******************************************************************************** Trades report produced on 06/12/2024 21:41 from 05/12/2024 21:41 to 06/12/2024 21:41 ******************************************************************************** ============================================================================================================= Broker orders ============================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15576 BTP caleb_strategy_v3 [20250300] 2024-12-06 08:03:21 [1] 123.01000 15585 CAD caleb_strategy_v3 [20250300] 2024-12-06 15:01:57 [1] 0.70995 15584 CAD caleb_strategy_v3 [20250300] 2024-12-06 15:00:58 [1] 0.71010 15580 DAX caleb_strategy_v3 [20250300] 2024-12-06 08:12:10 [1] 20562.00000 15575 DAX _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-06 08:01:03 [-1, 1] -189.00000 15579 DAX _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-06 08:11:45 [-1, 1] -188.00000 15578 DAX _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-06 08:10:34 [-1, 1] -188.00000 15577 DAX _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-06 08:03:47 [-1, 1] -189.50000 15582 GAS_US_mini caleb_strategy_v3 [20250200] 2024-12-06 14:03:30 [-1] 2.92000 15581 GOLD_micro caleb_strategy_v3 [20250200] 2024-12-06 14:03:29 [1] 2657.00000 15583 GOLD_micro caleb_strategy_v3 [20250200] 2024-12-06 14:03:49 [1] 2657.70000 15573 JGB-SGX-mini caleb_strategy_v3 [20250300] 2024-12-06 03:23:47 [-1] 142.29000 15572 JGB-SGX-mini caleb_strategy_v3 [20250300] 2024-12-06 03:18:43 [-1] 142.29000 15571 JGB-SGX-mini caleb_strategy_v3 [20250300] 2024-12-06 03:15:57 [-1] 142.29000 15570 JGB-SGX-mini caleb_strategy_v3 [20250300] 2024-12-06 03:11:31 [-1] 142.29000 15569 JGB-SGX-mini caleb_strategy_v3 [20250300] 2024-12-06 03:06:27 [-1] 142.28000 15574 JGB-SGX-mini caleb_strategy_v3 [20250300] 2024-12-06 03:28:25 [-1] 142.32000 15568 NIKKEI caleb_strategy_v3 [20250300] 2024-12-06 03:00:31 [1] 39030.00000 ================================================================================================================================================================== Delays ================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15568 NIKKEI caleb_strategy_v3 2024-12-05 00:00:00 2024-12-06 03:00:31.415000 2024-12-06 03:00:31 97231.415 NaN 15569 JGB-SGX-mini caleb_strategy_v3 2024-12-05 00:00:00 2024-12-06 03:01:27.542000 2024-12-06 03:06:27 97287.542 299.458 15570 JGB-SGX-mini caleb_strategy_v3 2024-12-05 00:00:00 2024-12-06 03:06:31.426000 2024-12-06 03:11:31 97591.426 299.574 15571 JGB-SGX-mini caleb_strategy_v3 2024-12-05 00:00:00 2024-12-06 03:11:35.333000 2024-12-06 03:15:57 97895.333 261.667 15572 JGB-SGX-mini caleb_strategy_v3 2024-12-05 00:00:00 2024-12-06 03:16:01.205000 2024-12-06 03:18:43 98161.205 161.795 15573 JGB-SGX-mini caleb_strategy_v3 2024-12-05 00:00:00 2024-12-06 03:18:47.443000 2024-12-06 03:23:47 98327.443 299.557 15574 JGB-SGX-mini caleb_strategy_v3 2024-12-05 00:00:00 2024-12-06 03:23:51.490000 2024-12-06 03:28:25 98631.49 273.51 15576 BTP caleb_strategy_v3 2024-12-05 00:00:00 2024-12-06 08:01:14.934000 2024-12-06 08:03:21 