******************************************************************************** Trades report produced on 08/08/2023 21:38 from 07/08/2023 21:38 to 08/08/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 4107 BITCOIN caleb_strategy_v3 [20230800] 2023-08-08 15:00:18 [-1] 29490.000 4104 BITCOIN caleb_strategy_v3 [20230800] 2023-08-08 15:00:09 [-1] 29490.000 4106 BITCOIN caleb_strategy_v3 [20230800] 2023-08-08 15:00:12 [-1] 29480.000 4093 BTP caleb_strategy_v3 [20230900] 2023-08-08 08:00:03 [1] 115.270 4094 BUND caleb_strategy_v3 [20230900] 2023-08-08 08:00:05 [1] 132.520 4099 COPPER caleb_strategy_v3 [20230900] 2023-08-08 14:00:02 [-1] 3.737 4095 DAX caleb_strategy_v3 [20230900] 2023-08-08 08:00:07 [1] 15929.000 4092 DAX caleb_strategy_v3 [20230900] 2023-08-08 08:00:01 [1] 15941.000 4097 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-08 09:01:39 [-1] 97.125 4098 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-08 09:02:02 [-1] 97.125 4096 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-08 09:00:03 [-1] 97.130 4100 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-08 14:00:03 [1] 1940.000 4101 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-08 14:00:06 [1] 1940.000 4102 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-08 14:00:08 [1] 1939.800 4103 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-08 14:00:10 [1] 1939.800 4105 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-08-08 15:00:10 [1] 15289.250 4091 NIKKEI caleb_strategy_v3 [20230900] 2023-08-08 03:00:56 [-1] 32240.000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 4091 NIKKEI caleb_strategy_v3 2023-08-07 2023-08-08 03:00:27.734 2023-08-08 03:00:56 97227.7 28.266 4093 BTP caleb_strategy_v3 2023-08-07 2023-08-08 08:00:02.776 2023-08-08 08:00:03 115203 0.224 4094 BUND caleb_strategy_v3 2023-08-07 2023-08-08 08:00:03.971 2023-08-08 08:00:05 115204 1.029 4092 DAX caleb_strategy_v3 2023-08-07 2023-08-08 08:00:01.433 2023-08-08 08:00:01 115201 NaN 4095 DAX caleb_strategy_v3 2023-08-07 2023-08-08 08:00:07.605 2023-08-08 08:00:07 115208 NaN 4096 EURIBOR-ICE caleb_strategy_v3 2023-08-07 2023-08-08 09:00:02.710 2023-08-08 09:00:03 118803 0.29 4097 EURIBOR-ICE caleb_strategy_v3 2023-08-07 2023-08-08 09:00:04.858 2023-08-08 09:01:39 118805 94.142 4098 EURIBOR-ICE caleb_strategy_v3 2023-08-07 2023-08-08 09:01:45.372 2023-08-08 09:02:02 118905 16.628 4099 COPPER caleb_strategy_v3 2023-08-07 2023-08-08 14:00:02.177 2023-08-08 14:00:02 136802 NaN 4100 GOLD_micro caleb_strategy_v3 2023-08-07 2023-08-08 14:00:03.328 2023-08-08 14:00:03 136803 NaN 4101 GOLD_micro caleb_strategy_v3 2023-08-07 2023-08-08 14:00:05.594 2023-08-08 14:00:06 136806 0.406 4102 GOLD_micro caleb_strategy_v3 2023-08-07 2023-08-08 14:00:08.502 2023-08-08 14:00:08 136809 NaN 4103 GOLD_micro caleb_strategy_v3 2023-08-07 2023-08-08 14:00:10.388 2023-08-08 14:00:10 136810 NaN 4105 NASDAQ_micro caleb_strategy_v3 2023-08-07 2023-08-08 15:00:10.492 2023-08-08 15:00:10 140410 NaN 4104 BITCOIN caleb_strategy_v3 2023-08-07 2023-08-08 15:00:01.658 2023-08-08 15:00:09 140402 7.342 4106 BITCOIN caleb_strategy_v3 2023-08-07 2023-08-08 15:00:12.760 2023-08-08 15:00:12 140413 NaN 4107 BITCOIN caleb_strategy_v3 2023-08-07 2023-08-08 15:00:15.227 2023-08-08 15:00:18 140415 2.773 ============================================================================================================================================================================================================================== 