141085.959 NaN 14899 LIVECOW caleb_strategy_v3 2024-09-23 2024-09-24 15:30:53.775 2024-09-24 14:31:23.000 142253.775 NaN 14880 SUGAR11 caleb_strategy_v3 2024-09-23 2024-09-24 14:00:45.199 2024-09-24 19:45:10.351 136845.199 20665.152 14884 SUGAR11 caleb_strategy_v3 2024-09-23 2024-09-24 14:17:17.690 2024-09-24 19:45:10.433 137837.69 19672.743 14886 SUGAR11 caleb_strategy_v3 2024-09-23 2024-09-24 14:27:21.551 2024-09-24 19:45:10.515 138441.551 19068.964 14888 SUGAR11 caleb_strategy_v3 2024-09-23 2024-09-24 14:38:44.366 2024-09-24 19:45:10.596 139124.366 18386.23 14889 SUGAR11 caleb_strategy_v3 2024-09-23 2024-09-24 14:48:48.141 2024-09-24 13:56:40.000 139728.141 NaN 14890 SUGAR11 caleb_strategy_v3 2024-09-23 2024-09-24 14:56:44.112 2024-09-24 13:56:49.000 140204.112 NaN 14896 JPY caleb_strategy_v3 2024-09-23 2024-09-24 15:15:04.979 2024-09-24 14:19:46.000 141304.979 NaN 14893 JPY caleb_strategy_v3 2024-09-23 2024-09-24 15:01:25.115 2024-09-24 19:45:10.691 140485.115 17025.576 14900 FEEDCOW caleb_strategy_v3 2024-09-23 2024-09-24 15:31:24.549 2024-09-24 19:45:10.781 142284.549 15226.232 14901 FEEDCOW caleb_strategy_v3 2024-09-23 2024-09-24 15:41:28.800 2024-09-24 14:42:00.000 142888.8 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 14876 JGB-SGX-mini caleb_strategy_v3 [1] 144.83 None 145.005 145.01 145.0 145.0 144.99 -0.175 -0.005 0.02 0.01 NaN 0.015 14877 JGB-SGX-mini caleb_strategy_v3 [1] 144.83 None 145.005 145.01 145.0 145.0 145.0 -0.175 -0.005 0.01 0.0 NaN 0.005 14878 BTP caleb_strategy_v3 [1] 121.03 None 121.035 121.04 121.03 121.03 121.05 -0.005 -0.005 -0.01 -0.02 NaN -0.015 14879 OAT caleb_strategy_v3 [1] 126.83 None 126.775 126.78 126.77 126.77 126.77 0.055 -0.005 0.01 0.0 NaN 0.005 14882 COTTON2 caleb_strategy_v3 [-1] 73.34 None 74.375 74.37 74.38 74.38 74.38 1.035 -0.005 0.01 -0.0 NaN 0.005 14883 COPPER caleb_strategy_v3 [1] 4.352 None 4.47575 4.476 4.4755 4.4755 4.4775 -0.12375 -0.00025 -0.0015 -0.002 NaN -0.00175 14881 GAS_US_mini caleb_strategy_v3 [1] 3.285 None 3.2725 3.275 3.27 3.27 3.29 0.0125 -0.0025 -0.015 -0.02 NaN -0.0175 14885 GAS_US_mini caleb_strategy_v3 [1] 3.285 None 3.2875 3.29 3.285 NaN 3.275 -0.0025 -0.0025 0.015 NaN NaN 0.0125 14887 GAS_US_mini caleb_strategy_v3 [1] 3.285 None 3.27 3.275 3.265 3.265 3.275 0.015 -0.005 0.0 -0.01 NaN -0.005 14891 SP500_micro caleb_strategy_v3 [1] 5773.5 None 5775.25 5775.5 5775.0 5775.0 5763.75 -1.75 -0.25 11.75 11.25 NaN 11.5 14892 MILK caleb_strategy_v3 [1] 21.81 None 21.65 21.67 21.63 21.63 21.7 0.16 -0.02 -0.03 -0.07 NaN -0.05 14895 RUSSELL caleb_strategy_v3 [1] 2243.3 None 2243.7 2243.8 2243.6 2243.6 2244.0 -0.4 -0.1 -0.2 -0.4 NaN -0.3 14897 CHF caleb_strategy_v3 [-1] 1.192 None 1.191175 1.19115 1.1912 1.1912 1.1932 -0.000825 -0.000025 0.00205 0.002 NaN 0.002025 14898 CHF caleb_strategy_v3 [-1] 1.192 None 1.1929 1.19285 1.19295 1.19295 1.1933 0.0009 -0.00005 0.00045 0.00035 NaN 0.0004 14894 CHF caleb_strategy_v3 [-1] 1.192 None 1.191175 1.19115 1.1912 1.1912 1.19265 -0.000825 -0.000025 0.0015 0.00145 NaN 0.001475 14899 LIVECOW caleb_strategy_v3 [1] 183.825 None 183.725 183.75 183.7 183.7 183.95 0.1 -0.025 -0.2 -0.25 NaN -0.225 14880 SUGAR11 caleb_strategy_v3 [1] 21.13 None 21.35 21.36 21.34 21.34 NaN -0.22 -0.01 NaN NaN NaN NaN 14884 SUGAR11 caleb_strategy_v3 [1] 21.13 None 21.385 21.39 21.38 21.38 NaN -0.255 -0.005 NaN NaN NaN NaN 14886 SUGAR11 caleb_strategy_v3 [1] 21.13 None 21.43 21.44 21.42 21.42 NaN -0.3 -0.01 NaN NaN NaN NaN 14888 SUGAR11 caleb_strategy_v3 [1] 21.13 None 21.495 21.5 21.49 21.49 NaN -0.365 -0.005 NaN NaN NaN NaN 14889 SUGAR11 caleb_strategy_v3 [1] 21.13 None 21.575 21.58 21.57 21.57 21.6 -0.445 -0.005 -0.02 -0.03 NaN -0.025 14890 SUGAR11 caleb_strategy_v3 [1] 21.13 None 21.59 21.6 21.58 21.58 21.6 -0.46 -0.01 0.0 -0.02 NaN -0.01 14896 JPY caleb_strategy_v3 [1] 0.007056 None 0.007031 0.007031 0.007031 0.00703 0.007044 0.000025 -0.0 -0.000013 -0.000014 NaN -0.000013 14893 JPY caleb_strategy_v3 [1] 0.007056 None 0.007013 0.007013 0.007012 0.007012 NaN 0.000043 -0.0 NaN NaN NaN NaN 14900 FEEDCOW caleb_strategy_v3 [1] 237.825 None 238.45 238.475 238.425 238.425 NaN -0.625 -0.025 NaN NaN NaN NaN 14901 FEEDCOW caleb_strategy_v3 [1] 237.825 None 238.7125 238.75 238.675 238.675 238.85 -0.8875 -0.0375 -0.1 -0.175 NaN -0.1375 ================================================================================================================================================================ 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 14876 JGB-SGX-mini caleb_strategy_v3 [1] 4.605958 -379.94269 -10.855505 43.422022 21.711011 NaN 32.566516 14877 JGB-SGX-mini caleb_strategy_v3 [1] 4.605958 -379.94269 -10.855505 21.711011 0.0 NaN 10.855505 14878 BTP caleb_strategy_v3 [1] 7.427722 -6.731539 -6.731539 -13.463077 -26.926154 NaN -20.194616 14879 OAT caleb_strategy_v3 [1] 7.436775 73.95679 -6.723345 13.446689 0.0 NaN 6.723345 14882 COTTON2 caleb_strategy_v3 [-1] 18.452091 560.912028 -2.70972 5.41944 -0.0 NaN 2.70972 14883 COPPER caleb_strategy_v3 [1] 0.977188 -1266.388969 -2.558362 -15.350169 -20.466892 NaN -17.908531 14881 GAS_US_mini caleb_strategy_v3 [1] 1.319819 94.709974 -18.941995 -113.651969 -151.535958 NaN -132.593963 14885 GAS_US_mini caleb_strategy_v3 [1] 1.319819 -18.941995 -18.941995 113.651969 NaN NaN 94.709974 14887 GAS_US_mini caleb_strategy_v3 [1] 1.319819 113.651969 -37.88399 0.0 -75.767979 NaN -37.88399 14891 SP500_micro caleb_strategy_v3 [1] 724.782835 -24.145163 -3.449309 162.117526 155.218908 NaN 158.668217 14892 MILK caleb_strategy_v3 [1] 5.000099 319.99368 -39.99921 -59.998815 -139.997235 NaN -99.998025 14895 