******************************************************************************** Trades report produced on 07/08/2023 21:38 from 06/08/2023 21:38 to 07/08/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 4083 BOBL caleb_strategy_v3 [20230900] 2023-08-07 08:00:03 [-1] 115.760000 4085 DAX caleb_strategy_v3 [20230900] 2023-08-07 08:00:06 [-1] 15945.000000 4086 DAX caleb_strategy_v3 [20230900] 2023-08-07 08:00:10 [-1] 15947.000000 4087 DAX caleb_strategy_v3 [20230900] 2023-08-07 08:00:12 [-1] 15945.000000 4088 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-07 09:50:43 [1] 97.060000 4089 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-07 09:52:06 [1] 97.055000 4084 EUROSTX caleb_strategy_v3 [20230900] 2023-08-07 08:00:05 [-1] 4335.000000 4090 US5 caleb_strategy_v3 [20230900] 2023-08-07 15:00:24 [-1] 106.851563 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 4083 BOBL caleb_strategy_v3 2023-08-04 2023-08-07 08:00:02.774 2023-08-07 08:00:03 288003 0.226 4084 EUROSTX caleb_strategy_v3 2023-08-04 2023-08-07 08:00:04.440 2023-08-07 08:00:05 288004 0.56 4085 DAX caleb_strategy_v3 2023-08-04 2023-08-07 08:00:05.725 2023-08-07 08:00:06 288006 0.275 4086 DAX caleb_strategy_v3 2023-08-04 2023-08-07 08:00:08.606 2023-08-07 08:00:10 288009 1.394 4087 DAX caleb_strategy_v3 2023-08-04 2023-08-07 08:00:11.964 2023-08-07 08:00:12 288012 0.036 4088 EURIBOR-ICE caleb_strategy_v3 2023-08-04 2023-08-07 09:50:11.411 2023-08-07 09:50:43 294611 31.589 4089 EURIBOR-ICE caleb_strategy_v3 2023-08-04 2023-08-07 09:50:45.029 2023-08-07 09:52:06 294645 80.971 4090 US5 caleb_strategy_v3 2023-08-04 2023-08-07 15:00:02.195 2023-08-07 15:00:24 313202 21.805 =================================================================================================================================================================================================================================== 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 4083 BOBL caleb_strategy_v3 [-1] 115.7 None 115.765 115.76 115.77 115.77 115.76 0.065 -0.005 -0 -0.01 NaN -0.005 4084 EUROSTX caleb_strategy_v3 [-1] 4323 None 4334.5 4334 4335 4335 4335 11.5 -0.5 1 -0 NaN 0.5 4085 DAX caleb_strategy_v3 [-1] 15927 None 15949 15948 15950 15950 15945 22 -1 -3 -5 NaN -4 4086 DAX caleb_strategy_v3 [-1] 15927 None 15946 15945 15947 15947 15947 19 -1 2 -0 NaN 1 4087 DAX caleb_strategy_v3 [-1] 15927 None 15947 15946 15948 15948 15945 20 -1 -1 -3 NaN -2 4088 EURIBOR-ICE caleb_strategy_v3 [1] 97.07 None 97.055 97.06 97.05 97.05 97.06 0.015 -0.005 0 -0.01 NaN -0.005 4089 EURIBOR-ICE caleb_strategy_v3 [1] 97.07 None 97.0575 97.06 97.055 97.055 97.055 0.0125 -0.0025 0.005 0 NaN 0.0025 4090 US5 caleb_strategy_v3 [-1] 106.93 None 106.863 106.859 106.867 106.867 106.852 -0.0664062 -0.00390625 -0.007812 -0.0156245 NaN -0.0117183 ============================================================================================================================================================ 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 4083 BOBL caleb_strategy_v3 [-1] 5.25088 123.789 -9.52222 -0 -19.0444 NaN -9.52222 4084 EUROSTX caleb_strategy_v3 [-1] 726.137 158.372 -6.88576 13.7715 -0 NaN 6.88576 4085 DAX caleb_strategy_v3 [-1] 2336.6 94.1539 -4.27972 -12.8392 -21.3986 NaN -17.1189 4086 DAX caleb_strategy_v3 [-1] 2336.6 81.3147 -4.27972 8.55944 -0 NaN 4.27972 4087 DAX caleb_strategy_v3 [-1] 2336.6 85.5944 -4.27972 -4.27972 -12.8392 NaN -8.55944 4088 EURIBOR-ICE caleb_strategy_v3 [1] 1.11445 134.595 -44.8651 0 -89.7302 NaN -44.8651 4089 EURIBOR-ICE caleb_strategy_v3 [1] 1.11445 112.163 -22.4326 44.8651 0 NaN 22.4326 4090 US5 caleb_strategy_v3 [-1] 5.50502 -120.629 -7.0958 -14.1907 -28.3823 NaN -21.2865 ======================================================================================================================================================================= 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 4083 BOBL caleb_strategy_v3 [-1] 1098.15 71.3797 -5.49075 -0 -10.9815 NaN -5.49075 4084 EUROSTX caleb_strategy_v3 [-1] 10.9815 126.287 -5.49075 10.9815 -0 NaN 5.49075 4085 DAX caleb_strategy_v3 [-1] 1.09815 24.1593 -1.09815 -3.29445 -5.49075 NaN -4.3926 4086 DAX caleb_strategy_v3 [-1] 1.09815 20.8649 -1.09815 2.1963 -0 NaN 1.09815 4087 DAX caleb_strategy_v3 [-1] 1.09815 21.963 -1.09815 -1.09815 -3.29445 NaN -2.1963 4088 EURIBOR-ICE caleb_strategy_v3 [1] 2745.38 41.1806 -13.7269 0 -27.4538 NaN -13.7269 4089 EURIBOR-ICE caleb_strategy_v3 [1] 2745.38 34.3172 -6.86344 13.7269 0 NaN 6.86344 4090 US5 caleb_strategy_v3 [-1] 1000 -66.4062 -3.90625 -7.812 -15.6245 NaN -11.7183 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BOBL 71.379750 DAX 66.987150 EURIBOR-ICE 75.497812 EUROSTX 126.287250 US5 -66.406250 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 273.745712 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BOBL -5.490750 DAX -3.294450 EURIBOR-ICE -20.590312 EUROSTX -5.490750 US5 -3.906250 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -38.772512 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BOBL -0.000000 DAX -2.196300 EURIBOR-ICE 13.726875 EUROSTX 10.981500 US5 -7.812000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 14.700075 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL -10.98150 DAX -8.78520 EURIBOR-ICE -27.45375 EUROSTX -0.00000 US5 -15.62450 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -62.84495 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0 DAX 0 EURIBOR-ICE 0 EUROSTX 0 US5 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 BOBL -5.490750 DAX -5.490750 EURIBOR-ICE -6.863437 EUROSTX 5.490750 US5 -11.718250 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -24.072437 ******************************************************************************** END OF REPORT 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