******************************************************************************** Trades report produced on 11/12/2024 21:41 from 10/12/2024 21:41 to 11/12/2024 21:41 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15621 CAD caleb_strategy_v3 [20250300] 2024-12-11 15:00:01.000 [-1] 0.71065 15622 EUR caleb_strategy_v3 [20250300] 2024-12-11 15:01:26.000 [1] 1.05445 15619 GOLD_micro caleb_strategy_v3 [20250200] 2024-12-11 14:02:43.000 [-1] 2735.00000 15620 GOLD_micro caleb_strategy_v3 [20250200] 2024-12-11 14:02:47.000 [-1] 2735.10000 15618 HEATOIL caleb_strategy_v3 [20250300] 2024-12-11 14:02:42.000 [-1] 2.20760 15616 JGB-SGX-mini caleb_strategy_v3 [20250300] 2024-12-11 03:11:42.000 [-1] 142.29000 15614 JGB-SGX-mini caleb_strategy_v3 [20250300] 2024-12-11 03:06:18.000 [-1] 142.29000 15624 LEANHOG caleb_strategy_v3 [20250400] 2024-12-11 19:45:07.430 [0] NaN 15626 LEANHOG caleb_strategy_v3 [20250400] 2024-12-11 15:43:36.000 [-1] 88.32500 15617 NIKKEI caleb_strategy_v3 [20250300] 2024-12-11 03:11:43.000 [1] 39155.00000 15615 NIKKEI caleb_strategy_v3 [20250300] 2024-12-11 03:06:38.000 [1] 39170.00000 15625 SOYMEAL caleb_strategy_v3 [20250500] 2024-12-11 15:41:09.000 [1] 303.20000 15623 SP500_micro _ROLL_PSEUDO_STRATEGY [20241200, 20250300] 2024-12-11 15:01:29.000 [-1, 1] -67.70000 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15616 JGB-SGX-mini caleb_strategy_v3 2024-12-10 00:00:00 2024-12-11 03:06:42.570000 2024-12-11 03:11:42 97602.57 299.43 15614 JGB-SGX-mini caleb_strategy_v3 2024-12-10 00:00:00 2024-12-11 03:01:18.178000 2024-12-11 03:06:18 97278.178 299.822 15617 NIKKEI caleb_strategy_v3 2024-12-10 00:00:00 2024-12-11 03:11:43.330000 2024-12-11 03:11:43 97903.33 NaN 15615 NIKKEI caleb_strategy_v3 2024-12-10 00:00:00 2024-12-11 03:06:19.110000 2024-12-11 03:06:38 97579.11 18.89 15618 HEATOIL caleb_strategy_v3 2024-12-10 00:00:00 2024-12-11 14:00:42.595000 2024-12-11 14:02:42 136842.595 119.405 15619 GOLD_micro caleb_strategy_v3 2024-12-10 00:00:00 2024-12-11 14:02:43.750000 2024-12-11 14:02:43 136963.75 NaN 15620 GOLD_micro caleb_strategy_v3 2024-12-10 00:00:00 2024-12-11 14:02:47.575000 2024-12-11 14:02:47 136967.575 NaN 15621 CAD caleb_strategy_v3 2024-12-10 00:00:00 2024-12-11 15:00:01.666000 2024-12-11 15:00:01 140401.666 NaN 15622 EUR caleb_strategy_v3 2024-12-10 00:00:00 2024-12-11 15:00:02.770000 2024-12-11 15:01:26 140402.77 83.23 15623 SP500_micro _ROLL_PSEUDO_STRATEGY 2024-12-10 20:00:00 2024-12-11 15:01:28.378000 2024-12-11 15:01:29 68488.378 0.622 15625 SOYMEAL caleb_strategy_v3 2024-12-10 00:00:00 2024-12-11 15:41:00.406000 2024-12-11 15:41:09 142860.406 8.594 15624 LEANHOG caleb_strategy_v3 2024-12-10 00:00:00 2024-12-11 15:30:59.134000 2024-12-11 19:45:07.430000 142259.134 15248.296 15626 LEANHOG caleb_strategy_v3 2024-12-10 00:00:00 2024-12-11 15:41:13.026000 2024-12-11 15:43:36 142873.026 142.974 ====================================================================================================================================================================================================================================== 