******************************************************************************** Trades report produced on 02/10/2024 21:37 from 01/10/2024 21:37 to 02/10/2024 21:37 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14952 COPPER caleb_strategy_v3 [20241200] 2024-10-02 19:45:15.098 [0] NaN 14955 COPPER caleb_strategy_v3 [20241200] 2024-10-02 13:17:08.000 [1] 4.6375 14953 CRUDE_W _ROLL_PSEUDO_STRATEGY [20241200] 2024-10-02 13:15:16.000 [-1] 71.4800 14954 CRUDE_W _ROLL_PSEUDO_STRATEGY [20251200] 2024-10-02 13:17:04.000 [1] 68.9300 14949 DAX caleb_strategy_v3 [20241200] 2024-10-02 07:00:35.000 [1] 19371.0000 14950 DAX caleb_strategy_v3 [20241200] 2024-10-02 07:02:14.000 [1] 19368.0000 14948 JGB-SGX-mini caleb_strategy_v3 [20241200] 2024-10-02 02:04:05.000 [1] 144.9200 14951 SUGAR11 caleb_strategy_v3 [20250500] 2024-10-02 13:05:14.000 [1] 21.3500 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14948 JGB-SGX-mini caleb_strategy_v3 2024-10-01 00:00:00 2024-10-02 03:01:15.303 2024-10-02 02:04:05.000 97275.303 NaN 14949 DAX caleb_strategy_v3 2024-10-01 00:00:00 2024-10-02 08:00:30.934 2024-10-02 07:00:35.000 115230.934 NaN 14950 DAX caleb_strategy_v3 2024-10-01 00:00:00 2024-10-02 08:01:30.597 2024-10-02 07:02:14.000 115290.597 NaN 14951 SUGAR11 caleb_strategy_v3 2024-10-01 00:00:00 2024-10-02 14:00:50.479 2024-10-02 13:05:14.000 136850.479 NaN 14953 CRUDE_W _ROLL_PSEUDO_STRATEGY 2024-10-01 19:00:00 2024-10-02 14:15:16.590 2024-10-02 13:15:16.000 69316.59 NaN 14954 CRUDE_W _ROLL_PSEUDO_STRATEGY 2024-10-01 19:00:00 2024-10-02 14:15:17.998 2024-10-02 13:17:04.000 69317.998 NaN 14952 COPPER caleb_strategy_v3 2024-10-01 00:00:00 2024-10-02 14:05:15.728 2024-10-02 19:45:15.098 137115.728 20399.37 14955 COPPER caleb_strategy_v3 2024-10-01 00:00:00 2024-10-02 14:17:07.726 2024-10-02 13:17:08.000 137827.726 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 14948 JGB-SGX-mini caleb_strategy_v3 [1] 144.95 None 144.915 144.92 144.91 144.91 144.92 0.035 -0.005 0.0 -0.01 NaN -0.005 14949 DAX caleb_strategy_v3 [1] 19410.0 None 19371.5 19372.0 19371.0 19371.0 19371.0 38.5 -0.5 1.0 0.0 NaN 0.5 14950 DAX caleb_strategy_v3 [1] 19410.0 None 19368.5 19369.0 19368.0 19368.0 19368.0 41.5 -0.5 1.0 0.0 NaN 0.5 14951 SUGAR11 caleb_strategy_v3 [1] 21.44 None 21.31 21.32 21.3 21.3 21.35 0.13 -0.01 -0.03 -0.05 NaN -0.04 14953 CRUDE_W _ROLL_PSEUDO_STRATEGY [-1] 69.72 None 71.29 71.28 71.3 71.3 71.48 1.57 -0.01 0.2 0.18 NaN 0.19 14954 CRUDE_W _ROLL_PSEUDO_STRATEGY [1] 67.7 None 68.845 68.86 68.83 68.83 68.93 -1.145 -0.015 -0.07 -0.1 NaN -0.085 14952 COPPER caleb_strategy_v3 [1] 4.5805 None 4.62875 4.629 4.6285 4.6285 NaN -0.04825 -0.00025 NaN NaN NaN NaN 14955 COPPER caleb_strategy_v3 [1] 4.5805 None 4.63575 4.636 4.6355 4.6355 4.6375 -0.05525 -0.00025 -0.0015 -0.002 NaN -0.00175 =================================================================================================================================================================== 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 14948 JGB-SGX-mini caleb_strategy_v3 [1] 4.3202 