******************************************************************************** Trades report produced on 16/12/2024 21:40 from 15/12/2024 21:40 to 16/12/2024 21:40 ******************************************************************************** ================================================================================================================= Broker orders ================================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 15726 CAD caleb_strategy_v3 [20250300] 2024-12-16 15:12:55.000 [-1] 0.704800 15720 COCOA _ROLL_PSEUDO_STRATEGY [20250300, 20250500] 2024-12-16 14:00:42.000 [-1, 1] 432.000000 15721 COCOA _ROLL_PSEUDO_STRATEGY [20250300, 20250500] 2024-12-16 14:01:15.000 [-1, 1] 432.000000 15718 EUROSTX caleb_strategy_v3 [20250300] 2024-12-16 08:00:49.000 [1] 4984.000000 15719 EUROSTX caleb_strategy_v3 [20250300] 2024-12-16 08:02:39.000 [1] 4983.000000 15733 FEEDCOW caleb_strategy_v3 [20250300] 2024-12-16 15:37:18.000 [1] 257.775000 15724 JPY caleb_strategy_v3 [20250300] 2024-12-16 15:09:53.000 [1] 0.006551 15723 MXP caleb_strategy_v3 [20250300] 2024-12-16 15:09:52.000 [1] 0.048830 15715 NIKKEI caleb_strategy_v3 [20250300] 2024-12-16 03:01:16.000 [1] 39515.000000 15716 NIKKEI caleb_strategy_v3 [20250300] 2024-12-16 03:02:16.000 [1] 39510.000000 15717 NIKKEI caleb_strategy_v3 [20250300] 2024-12-16 03:03:16.000 [1] 39505.000000 15735 RUSSELL caleb_strategy_v3 [20250300] 2024-12-16 15:48:04.000 [1] 2394.600000 15734 RUSSELL caleb_strategy_v3 [20250300] 2024-12-16 19:45:14.991 [0] NaN 15731 RUSSELL caleb_strategy_v3 [20250300] 2024-12-16 19:45:14.937 [0] NaN 15728 RUSSELL caleb_strategy_v3 [20250300] 2024-12-16 15:23:17.000 [1] 2382.700000 15740 RUSSELL caleb_strategy_v3 [20250300] 2024-12-16 15:52:59.000 [1] 2396.000000 15738 RUSSELL caleb_strategy_v3 [20250300] 2024-12-16 15:50:27.000 [1] 2395.600000 15739 RUSSELL caleb_strategy_v3 [20250300] 2024-12-16 15:52:54.000 [1] 2395.900000 15736 RUSSELL caleb_strategy_v3 [20250300] 2024-12-16 15:48:26.000 [1] 2394.900000 15722 RUSSELL caleb_strategy_v3 [20250300] 2024-12-16 15:00:21.000 [1] 2387.900000 15737 RUSSELL caleb_strategy_v3 [20250300] 2024-12-16 15:50:04.000 [1] 2395.700000 15732 SOYBEAN caleb_strategy_v3 [20251100] 2024-12-16 15:37:17.000 [-1] 1003.750000 15730 SP400 caleb_strategy_v3 [20241200] 2024-12-16 15:27:12.000 [-1] 3289.400000 15727 SP400 caleb_strategy_v3 [20241200] 2024-12-16 19:45:14.882 [0] NaN 15725 VIX caleb_strategy_v3 [20250300] 2024-12-16 15:12:54.000 [-1] 17.650000 15729 VIX caleb_strategy_v3 [20250300] 2024-12-16 15:23:17.000 [-1] 17.650000 ========================================================================================================================================================================= Delays ========================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15715 NIKKEI caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 03:01:15.854000 2024-12-16 03:01:16 270075.854 0.146 15716 NIKKEI caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 03:02:15.882000 2024-12-16 03:02:16 270135.882 0.118 15717 NIKKEI caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 03:03:15.841000 2024-12-16 03:03:16 270195.841 