******************************************************************************** Trades report produced on 10/12/2024 21:41 from 09/12/2024 21:41 to 10/12/2024 21:41 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15610 AUD caleb_strategy_v3 [20250300] 2024-12-10 19:45:00.441 [0] NaN 15613 AUD caleb_strategy_v3 [20250300] 2024-12-10 15:19:22.000 [-1] 0.6380 15612 CHF caleb_strategy_v3 [20250300] 2024-12-10 15:17:52.000 [1] 1.1459 15609 DAX caleb_strategy_v3 [20250300] 2024-12-10 08:01:24.000 [1] 20517.0000 15607 DAX caleb_strategy_v3 [20250300] 2024-12-10 08:00:25.000 [1] 20510.0000 15611 DOW caleb_strategy_v3 [20241200] 2024-12-10 15:17:51.000 [-1] 44393.0000 15608 EUROSTX caleb_strategy_v3 [20241200] 2024-12-10 08:01:23.000 [1] 4976.0000 15603 JGB-SGX-mini caleb_strategy_v3 [20250300] 2024-12-10 03:01:56.000 [-1] 142.2700 15605 JGB-SGX-mini caleb_strategy_v3 [20250300] 2024-12-10 03:03:53.000 [-1] 142.2700 15604 NIKKEI caleb_strategy_v3 [20250300] 2024-12-10 03:02:46.000 [1] 39210.0000 15606 NIKKEI caleb_strategy_v3 [20250300] 2024-12-10 03:03:54.000 [1] 39210.0000 ===================================================================================================================================================================== Delays ===================================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15603 JGB-SGX-mini caleb_strategy_v3 2024-12-09 00:00:00 2024-12-10 03:01:18.766000 2024-12-10 03:01:56 97278.766 37.234 15605 JGB-SGX-mini caleb_strategy_v3 2024-12-09 00:00:00 2024-12-10 03:02:50.169000 2024-12-10 03:03:53 97370.169 62.831 15604 NIKKEI caleb_strategy_v3 2024-12-09 00:00:00 2024-12-10 03:01:57.282000 2024-12-10 03:02:46 97317.282 48.718 15606 NIKKEI caleb_strategy_v3 2024-12-09 00:00:00 2024-12-10 03:03:54.370000 2024-12-10 03:03:54 97434.37 NaN 15608 EUROSTX caleb_strategy_v3 2024-12-09 00:00:00 2024-12-10 08:01:23.158000 2024-12-10 08:01:23 115283.158 NaN 15609 DAX caleb_strategy_v3 2024-12-09 00:00:00 2024-12-10 08:01:23.955000 2024-12-10 08:01:24 115283.955 0.045 15607 DAX caleb_strategy_v3 2024-12-09 00:00:00 2024-12-10 08:00:25.062000 2024-12-10 08:00:25 115225.062 NaN 15611 DOW caleb_strategy_v3 2024-12-09 00:00:00 2024-12-10 15:10:52.502000 2024-12-10 15:17:51 141052.502 418.498 15612 CHF caleb_strategy_v3 2024-12-09 00:00:00 2024-12-10 15:17:52.904000 2024-12-10 15:17:52 141472.904 NaN 15610 AUD caleb_strategy_v3 2024-12-09 00:00:00 2024-12-10 15:00:51.782000 2024-12-10 19:45:00.441000 140451.782 17048.659 15613 AUD caleb_strategy_v3 2024-12-09 00:00:00 2024-12-10 15:17:56.928000 2024-12-10 15:19:22 141476.928 85.072 ================================================================================================================================================================================================================================= 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 15603 JGB-SGX-mini caleb_strategy_v3 [-1] 142.41 None 142.255 142.24 142.27 142.27 142.27 -0.155 -0.015 0.03 -0.0 NaN 0.015 15605 JGB-SGX-mini caleb_strategy_v3 [-1] 142.41 None 142.255 142.24 142.27 142.27 142.27 -0.155 -0.015 0.03 -0.0 NaN 0.015 15604 NIKKEI caleb_strategy_v3 [1] 39350.0 None 39212.5 39215.0 39210.0 39210.0 39210.0 137.5 -2.5 5.0 0.0 NaN 2.5 15606 NIKKEI caleb_strategy_v3 [1] 39350.0 None 39222.5 39225.0 39220.0 39220.0 39210.0 127.5 -2.5 15.0 10.0 NaN 12.5 15608 EUROSTX caleb_strategy_v3 [1] 4988.0 None 4978.5 4979.0 4978.0 4978.0 4976.0 9.5 -0.5 3.0 2.0 NaN 2.5 15609 DAX caleb_strategy_v3 [1] 20561.0 None 20535.5 20547.0 20524.0 20524.0 20517.0 25.5 -11.5 30.0 7.0 NaN 18.5 15607 DAX caleb_strategy_v3 [1] 20561.0 None 20535.5 20547.0 20524.0 20524.0 20510.0 25.5 -11.5 37.0 14.0 NaN 25.5 15611 DOW caleb_strategy_v3 [-1] 44581.0 None 44387.0 44386.0 44388.0 44388.0 44393.0 -194.0 -1.0 7.0 5.0 NaN 6.0 15612 CHF caleb_strategy_v3 [1] 1.1503 None 1.146425 1.14645 1.1464 NaN 1.1459 0.003875 -0.000025 0.00055 NaN NaN 0.000525 15610 AUD caleb_strategy_v3 [-1] 0.64445 