******************************************************************************** Trades report produced on 04/07/2023 21:37 from 03/07/2023 21:37 to 04/07/2023 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3423 BITCOIN caleb_strategy_v3 [20230700] 2023-07-04 15:00:05 [1] 31380.00000 3419 EURIBOR-ICE caleb_strategy_v3 [20250600] 2023-07-04 09:01:03 [-1] 96.78500 3420 EURIBOR-ICE caleb_strategy_v3 [20250600] 2023-07-04 09:01:42 [-1] 96.78000 3421 EURIBOR-ICE caleb_strategy_v3 [20250600] 2023-07-04 09:01:51 [-1] 96.77500 3422 EURIBOR-ICE caleb_strategy_v3 [20250600] 2023-07-04 09:01:53 [-1] 96.78000 3416 NIKKEI caleb_strategy_v3 [20230900] 2023-07-04 03:01:14 [1] 33375.00000 3417 NIKKEI caleb_strategy_v3 [20230900] 2023-07-04 03:01:18 [1] 33380.00000 3414 NIKKEI caleb_strategy_v3 [20230900] 2023-07-04 03:00:46 [1] 33375.00000 3415 NIKKEI caleb_strategy_v3 [20230900] 2023-07-04 03:01:11 [1] 33380.00000 3418 SMI caleb_strategy_v3 [20230900] 2023-07-04 08:00:04 [1] 11274.00000 3424 US10U caleb_strategy_v3 [20230900] 2023-07-04 15:00:07 [1] 118.15625 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3416 NIKKEI caleb_strategy_v3 2023-07-03 2023-07-04 03:01:13.601 2023-07-04 03:01:14 97273.6 0.399 3417 NIKKEI caleb_strategy_v3 2023-07-03 2023-07-04 03:01:15.999 2023-07-04 03:01:18 97276 2.001 3414 NIKKEI caleb_strategy_v3 2023-07-03 2023-07-04 03:00:16.957 2023-07-04 03:00:46 97217 29.043 3415 NIKKEI caleb_strategy_v3 2023-07-03 2023-07-04 03:00:59.528 2023-07-04 03:01:11 97259.5 11.472 3418 SMI caleb_strategy_v3 2023-07-03 2023-07-04 08:00:03.355 2023-07-04 08:00:04 115203 0.645 3419 EURIBOR-ICE caleb_strategy_v3 2023-07-03 2023-07-04 09:00:02.070 2023-07-04 09:01:03 118802 60.93 3420 EURIBOR-ICE caleb_strategy_v3 2023-07-03 2023-07-04 09:01:11.038 2023-07-04 09:01:42 118871 30.962 3421 EURIBOR-ICE caleb_strategy_v3 2023-07-03 2023-07-04 09:01:44.067 2023-07-04 09:01:51 118904 6.933 3422 EURIBOR-ICE caleb_strategy_v3 2023-07-03 2023-07-04 09:01:53.105 2023-07-04 09:01:53 118913 NaN 3423 BITCOIN caleb_strategy_v3 2023-07-03 2023-07-04 15:00:02.019 2023-07-04 15:00:05 140402 2.981 3424 US10U caleb_strategy_v3 2023-07-03 2023-07-04 15:00:05.932 2023-07-04 15:00:07 140406 1.068 ====================================================================================================================================================================================================================================== 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 3416 NIKKEI caleb_strategy_v3 [1] 33605 None 33377.5 33380 33375 33375 33375 227.5 -2.5 5 0 NaN 2.5 3417 NIKKEI caleb_strategy_v3 [1] 33605 None 33375 33380 33370 33370 33380 230 -5 0 -10 NaN -5 3414 NIKKEI caleb_strategy_v3 [1] 33605 None 33372.5 33375 33370 33370 33375 232.5 -2.5 0 -5 NaN -2.5 3415 NIKKEI caleb_strategy_v3 [1] 33605 None 33372.5 33375 33370 33370 33380 232.5 -2.5 -5 -10 NaN -7.5 3418 SMI caleb_strategy_v3 [1] 11273 None 11273 11274 11272 11272 11274 0 -1 0 -2 NaN -1 3419 EURIBOR-ICE caleb_strategy_v3 [-1] 96.77 None 96.7825 96.78 96.785 96.785 96.785 0.0125 -0.0025 0.005 -0 NaN 0.0025 3420 EURIBOR-ICE caleb_strategy_v3 [-1] 96.77 None 96.785 96.78 96.79 96.79 96.78 0.015 -0.005 -0 -0.01 NaN -0.005 3421 EURIBOR-ICE caleb_strategy_v3 [-1] 96.77 None 96.7825 96.78 96.785 96.785 96.775 0.0125 -0.0025 -0.005 -0.01 NaN -0.0075 3422 EURIBOR-ICE caleb_strategy_v3 [-1] 96.77 None 96.7775 96.775 96.78 96.78 96.78 0.0075 -0.0025 0.005 -0 NaN 0.0025 3423 BITCOIN caleb_strategy_v3 [1] 31660 None 31370 31375 31365 31365 31380 290 -5 -5 -15 NaN -10 3424 US10U caleb_strategy_v3 [1] 118.062 