0.159 15718 EUROSTX caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 08:00:35.914000 2024-12-16 08:00:49 288035.914 13.086 15719 EUROSTX caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 08:01:35.485000 2024-12-16 08:02:39 288095.485 63.515 15720 COCOA _ROLL_PSEUDO_STRATEGY 2024-12-13 18:00:00 2024-12-16 14:00:16.158000 2024-12-16 14:00:42 244816.158 25.842 15721 COCOA _ROLL_PSEUDO_STRATEGY 2024-12-13 18:00:00 2024-12-16 14:01:14.969000 2024-12-16 14:01:15 244874.969 0.031 15723 MXP caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:00:22.730000 2024-12-16 15:09:52 313222.73 569.27 15724 JPY caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:09:53.694000 2024-12-16 15:09:53 313793.694 NaN 15726 CAD caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:12:55.694000 2024-12-16 15:12:55 313975.694 NaN 15729 VIX caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:23:17.604000 2024-12-16 15:23:17 314597.604 NaN 15725 VIX caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:09:55.202000 2024-12-16 15:12:54 313795.202 178.798 15732 SOYBEAN caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:37:16.930000 2024-12-16 15:37:17 315436.93 0.07 15733 FEEDCOW caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:37:18.222000 2024-12-16 15:37:18 315438.222 NaN 15722 RUSSELL caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:00:21.630000 2024-12-16 15:00:21 313221.63 NaN 15728 RUSSELL caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:23:17.169000 2024-12-16 15:23:17 314597.169 NaN 15731 RUSSELL caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:27:15.756000 2024-12-16 19:45:14.937000 314835.756 15479.181 15734 RUSSELL caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:37:22.149000 2024-12-16 19:45:14.991000 315442.149 14872.842 15735 RUSSELL caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:47:26.167000 2024-12-16 15:48:04 316046.167 37.833 15736 RUSSELL caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:48:26.362000 2024-12-16 15:48:26 316106.362 NaN 15737 RUSSELL caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:49:27.032000 2024-12-16 15:50:04 316167.032 36.968 15738 RUSSELL caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:50:27.247000 2024-12-16 15:50:27 316227.247 NaN 15739 RUSSELL caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:51:27.493000 2024-12-16 15:52:54 316287.493 86.507 15740 RUSSELL caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:52:58.484000 2024-12-16 15:52:59 316378.484 0.516 15730 SP400 caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:23:18.110000 2024-12-16 15:27:12 314598.11 233.89 15727 SP400 caleb_strategy_v3 2024-12-13 00:00:00 2024-12-16 15:12:56.902000 2024-12-16 19:45:14.882000 313976.902 16337.98 ======================================================================================================================================================================================================================================== 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 15715 NIKKEI caleb_strategy_v3 [1] 39580.0 None 39532.5 39535.0 39530.0 39530.0 39515.0 47.5 -2.5 20.0 15.0 NaN 17.5 15716 NIKKEI caleb_strategy_v3 [1] 39580.0 