******************************************************************************** Trades report produced on 13/07/2023 21:37 from 12/07/2023 21:37 to 13/07/2023 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 3616 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20250900] 2023-07-13 09:03:34 [-1] 96.995 3617 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20250600] 2023-07-13 09:04:06 [1] 96.920 3618 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20250900] 2023-07-13 09:04:17 [-1] 97.000 3609 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20250600] 2023-07-13 09:00:56 [1] 96.905 3610 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20250900] 2023-07-13 09:01:50 [-1] 96.990 3611 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20250600] 2023-07-13 09:02:05 [1] 96.915 3612 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20250900] 2023-07-13 09:02:09 [-1] 96.995 3613 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20250600] 2023-07-13 09:02:58 [1] 96.920 3614 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20250900] 2023-07-13 09:03:30 [-1] 96.990 3615 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [20250600] 2023-07-13 09:03:32 [1] 96.915 3608 EUROSTX caleb_strategy_v3 [20230900] 2023-07-13 08:00:08 [1] 4389.000 3605 EUROSTX caleb_strategy_v3 [20230900] 2023-07-13 08:00:02 [1] 4391.000 3606 EUROSTX caleb_strategy_v3 [20230900] 2023-07-13 08:00:04 [1] 4389.000 3607 EUROSTX caleb_strategy_v3 [20230900] 2023-07-13 08:00:06 [1] 4390.000 3604 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-07-13 03:00:53 [1] 147.640 3603 NIKKEI caleb_strategy_v3 [20230900] 2023-07-13 03:00:51 [-1] 32285.000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 3603 NIKKEI caleb_strategy_v3 2023-07-03 00:00:00 2023-07-13 03:00:20.346 2023-07-13 03:00:51 874820 30.654 3604 JGB-SGX-mini caleb_strategy_v3 2023-07-03 00:00:00 2023-07-13 03:00:53.270 2023-07-13 03:00:53 874853 NaN 3608 EUROSTX caleb_strategy_v3 2023-07-12 00:00:00 2023-07-13 08:00:08.346 2023-07-13 08:00:08 115208 NaN 3605 EUROSTX caleb_strategy_v3 2023-07-12 00:00:00 2023-07-13 08:00:02.122 2023-07-13 08:00:02 115202 NaN 3606 EUROSTX caleb_strategy_v3 2023-07-12 00:00:00 2023-07-13 08:00:04.392 2023-07-13 08:00:04 115204 NaN 3607 EUROSTX caleb_strategy_v3 2023-07-12 00:00:00 2023-07-13 08:00:06.236 2023-07-13 08:00:06 115206 NaN 3616 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2023-07-12 19:00:00 2023-07-13 09:03:32.904 2023-07-13 09:03:34 50612.9 1.096 3617 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2023-07-12 19:00:00 2023-07-13 09:03:35.978 2023-07-13 09:04:06 50616 30.022 3618 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2023-07-12 19:00:00 2023-07-13 09:04:06.436 2023-07-13 09:04:17 50646.4 10.564 3609 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2023-07-12 19:00:00 2023-07-13 09:00:02.012 2023-07-13 09:00:56 50402 53.988 3610 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2023-07-12 19:00:00 2023-07-13 09:00:57.039 2023-07-13 09:01:50 50457 52.961 3611 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2023-07-12 19:00:00 2023-07-13 09:01:58.194 2023-07-13 09:02:05 50518.2 6.806 3612 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2023-07-12 19:00:00 2023-07-13 09:02:06.125 2023-07-13 09:02:09 50526.1 2.875 3613 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2023-07-12 19:00:00 2023-07-13 09:02:10.915 2023-07-13 09:02:58 50530.9 47.085 3614 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2023-07-12 19:00:00 2023-07-13 09:02:58.565 2023-07-13 09:03:30 50578.6 31.435 3615 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY 2023-07-12 19:00:00 2023-07-13 09:03:32.391 2023-07-13 09:03:32 50612.4 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 3603 NIKKEI caleb_strategy_v3 [-1] 33605 None 32292.5 32290 32295 32295 32285 -1312.5 -2.5 -5 -10 NaN -7.5 3604 JGB-SGX-mini caleb_strategy_v3 [1] 148.5 None 147.62 147.64 147.6 NaN 147.64 0.88 -0.02 0 NaN NaN -0.02 3608 EUROSTX caleb_strategy_v3 [1] 4383 None 4389.5 4390 4389 4389 4389 -6.5 -0.5 1 0 NaN 0.5 3605 EUROSTX caleb_strategy_v3 [1] 4383 None 4391.5 4392 4391 4391 4391 -8.5 -0.5 1 0 NaN 0.5 3606 EUROSTX caleb_strategy_v3 [1] 4383 None 4391.5 4392 4391 4391 4389 -8.5 -0.5 3 2 NaN 2.5 3607 EUROSTX caleb_strategy_v3 [1] 4383 None 4388.5 4389 4388 4388 4390 -5.5 -0.5 -1 -2 NaN -1.5 3616 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 96.9 None 96.9925 96.99 96.995 96.995 96.995 0.0925 -0.0025 0.005 -0 NaN 0.0025 3617 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 96.81 None 96.9125 96.915 96.91 96.91 96.92 -0.1025 -0.0025 -0.005 -0.01 NaN -0.0075 3618 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 96.9 None 96.995 96.99 97 97 97 0.095 -0.005 0.01 -0 NaN 0.005 3609 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 96.81 None 96.9075 96.91 96.905 96.905 96.905 -0.0975 -0.0025 0.005 0 NaN 0.0025 3610 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 96.9 None 96.9875 96.985 96.99 96.99 96.99 0.0875 -0.0025 0.005 -1.42109e-14 NaN 0.0025 3611 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 96.81 None 96.9075 96.91 96.905 96.905 96.915 -0.0975 -0.0025 -0.005 -0.01 NaN -0.0075 3612 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 96.9 None 96.9925 96.99 96.995 96.995 96.995 0.0925 -0.0025 0.005 -0 NaN 0.0025 3613 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 96.81 None 96.9125 96.915 96.91 96.91 96.92 -0.1025 -0.0025 -0.005 -0.01 NaN -0.0075 3614 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 96.9 None 96.995 96.99 97 97 96.99 0.095 -0.005 -0 -0.01 NaN -0.005 3615 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 96.81 None 96.9175 96.92 96.915 96.915 96.915 -0.1075 -0.0025 0.005 0 NaN 0.0025 ================================================================================================================================================================ 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 3603 NIKKEI caleb_strategy_v3 [-1] 5251.99 -2499.05 -4.7601 -9.5202 -19.0404 NaN -14.2803 3604 JGB-SGX-mini caleb_strategy_v3 [1] 3.3561 2622.09 -59.593 0 NaN NaN -59.593 3608 EUROSTX caleb_strategy_v3 [1] 724.213 -89.7526 -6.90405 13.8081 0 NaN 6.90405 3605 EUROSTX caleb_strategy_v3 [1] 724.213 -117.369 -6.90405 13.8081 0 NaN 6.90405 3606 EUROSTX caleb_strategy_v3 [1] 724.213 -117.369 -6.90405 41.4243 27.6162 NaN 34.5202 3607 EUROSTX caleb_strategy_v3 [1] 724.213 -75.9445 -6.90405 -13.8081 -27.6162 NaN -20.7121 3616 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 1.34046 690.06 -18.6503 37.3006 -0 NaN 18.6503 3617 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 1.34046 -764.661 -18.6503 -37.3006 -74.6011 NaN -55.9508 3618 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 1.34046 708.711 -37.3006 74.6011 -0 NaN 37.3006 3609 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 1.34046 -727.361 -18.6503 37.3006 0 NaN 18.6503 3610 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 1.34046 652.76 -18.6503 37.3006 -1.06015e-10 NaN 18.6503 3611 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 1.34046 -727.361 -18.6503 -37.3006 -74.6011 NaN -55.9508 3612 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 1.34046 690.06 -18.6503 37.3006 -0 NaN 18.6503 3613 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 