******************************************************************************** Trades report produced on 18/10/2024 21:37 from 17/10/2024 21:37 to 18/10/2024 21:37 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15108 CAD caleb_strategy_v3 [20241200] 2024-10-18 14:10:25.000 [-1] 0.725950 15103 COTTON2 _ROLL_PSEUDO_STRATEGY [20250300] 2024-10-18 13:18:12.000 [-1] 73.400000 15101 COTTON2 _ROLL_PSEUDO_STRATEGY [20241200] 2024-10-18 13:07:55.000 [1] 71.480000 15100 COTTON2 _ROLL_PSEUDO_STRATEGY [20250300] 2024-10-18 13:07:26.000 [-1] 73.510000 15099 COTTON2 _ROLL_PSEUDO_STRATEGY [20241200] 2024-10-18 13:06:54.000 [1] 71.470000 15098 COTTON2 _ROLL_PSEUDO_STRATEGY [20250300] 2024-10-18 13:06:51.000 [-1] 73.520000 15097 COTTON2 _ROLL_PSEUDO_STRATEGY [20241200] 2024-10-18 13:05:29.000 [1] 71.440000 15096 COTTON2 _ROLL_PSEUDO_STRATEGY [20250300] 2024-10-18 13:05:26.000 [-1] 73.480000 15095 COTTON2 _ROLL_PSEUDO_STRATEGY [20241200] 2024-10-18 13:01:01.000 [1] 71.440000 15102 COTTON2 _ROLL_PSEUDO_STRATEGY [20250300] 2024-10-18 19:45:00.734 [0] NaN 15093 DAX caleb_strategy_v3 [20241200] 2024-10-18 07:19:30.000 [1] 19691.000000 15092 DAX caleb_strategy_v3 [20241200] 2024-10-18 07:18:30.000 [1] 19699.000000 15090 DAX caleb_strategy_v3 [20241200] 2024-10-18 19:45:00.653 [0] NaN 15094 GOLD_micro caleb_strategy_v3 [20241200] 2024-10-18 13:01:00.000 [1] 2726.600000 15087 JGB-SGX-mini caleb_strategy_v3 [20241200] 2024-10-18 02:01:23.000 [-1] 143.700000 15089 JGB-SGX-mini caleb_strategy_v3 [20241200] 2024-10-18 02:05:30.000 [-1] 143.700000 15088 JGB-SGX-mini caleb_strategy_v3 [20241200] 2024-10-18 02:02:23.000 [-1] 143.700000 15106 JPY caleb_strategy_v3 [20241200] 2024-10-18 14:10:21.000 [1] 0.006729 15109 LEANHOG caleb_strategy_v3 [20250200] 2024-10-18 14:30:53.000 [1] 81.600000 15104 MXP caleb_strategy_v3 [20241200] 2024-10-18 14:00:49.000 [-1] 0.050250 15091 OAT caleb_strategy_v3 [20241200] 2024-10-18 07:18:27.000 [1] 126.430000 15105 US30 caleb_strategy_v3 [20241200] 2024-10-18 14:00:50.000 [-1] 127.906250 15107 VIX caleb_strategy_v3 [20250100] 2024-10-18 14:10:24.000 [-1] 18.450000 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15088 JGB-SGX-mini caleb_strategy_v3 2024-10-17 00:00:00 2024-10-18 03:02:14.939 2024-10-18 02:02:23.000 97334.939 NaN 15089 JGB-SGX-mini caleb_strategy_v3 2024-10-17 00:00:00 2024-10-18 03:03:14.756 2024-10-18 02:05:30.000 97394.756 NaN 15087 JGB-SGX-mini caleb_strategy_v3 2024-10-17 00:00:00 2024-10-18 03:01:14.591 2024-10-18 02:01:23.000 97274.591 NaN 15091 OAT caleb_strategy_v3 2024-10-17 00:00:00 2024-10-18 08:10:57.042 2024-10-18 07:18:27.000 115857.042 NaN 15094 GOLD_micro caleb_strategy_v3 2024-10-17 00:00:00 2024-10-18 14:01:00.239 2024-10-18 13:01:00.000 136860.239 NaN 15104 MXP caleb_strategy_v3 2024-10-17 00:00:00 2024-10-18 15:00:07.511 2024-10-18 14:00:49.000 140407.511 NaN 15105 US30 caleb_strategy_v3 2024-10-17 00:00:00 2024-10-18 15:00:50.299 2024-10-18 14:00:50.000 140450.299 NaN 15106 JPY caleb_strategy_v3 2024-10-17 00:00:00 2024-10-18 15:00:51.541 2024-10-18 14:10:21.000 140451.541 NaN 15107 VIX caleb_strategy_v3 2024-10-17 00:00:00 2024-10-18 15:10:22.683 2024-10-18 14:10:24.000 141022.683 NaN 15108 CAD caleb_strategy_v3 2024-10-17 00:00:00 2024-10-18 15:10:25.387 2024-10-18 14:10:25.000 141025.387 NaN 15109 LEANHOG caleb_strategy_v3 2024-10-17 00:00:00 2024-10-18 15:30:52.026 2024-10-18 14:30:53.000 142252.026 NaN 15090 DAX caleb_strategy_v3 2024-10-17 00:00:00 2024-10-18 08:00:55.823 2024-10-18 19:45:00.653 115255.823 42244.83 15092 DAX caleb_strategy_v3 2024-10-17 00:00:00 2024-10-18 08:18:30.405 2024-10-18 07:18:30.000 116310.405 NaN 15093 DAX