None 39532.5 39535.0 39530.0 39530.0 39510.0 47.5 -2.5 25.0 20.0 NaN 22.5 15717 NIKKEI caleb_strategy_v3 [1] 39580.0 None 39532.5 39535.0 39530.0 39530.0 39505.0 47.5 -2.5 30.0 25.0 NaN 27.5 15718 EUROSTX caleb_strategy_v3 [1] 5000.0 None 4983.0 4984.0 4982.0 4982.0 4984.0 17.0 -1.0 0.0 -2.0 NaN -1.0 15719 EUROSTX caleb_strategy_v3 [1] 5000.0 None 4983.0 4984.0 4982.0 4982.0 4983.0 17.0 -1.0 1.0 -1.0 NaN 0.0 15720 COCOA _ROLL_PSEUDO_STRATEGY [-1, 1] 432.0 None 425.0 417.0 433.0 433.0 432.0 -7.0 -8.0 15.0 -1.0 NaN 7.0 15721 COCOA _ROLL_PSEUDO_STRATEGY [-1, 1] 432.0 None 426.0 420.0 432.0 432.0 432.0 -6.0 -6.0 12.0 -0.0 NaN 6.0 15723 MXP caleb_strategy_v3 [1] 0.04894 None 0.04877 0.04878 0.04876 0.04876 0.04883 0.00017 -0.00001 -0.00005 -0.00007 NaN -0.00006 15724 JPY caleb_strategy_v3 [1] 0.006579 None 0.006553 0.006553 0.006553 0.006552 0.006551 0.000026 -0.0 0.000002 0.000001 NaN 0.000002 15726 CAD caleb_strategy_v3 [-1] 0.70515 None 0.704325 0.7043 0.70435 0.70435 0.7048 -0.000825 -0.000025 0.0005 0.00045 NaN 0.000475 15729 VIX caleb_strategy_v3 [-1] 17.65 None 17.625 17.6 17.65 17.65 17.65 -0.025 -0.025 0.05 -0.0 NaN 0.025 15725 VIX caleb_strategy_v3 [-1] 17.65 None 17.675 17.65 17.7 17.7 17.65 0.025 -0.025 -0.0 -0.05 NaN -0.025 15732 SOYBEAN caleb_strategy_v3 [-1] 1005.75 None 1003.375 1003.25 1003.5 1003.5 1003.75 -2.375 -0.125 0.5 0.25 NaN 0.375 15733 FEEDCOW caleb_strategy_v3 [1] 257.85 None 258.1 258.15 258.05 258.05 257.775 -0.25 -0.05 0.375 0.275 NaN 0.325 15722 RUSSELL caleb_strategy_v3 [1] 2372.4 None 2388.65 2388.7 2388.6 2388.6 2387.9 -16.25 -0.05 0.8 0.7 NaN 0.75 15728 RUSSELL caleb_strategy_v3 [1] 2372.4 None 2388.65 2388.7 2388.6 2388.6 2382.7 -16.25 -0.05 6.0 5.9 NaN 5.95 15731 RUSSELL caleb_strategy_v3 [1] 2372.4 None 2388.65 2388.7 2388.6 2388.6 NaN -16.25 -0.05 NaN NaN NaN NaN 15734 RUSSELL caleb_strategy_v3 [1] 2372.4 None 2389.9 2390.0 2389.8 2389.8 NaN -17.5 -0.1 NaN NaN NaN NaN 15735 RUSSELL caleb_strategy_v3 [1] 2372.4 None 2391.6 2391.7 2391.5 2391.5 2394.6 -19.2 -0.1 -2.9 -3.1 NaN -3.0 15736 RUSSELL caleb_strategy_v3 [1] 2372.4 None 2394.95 2395.0 2394.9 2394.9 2394.9 -22.55 -0.05 0.1 0.0 NaN 0.05 15737 RUSSELL caleb_strategy_v3 [1] 2372.4 None 2394.95 2395.0 2394.9 2394.9 2395.7 -22.55 -0.05 -0.7 -0.8 NaN -0.75 15738 RUSSELL caleb_strategy_v3 [1] 2372.4 None 2395.65 2395.7 2395.6 2395.6 2395.6 -23.25 -0.05 0.1 0.0 NaN 0.05 15739 RUSSELL caleb_strategy_v3 [1] 2372.4 None 2395.1 2395.2 2395.0 2395.0 2395.9 -22.7 -0.1 -0.7 -0.9 NaN -0.8 15740 RUSSELL caleb_strategy_v3 [1] 2372.4 None 2395.8 2395.9 2395.7 2395.7 2396.0 -23.4 -0.1 -0.1 -0.3 NaN -0.2 15730 SP400 caleb_strategy_v3 [-1] 3274.3 None 3288.9 3288.4 3289.4 3289.4 3289.4 14.6 -0.5 1.0 -0.0 NaN 0.5 15727 SP400 caleb_strategy_v3 [-1] 3274.3 None 3295.8 3295.3 3296.3 3296.3 NaN 21.5 -0.5 NaN NaN NaN NaN ====================================================================================================================================================================== 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 15715 NIKKEI caleb_strategy_v3 [1] 6647.215969 71.458488 -3.760973 30.087784 22.565838 NaN 26.326811 15716 NIKKEI caleb_strategy_v3 [1] 6647.215969 