RUSSELL caleb_strategy_v3 [1] 437.841728 -9.135721 -2.28393 -4.567861 -9.135721 NaN -6.851791 14897 CHF caleb_strategy_v3 [-1] 0.083392 -98.929963 -2.997878 245.82597 239.830214 NaN 242.828092 14898 CHF caleb_strategy_v3 [-1] 0.083392 107.923597 -5.995755 53.961798 41.970288 NaN 47.966043 14894 CHF caleb_strategy_v3 [-1] 0.083392 -98.929963 -2.997878 179.872661 173.876905 NaN 176.874783 14899 LIVECOW caleb_strategy_v3 [1] 21.487755 46.538134 -11.634533 -93.076267 -116.345334 NaN -104.7108 14880 SUGAR11 caleb_strategy_v3 [1] 6.152468 -357.580102 -16.253641 NaN NaN NaN NaN 14884 SUGAR11 caleb_strategy_v3 [1] 6.152468 -414.467845 -8.12682 NaN NaN NaN NaN 14886 SUGAR11 caleb_strategy_v3 [1] 6.152468 -487.60923 -16.253641 NaN NaN NaN NaN 14888 SUGAR11 caleb_strategy_v3 [1] 6.152468 -593.257896 -8.12682 NaN NaN NaN NaN 14889 SUGAR11 caleb_strategy_v3 [1] 6.152468 -723.287024 -8.12682 -32.507282 -48.760923 NaN -40.634102 14890 SUGAR11 caleb_strategy_v3 [1] 6.152468 -747.667485 -16.253641 0.0 -32.507282 NaN -16.253641 14896 JPY caleb_strategy_v3 [1] 0.000766 323.159124 -3.264234 -169.740146 -176.268613 NaN -173.00438 14893 JPY caleb_strategy_v3 [1] 0.000766 558.183942 -3.264234 NaN NaN NaN NaN 14900 FEEDCOW caleb_strategy_v3 [1] 32.54223 -192.058135 -7.682325 NaN NaN NaN NaN 14901 FEEDCOW caleb_strategy_v3 [1] 32.54223 -272.722551 -11.523488 -30.729302 -53.776278 NaN -42.25279 ========================================================================================================================================================================= 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 14876 JGB-SGX-mini caleb_strategy_v3 [1] 693.690538 -121.395844 -3.468453 13.873811 6.936905 NaN 10.405358 14877 JGB-SGX-mini caleb_strategy_v3 [1] 693.690538 -121.395844 -3.468453 6.936905 0.0 NaN 3.468453 14878 BTP caleb_strategy_v3 [1] 1111.35 -5.55675 -5.55675 -11.1135 -22.227 NaN -16.67025 14879 OAT caleb_strategy_v3 [1] 1111.35 61.12425 -5.55675 11.1135 0.0 NaN 5.55675 14882 COTTON2 caleb_strategy_v3 [-1] 500.0 517.5 -2.5 5.0 -0.0 NaN 2.5 14883 COPPER caleb_strategy_v3 [1] 25000.0 -3093.75 -6.25 -37.5 -50.0 NaN -43.75 14881 GAS_US_mini caleb_strategy_v3 [1] 2500.0 31.25 -6.25 -37.5 -50.0 NaN -43.75 14885 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -6.25 -6.25 37.5 NaN NaN 31.25 14887 GAS_US_mini caleb_strategy_v3 [1] 2500.0 37.5 -12.5 0.0 -25.0 NaN -12.5 14891 SP500_micro caleb_strategy_v3 [1] 5.0 -8.75 -1.25 58.75 56.25 NaN 57.5 14892 MILK caleb_strategy_v3 [1] 2000.0 320.0 -40.0 -60.0 -140.0 NaN -100.0 14895 RUSSELL caleb_strategy_v3 [1] 5.0 -2.0 -0.5 -1.0 -2.0 NaN -1.5 14897 CHF caleb_strategy_v3 [-1] 125000.0 -103.125 -3.125 256.25 250.0 NaN 253.125 14898 CHF caleb_strategy_v3 [-1] 125000.0 112.5 -6.25 56.25 43.75 NaN 50.0 14894 CHF caleb_strategy_v3 [-1] 