******************************************************************************** Trades report produced on 05/09/2023 21:39 from 04/09/2023 21:39 to 05/09/2023 21:39 ******************************************************************************** ============================================================================================================ Broker orders ============================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price 6366 BOBL _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-05 11:23:45 [1, -1] -1.290 6364 BOBL _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-05 11:18:19 [1, -1] -1.290 6363 BOBL _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-05 11:13:16 [1, -1] -1.290 6351 BOBL _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-05 10:18:17 [1, -1] -1.290 6361 BOBL _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-05 11:07:35 [1, -1] -1.280 6359 BOBL _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-05 10:58:55 [1, -1] -1.290 6357 BOBL _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-05 10:48:51 [1, -1] -1.290 6355 BOBL _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-05 10:38:47 [1, -1] -1.290 6353 BOBL _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-05 10:28:43 [1, -1] -1.290 6365 BOBL _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-05 11:23:18 [1, -1] -1.280 6362 BTP _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-05 11:12:38 [-1, 1] 0.510 6358 BTP _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-05 10:53:54 [-1, 1] 0.510 6356 BTP _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-05 10:43:50 [-1, 1] 0.510 6354 BTP _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-05 10:33:46 [-1, 1] 0.510 6352 BTP _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-05 10:23:43 [-1, 1] 0.520 6360 BTP _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-05 11:02:34 [-1, 1] 0.520 6350 BUND _ROLL_PSEUDO_STRATEGY [20230900, 20231200] 2023-09-05 10:13:15 [-1, 1] 0.520 6347 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-05 09:59:16 [-1] 97.075 6348 SMI caleb_strategy_v3 [20230900] 2023-09-05 09:59:28 [1] 11019.000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 6347 EURIBOR-ICE caleb_strategy_v3 2023-09-05 00:00:00 2023-09-05 10:54:16.854 2023-09-05 09:59:16 39256.9 NaN 6348 SMI caleb_strategy_v3 2023-09-05 00:00:00 2023-09-05 10:59:18.358 2023-09-05 09:59:28 39558.4 NaN 6350 BUND _ROLL_PSEUDO_STRATEGY 2023-09-05 09:00:00 2023-09-05 11:08:15.459 2023-09-05 10:13:15 7695.46 NaN 6351 BOBL _ROLL_PSEUDO_STRATEGY 2023-09-05 09:00:00 2023-09-05 11:13:17.597 2023-09-05 10:18:17 7997.6 NaN 6352 BTP _ROLL_PSEUDO_STRATEGY 2023-09-05 09:00:00 2023-09-05 11:21:24.477 2023-09-05 10:23:43 8484.48 NaN 6354 BTP _ROLL_PSEUDO_STRATEGY 2023-09-05 09:00:00 2023-09-05 11:28:46.409 2023-09-05 10:33:46 8926.41 NaN 6356 BTP _ROLL_PSEUDO_STRATEGY 2023-09-05 09:00:00 2023-09-05 11:38:50.416 2023-09-05 10:43:50 9530.42 NaN 6358 BTP _ROLL_PSEUDO_STRATEGY 2023-09-05 09:00:00 2023-09-05 11:48:54.184 2023-09-05 10:53:54 10134.2 NaN 6360 BTP _ROLL_PSEUDO_STRATEGY 2023-09-05 09:00:00 2023-09-05 11:58:57.564 2023-09-05 11:02:34 10737.6 NaN 6362 BTP _ROLL_PSEUDO_STRATEGY 2023-09-05 09:00:00 2023-09-05 12:07:38.818 2023-09-05 11:12:38 11258.8 NaN 6353 BOBL _ROLL_PSEUDO_STRATEGY 2023-09-05 09:00:00 2023-09-05 11:23:43.762 2023-09-05 10:28:43 8623.76 NaN 6355 BOBL _ROLL_PSEUDO_STRATEGY 2023-09-05 09:00:00 2023-09-05 11:33:47.352 2023-09-05 10:38:47 9227.35 NaN 6357 BOBL _ROLL_PSEUDO_STRATEGY 2023-09-05 09:00:00 2023-09-05 11:43:51.288 2023-09-05 10:48:51 9831.29 NaN 6359 BOBL _ROLL_PSEUDO_STRATEGY 2023-09-05 09:00:00 2023-09-05 11:53:55.004 2023-09-05 10:58:55 10435 NaN 6361 BOBL _ROLL_PSEUDO_STRATEGY 2023-09-05 09:00:00 2023-09-05 12:02:35.680 2023-09-05 11:07:35 10955.7 NaN 6363 BOBL _ROLL_PSEUDO_STRATEGY 2023-09-05 09:00:00 2023-09-05 12:12:39.681 2023-09-05 11:13:16 11559.7 NaN 6364 BOBL _ROLL_PSEUDO_STRATEGY 2023-09-05 09:00:00 2023-09-05 12:13:18.947 2023-09-05 11:18:19 11598.9 NaN 6365 BOBL _ROLL_PSEUDO_STRATEGY 2023-09-05 09:00:00 2023-09-05 12:18:21.460 2023-09-05 11:23:18 11901.5 NaN 6366 BOBL _ROLL_PSEUDO_STRATEGY 2023-09-05 09:00:00 2023-09-05 12:23:24.917 2023-09-05 11:23:45 12204.9 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 6347 EURIBOR-ICE caleb_strategy_v3 [-1] 97.095 None 