None 0.638925 0.6389 0.63895 0.63895 NaN -0.005525 -0.000025 NaN NaN NaN NaN 15613 AUD caleb_strategy_v3 [-1] 0.64445 None 0.638625 0.6386 0.63865 0.63865 0.638 -0.005825 -0.000025 -0.0006 -0.00065 NaN -0.000625 =============================================================================================================================================================== 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 15603 JGB-SGX-mini caleb_strategy_v3 [-1] 3.505138 -442.207929 -42.794316 85.588631 -0.0 NaN 42.794316 15605 JGB-SGX-mini caleb_strategy_v3 [-1] 3.505138 -442.207929 -42.794316 85.588631 -0.0 NaN 42.794316 15604 NIKKEI caleb_strategy_v3 [1] 6892.059705 199.504946 -3.627363 7.254725 0.0 NaN 3.627363 15606 NIKKEI caleb_strategy_v3 [1] 6892.059705 184.995495 -3.627363 21.764176 14.509451 NaN 18.136813 15608 EUROSTX caleb_strategy_v3 [1] 651.678896 145.777315 -7.67249 46.034942 30.689961 NaN 38.362451 15609 DAX caleb_strategy_v3 [1] 2337.624004 109.085122 -49.195251 128.335438 29.944935 NaN 79.140187 15607 DAX caleb_strategy_v3 [1] 2337.624004 109.085122 -49.195251 158.280373 59.889871 NaN 109.085122 15611 DOW caleb_strategy_v3 [-1] 4724.121954 -410.658323 -2.116795 14.817568 10.583977 NaN 12.700773 15612 CHF caleb_strategy_v3 [1] 0.084678 457.614185 -2.95235 64.951691 NaN NaN 61.999341 15610 AUD caleb_strategy_v3 [-1] 0.064456 -857.178843 -3.878637 NaN NaN NaN NaN 15613 AUD caleb_strategy_v3 [-1] 0.064456 -903.722491 -3.878637 -93.087295 -100.84457 NaN -96.965933 ========================================================================================================================================================================= 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 15603 JGB-SGX-mini caleb_strategy_v3 [-1] 661.213856 -102.488148 -9.918208 19.836416 -0.0 NaN 9.918208 15605 JGB-SGX-mini caleb_strategy_v3 [-1] 661.213856 -102.488148 -9.918208 19.836416 -0.0 NaN 9.918208 15604 NIKKEI caleb_strategy_v3 [1] 0.661214 90.916905 -1.653035 3.306069 0.0 NaN 1.653035 15606 NIKKEI caleb_strategy_v3 [1] 0.661214 84.304767 -1.653035 9.918208 6.612139 NaN 8.265173 15608 EUROSTX caleb_strategy_v3 [1] 10.564 100.358 -5.282 31.692 21.128 NaN 26.41 15609 DAX caleb_strategy_v3 [1] 1.0564 26.9382 -12.1486 31.692 7.3948 NaN 19.5434 15607 DAX caleb_strategy_v3 [1] 1.0564 26.9382 -12.1486 39.0868 14.7896 NaN 26.9382 15611 DOW caleb_strategy_v3 [-1] 0.5 -97.0 -0.5 3.5 2.5 NaN 3.0 15612 CHF caleb_strategy_v3 [1] 125000.0 484.375 -3.125 68.75 NaN NaN 65.625 15610 AUD caleb_strategy_v3 [-1] 100000.0 -552.5 -2.5 NaN NaN NaN NaN 15613 AUD caleb_strategy_v3 [-1] 100000.0 -582.5 -2.5 -60.0 -65.0 NaN -62.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD -1135.0 CHF 484.375 DAX 53.8764 DOW -97.0 EUROSTX 100.358 JGB-SGX-mini -204.976295 NIKKEI 175.221672 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -623.145224 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -5.0 CHF -3.125 DAX -24.2972 DOW -0.5 EUROSTX -5.282 JGB-SGX-mini -19.836416 NIKKEI -3.306069 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -61.346685 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD -60.0 CHF 68.75 DAX 70.7788 DOW 3.5 EUROSTX 31.692 JGB-SGX-mini 39.672831 NIKKEI 13.224277 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 167.617909 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD -65.0 CHF 0 DAX 22.1844 DOW 2.5 EUROSTX 21.128 JGB-SGX-mini -0.0 NIKKEI 6.612139 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -12.575461 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 CHF 0 DAX 0 DOW 0 EUROSTX 0 JGB-SGX-mini 0 NIKKEI 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 AUD -62.5 CHF 65.625 DAX 46.4816 DOW 3.0 EUROSTX 26.41 JGB-SGX-mini 19.836416 NIKKEI 9.918208 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 108.771224 ******************************************************************************** END OF REPORT ********************************************************************************