******************************************************************************** Trades report produced on 23/08/2023 21:38 from 22/08/2023 21:38 to 23/08/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 6100 BITCOIN caleb_strategy_v3 [20230900] 2023-08-23 15:00:14 [-1] 26140.0000 5953 DAX caleb_strategy_v3 [20230900] 2023-08-23 08:00:03 [1] 15794.0000 5955 DAX caleb_strategy_v3 [20230900] 2023-08-23 08:00:09 [1] 15798.0000 6101 EUR caleb_strategy_v3 [20230900] 2023-08-23 15:00:15 [-1] 1.0851 5954 EUROSTX caleb_strategy_v3 [20230900] 2023-08-23 08:00:06 [1] 4284.0000 6102 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-08-23 15:00:16 [1] 15093.2500 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 5954 EUROSTX caleb_strategy_v3 2023-08-22 2023-08-23 08:00:04.090 2023-08-23 08:00:06 115204 1.91 5953 DAX caleb_strategy_v3 2023-08-22 2023-08-23 08:00:02.566 2023-08-23 08:00:03 115203 0.434 5955 DAX caleb_strategy_v3 2023-08-22 2023-08-23 08:00:08.675 2023-08-23 08:00:09 115209 0.325 6100 BITCOIN caleb_strategy_v3 2023-08-22 2023-08-23 15:00:01.249 2023-08-23 15:00:14 140401 12.751 6101 EUR caleb_strategy_v3 2023-08-22 2023-08-23 15:00:15.489 2023-08-23 15:00:15 140415 NaN 6102 NASDAQ_micro caleb_strategy_v3 2023-08-22 2023-08-23 15:00:16.519 2023-08-23 15:00:16 140417 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 5954 EUROSTX caleb_strategy_v3 [1] 4268 None 4284.5 4285 4284 4284 4284 -16.5 -0.5 1 0 NaN 0.5 5953 DAX caleb_strategy_v3 [1] 15751 None 15790 15791 15789 15789 15794 -39 -1 -3 -5 NaN -4 5955 DAX caleb_strategy_v3 [1] 15751 None 15793 15794 15792 15792 15798 -42 -1 -4 -6 NaN -5 6100 BITCOIN caleb_strategy_v3 [-1] 26070 None 26155 26140 26170 26170 26140 85 -15 -0 -30 NaN -15 6101 EUR caleb_strategy_v3 [-1] 1.0865 None 1.0852 1.08515 1.08525 1.08525 1.0851 -0.0013 -5e-05 -5e-05 -0.00015 NaN -0.0001 6102 NASDAQ_micro caleb_strategy_v3 [1] 15001.2 None 15093.9 15094.2 15093.5 15093.5 15093.2 -92.625 -0.375 1 0.25 NaN 0.625 ============================================================================================================================================================ 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 5954 EUROSTX caleb_strategy_v3 [1] 696.311 -236.963 -7.1807 14.3614 0 NaN 7.1807 5953 DAX caleb_strategy_v3 [1] 2179.71 -178.923 -4.58777 -13.7633 -22.9388 NaN -18.3511 5955 DAX caleb_strategy_v3 [1] 2179.71 -192.686 -4.58777 -18.3511 -27.5266 NaN -22.9388 6100 BITCOIN caleb_strategy_v3 [-1] 12940.2 65.6866 -11.5918 -0 -23.1835 NaN -11.5918 6101 EUR caleb_strategy_v3 [-1] 0.0714549 -181.933 -6.99742 -6.99742 -20.9923 NaN -13.9948 6102 NASDAQ_micro caleb_strategy_v3 [1] 2829.69 -327.333 -1.32523 3.53396 0.88349 NaN 2.20872 ======================================================================================================================================================================= 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 5954 EUROSTX caleb_strategy_v3 [1] 10.862 -179.223 -5.431 10.862 0 NaN 5.431 5953 DAX caleb_strategy_v3 [1] 1.0862 -42.3618 -1.0862 -3.2586 -5.431 NaN -4.3448 5955 DAX caleb_strategy_v3 [1] 1.0862 -45.6204 -1.0862 -4.3448 -6.5172 NaN -5.431 6100 BITCOIN caleb_strategy_v3 [-1] 0.1 8.5 -1.5 -0 -3 NaN -1.5 6101 EUR caleb_strategy_v3 [-1] 125000 -162.5 -6.25 -6.25 -18.75 NaN -12.5 6102 NASDAQ_micro caleb_strategy_v3 [1] 2 -185.25 -0.75 2 0.5 NaN 1.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 8.5000 DAX -87.9822 EUR -162.5000 EUROSTX -179.2230 NASDAQ_micro -185.2500 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -606.4552 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -1.5000 DAX -2.1724 EUR -6.2500 EUROSTX -5.4310 NASDAQ_micro -0.7500 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -16.1034 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -0.0000 DAX -7.6034 EUR -6.2500 EUROSTX 10.8620 NASDAQ_micro 2.0000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -0.9914 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -3.0000 DAX -11.9482 EUR -18.7500 EUROSTX 0.0000 NASDAQ_micro 0.5000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -33.1982 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0 DAX 0 EUR 0 EUROSTX 0 NASDAQ_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 BITCOIN -1.5000 DAX -9.7758 EUR -12.5000 EUROSTX 5.4310 NASDAQ_micro 1.2500 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -17.0948 ******************************************************************************** END OF REPORT ********************************************************************************