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 4091 NIKKEI caleb_strategy_v3 [-1] 32380 None 32237.5 32235 32240 32240 32240 -142.5 -2.5 5 -0 NaN 2.5 4093 BTP caleb_strategy_v3 [1] 114.64 None 115.265 115.27 115.26 115.26 115.27 -0.625 -0.005 0 -0.01 NaN -0.005 4094 BUND caleb_strategy_v3 [1] 131.87 None 132.525 132.53 132.52 132.52 132.52 -0.655 -0.005 0.01 0 NaN 0.005 4092 DAX caleb_strategy_v3 [1] 16045 None 15939 15940 15938 15938 15941 106 -1 -1 -3 NaN -2 4095 DAX caleb_strategy_v3 [1] 16045 None 15930 15931 15929 15929 15929 115 -1 2 0 NaN 1 4096 EURIBOR-ICE caleb_strategy_v3 [-1] 97.07 None 97.135 97.13 97.14 97.14 97.13 0.065 -0.005 -0 -0.01 NaN -0.005 4097 EURIBOR-ICE caleb_strategy_v3 [-1] 97.07 None 97.1325 97.13 97.135 97.135 97.125 0.0625 -0.0025 -0.005 -0.01 NaN -0.0075 4098 EURIBOR-ICE caleb_strategy_v3 [-1] 97.07 None 97.13 97.125 97.135 97.135 97.125 0.06 -0.005 -0 -0.01 NaN -0.005 4099 COPPER caleb_strategy_v3 [-1] 3.839 None 3.73775 3.7375 3.738 3.738 3.737 -0.10125 -0.00025 -0.0005 -0.001 NaN -0.00075 4100 GOLD_micro caleb_strategy_v3 [1] 1953 None 1940 1940.1 1939.9 1939.9 1940 13 -0.1 0.1 -0.1 NaN 0 4101 GOLD_micro caleb_strategy_v3 [1] 1953 None 1939.9 1940 1939.8 1939.8 1940 13.1 -0.1 0 -0.2 NaN -0.1 4102 GOLD_micro caleb_strategy_v3 [1] 1953 None 1939.9 1940 1939.8 1939.8 1939.8 13.1 -0.1 0.2 2.27374e-13 NaN 0.1 4103 GOLD_micro caleb_strategy_v3 [1] 1953 None 1939.6 1939.7 1939.5 1939.5 1939.8 13.4 -0.1 -0.1 -0.3 NaN -0.2 4105 NASDAQ_micro caleb_strategy_v3 [1] 15453.2 None 15289.6 15289.8 15289.5 15289.5 15289.2 163.625 -0.125 0.5 0.25 NaN 0.375 4104 BITCOIN caleb_strategy_v3 [-1] 29195 None 29485 29480 29490 29490 29490 290 -5 10 -0 NaN 5 4106 BITCOIN caleb_strategy_v3 [-1] 29195 None 29492.5 29485 29500 29500 29480 297.5 -7.5 -5 -20 NaN -12.5 4107 BITCOIN caleb_strategy_v3 [-1] 29195 None 29485 29480 29490 29490 29490 290 -5 10 -0 NaN 5 ============================================================================================================================================================ 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 4091 NIKKEI caleb_strategy_v3 [-1] 5447.86 -261.57 -4.58896 9.17791 -0 NaN 4.58896 4093 BTP caleb_strategy_v3 [1] 12.1365 -514.974 -4.11979 0 -8.23959 NaN -4.11979 4094 BUND caleb_strategy_v3 [1] 11.3781 -575.667 -4.3944 8.7888 0 NaN 4.3944 4092 DAX caleb_strategy_v3 [1] 2316.82 457.523 -4.31625 -4.31625 -12.9488 NaN -8.63251 4095 DAX caleb_strategy_v3 [1] 2316.82 496.369 -4.31625 8.63251 0 NaN 4.31625 4096 EURIBOR-ICE caleb_strategy_v3 [-1] 1.11979 580.467 -44.6513 -0 -89.3025 NaN -44.6513 4097 EURIBOR-ICE caleb_strategy_v3 [-1] 1.11979 558.141 -22.3256 -44.6513 -89.3025 NaN -66.9769 4098 EURIBOR-ICE caleb_strategy_v3 [-1] 1.11979 535.815 -44.6513 -0 -89.3025 NaN -44.6513 4099 COPPER caleb_strategy_v3 [-1] 0.941398 -1075.53 -2.65562 -5.31125 -10.6225 NaN -7.96687 4100 GOLD_micro caleb_strategy_v3 [1] 224.568 578.889 -4.453 4.453 -4.453 NaN 0 4101 GOLD_micro caleb_strategy_v3 [1] 224.568 583.342 -4.453 0 -8.90599 NaN -4.453 4102 GOLD_micro caleb_strategy_v3 [1] 224.568 583.342 -4.453 8.90599 1.01249e-11 NaN 4.453 4103 GOLD_micro caleb_strategy_v3 [1] 224.568 596.701 -4.453 -4.453 -13.359 NaN -8.90599 4105 NASDAQ_micro caleb_strategy_v3 [1] 2788.35 586.817 -0.448294 1.79318 