******************************************************************************** Trades report produced on 09/08/2023 21:38 from 08/08/2023 21:38 to 09/08/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 4111 BTP caleb_strategy_v3 [20230900] 2023-08-09 08:00:04 [1] 115.84 4110 DAX caleb_strategy_v3 [20230900] 2023-08-09 08:00:03 [-1] 15963.00 4112 GASOIL caleb_strategy_v3 [20231000] 2023-08-09 09:00:02 [1] 892.75 4109 JGB-SGX-mini caleb_strategy_v3 [20230900] 2023-08-09 03:00:48 [1] 146.96 4108 NIKKEI caleb_strategy_v3 [20230900] 2023-08-09 03:00:35 [1] 32295.00 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 4108 NIKKEI caleb_strategy_v3 2023-08-08 2023-08-09 03:00:18.654 2023-08-09 03:00:35 97218.7 16.346 4109 JGB-SGX-mini caleb_strategy_v3 2023-08-08 2023-08-09 03:00:47.774 2023-08-09 03:00:48 97247.8 0.226 4110 DAX caleb_strategy_v3 2023-08-08 2023-08-09 08:00:02.503 2023-08-09 08:00:03 115203 0.497 4111 BTP caleb_strategy_v3 2023-08-08 2023-08-09 08:00:03.984 2023-08-09 08:00:04 115204 0.016 4112 GASOIL caleb_strategy_v3 2023-08-08 2023-08-09 09:00:01.360 2023-08-09 09:00:02 118801 0.64 =========================================================================================================================================================================================================================== 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 4108 NIKKEI caleb_strategy_v3 [1] 32295 None 32297.5 32300 32295 32295 32295 -2.5 -2.5 5 0 NaN 2.5 4109 JGB-SGX-mini caleb_strategy_v3 [1] 146.84 None 146.925 146.96 146.89 NaN 146.96 -0.085 -0.035 0 NaN NaN -0.035 4110 DAX caleb_strategy_v3 [-1] 15898 None 15965 15964 15966 15966 15963 67 -1 -1 -3 NaN -2 4111 BTP caleb_strategy_v3 [1] 115.82 None 115.845 115.85 115.84 115.84 115.84 -0.025 -0.005 0.01 0 NaN 0.005 4112 GASOIL caleb_strategy_v3 [1] 884.75 None 893.125 893.25 893 893 892.75 -8.375 -0.125 0.5 0.25 NaN 0.375 ============================================================================================================================================================ 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 4108 NIKKEI caleb_strategy_v3 [1] 5344.26 -4.67792 -4.67792 9.35583 0 NaN 4.67792 4109 JGB-SGX-mini caleb_strategy_v3 [1] 4.93289 -172.313 -70.9524 0 NaN NaN -70.9524 4110 DAX caleb_strategy_v3 [-1] 2375.7 282.022 -4.20928 -4.20928 -12.6278 NaN -8.41856 4111 BTP caleb_strategy_v3 [1] 11.7866 -21.2106 -4.24212 8.48423 0 NaN 4.24212 4112 GASOIL caleb_strategy_v3 [1] 309.523 -270.578 -4.03847 16.1539 8.07694 NaN 12.1154 ======================================================================================================================================================================= 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 4108 NIKKEI caleb_strategy_v3 [1] 0.69869 -1.74672 -1.74672 3.49345 0 NaN 1.74672 4109 JGB-SGX-mini caleb_strategy_v3 [1] 698.69 -59.3886 -24.4541 0 NaN NaN -24.4541 4110 DAX caleb_strategy_v3 [-1] 1.0978 73.5526 -1.0978 -1.0978 -3.2934 NaN -2.1956 4111 BTP caleb_strategy_v3 [1] 1097.8 -27.445 -5.489 10.978 0 NaN 5.489 4112 GASOIL caleb_strategy_v3 [1] 100 -837.5 -12.5 50 25 NaN 37.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BTP -27.445000 DAX 73.552600 GASOIL -837.500000 JGB-SGX-mini -59.388646 NIKKEI -1.746725 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -852.527771 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BTP -5.489000 DAX -1.097800 GASOIL -12.500000 JGB-SGX-mini -24.454148 NIKKEI -1.746725 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -45.287673 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BTP 10.97800 DAX -1.09780 GASOIL 50.00000 JGB-SGX-mini 0.00000 NIKKEI 3.49345 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 63.37365 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP 0.0000 DAX -3.2934 GASOIL 25.0000 JGB-SGX-mini 0.0000 NIKKEI 0.0000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 21.7066 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP 0 DAX 0 GASOIL 0 JGB-SGX-mini 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 BTP 5.489000 DAX -2.195600 GASOIL 37.500000 JGB-SGX-mini -24.454148 NIKKEI 1.746725 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 18.085976 ******************************************************************************** END OF REPORT ********************************************************************************