******************************************************************************** Trades report produced on 09/12/2024 21:41 from 08/12/2024 21:41 to 09/12/2024 21:41 ******************************************************************************** ============================================================================================================= Broker orders ============================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15591 BTP caleb_strategy_v3 [20250300] 2024-12-09 08:08:36 [1] 123.2500 15592 BTP caleb_strategy_v3 [20250300] 2024-12-09 08:09:56 [1] 123.2400 15594 CAD caleb_strategy_v3 [20250300] 2024-12-09 15:00:38 [-1] 0.7115 15590 EUROSTX caleb_strategy_v3 [20241200] 2024-12-09 08:05:13 [1] 5004.0000 15593 GOLD_micro caleb_strategy_v3 [20250200] 2024-12-09 14:03:11 [1] 2687.3000 15586 JGB-SGX-mini caleb_strategy_v3 [20250300] 2024-12-09 03:06:16 [-1] 142.6500 15588 JGB-SGX-mini caleb_strategy_v3 [20250300] 2024-12-09 03:16:23 [-1] 142.6500 15587 JGB-SGX-mini caleb_strategy_v3 [20250300] 2024-12-09 03:11:20 [-1] 142.6500 15589 JGB-SGX-mini caleb_strategy_v3 [20250300] 2024-12-09 03:21:28 [-1] 142.6500 15601 LEANHOG _ROLL_PSEUDO_STRATEGY [20250200, 20250400] 2024-12-09 15:43:52 [-1, 1] -4.6000 15595 LEANHOG _ROLL_PSEUDO_STRATEGY [20250200, 20250400] 2024-12-09 15:31:13 [-1, 1] -4.5750 15596 LEANHOG _ROLL_PSEUDO_STRATEGY [20250200, 20250400] 2024-12-09 15:31:39 [-1, 1] -4.5750 15597 LEANHOG _ROLL_PSEUDO_STRATEGY [20250200, 20250400] 2024-12-09 15:32:40 [-1, 1] -4.5750 15598 LEANHOG _ROLL_PSEUDO_STRATEGY [20250200, 20250400] 2024-12-09 15:33:39 [-1, 1] -4.5750 15599 LEANHOG _ROLL_PSEUDO_STRATEGY [20250200, 20250400] 2024-12-09 15:37:18 [-1, 1] -4.6250 15600 LEANHOG _ROLL_PSEUDO_STRATEGY [20250200, 20250400] 2024-12-09 15:38:37 [-1, 1] -4.6250 15602 LEANHOG _ROLL_PSEUDO_STRATEGY [20250200, 20250400] 2024-12-09 15:44:14 [-1, 1] -4.6000 ================================================================================================================================================================== Delays ================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15586 JGB-SGX-mini caleb_strategy_v3 2024-12-06 00:00:00 2024-12-09 03:01:15.854000 2024-12-09 03:06:16 270075.854 300.146 15587 JGB-SGX-mini caleb_strategy_v3 2024-12-06 00:00:00 2024-12-09 03:06:19.906000 2024-12-09 03:11:20 270379.906 300.094 15588 JGB-SGX-mini caleb_strategy_v3 2024-12-06 00:00:00 2024-12-09 03:11:23.713000 2024-12-09 03:16:23 270683.713 299.287 15589 JGB-SGX-mini caleb_strategy_v3 2024-12-06 00:00:00 2024-12-09 03:16:27.863000 2024-12-09 03:21:28 270987.863 300.137 15590 EUROSTX caleb_strategy_v3 2024-12-06 00:00:00 2024-12-09 08:00:54.382000 2024-12-09 08:05:13 288054.382 258.618 15592 BTP caleb_strategy_v3 2024-12-06 00:00:00 2024-12-09 08:08:40.110000 2024-12-09 08:09:56 288520.11 75.89 15591 BTP caleb_strategy_v3 2024-12-06 00:00:00 2024-12-09 08:05:14.583000 2024-12-09 08:08:36 288314.583 201.417 15593 GOLD_micro caleb_strategy_v3 2024-12-06 00:00:00 2024-12-09 14:00:32.966000 2024-12-09 14:03:11 309632.966 158.034 15594 CAD caleb_strategy_v3 2024-12-06 00:00:00 2024-12-09 15:00:38.910000 2024-12-09 15:00:38 313238.91 NaN 15595 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-12-06 19:00:00 2024-12-09 15:30:40.706000 2024-12-09 15:31:13 246640.706 32.294 15596 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-12-06 19:00:00 2024-12-09 15:31:39.309000 2024-12-09 15:31:39 246699.309 NaN 15597 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-12-06 19:00:00 2024-12-09 15:32:39.464000 2024-12-09 15:32:40 246759.464 0.536 15598 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-12-06 19:00:00 2024-12-09 15:33:39.506000 2024-12-09 15:33:39 246819.506 NaN 15599 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-12-06 19:00:00 2024-12-09 15:34:39.509000 2024-12-09 15:37:18 246879.509 158.491 15600 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-12-06 19:00:00 2024-12-09 15:37:33.507000 2024-12-09 15:38:37 247053.507 63.493 15601 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-12-06 