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 15616 JGB-SGX-mini caleb_strategy_v3 [-1] 142.29 None 142.295 142.29 142.3 142.3 142.29 0.005 -0.005 -0.0 -0.01 NaN -0.005 15614 JGB-SGX-mini caleb_strategy_v3 [-1] 142.29 None 142.295 142.29 142.3 142.3 142.29 0.005 -0.005 -0.0 -0.01 NaN -0.005 15617 NIKKEI caleb_strategy_v3 [1] 39435.0 None 39175.0 39180.0 39170.0 39170.0 39155.0 260.0 -5.0 25.0 15.0 NaN 20.0 15615 NIKKEI caleb_strategy_v3 [1] 39435.0 None 39172.5 39175.0 39170.0 39170.0 39170.0 262.5 -2.5 5.0 0.0 NaN 2.5 15618 HEATOIL caleb_strategy_v3 [-1] 2.1769 None 2.209 2.2087 2.2093 2.2093 2.2076 0.0321 -0.0003 -0.0011 -0.0017 NaN -0.0014 15619 GOLD_micro caleb_strategy_v3 [-1] 2718.3 None 2730.95 2730.9 2731.0 2731.0 2735.0 12.65 -0.05 4.1 4.0 NaN 4.05 15620 GOLD_micro caleb_strategy_v3 [-1] 2718.3 None 2730.95 2730.9 2731.0 2731.0 2735.1 12.65 -0.05 4.2 4.1 NaN 4.15 15621 CAD caleb_strategy_v3 [-1] 0.70865 None 0.71005 0.71 0.7101 0.7101 0.71065 0.0014 -0.00005 0.00065 0.00055 NaN 0.0006 15622 EUR caleb_strategy_v3 [1] 1.05735 None 1.0545 1.05455 1.05445 1.05445 1.05445 0.00285 -0.00005 0.0001 0.0 NaN 0.00005 15623 SP500_micro _ROLL_PSEUDO_STRATEGY [-1, 1] -65.75 None -67.625 -68.0 -67.25 -67.25 -67.7 -1.875 -0.375 0.3 -0.45 NaN -0.075 15625 SOYMEAL caleb_strategy_v3 [1] 302.5 None 303.0 303.1 302.9 302.9 303.2 -0.5 -0.1 -0.1 -0.3 NaN -0.2 15624 LEANHOG caleb_strategy_v3 [-1] 88.8 None 88.825 88.8 88.85 88.85 NaN 0.025 -0.025 NaN NaN NaN NaN 15626 LEANHOG caleb_strategy_v3 [-1] 88.8 None 88.375 88.35 88.4 88.4 88.325 -0.425 -0.025 -0.025 -0.075 NaN -0.05 ====================================================================================================================================================================== 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 15616 JGB-SGX-mini caleb_strategy_v3 [-1] 3.44712 14.504864 -14.504864 -0.0 -29.009727 NaN -14.504864 15614 JGB-SGX-mini caleb_strategy_v3 [-1] 3.44712 14.504864 -14.504864 -0.0 -29.009727 NaN -14.504864 15617 NIKKEI caleb_strategy_v3 [1] 7102.222343 366.082597 -7.04005 35.20025 21.12015 NaN 28.1602 15615 NIKKEI caleb_strategy_v3 [1] 7102.222343 369.602622 -3.520025 7.04005 0.0 NaN 3.520025 15618 HEATOIL caleb_strategy_v3 [-1] 0.615308 521.689635 -4.875604 -17.877215 -27.628423 NaN -22.752819 15619 GOLD_micro caleb_strategy_v3 [-1] 430.481937 293.856697 -1.161489 95.242091 92.919114 NaN 94.080602 15620 GOLD_micro caleb_strategy_v3 [-1] 430.481937 293.856697 -1.161489 97.565069 95.242091 NaN 96.40358 15621 CAD caleb_strategy_v3 [-1] 0.038326 365.285282 -13.045903 169.596738 143.504932 NaN 156.550835 15622 EUR caleb_strategy_v3 [1] 0.077333 368.534368 -6.465515 12.93103 0.0 NaN 6.465515 15623 SP500_micro _ROLL_PSEUDO_STRATEGY [-1, 1] 582.746553 -32.175222 -6.435044 5.148036 -7.722053 NaN -1.287009 15625 SOYMEAL caleb_strategy_v3 [1] 55.775917 -89.644426 -17.928885 -17.928885 -53.786655 NaN -35.85777 15624 LEANHOG caleb_strategy_v3 [-1] 18.539945 13.484398 -13.484398 NaN NaN NaN NaN 15626 LEANHOG caleb_strategy_v3 [-1] 18.539945 -229.234767 -13.484398 -13.484398 -40.453194 NaN -26.968796 ================================================================================================================================================================================ 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 15616 JGB-SGX-mini caleb_strategy_v3 [-1] 658.941674 3.294708 -3.294708 -0.0 -6.589417 NaN -3.294708 15614 JGB-SGX-mini caleb_strategy_v3 [-1] 658.941674 3.294708 -3.294708 -0.0 -6.589417 NaN -3.294708 15617 NIKKEI caleb_strategy_v3 [1] 0.658942 171.324835 -3.294708 16.473542 9.884125 NaN 13.178833 15615 NIKKEI caleb_strategy_v3 [1] 0.658942 172.972189 -1.647354 3.294708 0.0 NaN 1.647354 15618 HEATOIL caleb_strategy_v3 [-1] 42000.0 1348.2 -12.6 -46.2 -71.4 NaN -58.8 15619 GOLD_micro caleb_strategy_v3 [-1] 10.0 126.5 -0.5 41.0 40.0 NaN 40.5 15620 GOLD_micro caleb_strategy_v3 [-1] 10.0 126.5 -0.5 42.0 41.0 NaN 41.5 15621 CAD caleb_strategy_v3 [-1] 100000.0 140.0 -5.0 65.0 55.0 NaN 60.0 15622 EUR caleb_strategy_v3 [1] 125000.0 356.25 -6.25 12.5 0.0 NaN 6.25 15623 SP500_micro _ROLL_PSEUDO_STRATEGY [-1, 1] 5.0 -9.375 -1.875 1.5 -2.25 NaN -0.375 15625 SOYMEAL caleb_strategy_v3 [1] 100.0 -50.0 -10.0 -10.0 -30.0 NaN -20.0 15624 LEANHOG caleb_strategy_v3 [-1] 400.0 10.0 -10.0 NaN NaN NaN NaN 15626 LEANHOG caleb_strategy_v3 [-1] 400.0 -170.0 -10.0 -10.0 -30.0 NaN -20.0 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SP500_micro -9.375 caleb_strategy_v3 CAD 140.0 EUR 356.25 GOLD_micro 253.0 HEATOIL 1348.2 JGB-SGX-mini 6.589417 LEANHOG -160.0 NIKKEI 344.297025 SOYMEAL -50.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -9.375 caleb_strategy_v3 2238.336441 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SP500_micro -1.875 caleb_strategy_v3 CAD -5.0 EUR -6.25 GOLD_micro -1.0 HEATOIL -12.6 JGB-SGX-mini -6.589417 LEANHOG -20.0 NIKKEI -4.942063 SOYMEAL -10.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -1.875 caleb_strategy_v3 -66.381479 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SP500_micro 1.5 caleb_strategy_v3 CAD 65.0 EUR 12.5 GOLD_micro 83.0 HEATOIL -46.2 JGB-SGX-mini -0.0 LEANHOG -10.0 NIKKEI 19.76825 SOYMEAL -10.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 1.5 caleb_strategy_v3 114.06825 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SP500_micro -2.25 caleb_strategy_v3 CAD 55.0 EUR 0.0 GOLD_micro 81.0 HEATOIL -71.4 JGB-SGX-mini -13.178833 LEANHOG -30.0 NIKKEI 9.884125 SOYMEAL -30.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -2.25 caleb_strategy_v3 1.305292 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SP500_micro 0 caleb_strategy_v3 CAD 0 EUR 0 GOLD_micro 0 HEATOIL 0 JGB-SGX-mini 0 LEANHOG 0 NIKKEI 0 SOYMEAL 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 SP500_micro -0.375 caleb_strategy_v3 CAD 60.0 EUR 6.25 GOLD_micro 82.0 HEATOIL -58.8 JGB-SGX-mini -6.589417 LEANHOG -20.0 NIKKEI 14.826188 SOYMEAL -20.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -0.375 caleb_strategy_v3 57.686771 ******************************************************************************** END OF REPORT ********************************************************************************