115274.934 126.066 15577 DAX _ROLL_PSEUDO_STRATEGY 2024-12-05 19:00:00 2024-12-06 08:03:21.821000 2024-12-06 08:03:47 47001.821 25.179 15578 DAX _ROLL_PSEUDO_STRATEGY 2024-12-05 19:00:00 2024-12-06 08:03:51.591000 2024-12-06 08:10:34 47031.591 402.409 15579 DAX _ROLL_PSEUDO_STRATEGY 2024-12-05 19:00:00 2024-12-06 08:10:38.168000 2024-12-06 08:11:45 47438.168 66.832 15575 DAX _ROLL_PSEUDO_STRATEGY 2024-12-05 19:00:00 2024-12-06 08:00:09.042000 2024-12-06 08:01:03 46809.042 53.958 15580 DAX caleb_strategy_v3 2024-12-05 00:00:00 2024-12-06 08:11:53.138000 2024-12-06 08:12:10 115913.138 16.862 15582 GAS_US_mini caleb_strategy_v3 2024-12-05 00:00:00 2024-12-06 14:03:30.070000 2024-12-06 14:03:30 137010.07 NaN 15581 GOLD_micro caleb_strategy_v3 2024-12-05 00:00:00 2024-12-06 14:00:24.646000 2024-12-06 14:03:29 136824.646 184.354 15583 GOLD_micro caleb_strategy_v3 2024-12-05 00:00:00 2024-12-06 14:03:46.386000 2024-12-06 14:03:49 137026.386 2.614 15584 CAD caleb_strategy_v3 2024-12-05 00:00:00 2024-12-06 15:00:58.650000 2024-12-06 15:00:58 140458.65 NaN 15585 CAD caleb_strategy_v3 2024-12-05 00:00:00 2024-12-06 15:01:57.742000 2024-12-06 15:01:57 140517.742 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 15568 NIKKEI caleb_strategy_v3 [1] 39425.0 None 39047.5 39050.0 39045.0 39045.0 39030.0 377.5 -2.5 20.0 15.0 NaN 17.5 15569 JGB-SGX-mini caleb_strategy_v3 [-1] 142.24 None 142.3 142.28 142.32 142.32 142.28 0.06 -0.02 -0.0 -0.04 NaN -0.02 15570 JGB-SGX-mini caleb_strategy_v3 [-1] 142.24 None 142.3 142.28 142.32 142.32 142.29 0.06 -0.02 0.01 -0.03 NaN -0.01 15571 JGB-SGX-mini caleb_strategy_v3 [-1] 142.24 None 142.3 142.28 142.32 142.32 142.29 0.06 -0.02 0.01 -0.03 NaN -0.01 15572 JGB-SGX-mini caleb_strategy_v3 [-1] 142.24 None 142.295 142.28 142.31 142.31 142.29 0.055 -0.015 0.01 -0.02 NaN -0.005 15573 JGB-SGX-mini caleb_strategy_v3 [-1] 142.24 None 142.29 142.28 142.3 142.3 142.29 0.05 -0.01 0.01 -0.01 NaN -0.0 15574 JGB-SGX-mini caleb_strategy_v3 [-1] 142.24 None 142.305 142.29 142.32 142.32 142.32 0.065 -0.015 0.03 -0.0 NaN 0.015 15576 BTP caleb_strategy_v3 [1] 123.06 None 122.985 122.99 122.98 122.98 123.01 0.075 -0.005 -0.02 -0.03 NaN -0.025 15577 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] -178.0 None -185.5 -189.0 -182.0 -182.0 -189.5 -7.5 -3.5 -0.5 -7.5 NaN -4.0 15578 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] -178.0 None -187.0 -191.0 -183.0 -183.0 -188.0 -9.0 -4.0 3.0 -5.0 NaN -1.0 15579 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] -178.0 None -185.0 -188.0 -182.0 -182.0 -188.0 -7.0 -3.0 -0.0 -6.0 NaN -3.0 15575 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] -178.0 None -184.5 -188.0 -181.0 -181.0 -189.0 -6.5 -3.5 -1.0 -8.0 NaN -4.5 15580 DAX caleb_strategy_v3 [1] 20562.0 None 20565.0 20568.0 20562.0 20562.0 20562.0 -3.0 -3.0 6.0 0.0 NaN 3.0 15582 GAS_US_mini caleb_strategy_v3 [-1] 2.955 None 2.9025 2.9 2.905 2.905 2.92 -0.0525 -0.0025 0.02 0.015 NaN 0.0175 15581 GOLD_micro caleb_strategy_v3 [1] 2653.5 None 2655.05 2655.1 2655.0 2655.0 2657.0 -1.55 -0.05 -1.9 -2.0 NaN -1.95 15583 GOLD_micro caleb_strategy_v3 [1] 2653.5 