19:00:00 2024-12-09 15:38:52.707000 2024-12-09 15:43:52 247132.707 299.293 15602 LEANHOG _ROLL_PSEUDO_STRATEGY 2024-12-06 19:00:00 2024-12-09 15:44:08.021000 2024-12-09 15:44:14 247448.021 5.979 ======================================================================================================================================================================================================================================== 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 15586 JGB-SGX-mini caleb_strategy_v3 [-1] 142.46 None 142.67 142.66 142.68 142.68 142.65 0.21 -0.01 -0.01 -0.03 NaN -0.02 15587 JGB-SGX-mini caleb_strategy_v3 [-1] 142.46 None 142.665 142.65 142.68 142.68 142.65 0.205 -0.015 -0.0 -0.03 NaN -0.015 15588 JGB-SGX-mini caleb_strategy_v3 [-1] 142.46 None 142.665 142.65 142.68 142.68 142.65 0.205 -0.015 -0.0 -0.03 NaN -0.015 15589 JGB-SGX-mini caleb_strategy_v3 [-1] 142.46 None 142.665 142.65 142.68 142.68 142.65 0.205 -0.015 -0.0 -0.03 NaN -0.015 15590 EUROSTX caleb_strategy_v3 [1] 4979.0 None 4998.5 4999.0 4998.0 4998.0 5004.0 -19.5 -0.5 -5.0 -6.0 NaN -5.5 15592 BTP caleb_strategy_v3 [1] 123.02 None 123.225 123.23 123.22 123.22 123.24 -0.205 -0.005 -0.01 -0.02 NaN -0.015 15591 BTP caleb_strategy_v3 [1] 123.02 None 123.255 123.26 123.25 123.25 123.25 -0.235 -0.005 0.01 0.0 NaN 0.005 15593 GOLD_micro caleb_strategy_v3 [1] 2656.9 None 2687.45 2687.5 2687.4 2687.4 2687.3 -30.55 -0.05 0.2 0.1 NaN 0.15 15594 CAD caleb_strategy_v3 [-1] 0.7089 None 0.711075 0.71105 0.7111 0.7111 0.7115 0.002175 -0.000025 0.00045 0.0004 NaN 0.000425 15595 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] -4.4 None -4.6 -4.65 -4.55 -4.55 -4.575 -0.2 -0.05 0.075 -0.025 NaN 0.025 15596 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] -4.4 None -4.6 -4.625 -4.575 -4.575 -4.575 -0.2 -0.025 0.05 0.0 NaN 0.025 15597 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] -4.4 None -4.6 -4.625 -4.575 -4.575 -4.575 -0.2 -0.025 0.05 -0.0 NaN 0.025 15598 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] -4.4 None -4.6 -4.625 -4.575 -4.575 -4.575 -0.2 -0.025 0.05 0.0 NaN 0.025 15599 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] -4.4 None -4.5875 -4.625 -4.55 -4.55 -4.625 -0.1875 -0.0375 -0.0 -0.075 NaN -0.0375 15600 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] -4.4 None -4.575 -4.625 -4.525 -4.525 -4.625 -0.175 -0.05 -0.0 -0.1 NaN -0.05 15601 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] -4.4 None -4.6 -4.625 -4.575 -4.575 -4.6 -0.2 -0.025 0.025 -0.025 NaN 0.0 15602 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] -4.4 None -4.575 -4.6 -4.55 -4.55 -4.6 -0.175 -0.025 0.0 -0.05 NaN -0.025 ====================================================================================================================================================================== 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 15586 JGB-SGX-mini caleb_strategy_v3 [-1] 3.546374 592.154101 -28.197814 -28.197814 -84.593443 NaN -56.395629 15587 JGB-SGX-mini caleb_strategy_v3 [-1] 3.546374 578.055194 -42.296722 -0.0 -84.593443 NaN -42.296722 15588 JGB-SGX-mini caleb_strategy_v3 [-1] 3.546374 578.055194 -42.296722 -0.0 -84.593443 NaN -42.296722 15589 JGB-SGX-mini caleb_strategy_v3 [-1] 3.546374 578.055194 -42.296722 -0.0 -84.593443 NaN -42.296722 15590 EUROSTX caleb_strategy_v3 [1] 650.837338 -299.614033 -7.682411 -76.824111 -92.188933 NaN -84.506522 15592 BTP caleb_strategy_v3 [1] 6.928592 -295.875418 -7.216474 -14.432947 -28.865894 NaN -21.649421 15591 BTP caleb_strategy_v3 [1] 6.928592 -339.17426 -7.216474 14.432947 0.0 NaN 7.216474 15593 GOLD_micro caleb_strategy_v3 [1] 425.342863 -718.244096 -1.175522 4.702089 2.351045 NaN 3.526567 15594 CAD caleb_strategy_v3 [-1] 0.039612 549.072491 -6.311178 113.601205 100.978849 NaN 107.290027 15595 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 17.213751 -116.186182 -29.046545 43.569818 -14.523273 NaN 14.523273 15596 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 17.213751 -116.186182 -14.523273 29.046545 0.0 NaN 14.523273 15597 