******************************************************************************** Trades report produced on 19/07/2023 21:37 from 18/07/2023 21:37 to 19/07/2023 21:37 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 3749 CAD caleb_strategy_v3 [20230900] 2023-07-19 15:00:03 [1] 0.760200 3744 COPPER caleb_strategy_v3 [20230900] 2023-07-19 14:00:01 [-1] 3.803500 3743 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-07-19 09:00:30 [1] 97.200000 3746 GAS_US_mini caleb_strategy_v3 [20230900] 2023-07-19 14:00:02 [-1] 2.585000 3745 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-19 14:00:01 [-1] 1981.000000 3747 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-19 14:00:04 [-1] 1980.700000 3750 JPY caleb_strategy_v3 [20230900] 2023-07-19 15:00:05 [1] 0.007225 3748 RUSSELL caleb_strategy_v3 [20230900] 2023-07-19 15:00:01 [1] 2001.700000 3751 RUSSELL caleb_strategy_v3 [20230900] 2023-07-19 15:00:07 [1] 2001.600000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 3743 EURIBOR-ICE caleb_strategy_v3 2023-07-18 2023-07-19 09:00:01.966 2023-07-19 09:00:30 118802 28.034 3744 COPPER caleb_strategy_v3 2023-07-18 2023-07-19 14:00:00.820 2023-07-19 14:00:01 136801 0.18 3746 GAS_US_mini caleb_strategy_v3 2023-07-18 2023-07-19 14:00:02.010 2023-07-19 14:00:02 136802 NaN 3745 GOLD_micro caleb_strategy_v3 2023-07-18 2023-07-19 14:00:01.558 2023-07-19 14:00:01 136802 NaN 3747 GOLD_micro caleb_strategy_v3 2023-07-18 2023-07-19 14:00:04.028 2023-07-19 14:00:04 136804 NaN 3749 CAD caleb_strategy_v3 2023-07-18 2023-07-19 15:00:02.225 2023-07-19 15:00:03 140402 0.775 3750 JPY caleb_strategy_v3 2023-07-18 2023-07-19 15:00:04.362 2023-07-19 15:00:05 140404 0.638 3748 RUSSELL caleb_strategy_v3 2023-07-18 2023-07-19 15:00:01.672 2023-07-19 15:00:01 140402 NaN 3751 RUSSELL caleb_strategy_v3 2023-07-18 2023-07-19 15:00:07.489 2023-07-19 15:00:07 140407 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 3743 EURIBOR-ICE caleb_strategy_v3 [1] 97.105 None 97.195 97.2 97.19 97.19 97.2 -0.09 -0.005 0 -0.01 NaN -0.005 3744 COPPER caleb_strategy_v3 [-1] 3.83 None 3.80325 3.803 3.8035 3.8035 3.8035 -0.02675 -0.00025 0.0005 -0 NaN 0.00025 3746 GAS_US_mini caleb_strategy_v3 [-1] 2.61 None 2.5925 2.59 2.595 NaN 2.585 -0.0175 -0.0025 -0.005 NaN NaN -0.0075 3745 GOLD_micro caleb_strategy_v3 [-1] 1981.5 None 1980.95 1980.9 1981 1981 1981 -0.55 -0.05 0.1 -0 NaN 0.05 3747 GOLD_micro caleb_strategy_v3 [-1] 1981.5 None 1981.1 1981 1981.2 1981.2 1980.7 -0.4 -0.1 -0.3 -0.5 NaN -0.4 3749 CAD caleb_strategy_v3 [1] 0.7596 None 0.760225 0.76025 0.7602 0.7602 0.7602 -0.000625 -2.5e-05 5e-05 0 NaN 2.5e-05 3750 JPY caleb_strategy_v3 [1] 0.007266 None 0.00722525 0.0072255 0.007225 0.007225 0.007225 4.075e-05 -2.5e-07 5e-07 0 NaN 2.5e-07 3748 RUSSELL caleb_strategy_v3 [1] 1989.1 None 2001.55 2001.6 2001.5 NaN 2001.7 -12.45 -0.05 -0.1 NaN NaN -0.15 3751 RUSSELL caleb_strategy_v3 [1] 1989.1 None 2001.7 2001.8 2001.6 2001.6 2001.6 -12.6 -0.1 0.2 2.27374e-13 NaN 0.1 ============================================================================================================================================================ 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 