97.0775 97.075 97.08 97.08 97.075 -0.0175 -0.0025 -0 -0.005 NaN -0.0025 6348 SMI caleb_strategy_v3 [1] 11007 None 11020 11021 11019 11019 11019 -13 -1 2 0 NaN 1 6350 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 0.53 None 0.525 0.52 0.53 0.53 0.52 -0.005 -0.005 1.02141e-14 -0.01 NaN -0.005 6351 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] -1.3 None -1.295 -1.29 -1.3 -1.3 -1.29 -0.005 -0.005 -7.99361e-15 -0.01 NaN -0.005 6352 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.5 None 0.515 0.51 0.52 0.52 0.52 0.015 -0.005 0.01 -3.9968e-15 NaN 0.005 6354 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.5 None 0.515 0.51 0.52 0.52 0.51 0.015 -0.005 5.10703e-15 -0.01 NaN -0.005 6356 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.5 None 0.515 0.51 0.52 0.52 0.51 0.015 -0.005 5.10703e-15 -0.01 NaN -0.005 6358 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.5 None 0.515 0.51 0.52 0.52 0.51 0.015 -0.005 5.10703e-15 -0.01 NaN -0.005 6360 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.5 None 0.515 0.51 0.52 0.52 0.52 0.015 -0.005 0.01 -3.9968e-15 NaN 0.005 6362 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.5 None 0.515 0.51 0.52 0.52 0.51 0.015 -0.005 5.10703e-15 -0.01 NaN -0.005 6353 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] -1.3 None -1.295 -1.29 -1.3 -1.3 -1.29 -0.005 -0.005 -7.99361e-15 -0.01 NaN -0.005 6355 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] -1.3 None -1.295 -1.29 -1.3 -1.3 -1.29 -0.005 -0.005 6.21725e-15 -0.01 NaN -0.005 6357 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] -1.3 None -1.295 -1.29 -1.3 -1.3 -1.29 -0.005 -0.005 6.21725e-15 -0.01 NaN -0.005 6359 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] -1.3 None -1.295 -1.29 -1.3 -1.3 -1.29 -0.005 -0.005 -7.99361e-15 -0.01 NaN -0.005 6361 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] -1.3 None -1.285 -1.28 -1.29 -1.29 -1.28 -0.015 -0.005 1.11022e-15 -0.01 NaN -0.005 6363 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] -1.3 None -1.285 -1.28 -1.29 -1.29 -1.29 -0.015 -0.005 0.01 6.21725e-15 NaN 0.005 6364 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] -1.3 None -1.295 -1.29 -1.3 -1.3 -1.29 -0.005 -0.005 6.21725e-15 -0.01 NaN -0.005 6365 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] -1.3 None -1.295 -1.29 -1.3 -1.3 -1.28 -0.005 -0.005 -0.01 -0.02 NaN -0.015 6366 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] -1.3 None -1.285 -1.28 -1.29 -1.29 -1.29 -0.015 -0.005 0.01 6.21725e-15 NaN 0.005 =================================================================================================================================================================== 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 6347 EURIBOR-ICE caleb_strategy_v3 [-1] 1.08868 -160.745 -22.9636 -0 -45.9272 NaN -22.9636 6348 SMI caleb_strategy_v3 [1] 1247.49 -104.209 -8.01607 16.0321 0 NaN 8.01607 6350 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 11.4497 -4.36692 -4.36692 8.92079e-12 -8.73384 NaN -4.36692 6351 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 5.42251 -9.22082 -9.22082 -1.47415e-11 -18.4416 NaN -9.22082 6352 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 11.585 12.9478 -4.31594 8.63188 -3.44999e-12 NaN 4.31594 6354 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 11.585 12.9478 -4.31594 4.40832e-12 -8.63188 NaN -4.31594 6356 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 11.585 12.9478 -4.31594 4.40832e-12 -8.63188 NaN -4.31594 6358 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 11.585 12.9478 -4.31594 4.40832e-12 -8.63188 NaN -4.31594 6360 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 11.585 12.9478 -4.31594 8.63188 -3.44999e-12 NaN 4.31594 6362 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 11.585 12.9478 -4.31594 4.40832e-12 -8.63188 NaN -4.31594 6353 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 5.42251 -9.22082 -9.22082 -1.47415e-11 -18.4416 NaN -9.22082 6355 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 5.42251 -9.22082 -9.22082 1.14656e-11 -18.4416 NaN -9.22082 6357 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 5.42251 -9.22082 -9.22082 1.14656e-11 -18.4416 NaN -9.22082 6359 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 5.42251 -9.22082 -9.22082 -1.47415e-11 -18.4416 NaN -9.22082 6361 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 