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 17.213751 -116.186182 -14.523273 29.046545 -0.0 NaN 14.523273 15598 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 17.213751 -116.186182 -14.523273 29.046545 0.0 NaN 14.523273 15599 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 17.213751 -108.924545 -21.784909 -0.0 -43.569818 NaN -21.784909 15600 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 17.213751 -101.662909 -29.046545 -0.0 -58.093091 NaN -29.046545 15601 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 17.213751 -116.186182 -14.523273 14.523273 -14.523273 NaN 0.0 15602 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 17.213751 -101.662909 -14.523273 0.0 -29.046545 NaN -14.523273 ================================================================================================================================================================================ 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 15586 JGB-SGX-mini caleb_strategy_v3 [-1] 665.778961 139.813582 -6.65779 -6.65779 -19.973369 NaN -13.315579 15587 JGB-SGX-mini caleb_strategy_v3 [-1] 665.778961 136.484687 -9.986684 -0.0 -19.973369 NaN -9.986684 15588 JGB-SGX-mini caleb_strategy_v3 [-1] 665.778961 136.484687 -9.986684 -0.0 -19.973369 NaN -9.986684 15589 JGB-SGX-mini caleb_strategy_v3 [-1] 665.778961 136.484687 -9.986684 -0.0 -19.973369 NaN -9.986684 15590 EUROSTX caleb_strategy_v3 [1] 10.547 -205.6665 -5.2735 -52.735 -63.282 NaN -58.0085 15592 BTP caleb_strategy_v3 [1] 1054.7 -216.2135 -5.2735 -10.547 -21.094 NaN -15.8205 15591 BTP caleb_strategy_v3 [1] 1054.7 -247.8545 -5.2735 10.547 0.0 NaN 5.2735 15593 GOLD_micro caleb_strategy_v3 [1] 10.0 -305.5 -0.5 2.0 1.0 NaN 1.5 15594 CAD caleb_strategy_v3 [-1] 100000.0 217.5 -2.5 45.0 40.0 NaN 42.5 15595 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 400.0 -80.0 -20.0 30.0 -10.0 NaN 10.0 15596 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 400.0 -80.0 -10.0 20.0 0.0 NaN 10.0 15597 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 400.0 -80.0 -10.0 20.0 -0.0 NaN 10.0 15598 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 400.0 -80.0 -10.0 20.0 0.0 NaN 10.0 15599 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 400.0 -75.0 -15.0 -0.0 -30.0 NaN -15.0 15600 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 400.0 -70.0 -20.0 -0.0 -40.0 NaN -20.0 15601 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 400.0 -80.0 -10.0 10.0 -10.0 NaN 0.0 15602 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 400.0 -70.0 -10.0 0.0 -20.0 NaN -10.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -615.0 caleb_strategy_v3 BTP -464.068 CAD 217.5 EUROSTX -205.6665 GOLD_micro -305.5 JGB-SGX-mini 549.267643 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -615.0 caleb_strategy_v3 -208.466857 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -105.0 caleb_strategy_v3 BTP -10.547 CAD -2.5 EUROSTX -5.2735 GOLD_micro -0.5 JGB-SGX-mini -36.617843 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -105.0 caleb_strategy_v3 -55.438343 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 100.0 caleb_strategy_v3 BTP 0.0 CAD 45.0 EUROSTX -52.735 GOLD_micro 2.0 JGB-SGX-mini -6.65779 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 100.0 caleb_strategy_v3 -12.39279 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -110.0 caleb_strategy_v3 BTP -21.094 CAD 40.0 EUROSTX -63.282 GOLD_micro 1.0 JGB-SGX-mini -79.893475 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -110.0 caleb_strategy_v3 -123.269475 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 0 caleb_strategy_v3 BTP 0 CAD 0 EUROSTX 0 GOLD_micro 0 JGB-SGX-mini 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 LEANHOG -5.0 caleb_strategy_v3 BTP -10.547 CAD 42.5 EUROSTX -58.0085 GOLD_micro 1.5 JGB-SGX-mini -43.275632 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -5.0 caleb_strategy_v3 -67.831132 ******************************************************************************** END OF REPORT ********************************************************************************