caleb_strategy_v3 2024-10-17 00:00:00 2024-10-18 08:19:30.439 2024-10-18 07:19:30.000 116370.439 NaN 15095 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-10-17 19:00:00 2024-10-18 14:01:01.235 2024-10-18 13:01:01.000 68461.235 NaN 15096 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-10-17 19:00:00 2024-10-18 14:01:02.439 2024-10-18 13:05:26.000 68462.439 NaN 15097 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-10-17 19:00:00 2024-10-18 14:05:29.716 2024-10-18 13:05:29.000 68729.716 NaN 15098 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-10-17 19:00:00 2024-10-18 14:05:30.129 2024-10-18 13:06:51.000 68730.129 NaN 15099 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-10-17 19:00:00 2024-10-18 14:06:54.801 2024-10-18 13:06:54.000 68814.801 NaN 15100 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-10-17 19:00:00 2024-10-18 14:06:55.262 2024-10-18 13:07:26.000 68815.262 NaN 15101 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-10-17 19:00:00 2024-10-18 14:07:55.283 2024-10-18 13:07:55.000 68875.283 NaN 15102 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-10-17 19:00:00 2024-10-18 14:07:55.880 2024-10-18 19:45:00.734 68875.88 20224.854 15103 COTTON2 _ROLL_PSEUDO_STRATEGY 2024-10-17 19:00:00 2024-10-18 14:17:59.580 2024-10-18 13:18:12.000 69479.58 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 15088 JGB-SGX-mini caleb_strategy_v3 [-1] 143.77 None 143.705 143.7 143.71 143.71 143.7 -0.065 -0.005 -0.0 -0.01 NaN -0.005 15089 JGB-SGX-mini caleb_strategy_v3 [-1] 143.77 None 143.71 143.7 143.72 NaN 143.7 -0.06 -0.01 -0.0 NaN NaN -0.01 15087 JGB-SGX-mini caleb_strategy_v3 [-1] 143.77 None 143.71 143.7 143.72 143.72 143.7 -0.06 -0.01 -0.0 -0.02 NaN -0.01 15091 OAT caleb_strategy_v3 [1] 126.56 None 126.33 126.34 126.32 126.32 126.43 0.23 -0.01 -0.09 -0.11 NaN -0.1 15094 GOLD_micro caleb_strategy_v3 [1] 2705.0 None 2727.6 2727.7 2727.5 2727.5 2726.6 -22.6 -0.1 1.1 0.9 NaN 1.0 15104 MXP caleb_strategy_v3 [-1] 0.04974 None 0.050265 0.05026 0.05027 0.05027 0.05025 0.000525 -0.000005 -0.00001 -0.00002 NaN -0.000015 15105 US30 caleb_strategy_v3 [-1] 127.53125 None 127.796875 127.78125 127.8125 127.8125 127.90625 0.265625 -0.015625 0.125 0.09375 NaN 0.109375 15106 JPY caleb_strategy_v3 [1] 0.006706 None 0.006726 0.006727 0.006726 0.006726 0.006729 -0.00002 -0.000001 -0.000002 -0.000003 NaN -0.000002 15107 VIX caleb_strategy_v3 [-1] 18.65 None 18.5 18.45 18.55 18.55 18.45 -0.15 -0.05 -0.0 -0.1 NaN -0.05 15108 CAD caleb_strategy_v3 [-1] 0.726 None 0.725925 0.7259 0.72595 0.72595 0.72595 -0.000075 -0.000025 0.00005 -0.0 NaN 0.000025 15109 LEANHOG caleb_strategy_v3 [1] 81.35 None 81.8 81.825 81.775 81.775 81.6 -0.45 -0.025 0.225 0.175 NaN 0.2 15090 DAX caleb_strategy_v3 [1] 19684.0 None 19670.5 19671.0 19670.0 19670.0 NaN 13.5 -0.5 NaN NaN NaN NaN 15092 DAX caleb_strategy_v3 [1] 19684.0 None 19663.5 19664.0 19663.0 19663.0 19699.0 20.5 -0.5 -35.0 -36.0 NaN -35.5 15093 DAX caleb_strategy_v3 [1] 19684.0 None 19699.0 19700.0 19698.0 19698.0 19691.0 -15.0 -1.0 9.0 7.0 NaN 8.0 15095 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 70.86 None 71.48 71.49 71.47 71.47 71.44 -0.62 -0.01 0.05 0.03 NaN 0.04 15096 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 72.97 None 73.54 73.52 73.56 73.56 73.48 0.57 -0.02 -0.04 -0.08 NaN -0.06 15097 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 70.86 None 71.48 71.49 71.47 71.47 71.44 -0.62 -0.01 0.05 0.03 NaN 0.04 15098 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 72.97 None 73.5 73.48 73.52 73.52 73.52 0.53 -0.02 0.04 -0.0 NaN 0.02 15099 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 70.86 None 71.48 