******************************************************************************** Trades report produced on 09/06/2023 21:37 from 08/06/2023 21:37 to 09/06/2023 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3050 BTP caleb_strategy_v1 [20230900] 2023-06-09 08:00:05 [1] 115.160000 3052 COFFEE caleb_strategy_v1 [20230900] 2023-06-09 14:00:03 [-1] 190.200000 3051 COPPER caleb_strategy_v1 [20230700] 2023-06-09 14:00:02 [1] 3.808000 3049 DAX caleb_strategy_v1 [20230600] 2023-06-09 08:00:03 [-1] 16004.000000 3056 DOW caleb_strategy_v1 [20230600] 2023-06-09 15:00:02 [1] 33903.000000 3059 DOW caleb_strategy_v1 [20230600] 2023-06-09 15:00:05 [1] 33900.000000 3055 EUR caleb_strategy_v1 [20230900] 2023-06-09 15:00:01 [-1] 1.082950 3053 GOLD_micro caleb_strategy_v1 [20230800] 2023-06-09 14:00:04 [-1] 1978.200000 3054 GOLD_micro caleb_strategy_v1 [20230800] 2023-06-09 14:00:06 [-1] 1978.300000 3057 NASDAQ caleb_strategy_v1 [20230900] 2023-06-09 15:00:03 [1] 14836.000000 3058 US5 caleb_strategy_v1 [20230900] 2023-06-09 15:00:03 [-1] 108.203125 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3049 DAX caleb_strategy_v1 2023-06-08 2023-06-09 08:00:02.241 2023-06-09 08:00:03 115202 0.759 3050 BTP caleb_strategy_v1 2023-06-08 2023-06-09 08:00:04.273 2023-06-09 08:00:05 115204 0.727 3051 COPPER caleb_strategy_v1 2023-06-08 2023-06-09 14:00:02.238 2023-06-09 14:00:02 136802 NaN 3052 COFFEE caleb_strategy_v1 2023-06-08 2023-06-09 14:00:03.302 2023-06-09 14:00:03 136803 NaN 3053 GOLD_micro caleb_strategy_v1 2023-06-08 2023-06-09 14:00:03.955 2023-06-09 14:00:04 136804 0.045 3054 GOLD_micro caleb_strategy_v1 2023-06-08 2023-06-09 14:00:06.280 2023-06-09 14:00:06 136806 NaN 3055 EUR caleb_strategy_v1 2023-06-08 2023-06-09 15:00:00.871 2023-06-09 15:00:01 140401 0.129 3057 NASDAQ caleb_strategy_v1 2023-06-08 2023-06-09 15:00:03.035 2023-06-09 15:00:03 140403 NaN 3058 US5 caleb_strategy_v1 2023-06-08 2023-06-09 15:00:03.809 2023-06-09 15:00:03 140404 NaN 3056 DOW caleb_strategy_v1 2023-06-08 2023-06-09 15:00:01.797 2023-06-09 15:00:02 140402 0.203 3059 DOW caleb_strategy_v1 2023-06-08 2023-06-09 15:00:05.665 2023-06-09 15:00:05 140406 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 order_id 3049 DAX caleb_strategy_v1 [-1] 16021 None 16008 16007 16009 16009 16004 -13 -1 -3 -5 NaN -4 3050 BTP caleb_strategy_v1 [1] 115.12 None 115.165 115.17 115.16 115.16 115.16 -0.045 -0.005 0.01 0 NaN 0.005 3051 COPPER caleb_strategy_v1 [1] 3.7885 None 3.80825 3.8085 3.808 3.808 3.808 -0.01975 -0.00025 0.0005 4.44089e-16 NaN 0.00025 3052 COFFEE caleb_strategy_v1 [-1] 191 None 190.25 190.2 190.3 NaN 190.2 -0.75 -0.05 -0 NaN NaN -0.05 3053 GOLD_micro caleb_strategy_v1 [-1] 1979.4 None 1978.15 1978.1 1978.2 1978.2 1978.2 -1.25 -0.05 0.1 -0 NaN 0.05 3054 GOLD_micro caleb_strategy_v1 [-1] 1979.4 None 1978.2 1978.1 1978.3 1978.3 1978.3 -1.2 -0.1 0.2 -2.27374e-13 NaN 0.1 3055 EUR caleb_strategy_v1 [-1] 1.08365 None 1.083 1.08295 1.08305 1.08305 1.08295 -0.00065 -5e-05 -0 -0.0001 NaN -5e-05 3057 NASDAQ caleb_strategy_v1 [1] 14673 None 14836.4 14836.8 14836 14836 14836 -163.375 -0.375 0.75 0 NaN 0.375 3058 US5 caleb_strategy_v1 [-1] 108.508 None 108.199 108.195 108.203 108.203 108.203 -0.308594 -0.00390625 0.0078125 -0 NaN 0.00390625 3056 DOW caleb_strategy_v1 [1] 33881 None 33901 33902 33900 33900 33903 -20 -1 -1 -3 NaN -2 3059 DOW caleb_strategy_v1 [1] 33881 None 33901.5 33902 33901 33901 33900 -20.5 -0.5 2 1 NaN 1.5 ================================================================================================================================================================ 