******************************************************************************** Trades report produced on 14/08/2023 21:38 from 13/08/2023 21:38 to 14/08/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 4165 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-14 09:04:35 [-1] 96.9900 4166 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-14 09:06:24 [-1] 96.9950 4172 GBP caleb_strategy_v3 [20230900] 2023-08-14 15:00:06 [1] 1.2633 4168 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-14 14:00:06 [1] 1923.5000 4169 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-14 14:00:08 [1] 1923.4000 4167 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-14 14:00:03 [1] 1923.7000 4170 RUSSELL caleb_strategy_v3 [20230900] 2023-08-14 15:00:02 [-1] 1910.7000 4173 RUSSELL caleb_strategy_v3 [20230900] 2023-08-14 15:00:08 [-1] 1910.1000 4175 RUSSELL caleb_strategy_v3 [20230900] 2023-08-14 15:00:12 [-1] 1909.8000 4176 SP500_micro caleb_strategy_v3 [20230900] 2023-08-14 15:00:13 [1] 4476.0000 4171 SP500_micro caleb_strategy_v3 [20230900] 2023-08-14 15:00:03 [1] 4476.7500 4174 SP500_micro caleb_strategy_v3 [20230900] 2023-08-14 15:00:09 [1] 4475.7500 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 4165 EURIBOR-ICE caleb_strategy_v3 2023-08-11 2023-08-14 09:00:02.766 2023-08-14 09:04:35 291603 272.234 4166 EURIBOR-ICE caleb_strategy_v3 2023-08-11 2023-08-14 09:04:41.325 2023-08-14 09:06:24 291881 102.675 4168 GOLD_micro caleb_strategy_v3 2023-08-11 2023-08-14 14:00:06.208 2023-08-14 14:00:06 309606 NaN 4169 GOLD_micro caleb_strategy_v3 2023-08-11 2023-08-14 14:00:08.613 2023-08-14 14:00:08 309609 NaN 4167 GOLD_micro caleb_strategy_v3 2023-08-11 2023-08-14 14:00:01.907 2023-08-14 14:00:03 309602 1.093 4172 GBP caleb_strategy_v3 2023-08-11 2023-08-14 15:00:04.330 2023-08-14 15:00:06 313204 1.67 4170 RUSSELL caleb_strategy_v3 2023-08-11 2023-08-14 15:00:02.153 2023-08-14 15:00:02 313202 NaN 4173 RUSSELL caleb_strategy_v3 2023-08-11 2023-08-14 15:00:08.574 2023-08-14 15:00:08 313209 NaN 4175 RUSSELL caleb_strategy_v3 2023-08-11 2023-08-14 15:00:12.307 2023-08-14 15:00:12 313212 NaN 4176 SP500_micro caleb_strategy_v3 2023-08-11 2023-08-14 15:00:13.111 2023-08-14 15:00:13 313213 NaN 4171 SP500_micro caleb_strategy_v3 2023-08-11 2023-08-14 15:00:03.449 2023-08-14 15:00:03 313203 NaN 4174 SP500_micro caleb_strategy_v3 2023-08-11 2023-08-14 15:00:09.585 2023-08-14 15:00:09 313210 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 4165 EURIBOR-ICE caleb_strategy_v3 [-1] 96.97 None 96.9875 96.985 96.99 96.99 96.99 0.0175 -0.0025 0.005 -1.42109e-14 NaN 0.0025 4166 EURIBOR-ICE caleb_strategy_v3 [-1] 96.97 None 96.9925 96.99 96.995 96.995 96.995 0.0225 -0.0025 0.005 -0 NaN 0.0025 4168 GOLD_micro caleb_strategy_v3 [1] 1926.1 None 1923.6 1923.7 1923.5 1923.5 1923.5 2.5 -0.1 0.2 0 NaN 0.1 4169 GOLD_micro caleb_strategy_v3 [1] 1926.1 None 1923.5 1923.6 1923.4 1923.4 1923.4 2.6 -0.1 0.2 0 NaN 0.1 4167 GOLD_micro caleb_strategy_v3 [1] 1926.1 None 1923.55 1923.7 1923.4 1923.4 1923.7 2.55 -0.15 0 -0.3 NaN -0.15 4172 GBP caleb_strategy_v3 [1] 1.2697 None 1.26315 1.2632 1.2631 1.2631 1.2633 0.00655 -5e-05 -0.0001 -0.0002 NaN -0.00015 4170 RUSSELL caleb_strategy_v3 [-1] 1931.1 None 1910.65 1910.6 1910.7 1910.7 1910.7 -20.45 -0.05 0.1 -0 NaN 0.05 4173 RUSSELL caleb_strategy_v3 [-1] 1931.1 None 1910.7 1910.6 1910.8 1910.8 1910.1 -20.4 -0.1 -0.5 -0.7 NaN -0.6 4175 RUSSELL caleb_strategy_v3 [-1] 1931.1 None 1910.1 1910 1910.2 1910.2 1909.8 -21 -0.1 -0.2 -0.4 NaN -0.3 4176 SP500_micro caleb_strategy_v3 [1] 4481 None 4475.62 4475.75 4475.5 4475.5 4476 5.375 -0.125 -0.25 -0.5 NaN -0.375 4171 SP500_micro caleb_strategy_v3 [1] 4481 None 4476.88 4477 4476.75 4476.75 4476.75 4.125 -0.125 0.25 0 NaN 