125000.0 -103.125 -3.125 187.5 181.25 NaN 184.375 14899 LIVECOW caleb_strategy_v3 [1] 400.0 40.0 -10.0 -80.0 -100.0 NaN -90.0 14880 SUGAR11 caleb_strategy_v3 [1] 1120.0 -246.4 -11.2 NaN NaN NaN NaN 14884 SUGAR11 caleb_strategy_v3 [1] 1120.0 -285.6 -5.6 NaN NaN NaN NaN 14886 SUGAR11 caleb_strategy_v3 [1] 1120.0 -336.0 -11.2 NaN NaN NaN NaN 14888 SUGAR11 caleb_strategy_v3 [1] 1120.0 -408.8 -5.6 NaN NaN NaN NaN 14889 SUGAR11 caleb_strategy_v3 [1] 1120.0 -498.4 -5.6 -22.4 -33.6 NaN -28.0 14890 SUGAR11 caleb_strategy_v3 [1] 1120.0 -515.2 -11.2 0.0 -22.4 NaN -11.2 14896 JPY caleb_strategy_v3 [1] 12500000.0 309.375 -3.125 -162.5 -168.75 NaN -165.625 14893 JPY caleb_strategy_v3 [1] 12500000.0 534.375 -3.125 NaN NaN NaN NaN 14900 FEEDCOW caleb_strategy_v3 [1] 500.0 -312.5 -12.5 NaN NaN NaN NaN 14901 FEEDCOW caleb_strategy_v3 [1] 500.0 -443.75 -18.75 -50.0 -87.5 NaN -68.75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BTP -5.55675 CHF -93.75 COPPER -3093.75 COTTON2 517.5 FEEDCOW -756.25 GAS_US_mini 62.5 JGB-SGX-mini -242.791688 JPY 843.75 LIVECOW 40.0 MILK 320.0 OAT 61.12425 RUSSELL -2.0 SP500_micro -8.75 SUGAR11 -2290.4 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -4648.374188 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BTP -5.55675 CHF -12.5 COPPER -6.25 COTTON2 -2.5 FEEDCOW -31.25 GAS_US_mini -25.0 JGB-SGX-mini -6.936905 JPY -6.25 LIVECOW -10.0 MILK -40.0 OAT -5.55675 RUSSELL -0.5 SP500_micro -1.25 SUGAR11 -50.4 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -203.950405 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BTP -11.1135 CHF 500.0 COPPER -37.5 COTTON2 5.0 FEEDCOW -50.0 GAS_US_mini 0.0 JGB-SGX-mini 20.810716 JPY -162.5 LIVECOW -80.0 MILK -60.0 OAT 11.1135 RUSSELL -1.0 SP500_micro 58.75 SUGAR11 -22.4 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 171.160716 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP -22.227 CHF 475.0 COPPER -50.0 COTTON2 -0.0 FEEDCOW -87.5 GAS_US_mini -75.0 JGB-SGX-mini 6.936905 JPY -168.75 LIVECOW -100.0 MILK -140.0 OAT 0.0 RUSSELL -2.0 SP500_micro 56.25 SUGAR11 -56.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -163.290095 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP 0 CHF 0 COPPER 0 COTTON2 0 FEEDCOW 0 GAS_US_mini 0 JGB-SGX-mini 0 JPY 0 LIVECOW 0 MILK 0 OAT 0 RUSSELL 0 SP500_micro 0 SUGAR11 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 -16.67025 CHF 487.5 COPPER -43.75 COTTON2 2.5 FEEDCOW -68.75 GAS_US_mini -25.0 JGB-SGX-mini 13.873811 JPY -165.625 LIVECOW -90.0 MILK -100.0 OAT 5.55675 RUSSELL -1.5 SP500_micro 57.5 SUGAR11 -39.2 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 16.435311 ******************************************************************************** END OF REPORT ********************************************************************************