1.34046 -764.661 -18.6503 -37.3006 -74.6011 NaN -55.9508 3614 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 1.34046 708.711 -37.3006 -0 -74.6011 NaN -37.3006 3615 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 1.34046 -801.962 -18.6503 37.3006 0 NaN 18.6503 =========================================================================================================================================================================== 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 3603 NIKKEI caleb_strategy_v3 [-1] 0.720383 -945.503 -1.80096 -3.60192 -7.20383 NaN -5.40287 3604 JGB-SGX-mini caleb_strategy_v3 [1] 720.383 633.937 -14.4077 0 NaN NaN -14.4077 3608 EUROSTX caleb_strategy_v3 [1] 11.137 -72.3905 -5.5685 11.137 0 NaN 5.5685 3605 EUROSTX caleb_strategy_v3 [1] 11.137 -94.6645 -5.5685 11.137 0 NaN 5.5685 3606 EUROSTX caleb_strategy_v3 [1] 11.137 -94.6645 -5.5685 33.411 22.274 NaN 27.8425 3607 EUROSTX caleb_strategy_v3 [1] 11.137 -61.2535 -5.5685 -11.137 -22.274 NaN -16.7055 3616 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 2784.25 257.543 -6.96063 13.9213 -0 NaN 6.96062 3617 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 2784.25 -285.386 -6.96063 -13.9212 -27.8425 NaN -20.8819 3618 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 2784.25 264.504 -13.9213 27.8425 -0 NaN 13.9212 3609 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 2784.25 -271.464 -6.96062 13.9212 0 NaN 6.96062 3610 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 2784.25 243.622 -6.96062 13.9212 -3.95666e-11 NaN 6.96062 3611 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 2784.25 -271.464 -6.96062 -13.9213 -27.8425 NaN -20.8819 3612 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 2784.25 257.543 -6.96063 13.9213 -0 NaN 6.96062 3613 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 2784.25 -285.386 -6.96063 -13.9212 -27.8425 NaN -20.8819 3614 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [-1] 2784.25 264.504 -13.9213 -0 -27.8425 NaN -13.9213 3615 EURIBOR-ICE _ROLL_PSEUDO_STRATEGY [1] 2784.25 -299.307 -6.96062 13.9212 0 NaN 6.96062 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EURIBOR-ICE -125.291250 caleb_strategy_v3 EUROSTX -322.973000 JGB-SGX-mini 633.937255 NIKKEI -945.503008 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -125.291250 caleb_strategy_v3 -634.538753 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EURIBOR-ICE -83.527500 caleb_strategy_v3 EUROSTX -22.274000 JGB-SGX-mini -14.407665 NIKKEI -1.800958 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -83.527500 caleb_strategy_v3 -38.482623 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EURIBOR-ICE 55.685000 caleb_strategy_v3 EUROSTX 44.548000 JGB-SGX-mini 0.000000 NIKKEI -3.601916 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 55.685000 caleb_strategy_v3 40.946084 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EURIBOR-ICE -111.370000 caleb_strategy_v3 EUROSTX 0.000000 JGB-SGX-mini 0.000000 NIKKEI -7.203832 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -111.370000 caleb_strategy_v3 -7.203832 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY EURIBOR-ICE 0 caleb_strategy_v3 EUROSTX 0 JGB-SGX-mini 0 NIKKEI 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 EURIBOR-ICE -27.842500 caleb_strategy_v3 EUROSTX 22.274000 JGB-SGX-mini -14.407665 NIKKEI -5.402874 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -27.842500 caleb_strategy_v3 2.463461 ******************************************************************************** END OF REPORT ********************************************************************************