81.014773 -11.573539 0.0 -23.147078 NaN -11.573539 14949 DAX caleb_strategy_v3 [1] 2536.443314 151.787346 -1.971264 3.942528 0.0 NaN 1.971264 14950 DAX caleb_strategy_v3 [1] 2536.443314 163.614932 -1.971264 3.942528 0.0 NaN 1.971264 14951 SUGAR11 caleb_strategy_v3 [1] 6.0152 216.119172 -16.624552 -49.873655 -83.122758 NaN -66.498207 14953 CRUDE_W _ROLL_PSEUDO_STRATEGY [-1] 20.072621 782.159946 -4.98191 99.63821 89.674389 NaN 94.656299 14954 CRUDE_W _ROLL_PSEUDO_STRATEGY [1] 20.072621 -570.428751 -7.472866 -34.873373 -49.819105 NaN -42.346239 14952 COPPER caleb_strategy_v3 [1] 1.035393 -466.006548 -2.414542 NaN NaN NaN NaN 14955 COPPER caleb_strategy_v3 [1] 1.035393 -533.613716 -2.414542 -14.48725 -19.316334 NaN -16.901792 ============================================================================================================================================================================ 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 14948 JGB-SGX-mini caleb_strategy_v3 [1] 695.879696 24.355789 -3.479398 0.0 -6.958797 NaN -3.479398 14949 DAX caleb_strategy_v3 [1] 1.1063 42.59255 -0.55315 1.1063 0.0 NaN 0.55315 14950 DAX caleb_strategy_v3 [1] 1.1063 45.91145 -0.55315 1.1063 0.0 NaN 0.55315 14951 SUGAR11 caleb_strategy_v3 [1] 1120.0 145.6 -11.2 -33.6 -56.0 NaN -44.8 14953 CRUDE_W _ROLL_PSEUDO_STRATEGY [-1] 1000.0 1570.0 -10.0 200.0 180.0 NaN 190.0 14954 CRUDE_W _ROLL_PSEUDO_STRATEGY [1] 1000.0 -1145.0 -15.0 -70.0 -100.0 NaN -85.0 14952 COPPER caleb_strategy_v3 [1] 25000.0 -1206.25 -6.25 NaN NaN NaN NaN 14955 COPPER caleb_strategy_v3 [1] 25000.0 -1381.25 -6.25 -37.5 -50.0 NaN -43.75 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CRUDE_W 425.0 caleb_strategy_v3 COPPER -2587.5 DAX 88.504 JGB-SGX-mini 24.355789 SUGAR11 145.6 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 425.0 caleb_strategy_v3 -2329.040211 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CRUDE_W -25.0 caleb_strategy_v3 COPPER -12.5 DAX -1.1063 JGB-SGX-mini -3.479398 SUGAR11 -11.2 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -25.0 caleb_strategy_v3 -28.285698 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CRUDE_W 130.0 caleb_strategy_v3 COPPER -37.5 DAX 2.2126 JGB-SGX-mini 0.0 SUGAR11 -33.6 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 130.0 caleb_strategy_v3 -68.8874 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CRUDE_W 80.0 caleb_strategy_v3 COPPER -50.0 DAX 0.0 JGB-SGX-mini -6.958797 SUGAR11 -56.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 80.0 caleb_strategy_v3 -112.958797 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CRUDE_W 0 caleb_strategy_v3 COPPER 0 DAX 0 JGB-SGX-mini 0 SUGAR11 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 CRUDE_W 105.0 caleb_strategy_v3 COPPER -43.75 DAX 1.1063 JGB-SGX-mini -3.479398 SUGAR11 -44.8 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 105.0 caleb_strategy_v3 -90.923098 ******************************************************************************** END OF REPORT ********************************************************************************