5.42251 -27.6625 -9.22082 2.04743e-12 -18.4416 NaN -9.22082 6363 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 5.42251 -27.6625 -9.22082 18.4416 1.14656e-11 NaN 9.22082 6364 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 5.42251 -9.22082 -9.22082 1.14656e-11 -18.4416 NaN -9.22082 6365 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 5.42251 -9.22082 -9.22082 -18.4416 -36.8833 NaN -27.6625 6366 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 5.42251 -27.6625 -9.22082 18.4416 1.14656e-11 NaN 9.22082 ============================================================================================================================================================================== 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 6347 EURIBOR-ICE caleb_strategy_v3 [-1] 2687.25 -47.0269 -6.71812 -0 -13.4362 NaN -6.71812 6348 SMI caleb_strategy_v3 [1] 11.264 -146.432 -11.264 22.528 0 NaN 11.264 6350 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 1074.9 -5.3745 -5.3745 1.09791e-11 -10.749 NaN -5.3745 6351 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 1074.9 -5.3745 -5.3745 -8.59233e-12 -10.749 NaN -5.3745 6352 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 1074.9 16.1235 -5.3745 10.749 -4.29616e-12 NaN 5.3745 6354 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 1074.9 16.1235 -5.3745 5.48954e-12 -10.749 NaN -5.3745 6356 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 1074.9 16.1235 -5.3745 5.48954e-12 -10.749 NaN -5.3745 6358 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 1074.9 16.1235 -5.3745 5.48954e-12 -10.749 NaN -5.3745 6360 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 1074.9 16.1235 -5.3745 10.749 -4.29616e-12 NaN 5.3745 6362 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 1074.9 16.1235 -5.3745 5.48954e-12 -10.749 NaN -5.3745 6353 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 1074.9 -5.3745 -5.3745 -8.59233e-12 -10.749 NaN -5.3745 6355 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 1074.9 -5.3745 -5.3745 6.68292e-12 -10.749 NaN -5.3745 6357 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 1074.9 -5.3745 -5.3745 6.68292e-12 -10.749 NaN -5.3745 6359 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 1074.9 -5.3745 -5.3745 -8.59233e-12 -10.749 NaN -5.3745 6361 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 1074.9 -16.1235 -5.3745 1.19338e-12 -10.749 NaN -5.3745 6363 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 1074.9 -16.1235 -5.3745 10.749 6.68292e-12 NaN 5.3745 6364 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 1074.9 -5.3745 -5.3745 6.68292e-12 -10.749 NaN -5.3745 6365 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 1074.9 -5.3745 -5.3745 -10.749 -21.498 NaN -16.1235 6366 BOBL _ROLL_PSEUDO_STRATEGY [1, -1] 1074.9 -16.1235 -5.3745 10.749 6.68292e-12 NaN 5.3745 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL -85.992000 BTP 96.741000 BUND -5.374500 caleb_strategy_v3 EURIBOR-ICE -47.026875 SMI -146.432000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 5.374500 caleb_strategy_v3 -193.458875 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL -53.745000 BTP -32.247000 BUND -5.374500 caleb_strategy_v3 EURIBOR-ICE -6.718125 SMI -11.264000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -91.366500 caleb_strategy_v3 -17.982125 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL 1.074900e+01 BTP 2.149800e+01 BUND 1.097908e-11 caleb_strategy_v3 EURIBOR-ICE -0.000000e+00 SMI 2.252800e+01 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 32.247 caleb_strategy_v3 22.528 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL -96.74100 BTP -42.99600 BUND -10.74900 caleb_strategy_v3 EURIBOR-ICE -13.43625 SMI 0.00000 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -150.48600 caleb_strategy_v3 -13.43625 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL 0 BTP 0 BUND 0 caleb_strategy_v3 EURIBOR-ICE 0 SMI 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BOBL -42.996000 BTP -10.749000 BUND -5.374500 caleb_strategy_v3 EURIBOR-ICE -6.718125 SMI 11.264000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -59.119500 caleb_strategy_v3 4.545875 ******************************************************************************** END OF REPORT ********************************************************************************