71.49 71.47 71.47 71.47 -0.62 -0.01 0.02 0.0 NaN 0.01 15100 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 72.97 None 73.545 73.53 73.56 73.56 73.51 0.575 -0.015 -0.02 -0.05 NaN -0.035 15101 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 70.86 None 71.49 71.5 71.48 71.48 71.48 -0.63 -0.01 0.02 0.0 NaN 0.01 15102 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 72.97 None 73.525 73.51 73.54 73.54 NaN 0.555 -0.015 NaN NaN NaN NaN 15103 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 72.97 None 73.42 73.4 73.44 73.44 73.4 0.45 -0.02 -0.0 -0.04 NaN -0.02 =================================================================================================================================================================== 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 15088 JGB-SGX-mini caleb_strategy_v3 [-1] 4.065791 -159.870471 -12.297729 -0.0 -24.595457 NaN -12.297729 15089 JGB-SGX-mini caleb_strategy_v3 [-1] 4.065791 -147.572742 -24.595457 -0.0 NaN NaN -24.595457 15087 JGB-SGX-mini caleb_strategy_v3 [-1] 4.065791 -147.572742 -24.595457 -0.0 -49.190914 NaN -24.595457 15091 OAT caleb_strategy_v3 [1] 7.971465 288.529159 -12.544746 -112.902714 -137.992206 NaN -125.44746 15094 GOLD_micro caleb_strategy_v3 [1] 297.844311 -758.785687 -3.357459 36.932047 30.217129 NaN 33.574588 15104 MXP caleb_strategy_v3 [-1] 0.006685 785.30671 -7.479112 -14.958223 -29.916446 NaN -22.437335 15105 US30 caleb_strategy_v3 [-1] 17.275259 153.760357 -9.044727 72.357815 54.268361 NaN 63.313088 15106 JPY caleb_strategy_v3 [1] 0.000793 -258.403773 -6.302531 -25.210124 -37.815186 NaN -31.512655 15107 VIX caleb_strategy_v3 [-1] 8.93811 -167.820706 -55.940235 -0.0 -111.880471 NaN -55.940235 15108 CAD caleb_strategy_v3 [-1] 0.03457 -21.695027 -7.231676 14.463351 -0.0 NaN 7.231676 15109 LEANHOG caleb_strategy_v3 [1] 16.392554 -274.514884 -15.250827 137.257442 106.755788 NaN 122.006615 15090 DAX caleb_strategy_v3 [1] 2214.202918 60.970022 -2.258149 NaN NaN NaN NaN 15092 DAX caleb_strategy_v3 [1] 2214.202918 92.584107 -2.258149 -158.070427 -162.586725 NaN -160.328576 15093 DAX caleb_strategy_v3 [1] 2214.202918 -67.744469 -4.516298 40.646681 31.614085 NaN 36.130383 15095 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 15.403422 -402.507954 -6.492064 32.460319 19.476191 NaN 25.968255 15096 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 15.403422 370.047636 -12.984128 -25.968255 -51.93651 NaN -38.952383 15097 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 15.403422 -402.507954 -6.492064 32.460319 19.476191 NaN 25.968255 15098 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 15.403422 344.07938 -12.984128 25.968255 -0.0 NaN 12.984128 15099 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 15.403422 -402.507954 -6.492064 12.984128 0.0 NaN 6.492064 15100 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 15.403422 373.293667 -9.738096 -12.984128 -32.460319 NaN -22.722223 15101 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 15.403422 -409.000018 -6.492064 12.984128 0.0 NaN 6.492064 15102 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 15.403422 360.30954 -9.738096 NaN NaN NaN NaN 15103 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 15.403422 292.14287 -12.984128 -0.0 -25.968255 NaN -12.984128 ============================================================================================================================================================================ 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 15088 JGB-SGX-mini caleb_strategy_v3 [-1] 667.25385 -43.3715 -3.336269 -0.0 -6.672539 NaN -3.336269 15089 JGB-SGX-mini caleb_strategy_v3 [-1] 667.25385 -40.035231 -6.672539 -0.0 NaN NaN -6.672539 15087 JGB-SGX-mini caleb_strategy_v3 [-1] 667.25385 -40.035231 -6.672539 -0.0 -13.345077 NaN -6.672539 15091 OAT caleb_strategy_v3 [1] 1084.15 249.3545 -10.8415 -97.5735 -119.2565 NaN -108.415 15094 GOLD_micro caleb_strategy_v3 [1] 10.0 -226.0 -1.0 11.0 9.0 NaN 10.0 15104 MXP caleb_strategy_v3 [-1] 500000.0 262.5 -2.5 -5.0 -10.0 NaN -7.5 15105 US30 caleb_strategy_v3 [-1] 1000.0 265.625 -15.625 125.0 93.75 NaN 109.375 15106 JPY caleb_strategy_v3 [1] 12500000.0 -256.25 -6.25 -25.0 -37.5 NaN -31.25 15107 VIX caleb_strategy_v3 [-1] 1000.0 -150.0 -50.0 -0.0 -100.0 NaN -50.0 15108 CAD caleb_strategy_v3 [-1] 100000.0 -7.5 -2.5 5.0 -0.0 NaN 2.5 15109 LEANHOG caleb_strategy_v3 [1] 400.0 -180.0 -10.0 90.0 70.0 NaN 80.0 15090 DAX caleb_strategy_v3 [1] 1.08415 14.636025 -0.542075 NaN NaN NaN NaN 15092 DAX caleb_strategy_v3 [1] 1.08415 22.225075 -0.542075 -37.94525 -39.0294 NaN -38.487325 15093 DAX caleb_strategy_v3 [1] 1.08415 -16.26225 -1.08415 9.75735 7.58905 NaN 8.6732 15095 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 500.0 -310.0 -5.0 25.0 15.0 NaN 20.0 15096 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 500.0 285.0 -10.0 -20.0 -40.0 NaN -30.0 15097 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 500.0 -310.0 -5.0 25.0 15.0 NaN 20.0 15098 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 500.0 265.0 -10.0 20.0 -0.0 NaN 10.0 15099 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 500.0 -310.0 -5.0 10.0 0.0 NaN 5.0 15100 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 500.0 287.5 -7.5 -10.0 -25.0 NaN -17.5 15101 COTTON2 _ROLL_PSEUDO_STRATEGY [1] 500.0 -315.0 -5.0 10.0 0.0 NaN 5.0 15102 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 500.0 277.5 -7.5 NaN NaN NaN NaN 15103 COTTON2 _ROLL_PSEUDO_STRATEGY [-1] 500.0 225.0 -10.0 -0.0 -20.0 NaN -10.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 95.0 caleb_strategy_v3 CAD -7.5 DAX 20.59885 GOLD_micro -226.0 JGB-SGX-mini -123.441962 JPY -256.25 LEANHOG -180.0 MXP 262.5 OAT 249.3545 US30 265.625 VIX -150.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 95.0 caleb_strategy_v3 -145.113612 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 -65.0 caleb_strategy_v3 CAD -2.5 DAX -2.1683 GOLD_micro -1.0 JGB-SGX-mini -16.681346 JPY -6.25 LEANHOG -10.0 MXP -2.5 OAT -10.8415 US30 -15.625 VIX -50.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -65.0 caleb_strategy_v3 -117.566146 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 60.0 caleb_strategy_v3 CAD 5.0 DAX -28.1879 GOLD_micro 11.0 JGB-SGX-mini -0.0 JPY -25.0 LEANHOG 90.0 MXP -5.0 OAT -97.5735 US30 125.0 VIX -0.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 60.0 caleb_strategy_v3 75.2386 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 -55.0 caleb_strategy_v3 CAD -0.0 DAX -31.44035 GOLD_micro 9.0 JGB-SGX-mini -20.017616 JPY -37.5 LEANHOG 70.0 MXP -10.0 OAT -119.2565 US30 93.75 VIX -100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -55.0 caleb_strategy_v3 -145.464466 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COTTON2 0 caleb_strategy_v3 CAD 0 DAX 0 GOLD_micro 0 JGB-SGX-mini 0 JPY 0 LEANHOG 0 MXP 0 OAT 0 US30 0 VIX 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 COTTON2 2.5 caleb_strategy_v3 CAD 2.5 DAX -29.814125 GOLD_micro 10.0 JGB-SGX-mini -16.681346 JPY -31.25 LEANHOG 80.0 MXP -7.5 OAT -108.415 US30 109.375 VIX -50.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 2.5 caleb_strategy_v3 -41.785471 ******************************************************************************** END OF REPORT ********************************************************************************