******************************************************************************** Trades report produced on 28/07/2023 21:38 from 27/07/2023 21:38 to 28/07/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 3956 DAX caleb_strategy_v3 [20230900] 2023-07-28 08:00:02 [1] 16444.0000 3960 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-07-28 09:00:07 [1] 97.0600 3957 EUROSTX caleb_strategy_v3 [20230900] 2023-07-28 08:00:03 [-1] 4451.0000 3959 EUROSTX caleb_strategy_v3 [20230900] 2023-07-28 08:00:09 [-1] 4452.0000 3961 GBP caleb_strategy_v3 [20230900] 2023-07-28 15:00:03 [-1] 1.2861 3964 LEANHOG caleb_strategy_v3 [20231000] 2023-07-28 15:30:02 [1] 84.9000 3962 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-28 15:00:04 [-1] 15802.0000 3963 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-07-28 15:00:07 [-1] 15794.7500 3958 SMI caleb_strategy_v3 [20230900] 2023-07-28 08:00:05 [1] 11348.0000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 3956 DAX caleb_strategy_v3 2023-07-27 2023-07-28 08:00:01.772 2023-07-28 08:00:02 115202 0.228 3958 SMI caleb_strategy_v3 2023-07-27 2023-07-28 08:00:04.524 2023-07-28 08:00:05 115205 0.476 3957 EUROSTX caleb_strategy_v3 2023-07-27 2023-07-28 08:00:03.435 2023-07-28 08:00:03 115203 NaN 3959 EUROSTX caleb_strategy_v3 2023-07-27 2023-07-28 08:00:07.415 2023-07-28 08:00:09 115207 1.585 3960 EURIBOR-ICE caleb_strategy_v3 2023-07-27 2023-07-28 09:00:04.402 2023-07-28 09:00:07 118804 2.598 3961 GBP caleb_strategy_v3 2023-07-27 2023-07-28 15:00:02.106 2023-07-28 15:00:03 140402 0.894 3962 NASDAQ_micro caleb_strategy_v3 2023-07-27 2023-07-28 15:00:04.664 2023-07-28 15:00:04 140405 NaN 3963 NASDAQ_micro caleb_strategy_v3 2023-07-27 2023-07-28 15:00:07.144 2023-07-28 15:00:07 140407 NaN 3964 LEANHOG caleb_strategy_v3 2023-07-27 2023-07-28 15:30:02.224 2023-07-28 15:30:02 142202 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 3956 DAX caleb_strategy_v3 [1] 16401 None 16446 16448 16444 16444 16444 -45 -2 4 0 NaN 2 3958 SMI caleb_strategy_v3 [1] 11366 None 11348 11350 11346 11346 11348 18 -2 2 -2 NaN 0 3957 EUROSTX caleb_strategy_v3 [-1] 4438 None 4452.5 4452 4453 4453 4451 14.5 -0.5 -1 -2 NaN -1.5 3959 EUROSTX caleb_strategy_v3 [-1] 4438 None 4451.5 4451 4452 4452 4452 13.5 -0.5 1 -0 NaN 0.5 3960 EURIBOR-ICE caleb_strategy_v3 [1] 96.995 None 97.055 97.06 97.05 97.05 97.06 -0.06 -0.005 0 -0.01 NaN -0.005 3961 GBP caleb_strategy_v3 [-1] 1.28 None 1.286 1.2859 1.2861 1.2861 1.2861 0.006 -0.0001 0.0002 -0 NaN 0.0001 3962 NASDAQ_micro caleb_strategy_v3 [-1] 15577.5 None 15801.5 15801 15802 15802 15802 224 -0.5 1 -0 NaN 0.5 3963 NASDAQ_micro caleb_strategy_v3 [-1] 15577.5 None 15801.8 15801 15802.5 15802.5 15794.8 224.25 -0.75 -6.25 -7.75 NaN -7 3964 LEANHOG caleb_strategy_v3 [1] 83.4 None 84.875 84.9 84.85 84.85 84.9 -1.475 -0.025 0 -0.05 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 3956 DAX caleb_strategy_v3 [1] 2264.88 -198.686 -8.83049 17.661 0 NaN 