71.458488 -3.760973 37.60973 30.087784 NaN 33.848757 15717 NIKKEI caleb_strategy_v3 [1] 6647.215969 71.458488 -3.760973 45.131676 37.60973 NaN 41.370703 15718 EUROSTX caleb_strategy_v3 [1] 604.200762 281.363432 -16.55079 0.0 -33.10158 NaN -16.55079 15719 EUROSTX caleb_strategy_v3 [1] 604.200762 281.363432 -16.55079 16.55079 -16.55079 NaN 0.0 15720 COCOA _ROLL_PSEUDO_STRATEGY [-1, 1] 3698.782238 -18.925148 -21.62874 40.553888 -2.703593 NaN 18.925148 15721 COCOA _ROLL_PSEUDO_STRATEGY [-1, 1] 3698.782238 -16.221555 -16.221555 32.44311 -0.0 NaN 16.221555 15723 MXP caleb_strategy_v3 [1] 0.005563 305.593119 -17.976066 -89.880329 -125.832461 NaN -107.856395 15724 JPY caleb_strategy_v3 [1] 0.000682 377.506228 -3.665109 29.320872 21.990654 NaN 25.655763 15726 CAD caleb_strategy_v3 [-1] 0.036981 -223.089174 -6.760278 135.20556 121.685004 NaN 128.445282 15729 VIX caleb_strategy_v3 [-1] 6.192815 -40.369363 -40.369363 80.738726 -0.0 NaN 40.369363 15725 VIX caleb_strategy_v3 [-1] 6.192815 40.369363 -40.369363 -0.0 -80.738726 NaN -40.369363 15732 SOYBEAN caleb_strategy_v3 [-1] 129.779467 -183.002754 -9.631724 38.526896 19.263448 NaN 28.895172 15733 FEEDCOW caleb_strategy_v3 [1] 29.281507 -85.378119 -17.075624 128.067179 93.915931 NaN 110.991555 15722 RUSSELL caleb_strategy_v3 [1] 423.284784 -383.902295 -1.181238 18.899805 16.53733 NaN 17.718567 15728 RUSSELL caleb_strategy_v3 [1] 423.284784 -383.902295 -1.181238 141.74854 139.386064 NaN 140.567302 15731 RUSSELL caleb_strategy_v3 [1] 423.284784 -383.902295 -1.181238 NaN NaN NaN NaN 15734 RUSSELL caleb_strategy_v3 [1] 423.284784 -413.433241 -2.362476 NaN NaN NaN NaN 15735 RUSSELL caleb_strategy_v3 [1] 423.284784 -453.595327 -2.362476 -68.511794 -73.236746 NaN -70.87427 15736 RUSSELL caleb_strategy_v3 [1] 423.284784 -532.738262 -1.181238 2.362476 0.0 NaN 1.181238 15737 RUSSELL caleb_strategy_v3 [1] 423.284784 -532.738262 -1.181238 -16.53733 -18.899805 NaN -17.718567 15738 RUSSELL caleb_strategy_v3 [1] 423.284784 -549.275592 -1.181238 2.362476 0.0 NaN 1.181238 15739 RUSSELL caleb_strategy_v3 [1] 423.284784 -536.281975 -2.362476 -16.53733 -21.262281 NaN -18.899805 15740 RUSSELL caleb_strategy_v3 [1] 423.284784 -552.819305 -2.362476 -2.362476 -7.087427 NaN -4.724951 15730 SP400 caleb_strategy_v3 [-1] 445.808605 327.4948 -11.215575 22.431151 -0.0 NaN 11.215575 15727 SP400 caleb_strategy_v3 [-1] 445.808605 482.26974 -11.215575 NaN NaN NaN NaN =============================================================================================================================================================================== 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 15715 NIKKEI caleb_strategy_v3 [1] 0.651059 30.925285 -1.627647 13.021172 9.765879 NaN 11.393526 15716 NIKKEI caleb_strategy_v3 [1] 0.651059 30.925285 -1.627647 16.276466 13.021172 NaN 14.648819 15717 NIKKEI caleb_strategy_v3 [1] 0.651059 30.925285 -1.627647 19.531759 16.276466 NaN 17.904112 15718 EUROSTX caleb_strategy_v3 [1] 10.5135 178.7295 -10.5135 0.0 -21.027 NaN -10.5135 15719 EUROSTX caleb_strategy_v3 [1] 10.5135 178.7295 -10.5135 10.5135 -10.5135 NaN 0.0 15720 COCOA _ROLL_PSEUDO_STRATEGY [-1, 1] 10.0 -70.0 -80.0 150.0 -10.0 NaN 70.0 15721 COCOA _ROLL_PSEUDO_STRATEGY [-1, 1] 10.0 -60.0 -60.0 120.0 -0.0 NaN 60.0 15723 MXP caleb_strategy_v3 [1] 500000.0 85.0 -5.0 -25.0 -35.0 NaN -30.0 15724 JPY caleb_strategy_v3 [1] 12500000.0 321.875 -3.125 25.0 18.75 NaN 21.875 15726 CAD caleb_strategy_v3 [-1] 100000.0 -82.5 -2.5 50.0 45.0 NaN 47.5 15729 VIX caleb_strategy_v3 [-1] 1000.0 -25.0 -25.0 50.0 -0.0 NaN 25.0 15725 VIX caleb_strategy_v3 [-1] 1000.0 25.0 -25.0 -0.0 -50.0 NaN -25.0 15732 SOYBEAN caleb_strategy_v3 [-1] 50.0 -118.75 -6.25 25.0 12.5 NaN 18.75 15733 FEEDCOW caleb_strategy_v3 [1] 500.0 -125.0 -25.0 187.5 137.5 NaN 162.5 15722 RUSSELL caleb_strategy_v3 [1] 5.0 -81.25 -0.25 4.0 3.5 NaN 3.75 15728 RUSSELL caleb_strategy_v3 [1] 5.0 -81.25 -0.25 30.0 29.5 NaN 29.75 15731 RUSSELL caleb_strategy_v3 [1] 5.0 -81.25 -0.25 NaN NaN NaN NaN 15734 RUSSELL caleb_strategy_v3 [1] 5.0 -87.5 -0.5 NaN NaN NaN NaN 15735 RUSSELL caleb_strategy_v3 [1] 5.0 -96.0 -0.5 -14.5 -15.5 NaN -15.0 15736 RUSSELL caleb_strategy_v3 [1] 5.0 -112.75 -0.25 0.5 0.0 NaN 0.25 15737 RUSSELL caleb_strategy_v3 [1] 5.0 -112.75 -0.25 -3.5 -4.0 NaN -3.75 15738 RUSSELL caleb_strategy_v3 [1] 5.0 -116.25 -0.25 0.5 0.0 NaN 0.25 15739 RUSSELL caleb_strategy_v3 [1] 5.0 -113.5 -0.5 -3.5 -4.5 NaN -4.0 15740 RUSSELL caleb_strategy_v3 [1] 5.0 -117.0 -0.5 -0.5 -1.5 NaN -1.0 15730 SP400 caleb_strategy_v3 [-1] 100.0 1460.0 -50.0 100.0 -0.0 NaN 50.0 15727 SP400 caleb_strategy_v3 [-1] 100.0 2150.0 -50.0 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA -130.0 caleb_strategy_v3 CAD -82.5 EUROSTX 357.459 FEEDCOW -125.0 JPY 321.875 MXP 85.0 NIKKEI 92.775854 RUSSELL -999.5 SOYBEAN -118.75 SP400 3610.0 VIX 0.0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -130.0 caleb_strategy_v3 3141.359854 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA -140.0 caleb_strategy_v3 CAD -2.5 EUROSTX -21.027 FEEDCOW -25.0 JPY -3.125 MXP -5.0 NIKKEI -4.88294 RUSSELL -3.5 SOYBEAN -6.25 SP400 -100.0 VIX -50.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -140.0 caleb_strategy_v3 -221.28494 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA 270.0 caleb_strategy_v3 CAD 50.0 EUROSTX 10.5135 FEEDCOW 187.5 JPY 25.0 MXP -25.0 NIKKEI 48.829397 RUSSELL 13.0 SOYBEAN 25.0 SP400 100.0 VIX 50.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 270.0 caleb_strategy_v3 484.842897 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA -10.0 caleb_strategy_v3 CAD 45.0 EUROSTX -31.5405 FEEDCOW 137.5 JPY 18.75 MXP -35.0 NIKKEI 39.063517 RUSSELL 7.5 SOYBEAN 12.5 SP400 -0.0 VIX -50.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -10.0 caleb_strategy_v3 143.773017 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA 0 caleb_strategy_v3 CAD 0 EUROSTX 0 FEEDCOW 0 JPY 0 MXP 0 NIKKEI 0 RUSSELL 0 SOYBEAN 0 SP400 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 COCOA 130.0 caleb_strategy_v3 CAD 47.5 EUROSTX -10.5135 FEEDCOW 162.5 JPY 21.875 MXP -30.0 NIKKEI 43.946457 RUSSELL 10.25 SOYBEAN 18.75 SP400 50.0 VIX 0.0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 130.0 caleb_strategy_v3 314.307957 ******************************************************************************** END OF REPORT ********************************************************************************