******************************************************************************** Trades report produced on 18/07/2023 21:38 from 17/07/2023 21:38 to 18/07/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 3737 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-07-18 10:16:17 [1] 97.080 3739 GAS_US_mini caleb_strategy_v3 [20230900] 2023-07-18 14:00:03 [-1] 2.585 3738 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-18 14:00:02 [-1] 1973.500 3740 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-18 14:00:05 [-1] 1973.100 3741 RUSSELL caleb_strategy_v3 [20230900] 2023-07-18 15:00:02 [1] 1989.100 3742 SP500_micro caleb_strategy_v3 [20230900] 2023-07-18 15:00:03 [-1] 4560.500 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 3737 EURIBOR-ICE caleb_strategy_v3 2023-07-17 2023-07-18 10:14:13.117 2023-07-18 10:16:17 123253 123.883 3739 GAS_US_mini caleb_strategy_v3 2023-07-17 2023-07-18 14:00:03.153 2023-07-18 14:00:03 136803 NaN 3738 GOLD_micro caleb_strategy_v3 2023-07-17 2023-07-18 14:00:01.998 2023-07-18 14:00:02 136802 0.002 3740 GOLD_micro caleb_strategy_v3 2023-07-17 2023-07-18 14:00:05.238 2023-07-18 14:00:05 136805 NaN 3741 RUSSELL caleb_strategy_v3 2023-07-17 2023-07-18 15:00:02.221 2023-07-18 15:00:02 140402 NaN 3742 SP500_micro caleb_strategy_v3 2023-07-17 2023-07-18 15:00:03.159 2023-07-18 15:00:03 140403 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 3737 EURIBOR-ICE caleb_strategy_v3 [1] 97.005 None 97.0825 97.085 97.08 97.08 97.08 -0.0775 -0.0025 0.005 0 NaN 0.0025 3739 GAS_US_mini caleb_strategy_v3 [-1] 2.515 None 2.59 2.585 2.595 2.595 2.585 0.075 -0.005 -0 -0.01 NaN -0.005 3738 GOLD_micro caleb_strategy_v3 [-1] 1960 None 1973.4 1973.3 1973.5 1973.5 1973.5 13.4 -0.1 0.2 -0 NaN 0.1 3740 GOLD_micro caleb_strategy_v3 [-1] 1960 None 1973.5 1973.4 1973.6 1973.6 1973.1 13.5 -0.1 -0.3 -0.5 NaN -0.4 3741 RUSSELL caleb_strategy_v3 [1] 1969.3 None 1989.2 1989.3 1989.1 1989.1 1989.1 -19.9 -0.1 0.2 2.27374e-13 NaN 0.1 3742 SP500_micro caleb_strategy_v3 [-1] 4558.25 None 4560.88 4560.75 4561 4561 4560.5 2.625 -0.125 -0.25 -0.5 NaN -0.375 ============================================================================================================================================================ 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 3737 EURIBOR-ICE caleb_strategy_v3 [1] 1.24396 -623.013 -20.0972 40.1944 0 NaN 20.0972 3739 GAS_US_mini caleb_strategy_v3 [-1] 1.99702 375.56 -25.0374 -0 -50.0747 NaN -25.0374 3738 GOLD_micro caleb_strategy_v3 [-1] 230.576 581.154 -4.33697 8.67394 -0 NaN 4.33697 3740 GOLD_micro caleb_strategy_v3 [-1] 230.576 585.491 -4.33697 -13.0109 -21.6848 NaN -17.3479 3741 RUSSELL caleb_strategy_v3 [1] 375.266 -530.291 -2.66478 5.32955 6.059e-12 NaN 2.66478 3742 SP500_micro caleb_strategy_v3 [-1] 523.732 50.121 -2.38671 -4.77343 -9.54686 NaN -7.16014 ======================================================================================================================================================================= 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 3737 EURIBOR-ICE caleb_strategy_v3 [1] 2812.12 -217.94 -7.03031 14.0606 0 NaN 7.03031 3739 GAS_US_mini caleb_strategy_v3 [-1] 2500 187.5 -12.5 -0 -25 NaN -12.5 3738 GOLD_micro caleb_strategy_v3 [-1] 10 134 -1 2 -0 NaN 1 3740 GOLD_micro caleb_strategy_v3 [-1] 10 135 -1 -3 -5 NaN -4 3741 RUSSELL caleb_strategy_v3 [1] 5 -99.5 -0.5 1 1.13687e-12 NaN 0.5 3742 SP500_micro caleb_strategy_v3 [-1] 5 13.125 -0.625 -1.25 -2.5 NaN -1.875 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -217.939688 GAS_US_mini 187.500000 GOLD_micro 269.000000 RUSSELL -99.500000 SP500_micro 13.125000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 152.185312 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -7.030312 GAS_US_mini -12.500000 GOLD_micro -2.000000 RUSSELL -0.500000 SP500_micro -0.625000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -22.655312 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 14.060625 GAS_US_mini -0.000000 GOLD_micro -1.000000 RUSSELL 1.000000 SP500_micro -1.250000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 12.810625 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 0.000000e+00 GAS_US_mini -2.500000e+01 GOLD_micro -5.000000e+00 RUSSELL 1.136868e-12 SP500_micro -2.500000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -32.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 0 GAS_US_mini 0 GOLD_micro 0 RUSSELL 0 SP500_micro 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 EURIBOR-ICE 7.030312 GAS_US_mini -12.500000 GOLD_micro -3.000000 RUSSELL 0.500000 SP500_micro -1.875000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -9.844688 ******************************************************************************** END OF REPORT ********************************************************************************