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 order_id 3049 DAX caleb_strategy_v1 [-1] 2292.35 -56.7103 -4.36233 -13.087 -21.8117 NaN -17.4493 3050 BTP caleb_strategy_v1 [1] 11.614 -38.7463 -4.30515 8.61029 0 NaN 4.30515 3051 COPPER caleb_strategy_v1 [1] 0.840581 -234.956 -2.97413 5.94826 5.28312e-12 NaN 2.97413 3052 COFFEE caleb_strategy_v1 [-1] 63.591 -117.941 -7.86275 -0 NaN NaN -7.86275 3053 GOLD_micro caleb_strategy_v1 [-1] 281.105 -44.4673 -1.77869 3.55739 -0 NaN 1.77869 3054 GOLD_micro caleb_strategy_v1 [-1] 281.105 -42.6886 -3.55739 7.11477 -8.08856e-12 NaN 3.55739 3055 EUR caleb_strategy_v1 [-1] 0.0760796 -85.4369 -6.57207 -0 -13.1441 NaN -6.57207 3057 NASDAQ caleb_strategy_v1 [1] 2699.05 -605.306 -1.38938 2.77876 0 NaN 1.38938 3058 US5 caleb_strategy_v1 [-1] 5.92931 -520.455 -6.58804 13.1761 -0 NaN 6.58804 3056 DOW caleb_strategy_v1 [1] 4469.19 -44.7509 -2.23754 -2.23754 -6.71263 NaN -4.47509 3059 DOW caleb_strategy_v1 [1] 4469.19 -45.8696 -1.11877 4.47509 2.23754 NaN 3.35632 =========================================================================================================================================================================== 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 order_id 3049 DAX caleb_strategy_v1 [-1] 1.078 -14.014 -1.078 -3.234 -5.39 NaN -4.312 3050 BTP caleb_strategy_v1 [1] 1078 -48.51 -5.39 10.78 0 NaN 5.39 3051 COPPER caleb_strategy_v1 [1] 25000 -493.75 -6.25 12.5 1.11022e-11 NaN 6.25 3052 COFFEE caleb_strategy_v1 [-1] 375 -281.25 -18.75 -0 NaN NaN -18.75 3053 GOLD_micro caleb_strategy_v1 [-1] 10 -12.5 -0.5 1 -0 NaN 0.5 3054 GOLD_micro caleb_strategy_v1 [-1] 10 -12 -1 2 -2.27374e-12 NaN 1 3055 EUR caleb_strategy_v1 [-1] 125000 -81.25 -6.25 -0 -12.5 NaN -6.25 3057 NASDAQ caleb_strategy_v1 [1] 20 -3267.5 -7.5 15 0 NaN 7.5 3058 US5 caleb_strategy_v1 [-1] 1000 -308.594 -3.90625 7.8125 -0 NaN 3.90625 3056 DOW caleb_strategy_v1 [1] 0.5 -10 -0.5 -0.5 -1.5 NaN -1 3059 DOW caleb_strategy_v1 [1] 0.5 -10.25 -0.25 1 0.5 NaN 0.75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BTP -48.51000 COFFEE -281.25000 COPPER -493.75000 DAX -14.01400 DOW -20.25000 EUR -81.25000 GOLD_micro -24.50000 NASDAQ -3267.50000 US5 -308.59375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -4539.61775 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BTP -5.39000 COFFEE -18.75000 COPPER -6.25000 DAX -1.07800 DOW -0.75000 EUR -6.25000 GOLD_micro -1.50000 NASDAQ -7.50000 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -51.37425 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BTP 10.7800 COFFEE -0.0000 COPPER 12.5000 DAX -3.2340 DOW 0.5000 EUR -0.0000 GOLD_micro 3.0000 NASDAQ 15.0000 US5 7.8125 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 46.3585 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BTP 0.000000e+00 COFFEE 0.000000e+00 COPPER 1.110223e-11 DAX -5.390000e+00 DOW -1.000000e+00 EUR -1.250000e+01 GOLD_micro -2.273737e-12 NASDAQ 0.000000e+00 US5 -0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -18.89 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BTP 0 COFFEE 0 COPPER 0 DAX 0 DOW 0 EUR 0 GOLD_micro 0 NASDAQ 0 US5 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v1 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v1 BTP 5.39000 COFFEE -18.75000 COPPER 6.25000 DAX -4.31200 DOW -0.25000 EUR -6.25000 GOLD_micro 1.50000 NASDAQ 7.50000 US5 3.90625 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -5.01575 ******************************************************************************** END OF REPORT ********************************************************************************