******************************************************************************** Trades report produced on 15/06/2023 21:37 from 14/06/2023 21:37 to 15/06/2023 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3202 DAX caleb_strategy_v1 [20230900] 2023-06-15 08:00:32 [-1] 16425.000000 3206 DOW caleb_strategy_v1 [20230900] 2023-06-15 15:00:02 [1] 34468.000000 3201 EUROSTX caleb_strategy_v1 [20230900] 2023-06-15 08:00:13 [-1] 4392.000000 3203 GASOIL caleb_strategy_v1 [20230800] 2023-06-15 09:00:02 [-1] 679.250000 3204 GOLD_micro caleb_strategy_v1 [20230800] 2023-06-15 14:00:02 [-1] 1945.300000 3205 NASDAQ caleb_strategy_v1 [20230900] 2023-06-15 15:00:01 [-1] 15202.000000 3207 SP400 caleb_strategy_v1 [20230900] 2023-06-15 15:00:03 [1] 2600.500000 3208 US5 caleb_strategy_v1 [20230900] 2023-06-15 15:00:08 [-1] 108.085938 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3201 EUROSTX caleb_strategy_v1 2023-06-14 2023-06-15 08:00:02.961 2023-06-15 08:00:13 115203 10.039 3202 DAX caleb_strategy_v1 2023-06-14 2023-06-15 08:00:13.668 2023-06-15 08:00:32 115214 18.332 3203 GASOIL caleb_strategy_v1 2023-06-14 2023-06-15 09:00:01.544 2023-06-15 09:00:02 118802 0.456 3204 GOLD_micro caleb_strategy_v1 2023-06-14 2023-06-15 14:00:02.161 2023-06-15 14:00:02 136802 NaN 3205 NASDAQ caleb_strategy_v1 2023-06-14 2023-06-15 15:00:01.282 2023-06-15 15:00:01 140401 NaN 3206 DOW caleb_strategy_v1 2023-06-14 2023-06-15 15:00:02.287 2023-06-15 15:00:02 140402 NaN 3207 SP400 caleb_strategy_v1 2023-06-14 2023-06-15 15:00:03.019 2023-06-15 15:00:03 140403 NaN 3208 US5 caleb_strategy_v1 2023-06-14 2023-06-15 15:00:03.662 2023-06-15 15:00:08 140404 4.338 ====================================================================================================================================================================================================================================== 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 3201 EUROSTX caleb_strategy_v1 [-1] 4399 None 4393.5 4393 4394 4394 4392 -5.5 -0.5 -1 -2 NaN -1.5 3202 DAX caleb_strategy_v1 [-1] 16446 None 16421.5 16418 16425 16425 16425 -24.5 -3.5 7 -0 NaN 3.5 3203 GASOIL caleb_strategy_v1 [-1] 680.5 None 679.625 679.5 679.75 679.75 679.25 -0.875 -0.125 -0.25 -0.5 NaN -0.375 3204 GOLD_micro caleb_strategy_v1 [-1] 1963.2 None 1945.25 1945.2 1945.3 1945.3 1945.3 -17.95 -0.05 0.1 -2.27374e-13 NaN 0.05 3205 NASDAQ caleb_strategy_v1 [-1] 15169 None 15202.6 15202.2 15203 15203 15202 33.625 -0.375 -0.25 -1 NaN -0.625 3206 DOW caleb_strategy_v1 [1] 34364 None 34466 34467 34465 34465 34468 -102 -1 -1 -3 NaN -2 3207 SP400 caleb_strategy_v1 [1] 2587.7 None 2599.65 2600.5 2598.8 NaN 2600.5 -11.95 -0.85 0 NaN NaN -0.85 3208 US5 caleb_strategy_v1 [-1] 107.656 None 108.098 108.094 108.102 108.102 108.086 0.441406 -0.00390625 -0.007812 -0.0156245 NaN -0.0117183 ================================================================================================================================================================ 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 3201 EUROSTX caleb_strategy_v1 [-1] 627.032 -87.7149 -7.97408 -15.9482 -31.8963 NaN -23.9222 3202 DAX caleb_strategy_v1 [-1] 2223.02 -110.21 -15.7443 31.4887 -0 NaN 15.7443 3203 GASOIL caleb_strategy_v1 [-1] 273.502 -31.9924 -4.57034 -9.14069 -18.2814 NaN -13.711 3204 GOLD_micro caleb_strategy_v1 [-1] 267.996 -669.786 -1.8657 3.7314 -8.48422e-12 NaN 1.8657 3205 NASDAQ caleb_strategy_v1 [-1] 2643.07 127.22 -1.41881 -0.945871 -3.78348 NaN -2.36468 3206 DOW caleb_strategy_v1 [1] 4504.95 -226.417 -2.21978 -2.21978 -6.65934 NaN -4.43956 3207 SP400 caleb_strategy_v1 [1] 498.138 -239.893 -17.0635 0 NaN NaN -17.0635 3208 US5 caleb_strategy_v1 [-1] 5.7621 766.051 -6.77922 -13.5576 -27.116 NaN -20.3368 =========================================================================================================================================================================== 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 3201 EUROSTX caleb_strategy_v1 [-1] 10.8185 -59.5018 -5.40925 -10.8185 -21.637 NaN -16.2278 3202 DAX caleb_strategy_v1 [-1] 1.08185 -26.5053 -3.78647 7.57295 -0 NaN 3.78647 3203 GASOIL caleb_strategy_v1 [-1] 100 -87.5 -12.5 -25 -50 NaN -37.5 3204 GOLD_micro caleb_strategy_v1 [-1] 10 -179.5 -0.5 1 -2.27374e-12 NaN 0.5 3205 NASDAQ caleb_strategy_v1 [-1] 20 672.5 -7.5 -5 -20 NaN -12.5 3206 DOW caleb_strategy_v1 [1] 0.5 -51 -0.5 -0.5 -1.5 NaN -1 3207 SP400 caleb_strategy_v1 [1] 100 -1195 -85 0 NaN NaN -85 3208 US5 caleb_strategy_v1 [-1] 1000 441.406 -3.90625 -7.812 -15.6245 NaN -11.7183 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 DAX -26.505325 DOW -51.000000 EUROSTX -59.501750 GASOIL -87.500000 GOLD_micro -179.500000 NASDAQ 672.500000 SP400 -1195.000000 US5 441.406250 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -485.100825 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 DAX -3.786475 DOW -0.500000 EUROSTX -5.409250 GASOIL -12.500000 GOLD_micro -0.500000 NASDAQ -7.500000 SP400 -85.000000 US5 -3.906250 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -119.101975 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 DAX 7.57295 DOW -0.50000 EUROSTX -10.81850 GASOIL -25.00000 GOLD_micro 1.00000 NASDAQ -5.00000 SP400 0.00000 US5 -7.81200 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -40.55755 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 DAX -0.000000e+00 DOW -1.500000e+00 EUROSTX -2.163700e+01 GASOIL -5.000000e+01 GOLD_micro -2.273737e-12 NASDAQ -2.000000e+01 SP400 0.000000e+00 US5 -1.562450e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -108.7615 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 DAX 0 DOW 0 EUROSTX 0 GASOIL 0 GOLD_micro 0 NASDAQ 0 SP400 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 DAX 3.786475 DOW -1.000000 EUROSTX -16.227750 GASOIL -37.500000 GOLD_micro 0.500000 NASDAQ -12.500000 SP400 -85.000000 US5 -11.718250 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -159.659525 ******************************************************************************** END OF REPORT ********************************************************************************