0.125 4174 SP500_micro caleb_strategy_v3 [1] 4481 None 4476.62 4476.75 4476.5 4476.5 4475.75 4.375 -0.125 1 0.75 NaN 0.875 ============================================================================================================================================================ 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 4165 EURIBOR-ICE caleb_strategy_v3 [-1] 1.12628 155.378 -22.1969 44.3938 -1.26175e-10 NaN 22.1969 4166 EURIBOR-ICE caleb_strategy_v3 [-1] 1.12628 199.772 -22.1969 44.3938 -0 NaN 22.1969 4168 GOLD_micro caleb_strategy_v3 [1] 214.961 116.3 -4.652 9.304 0 NaN 4.652 4169 GOLD_micro caleb_strategy_v3 [1] 214.961 120.952 -4.652 9.304 0 NaN 4.652 4167 GOLD_micro caleb_strategy_v3 [1] 214.961 118.626 -6.978 0 -13.956 NaN -6.978 4172 GBP caleb_strategy_v3 [1] 0.101137 647.635 -4.94378 -9.88755 -19.7751 NaN -14.8313 4170 RUSSELL caleb_strategy_v3 [-1] 331.207 -617.438 -1.50963 3.01926 -0 NaN 1.50963 4173 RUSSELL caleb_strategy_v3 [-1] 331.207 -615.929 -3.01926 -15.0963 -21.1348 NaN -18.1155 4175 RUSSELL caleb_strategy_v3 [-1] 331.207 -634.044 -3.01926 -6.03852 -12.077 NaN -9.05777 4176 SP500_micro caleb_strategy_v3 [1] 537.471 100.005 -2.32571 -4.65141 -9.30283 NaN -6.97712 4171 SP500_micro caleb_strategy_v3 [1] 537.471 76.7483 -2.32571 4.65141 0 NaN 2.32571 4174 SP500_micro caleb_strategy_v3 [1] 537.471 81.3997 -2.32571 18.6057 13.9542 NaN 16.2799 ======================================================================================================================================================================= 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 4165 EURIBOR-ICE caleb_strategy_v3 [-1] 2732.38 47.8166 -6.83094 13.6619 -3.88294e-11 NaN 6.83094 4166 EURIBOR-ICE caleb_strategy_v3 [-1] 2732.38 61.4784 -6.83094 13.6619 -0 NaN 6.83094 4168 GOLD_micro caleb_strategy_v3 [1] 10 25 -1 2 0 NaN 1 4169 GOLD_micro caleb_strategy_v3 [1] 10 26 -1 2 0 NaN 1 4167 GOLD_micro caleb_strategy_v3 [1] 10 25.5 -1.5 0 -3 NaN -1.5 4172 GBP caleb_strategy_v3 [1] 62500 409.375 -3.125 -6.25 -12.5 NaN -9.375 4170 RUSSELL caleb_strategy_v3 [-1] 5 -102.25 -0.25 0.5 -0 NaN 0.25 4173 RUSSELL caleb_strategy_v3 [-1] 5 -102 -0.5 -2.5 -3.5 NaN -3 4175 RUSSELL caleb_strategy_v3 [-1] 5 -105 -0.5 -1 -2 NaN -1.5 4176 SP500_micro caleb_strategy_v3 [1] 5 26.875 -0.625 -1.25 -2.5 NaN -1.875 4171 SP500_micro caleb_strategy_v3 [1] 5 20.625 -0.625 1.25 0 NaN 0.625 4174 SP500_micro caleb_strategy_v3 [1] 5 21.875 -0.625 5 3.75 NaN 4.375 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 109.295 GBP 409.375 GOLD_micro 76.500 RUSSELL -309.250 SP500_micro 69.375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 355.295 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -13.661875 GBP -3.125000 GOLD_micro -3.500000 RUSSELL -1.250000 SP500_micro -1.875000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -23.411875 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 27.32375 GBP -6.25000 GOLD_micro 4.00000 RUSSELL -3.00000 SP500_micro 5.00000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 27.07375 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -3.882938e-11 GBP -1.250000e+01 GOLD_micro -3.000000e+00 RUSSELL -5.500000e+00 SP500_micro 1.250000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -19.75 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 0 GBP 0 GOLD_micro 0 RUSSELL 0 SP500_micro 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 EURIBOR-ICE 13.661875 GBP -9.375000 GOLD_micro 0.500000 RUSSELL -4.250000 SP500_micro 3.125000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 3.661875 ******************************************************************************** END OF REPORT ********************************************************************************