******************************************************************************** Trades report produced on 24/07/2023 21:38 from 23/07/2023 21:38 to 24/07/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 3813 EUR caleb_strategy_v3 [20230900] 2023-07-24 15:00:05 [-1] 1.111750 3806 EUROSTX caleb_strategy_v3 [20230900] 2023-07-24 08:00:02 [1] 4392.000000 3809 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-24 14:00:06 [-1] 1968.700000 3810 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-24 14:00:09 [-1] 1968.500000 3807 GOLD_micro caleb_strategy_v3 [20230800] 2023-07-24 14:00:02 [-1] 1969.400000 3814 LEANHOG caleb_strategy_v3 [20231000] 2023-07-24 15:30:08 [1] 82.975000 3812 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-24 15:00:04 [-1] 15509.000000 3808 PLAT caleb_strategy_v3 [20231000] 2023-07-24 14:00:04 [1] 971.300000 3811 US10U caleb_strategy_v3 [20230900] 2023-07-24 15:00:03 [1] 118.390625 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 3806 EUROSTX caleb_strategy_v3 2023-07-21 2023-07-24 08:00:01.389 2023-07-24 08:00:02 288001 0.611 3808 PLAT caleb_strategy_v3 2023-07-21 2023-07-24 14:00:03.538 2023-07-24 14:00:04 309604 0.462 3809 GOLD_micro caleb_strategy_v3 2023-07-21 2023-07-24 14:00:06.673 2023-07-24 14:00:06 309607 NaN 3810 GOLD_micro caleb_strategy_v3 2023-07-21 2023-07-24 14:00:08.893 2023-07-24 14:00:09 309609 0.107 3807 GOLD_micro caleb_strategy_v3 2023-07-21 2023-07-24 14:00:02.381 2023-07-24 14:00:02 309602 NaN 3811 US10U caleb_strategy_v3 2023-07-21 2023-07-24 15:00:01.753 2023-07-24 15:00:03 313202 1.247 3812 NASDAQ_micro caleb_strategy_v3 2023-07-21 2023-07-24 15:00:04.416 2023-07-24 15:00:04 313204 NaN 3813 EUR caleb_strategy_v3 2023-07-21 2023-07-24 15:00:05.299 2023-07-24 15:00:05 313205 NaN 3814 LEANHOG caleb_strategy_v3 2023-07-21 2023-07-24 15:30:01.948 2023-07-24 15:30:08 315002 6.052 ================================================================================================================================================================================================================================= 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 3806 EUROSTX caleb_strategy_v3 [1] 4412 None 4391.5 4392 4391 4391 4392 20.5 -0.5 0 -1 NaN -0.5 3808 PLAT caleb_strategy_v3 [1] 971.4 None 971.5 971.7 971.3 971.3 971.3 -0.1 -0.2 0.4 1.13687e-13 NaN 0.2 3809 GOLD_micro caleb_strategy_v3 [-1] 1963.8 None 1969.45 1969.4 1969.5 1969.5 1968.7 5.65 -0.05 -0.7 -0.8 NaN -0.75 3810 GOLD_micro caleb_strategy_v3 [-1] 1963.8 None 1968.8 1968.7 1968.9 1968.9 1968.5 5 -0.1 -0.2 -0.4 NaN -0.3 3807 GOLD_micro caleb_strategy_v3 [-1] 1963.8 None 1969.45 1969.4 1969.5 1969.5 1969.4 5.65 -0.05 -0 -0.1 NaN -0.05 3811 US10U caleb_strategy_v3 [1] 118.125 None 118.398 118.406 118.391 118.391 118.391 -0.273438 -0.0078125 0.015625 0 NaN 0.0078125 3812 NASDAQ_micro caleb_strategy_v3 [-1] 15528.2 None 15509.2 15509 15509.5 15509.5 15509 -19 -0.25 -0 -0.5 NaN -0.25 3813 EUR caleb_strategy_v3 [-1] 1.11525 None 1.11172 1.1117 1.11175 1.11175 1.11175 -0.003525 -2.5e-05 5e-05 -0 NaN 2.5e-05 3814 LEANHOG caleb_strategy_v3 [1] 84.25 None 83 83.025 82.975 82.975 82.975 1.25 -0.025 0.05 1.42109e-14 NaN 0.025 ============================================================================================================================================================ 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 3806 EUROSTX caleb_strategy_v3 [1] 654.962 312.995 -7.63403 0 -15.2681 NaN -7.63403 3808 PLAT caleb_strategy_v3 [1] 244.064 -4.09728 -8.19456 16.3891 4.65807e-12 NaN 8.19456 3809 GOLD_micro caleb_strategy_v3 [-1] 220.933 255.734 -2.26313 -31.6839 -36.2101 NaN -33.947 3810 GOLD_micro caleb_strategy_v3 [-1] 220.933 226.313 -4.52627 -9.05253 -18.1051 NaN -13.5788 3807 GOLD_micro caleb_strategy_v3 [-1] 220.933 255.734 -2.26313 -0 -4.52627 NaN -2.26313 3811 US10U caleb_strategy_v3 [1] 10.5801 -258.445 -7.38414 14.7683 0 NaN 7.38414 3812 NASDAQ_micro caleb_strategy_v3 [-1] 2713.03 -70.0323 -0.921477 -0 -1.84295 NaN -0.921477 3813 EUR caleb_strategy_v3 [-1] 0.0836734 -421.281 -2.98781 5.97562 -0 NaN 2.98781 3814 LEANHOG caleb_strategy_v3 [1] 22.5746 553.72 -11.0744 22.1488 6.29507e-12 NaN 11.0744 ======================================================================================================================================================================= 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 3806 EUROSTX caleb_strategy_v3 [1] 11.1305 228.175 -5.56525 0 -11.1305 NaN -5.56525 3808 PLAT caleb_strategy_v3 [1] 50 -5 -10 20 5.68434e-12 NaN 10 3809 GOLD_micro caleb_strategy_v3 [-1] 10 56.5 -0.5 -7 -8 NaN -7.5 3810 GOLD_micro caleb_strategy_v3 [-1] 10 50 -1 -2 -4 NaN -3 3807 GOLD_micro caleb_strategy_v3 [-1] 10 56.5 -0.5 -0 -1 NaN -0.5 3811 US10U caleb_strategy_v3 [1] 1000 -273.438 -7.8125 15.625 0 NaN 7.8125 3812 NASDAQ_micro caleb_strategy_v3 [-1] 2 -38 -0.5 -0 -1 NaN -0.5 3813 EUR caleb_strategy_v3 [-1] 125000 -440.625 -3.125 6.25 -0 NaN 3.125 3814 LEANHOG caleb_strategy_v3 [1] 400 500 -10 20 5.68434e-12 NaN 10 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 EUR -440.62500 EUROSTX 228.17525 GOLD_micro 163.00000 LEANHOG 500.00000 NASDAQ_micro -38.00000 PLAT -5.00000 US10U -273.43750 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 134.11275 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 EUR -3.12500 EUROSTX -5.56525 GOLD_micro -2.00000 LEANHOG -10.00000 NASDAQ_micro -0.50000 PLAT -10.00000 US10U -7.81250 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -39.00275 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 EUR 6.250 EUROSTX 0.000 GOLD_micro -9.000 LEANHOG 20.000 NASDAQ_micro -0.000 PLAT 20.000 US10U 15.625 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 52.875 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 EUR -0.000000e+00 EUROSTX -1.113050e+01 GOLD_micro -1.300000e+01 LEANHOG 5.684342e-12 NASDAQ_micro -1.000000e+00 PLAT 5.684342e-12 US10U 0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -25.1305 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 EUR 0 EUROSTX 0 GOLD_micro 0 LEANHOG 0 NASDAQ_micro 0 PLAT 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 EUR 3.12500 EUROSTX -5.56525 GOLD_micro -11.00000 LEANHOG 10.00000 NASDAQ_micro -0.50000 PLAT 10.00000 US10U 7.81250 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 13.87225 ******************************************************************************** END OF REPORT ********************************************************************************