******************************************************************************** Trades report produced on 15/09/2023 21:39 from 14/09/2023 21:39 to 15/09/2023 21:39 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 6904 BUXL caleb_strategy_v3 [20231200] 2023-09-15 07:00:04.000 [-1] 129.560 6912 CAC caleb_strategy_v3 [20231000] 2023-09-15 07:25:44.000 [1] 7424.000 6905 CAC caleb_strategy_v3 [20231000] 2023-09-15 20:05:04.868 [0] NaN 6909 CAC caleb_strategy_v3 [20231000] 2023-09-15 20:05:04.900 [0] NaN 6911 CAC caleb_strategy_v3 [20231000] 2023-09-15 07:25:39.000 [1] 7423.000 6913 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-15 08:01:02.000 [1] 97.010 6914 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-15 08:01:05.000 [1] 97.010 6915 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-15 08:01:24.000 [1] 97.015 6907 EUROSTX caleb_strategy_v3 [20231200] 2023-09-15 07:10:13.000 [-1] 4352.000 6910 EUROSTX caleb_strategy_v3 [20231200] 2023-09-15 07:20:26.000 [-1] 4356.000 6903 NIKKEI caleb_strategy_v3 [20231200] 2023-09-15 02:00:36.000 [1] 33385.000 6908 OAT caleb_strategy_v3 [20231200] 2023-09-15 07:10:19.000 [1] 125.570 6906 SMI caleb_strategy_v3 [20231200] 2023-09-15 07:10:08.000 [1] 11259.000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 6903 NIKKEI caleb_strategy_v3 2023-09-14 2023-09-15 03:00:35.279 2023-09-15 02:00:36.000 97235.3 NaN 6904 BUXL caleb_strategy_v3 2023-09-14 2023-09-15 08:00:03.415 2023-09-15 07:00:04.000 115203 NaN 6906 SMI caleb_strategy_v3 2023-09-14 2023-09-15 08:10:07.483 2023-09-15 07:10:08.000 115807 NaN 6908 OAT caleb_strategy_v3 2023-09-14 2023-09-15 08:10:14.228 2023-09-15 07:10:19.000 115814 NaN 6907 EUROSTX caleb_strategy_v3 2023-09-14 2023-09-15 08:10:09.269 2023-09-15 07:10:13.000 115809 NaN 6910 EUROSTX caleb_strategy_v3 2023-09-14 2023-09-15 08:20:26.584 2023-09-15 07:20:26.000 116427 NaN 6913 EURIBOR-ICE caleb_strategy_v3 2023-09-14 2023-09-15 09:00:04.900 2023-09-15 08:01:02.000 118805 NaN 6914 EURIBOR-ICE caleb_strategy_v3 2023-09-14 2023-09-15 09:01:05.285 2023-09-15 08:01:05.000 118865 NaN 6915 EURIBOR-ICE caleb_strategy_v3 2023-09-14 2023-09-15 09:01:08.383 2023-09-15 08:01:24.000 118868 NaN 6912 CAC caleb_strategy_v3 2023-09-14 2023-09-15 08:25:42.091 2023-09-15 07:25:44.000 116742 NaN 6905 CAC caleb_strategy_v3 2023-09-14 2023-09-15 08:00:06.681 2023-09-15 20:05:04.868 115207 43498.2 6909 CAC caleb_strategy_v3 2023-09-14 2023-09-15 08:10:26.113 2023-09-15 20:05:04.900 115826 42878.8 6911 CAC caleb_strategy_v3 2023-09-14 2023-09-15 08:20:29.496 2023-09-15 07:25:39.000 116429 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 6903 NIKKEI caleb_strategy_v3 [1] 33185 None 33377.5 33380 33375 33375 33385 -192.5 -2.5 -5 -10 NaN -7.5 6904 BUXL caleb_strategy_v3 [-1] 129.9 None 129.54 129.52 129.56 129.56 129.56 -0.36 -0.02 0.04 -0 NaN 0.02 6906 SMI caleb_strategy_v3 [1] 11163 None 11257 11258 11256 11256 11259 -94 -1 -1 -3 NaN -2 