0.896588 NaN 1.34488 4104 BITCOIN caleb_strategy_v3 [-1] 12317.8 235.432 -4.05918 8.11836 -0 NaN 4.05918 4106 BITCOIN caleb_strategy_v3 [-1] 12317.8 241.521 -6.08877 -4.05918 -16.2367 NaN -10.1479 4107 BITCOIN caleb_strategy_v3 [-1] 12317.8 235.432 -4.05918 8.11836 -0 NaN 4.05918 ======================================================================================================================================================================= 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 4091 NIKKEI caleb_strategy_v3 [-1] 0.697593 -99.407 -1.74398 3.48797 -0 NaN 1.74398 4093 BTP caleb_strategy_v3 [1] 1099.8 -687.375 -5.499 0 -10.998 NaN -5.499 4094 BUND caleb_strategy_v3 [1] 1099.8 -720.369 -5.499 10.998 0 NaN 5.499 4092 DAX caleb_strategy_v3 [1] 1.0998 116.579 -1.0998 -1.0998 -3.2994 NaN -2.1996 4095 DAX caleb_strategy_v3 [1] 1.0998 126.477 -1.0998 2.1996 0 NaN 1.0998 4096 EURIBOR-ICE caleb_strategy_v3 [-1] 2749.5 178.717 -13.7475 -0 -27.495 NaN -13.7475 4097 EURIBOR-ICE caleb_strategy_v3 [-1] 2749.5 171.844 -6.87375 -13.7475 -27.495 NaN -20.6212 4098 EURIBOR-ICE caleb_strategy_v3 [-1] 2749.5 164.97 -13.7475 -0 -27.495 NaN -13.7475 4099 COPPER caleb_strategy_v3 [-1] 25000 -2531.25 -6.25 -12.5 -25 NaN -18.75 4100 GOLD_micro caleb_strategy_v3 [1] 10 130 -1 1 -1 NaN 0 4101 GOLD_micro caleb_strategy_v3 [1] 10 131 -1 0 -2 NaN -1 4102 GOLD_micro caleb_strategy_v3 [1] 10 131 -1 2 2.27374e-12 NaN 1 4103 GOLD_micro caleb_strategy_v3 [1] 10 134 -1 -1 -3 NaN -2 4105 NASDAQ_micro caleb_strategy_v3 [1] 2 327.25 -0.25 1 0.5 NaN 0.75 4104 BITCOIN caleb_strategy_v3 [-1] 0.1 29 -0.5 1 -0 NaN 0.5 4106 BITCOIN caleb_strategy_v3 [-1] 0.1 29.75 -0.75 -0.5 -2 NaN -1.25 4107 BITCOIN caleb_strategy_v3 [-1] 0.1 29 -0.5 1 -0 NaN 0.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 87.750000 BTP -687.375000 BUND -720.369000 COPPER -2531.250000 DAX 243.055800 EURIBOR-ICE 515.531250 GOLD_micro 526.000000 NASDAQ_micro 327.250000 NIKKEI -99.407046 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -2338.813996 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -1.750000 BTP -5.499000 BUND -5.499000 COPPER -6.250000 DAX -2.199600 EURIBOR-ICE -34.368750 GOLD_micro -4.000000 NASDAQ_micro -0.250000 NIKKEI -1.743983 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -61.560333 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 1.500000 BTP 0.000000 BUND 10.998000 COPPER -12.500000 DAX 1.099800 EURIBOR-ICE -13.747500 GOLD_micro 2.000000 NASDAQ_micro 1.000000 NIKKEI 3.487967 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -6.161733 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -2.0000 BTP -10.9980 BUND 0.0000 COPPER -25.0000 DAX -3.2994 EURIBOR-ICE -82.4850 GOLD_micro -6.0000 NASDAQ_micro 0.5000 NIKKEI -0.0000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -129.2824 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0 BTP 0 BUND 0 COPPER 0 DAX 0 EURIBOR-ICE 0 GOLD_micro 0 NASDAQ_micro 0 NIKKEI 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 BITCOIN -0.250000 BTP -5.499000 BUND 5.499000 COPPER -18.750000 DAX -1.099800 EURIBOR-ICE -48.116250 GOLD_micro -2.000000 NASDAQ_micro 0.750000 NIKKEI 1.743983 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -67.722067 ******************************************************************************** END OF REPORT ********************************************************************************