******************************************************************************** Trades report produced on 24/08/2023 21:38 from 23/08/2023 21:38 to 24/08/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 6112 BITCOIN caleb_strategy_v3 [20230900] 2023-08-24 14:00:08 [-1] 26425.00000 6115 BITCOIN caleb_strategy_v3 [20230900] 2023-08-24 14:00:16 [-1] 26425.00000 6114 CHF caleb_strategy_v3 [20230900] 2023-08-24 14:00:11 [1] 1.13820 6111 CHF caleb_strategy_v3 [20230900] 2023-08-24 14:00:03 [1] 1.13805 6105 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-24 08:00:26 [1] 97.13000 6106 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-24 08:00:59 [1] 97.13500 6107 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-08-24 08:01:20 [1] 97.13000 6104 EUROSTX caleb_strategy_v3 [20230900] 2023-08-24 07:00:03 [1] 4319.00000 6108 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-24 13:00:05 [-1] 1924.30000 6109 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-24 13:00:07 [-1] 1924.10000 6110 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-24 13:00:10 [-1] 1923.80000 6113 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-08-24 14:00:09 [1] 15231.25000 6103 SMI caleb_strategy_v3 [20230900] 2023-08-24 07:00:02 [-1] 11035.00000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 6103 SMI caleb_strategy_v3 2023-08-23 2023-08-24 08:00:01.679 2023-08-24 07:00:02 115202 NaN 6104 EUROSTX caleb_strategy_v3 2023-08-23 2023-08-24 08:00:03.107 2023-08-24 07:00:03 115203 NaN 6105 EURIBOR-ICE caleb_strategy_v3 2023-08-23 2023-08-24 09:00:04.589 2023-08-24 08:00:26 118805 NaN 6106 EURIBOR-ICE caleb_strategy_v3 2023-08-23 2023-08-24 09:00:32.428 2023-08-24 08:00:59 118832 NaN 6107 EURIBOR-ICE caleb_strategy_v3 2023-08-23 2023-08-24 09:01:01.743 2023-08-24 08:01:20 118862 NaN 6108 GOLD_micro caleb_strategy_v3 2023-08-23 2023-08-24 14:00:02.494 2023-08-24 13:00:05 136802 NaN 6109 GOLD_micro caleb_strategy_v3 2023-08-23 2023-08-24 14:00:06.890 2023-08-24 13:00:07 136807 NaN 6110 GOLD_micro caleb_strategy_v3 2023-08-23 2023-08-24 14:00:09.603 2023-08-24 13:00:10 136810 NaN 6113 NASDAQ_micro caleb_strategy_v3 2023-08-23 2023-08-24 15:00:09.310 2023-08-24 14:00:09 140409 NaN 6114 CHF caleb_strategy_v3 2023-08-23 2023-08-24 15:00:11.424 2023-08-24 14:00:11 140411 NaN 6111 CHF caleb_strategy_v3 2023-08-23 2023-08-24 15:00:02.515 2023-08-24 14:00:03 140403 NaN 6112 BITCOIN caleb_strategy_v3 2023-08-23 2023-08-24 15:00:04.619 2023-08-24 14:00:08 140405 NaN 6115 BITCOIN caleb_strategy_v3 2023-08-23 2023-08-24 15:00:12.576 2023-08-24 14:00:16 140413 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 6103 SMI caleb_strategy_v3 [-1] 10987 None 11033.5 11032 11035 11035 11035 46.5 -1.5 3 -0 NaN 1.5 6104 EUROSTX caleb_strategy_v3 [1] 4285 None 4317.5 4318 4317 4317 4319 -32.5 -0.5 -1 -2 NaN -1.5 6105 EURIBOR-ICE caleb_strategy_v3 [1] 97.125 None 97.1325 97.135 97.13 97.13 97.13 -0.0075 -0.0025 0.005 0 NaN 0.0025 6106 EURIBOR-ICE caleb_strategy_v3 [1] 97.125 None 97.1275 97.13 97.125 97.125 97.135 -0.0025 -0.0025 -0.005 -0.01 NaN -0.0075 6107 EURIBOR-ICE caleb_strategy_v3 [1] 97.125 None 97.1325 97.135 97.13 97.13 97.13 -0.0075 -0.0025 0.005 0 NaN 0.0025 6108 GOLD_micro caleb_strategy_v3 [-1] 1928 None 1924.4 1924.3 1924.5 1924.5 1924.3 -3.6 -0.1 -0 -0.2 NaN -0.1 6109 GOLD_micro caleb_strategy_v3 [-1] 1928 None 1924.4 1924.3 1924.5 NaN 1924.1 -3.6 -0.1 -0.2 NaN NaN -0.3 6110 GOLD_micro caleb_strategy_v3 [-1] 1928 None 1924 1923.9 1924.1 1924.1 1923.8 -4 -0.1 -0.1 -0.3 NaN -0.2 6113 NASDAQ_micro caleb_strategy_v3 [1] 15224.2 None 15231.4 15231.5 15231.2 15231.2 15231.2 -7.125 -0.125 0.25 0 NaN 0.125 6114 CHF caleb_strategy_v3 [1] 1.14245 None 1.138 1.13805 1.13795 NaN 1.1382 0.00445 -5e-05 -0.00015 NaN NaN -0.0002 6111 CHF caleb_strategy_v3 [1] 1.14245 None 1.13805 1.1381 1.138 1.138 1.13805 0.0044 -5e-05 5e-05 -5e-05 NaN -2.22045e-16 6112 BITCOIN caleb_strategy_v3 [-1] 26595 None 26442.5 26425 26460 26460 26425 -152.5 -17.5 -0 -35 NaN -17.5 6115 BITCOIN caleb_strategy_v3 [-1] 26595 None 26445 26425 26465 26465 26425 -150 -20 -0 -40 NaN -20 ============================================================================================================================================================ 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 6103 SMI caleb_strategy_v3 [-1] 1289.89 360.496 -11.6289 23.2578 -0 NaN 11.6289 6104 EUROSTX caleb_strategy_v3 [1] 692.776 -469.127 -7.21734 -14.4347 -28.8694 NaN -21.652 6105 EURIBOR-ICE caleb_strategy_v3 [1] 1.15314 -65.0398 -21.6799 43.3598 0 NaN 21.6799 6106 EURIBOR-ICE caleb_strategy_v3 [1] 1.15314 -21.6799 -21.6799 -43.3598 -86.7197 NaN -65.0398 6107 EURIBOR-ICE caleb_strategy_v3 [1] 1.15314 -65.0398 -21.6799 43.3598 0 NaN 21.6799 6108 GOLD_micro caleb_strategy_v3 [-1] 201.355 -178.789 -4.96636 -0 -9.93273 NaN -4.96636 6109 GOLD_micro caleb_strategy_v3 [-1] 201.355 -178.789 -4.96636 -9.93273 NaN NaN -14.8991 6110 GOLD_micro caleb_strategy_v3 [-1] 201.355 -198.655 -4.96636 -4.96636 -14.8991 NaN -9.93273 6113 NASDAQ_micro caleb_strategy_v3 [1] 3250.56 -21.9193 -0.384549 0.769099 0 NaN 0.384549 6114 CHF caleb_strategy_v3 [1] 0.0827821 537.556 -6.03995 -18.1199 NaN NaN -24.1598 6111 CHF caleb_strategy_v3 [1] 0.0827821 531.516 -6.03995 6.03995 -6.03995 NaN -2.68228e-11 6112 BITCOIN caleb_strategy_v3 [-1] 12972 -117.561 -13.4906 -0 -26.9813 NaN -13.4906 6115 BITCOIN caleb_strategy_v3 [-1] 12972 -115.634 -15.4179 -0 -30.8357 NaN -15.4179 ======================================================================================================================================================================= 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 6103 SMI caleb_strategy_v3 [-1] 11.4145 530.774 -17.1217 34.2435 -0 NaN 17.1217 6104 EUROSTX caleb_strategy_v3 [1] 10.872 -353.34 -5.436 -10.872 -21.744 NaN -16.308 6105 EURIBOR-ICE caleb_strategy_v3 [1] 2718 -20.385 -6.795 13.59 0 NaN 6.795 6106 EURIBOR-ICE caleb_strategy_v3 [1] 2718 -6.795 -6.795 -13.59 -27.18 NaN -20.385 6107 EURIBOR-ICE caleb_strategy_v3 [1] 2718 -20.385 -6.795 13.59 0 NaN 6.795 6108 GOLD_micro caleb_strategy_v3 [-1] 10 -36 -1 -0 -2 NaN -1 6109 GOLD_micro caleb_strategy_v3 [-1] 10 -36 -1 -2 NaN NaN -3 6110 GOLD_micro caleb_strategy_v3 [-1] 10 -40 -1 -1 -3 NaN -2 6113 NASDAQ_micro caleb_strategy_v3 [1] 2 -14.25 -0.25 0.5 0 NaN 0.25 6114 CHF caleb_strategy_v3 [1] 125000 556.25 -6.25 -18.75 NaN NaN -25 6111 CHF caleb_strategy_v3 [1] 125000 550 -6.25 6.25 -6.25 NaN -2.77556e-11 6112 BITCOIN caleb_strategy_v3 [-1] 0.1 -15.25 -1.75 -0 -3.5 NaN -1.75 6115 BITCOIN caleb_strategy_v3 [-1] 0.1 -15 -2 -0 -4 NaN -2 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -30.25000 CHF 1106.25000 EURIBOR-ICE -47.56500 EUROSTX -353.34000 GOLD_micro -112.00000 NASDAQ_micro -14.25000 SMI 530.77425 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1079.61925 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -3.75000 CHF -12.50000 EURIBOR-ICE -20.38500 EUROSTX -5.43600 GOLD_micro -3.00000 NASDAQ_micro -0.25000 SMI -17.12175 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -62.44275 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -0.0000 CHF -12.5000 EURIBOR-ICE 13.5900 EUROSTX -10.8720 GOLD_micro -3.0000 NASDAQ_micro 0.5000 SMI 34.2435 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 21.9615 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -7.500 CHF -6.250 EURIBOR-ICE -27.180 EUROSTX -21.744 GOLD_micro -5.000 NASDAQ_micro 0.000 SMI -0.000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -67.674 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0 CHF 0 EURIBOR-ICE 0 EUROSTX 0 GOLD_micro 0 NASDAQ_micro 0 SMI 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 -3.75000 CHF -25.00000 EURIBOR-ICE -6.79500 EUROSTX -16.30800 GOLD_micro -6.00000 NASDAQ_micro 0.25000 SMI 17.12175 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -40.48125 ******************************************************************************** END OF REPORT ********************************************************************************