None 2656.6 2656.7 2656.5 2656.5 2657.7 -3.1 -0.1 -1.0 -1.2 NaN -1.1 15584 CAD caleb_strategy_v3 [1] 0.7156 None 0.710775 0.7108 0.71075 NaN 0.7101 0.004825 -0.000025 0.0007 NaN NaN 0.000675 15585 CAD caleb_strategy_v3 [1] 0.7156 None 0.710775 0.7108 0.71075 0.71075 0.70995 0.004825 -0.000025 0.00085 0.0008 NaN 0.000825 ======================================================================================================================================================================= 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 15568 NIKKEI caleb_strategy_v3 [1] 7167.470421 526.685117 -3.487981 27.903847 20.927885 NaN 24.415866 15569 JGB-SGX-mini caleb_strategy_v3 [-1] 3.574081 167.875306 -55.958435 -0.0 -111.916871 NaN -55.958435 15570 JGB-SGX-mini caleb_strategy_v3 [-1] 3.574081 167.875306 -55.958435 27.979218 -83.937653 NaN -27.979218 15571 JGB-SGX-mini caleb_strategy_v3 [-1] 3.574081 167.875306 -55.958435 27.979218 -83.937653 NaN -27.979218 15572 JGB-SGX-mini caleb_strategy_v3 [-1] 3.574081 153.885697 -41.968827 27.979218 -55.958435 NaN -13.989609 15573 JGB-SGX-mini caleb_strategy_v3 [-1] 3.574081 139.896089 -27.979218 27.979218 -27.979218 NaN -0.0 15574 JGB-SGX-mini caleb_strategy_v3 [-1] 3.574081 181.864915 -41.968827 83.937653 -0.0 NaN 41.968827 15576 BTP caleb_strategy_v3 [1] 7.016524 106.890533 -7.126036 -28.504142 -42.756213 NaN -35.630178 15577 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] 2410.470388 -31.114259 -14.519988 -2.074284 -31.114259 NaN -16.594271 15578 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] 2410.470388 -37.337111 -16.594271 12.445704 -20.742839 NaN -4.148568 15579 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] 2410.470388 -29.039975 -12.445704 -0.0 -24.891407 NaN -12.445704 15575 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] 2410.470388 -26.965691 -14.519988 -4.148568 -33.188543 NaN -18.668555 15580 DAX caleb_strategy_v3 [1] 2410.470388 -12.445704 -12.445704 24.891407 0.0 NaN 12.445704 15582 GAS_US_mini caleb_strategy_v3 [-1] 1.744879 -300.880498 -14.327643 114.621142 85.965857 NaN 100.293499 15581 GOLD_micro caleb_strategy_v3 [1] 425.702909 -36.410369 -1.174528 -44.632065 -46.981121 NaN -45.806593 15583 GOLD_micro caleb_strategy_v3 [1] 425.702909 -72.820738 -2.349056 -23.490561 -28.188673 NaN -25.839617 15584 CAD caleb_strategy_v3 [1] 0.04054 1190.186832 -6.166771 172.669592 NaN NaN 166.502821 15585 CAD caleb_strategy_v3 [1] 0.04054 1190.186832 -6.166771 209.670219 197.336677 NaN 203.503448 ================================================================================================================================================================================ 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 15568 NIKKEI caleb_strategy_v3 [1] 0.666867 251.742189 -1.667167 13.337335 10.003001 NaN 11.670168 15569 JGB-SGX-mini caleb_strategy_v3 [-1] 666.866727 40.012004 -13.337335 -0.0 -26.674669 NaN -13.337335 15570 JGB-SGX-mini caleb_strategy_v3 [-1] 666.866727 40.012004 -13.337335 6.668667 -20.006002 NaN -6.668667 15571 JGB-SGX-mini caleb_strategy_v3 [-1] 666.866727 40.012004 -13.337335 6.668667 -20.006002 NaN -6.668667 15572 JGB-SGX-mini caleb_strategy_v3 [-1] 666.866727 36.67767 -10.003001 6.668667 -13.337335 NaN -3.334334 15573 JGB-SGX-mini caleb_strategy_v3 [-1] 666.866727 33.343336 -6.668667 6.668667 -6.668667 NaN -0.0 15574 JGB-SGX-mini caleb_strategy_v3 [-1] 666.866727 43.346337 -10.003001 20.006002 -0.0 NaN 10.003001 15576 BTP caleb_strategy_v3 [1] 1056.85 79.26375 -5.28425 -21.137 -31.7055 NaN -26.42125 15577 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] 1.05685 -7.926375 -3.698975 -0.528425 -7.926375 NaN -4.2274 15578 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] 1.05685 -9.51165 -4.2274 3.17055 -5.28425 NaN -1.05685 15579 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] 1.05685 -7.39795 -3.17055 -0.0 -6.3411 NaN -3.17055 15575 DAX _ROLL_PSEUDO_STRATEGY [-1, 1] 1.05685 -6.869525 -3.698975 -1.05685 -8.4548 NaN -4.755825 15580 DAX caleb_strategy_v3 [1] 1.05685 -3.17055 -3.17055 6.3411 0.0 NaN 3.17055 15582 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -131.25 -6.25 50.0 37.5 NaN 43.75 15581 GOLD_micro caleb_strategy_v3 [1] 10.0 -15.5 -0.5 -19.0 -20.0 NaN -19.5 15583 GOLD_micro caleb_strategy_v3 [1] 10.0 -31.0 -1.0 -10.0 -12.0 NaN -11.0 15584 CAD caleb_strategy_v3 [1] 100000.0 482.5 -2.5 70.0 NaN NaN 67.5 15585 CAD caleb_strategy_v3 [1] 100000.0 482.5 -2.5 85.0 80.0 NaN 82.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY DAX -31.7055 caleb_strategy_v3 BTP 79.26375 CAD 965.0 DAX -3.17055 GAS_US_mini -131.25 GOLD_micro -46.5 JGB-SGX-mini 233.403354 NIKKEI 251.742189 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -31.7055 caleb_strategy_v3 1348.488744 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY DAX -14.7959 caleb_strategy_v3 BTP -5.28425 CAD -5.0 DAX -3.17055 GAS_US_mini -6.25 GOLD_micro -1.5 JGB-SGX-mini -66.686673 NIKKEI -1.667167 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -14.7959 caleb_strategy_v3 -89.558639 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY DAX 1.585275 caleb_strategy_v3 BTP -21.137 CAD 155.0 DAX 6.3411 GAS_US_mini 50.0 GOLD_micro -29.0 JGB-SGX-mini 46.680671 NIKKEI 13.337335 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 1.585275 caleb_strategy_v3 221.222105 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY DAX -28.006525 caleb_strategy_v3 BTP -31.7055 CAD 80.0 DAX 0.0 GAS_US_mini 37.5 GOLD_micro -32.0 JGB-SGX-mini -86.692674 NIKKEI 10.003001 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -28.006525 caleb_strategy_v3 -22.895174 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY DAX 0 caleb_strategy_v3 BTP 0 CAD 0 DAX 0 GAS_US_mini 0 GOLD_micro 0 JGB-SGX-mini 0 NIKKEI 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 DAX -13.210625 caleb_strategy_v3 BTP -26.42125 CAD 150.0 DAX 3.17055 GAS_US_mini 43.75 GOLD_micro -30.5 JGB-SGX-mini -20.006002 NIKKEI 11.670168 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -13.210625 caleb_strategy_v3 131.663466 ******************************************************************************** END OF REPORT ********************************************************************************