3743 EURIBOR-ICE caleb_strategy_v3 [1] 1.27918 -703.575 -39.0875 0 -78.175 NaN -39.0875 3744 COPPER caleb_strategy_v3 [-1] 0.862074 -310.298 -2.89998 5.79996 -0 NaN 2.89998 3746 GAS_US_mini caleb_strategy_v3 [-1] 1.96763 -88.9397 -12.7057 -25.4113 NaN NaN -38.117 3745 GOLD_micro caleb_strategy_v3 [-1] 227.396 -24.1869 -2.19881 4.39762 -0 NaN 2.19881 3747 GOLD_micro caleb_strategy_v3 [-1] 227.396 -17.5905 -4.39762 -13.1929 -21.9881 NaN -17.5905 3749 CAD caleb_strategy_v3 [1] 0.0513245 -121.774 -4.87097 9.74194 0 NaN 4.87097 3750 JPY caleb_strategy_v3 [1] 0.000707829 575.704 -3.53193 7.06385 0 NaN 3.53193 3748 RUSSELL caleb_strategy_v3 [1] 367.316 -338.945 -1.36122 -2.72245 NaN NaN -4.08367 3751 RUSSELL caleb_strategy_v3 [1] 367.316 -343.029 -2.72245 5.4449 6.19013e-12 NaN 2.72245 ======================================================================================================================================================================= 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 3743 EURIBOR-ICE caleb_strategy_v3 [1] 2805.88 -252.529 -14.0294 0 -28.0588 NaN -14.0294 3744 COPPER caleb_strategy_v3 [-1] 25000 -668.75 -6.25 12.5 -0 NaN 6.25 3746 GAS_US_mini caleb_strategy_v3 [-1] 2500 -43.75 -6.25 -12.5 NaN NaN -18.75 3745 GOLD_micro caleb_strategy_v3 [-1] 10 -5.5 -0.5 1 -0 NaN 0.5 3747 GOLD_micro caleb_strategy_v3 [-1] 10 -4 -1 -3 -5 NaN -4 3749 CAD caleb_strategy_v3 [1] 100000 -62.5 -2.5 5 0 NaN 2.5 3750 JPY caleb_strategy_v3 [1] 1.25e+07 509.375 -3.125 6.25 0 NaN 3.125 3748 RUSSELL caleb_strategy_v3 [1] 5 -62.25 -0.25 -0.5 NaN NaN -0.75 3751 RUSSELL caleb_strategy_v3 [1] 5 -63 -0.5 1 1.13687e-12 NaN 0.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CAD -62.50000 COPPER -668.75000 EURIBOR-ICE -252.52875 GAS_US_mini -43.75000 GOLD_micro -9.50000 JPY 509.37500 RUSSELL -125.25000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -652.90375 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CAD -2.500000 COPPER -6.250000 EURIBOR-ICE -14.029375 GAS_US_mini -6.250000 GOLD_micro -1.500000 JPY -3.125000 RUSSELL -0.750000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -34.404375 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CAD 5.00 COPPER 12.50 EURIBOR-ICE 0.00 GAS_US_mini -12.50 GOLD_micro -2.00 JPY 6.25 RUSSELL 0.50 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 9.75 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CAD 0.000000e+00 COPPER -0.000000e+00 EURIBOR-ICE -2.805875e+01 GAS_US_mini 0.000000e+00 GOLD_micro -5.000000e+00 JPY 0.000000e+00 RUSSELL 1.136868e-12 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -33.05875 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CAD 0 COPPER 0 EURIBOR-ICE 0 GAS_US_mini 0 GOLD_micro 0 JPY 0 RUSSELL 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 CAD 2.500000 COPPER 6.250000 EURIBOR-ICE -14.029375 GAS_US_mini -18.750000 GOLD_micro -3.500000 JPY 3.125000 RUSSELL -0.250000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -24.654375 ******************************************************************************** END OF REPORT ********************************************************************************