None 118.148 118.156 118.141 NaN 118.156 -0.0859375 -0.0078125 0 NaN NaN -0.0078125 ================================================================================================================================================================ 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 3416 NIKKEI caleb_strategy_v3 [1] 5251.99 433.169 -4.7601 9.5202 0 NaN 4.7601 3417 NIKKEI caleb_strategy_v3 [1] 5251.99 437.929 -9.5202 0 -19.0404 NaN -9.5202 3414 NIKKEI caleb_strategy_v3 [1] 5251.99 442.689 -4.7601 0 -9.5202 NaN -4.7601 3415 NIKKEI caleb_strategy_v3 [1] 5251.99 442.689 -4.7601 -9.5202 -19.0404 NaN -14.2803 3418 SMI caleb_strategy_v3 [1] 1285.93 0 -7.77646 0 -15.5529 NaN -7.77646 3419 EURIBOR-ICE caleb_strategy_v3 [-1] 1.1646 107.333 -21.4665 42.9331 -0 NaN 21.4665 3420 EURIBOR-ICE caleb_strategy_v3 [-1] 1.1646 128.799 -42.9331 -0 -85.8662 NaN -42.9331 3421 EURIBOR-ICE caleb_strategy_v3 [-1] 1.1646 107.333 -21.4665 -42.9331 -85.8662 NaN -64.3996 3422 EURIBOR-ICE caleb_strategy_v3 [-1] 1.1646 64.3996 -21.4665 42.9331 -0 NaN 21.4665 3423 BITCOIN caleb_strategy_v3 [1] 15072.9 192.398 -3.31721 -3.31721 -9.95162 NaN -6.63441 3424 US10U caleb_strategy_v3 [1] 10.4619 -82.1436 -7.4676 0 NaN NaN -7.4676 =========================================================================================================================================================================== 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 3416 NIKKEI caleb_strategy_v3 [1] 0.691484 157.313 -1.72871 3.45742 0 NaN 1.72871 3417 NIKKEI caleb_strategy_v3 [1] 0.691484 159.041 -3.45742 0 -6.91484 NaN -3.45742 3414 NIKKEI caleb_strategy_v3 [1] 0.691484 160.77 -1.72871 0 -3.45742 NaN -1.72871 3415 NIKKEI caleb_strategy_v3 [1] 0.691484 160.77 -1.72871 -3.45742 -6.91484 NaN -5.18613 3418 SMI caleb_strategy_v3 [1] 11.15 0 -11.15 0 -22.3 NaN -11.15 3419 EURIBOR-ICE caleb_strategy_v3 [-1] 2724.62 34.0578 -6.81156 13.6231 -0 NaN 6.81156 3420 EURIBOR-ICE caleb_strategy_v3 [-1] 2724.62 40.8694 -13.6231 -0 -27.2463 NaN -13.6231 3421 EURIBOR-ICE caleb_strategy_v3 [-1] 2724.62 34.0578 -6.81156 -13.6231 -27.2462 NaN -20.4347 3422 EURIBOR-ICE caleb_strategy_v3 [-1] 2724.62 20.4347 -6.81156 13.6231 -0 NaN 6.81156 3423 BITCOIN caleb_strategy_v3 [1] 0.1 29 -0.5 -0.5 -1.5 NaN -1 3424 US10U caleb_strategy_v3 [1] 1000 -85.9375 -7.8125 0 NaN NaN -7.8125 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 29.000000 EURIBOR-ICE 129.419688 NIKKEI 637.894016 SMI 0.000000 US10U -85.937500 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 710.376204 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -0.500000 EURIBOR-ICE -34.057812 NIKKEI -8.643550 SMI -11.150000 US10U -7.812500 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -62.163863 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -0.500000 EURIBOR-ICE 13.623125 NIKKEI 0.000000 SMI 0.000000 US10U 0.000000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 13.123125 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -1.500000 EURIBOR-ICE -54.492500 NIKKEI -17.287101 SMI -22.300000 US10U 0.000000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -95.579601 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0 EURIBOR-ICE 0 NIKKEI 0 SMI 0 US10U 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 BITCOIN -1.000000 EURIBOR-ICE -20.434687 NIKKEI -8.643550 SMI -11.150000 US10U -7.812500 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -49.040738 ******************************************************************************** END OF REPORT ********************************************************************************