8.83049 3958 SMI caleb_strategy_v3 [1] 1428.56 126.001 -14.0001 14.0001 -14.0001 NaN 0 3957 EUROSTX caleb_strategy_v3 [-1] 705.148 205.631 -7.09071 -14.1814 -28.3628 NaN -21.2721 3959 EUROSTX caleb_strategy_v3 [-1] 705.148 191.449 -7.09071 14.1814 -0 NaN 7.09071 3960 EURIBOR-ICE caleb_strategy_v3 [1] 1.22931 -488.08 -40.6733 0 -81.3467 NaN -40.6733 3961 GBP caleb_strategy_v3 [-1] 0.114417 524.396 -8.73994 17.4799 -0 NaN 8.73994 3962 NASDAQ_micro caleb_strategy_v3 [-1] 2747.75 815.211 -1.81967 3.63934 -0 NaN 1.81967 3963 NASDAQ_micro caleb_strategy_v3 [-1] 2747.75 816.121 -2.7295 -22.7458 -28.2049 NaN -25.4753 3964 LEANHOG caleb_strategy_v3 [1] 22.3108 -661.115 -11.2053 0 -22.4107 NaN -11.2053 ======================================================================================================================================================================= 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 3956 DAX caleb_strategy_v3 [1] 1.098 -49.41 -2.196 4.392 0 NaN 2.196 3958 SMI caleb_strategy_v3 [1] 11.5065 207.117 -23.013 23.013 -23.013 NaN 0 3957 EUROSTX caleb_strategy_v3 [-1] 10.98 159.21 -5.49 -10.98 -21.96 NaN -16.47 3959 EUROSTX caleb_strategy_v3 [-1] 10.98 148.23 -5.49 10.98 -0 NaN 5.49 3960 EURIBOR-ICE caleb_strategy_v3 [1] 2745 -164.7 -13.725 0 -27.45 NaN -13.725 3961 GBP caleb_strategy_v3 [-1] 62500 375 -6.25 12.5 -0 NaN 6.25 3962 NASDAQ_micro caleb_strategy_v3 [-1] 2 448 -1 2 -0 NaN 1 3963 NASDAQ_micro caleb_strategy_v3 [-1] 2 448.5 -1.5 -12.5 -15.5 NaN -14 3964 LEANHOG caleb_strategy_v3 [1] 400 -590 -10 0 -20 NaN -10 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DAX -49.410 EURIBOR-ICE -164.700 EUROSTX 307.440 GBP 375.000 LEANHOG -590.000 NASDAQ_micro 896.500 SMI 207.117 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 981.947 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DAX -2.196 EURIBOR-ICE -13.725 EUROSTX -10.980 GBP -6.250 LEANHOG -10.000 NASDAQ_micro -2.500 SMI -23.013 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -68.664 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DAX 4.392 EURIBOR-ICE 0.000 EUROSTX 0.000 GBP 12.500 LEANHOG 0.000 NASDAQ_micro -10.500 SMI 23.013 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 29.405 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX 0.000 EURIBOR-ICE -27.450 EUROSTX -21.960 GBP -0.000 LEANHOG -20.000 NASDAQ_micro -15.500 SMI -23.013 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -107.923 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX 0 EURIBOR-ICE 0 EUROSTX 0 GBP 0 LEANHOG 0 NASDAQ_micro 0 SMI 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 DAX 2.196 EURIBOR-ICE -13.725 EUROSTX -10.980 GBP 6.250 LEANHOG -10.000 NASDAQ_micro -13.000 SMI 0.000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -39.259 ******************************************************************************** END OF REPORT ********************************************************************************