6908 OAT caleb_strategy_v3 [1] 125.79 None 125.565 125.57 125.56 125.56 125.57 0.225 -0.005 0 -0.01 NaN -0.005 6907 EUROSTX caleb_strategy_v3 [-1] 4330 None 4351.5 4351 4352 4352 4352 21.5 -0.5 1 -0 NaN 0.5 6910 EUROSTX caleb_strategy_v3 [-1] 4330 None 4351.5 4351 4352 4352 4356 21.5 -0.5 5 4 NaN 4.5 6913 EURIBOR-ICE caleb_strategy_v3 [1] 97.035 None 97.0125 97.015 97.01 97.01 97.01 0.0225 -0.0025 0.005 0 NaN 0.0025 6914 EURIBOR-ICE caleb_strategy_v3 [1] 97.035 None 97.0075 97.01 97.005 NaN 97.01 0.0275 -0.0025 0 NaN NaN -0.0025 6915 EURIBOR-ICE caleb_strategy_v3 [1] 97.035 None 97.0075 97.01 97.005 97.005 97.015 0.0275 -0.0025 -0.005 -0.01 NaN -0.0075 6912 CAC caleb_strategy_v3 [1] 7361 None 7422.75 7423 7422.5 7422.5 7424 -61.75 -0.25 -1 -1.5 NaN -1.25 6905 CAC caleb_strategy_v3 [1] 7361 None 7396.75 7397 7396.5 7396.5 NaN -35.75 -0.25 NaN NaN NaN NaN 6909 CAC caleb_strategy_v3 [1] 7361 None 7396.5 7397 7396 7396 NaN -35.5 -0.5 NaN NaN NaN NaN 6911 CAC caleb_strategy_v3 [1] 7361 None 7413 7413.5 7412.5 7412.5 7423 -52 -0.5 -9.5 -10.5 NaN -10 ============================================================================================================================================================ 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 6903 NIKKEI caleb_strategy_v3 [1] 4952.03 -388.729 -5.04843 -10.0969 -20.1937 NaN -15.1453 6904 BUXL caleb_strategy_v3 [-1] 25.2542 -142.55 -7.91947 15.8389 -0 NaN 7.91947 6906 SMI caleb_strategy_v3 [1] 1207.12 -778.715 -8.2842 -8.2842 -24.8526 NaN -16.5684 6908 OAT caleb_strategy_v3 [1] 11.2229 200.483 -4.45518 0 -8.91036 NaN -4.45518 6907 EUROSTX caleb_strategy_v3 [-1] 603.192 356.437 -8.28924 16.5785 -0 NaN 8.28924 6910 EUROSTX caleb_strategy_v3 [-1] 603.192 356.437 -8.28924 82.8924 66.3139 NaN 74.6031 6913 EURIBOR-ICE caleb_strategy_v3 [1] 1.06764 210.745 -23.4161 46.8322 0 NaN 23.4161 6914 EURIBOR-ICE caleb_strategy_v3 [1] 1.06764 257.577 -23.4161 0 NaN NaN -23.4161 6915 EURIBOR-ICE caleb_strategy_v3 [1] 1.06764 257.577 -23.4161 -46.8322 -93.6645 NaN -70.2484 6912 CAC caleb_strategy_v3 [1] 957.744 -644.745 -2.6103 -10.4412 -15.6618 NaN -13.0515 6905 CAC caleb_strategy_v3 [1] 957.744 -373.273 -2.6103 NaN NaN NaN NaN 6909 CAC caleb_strategy_v3 [1] 957.744 -370.663 -5.2206 NaN NaN NaN NaN 6911 CAC caleb_strategy_v3 [1] 957.744 -542.943 -5.2206 -99.1915 -109.633 NaN -104.412 ======================================================================================================================================================================= 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 6903 NIKKEI caleb_strategy_v3 [1] 0.678263 -130.566 -1.69566 -3.39131 -6.78263 NaN -5.08697 6904 BUXL caleb_strategy_v3 [-1] 1065.45 -383.562 -21.309 42.618 -0 NaN 21.309 6906 SMI caleb_strategy_v3 [1] 11.171 -1050.07 -11.171 -11.171 -33.513 NaN -22.342 6908 OAT caleb_strategy_v3 [1] 1065.45 239.726 -5.32725 0 -10.6545 NaN -5.32725 6907 EUROSTX caleb_strategy_v3 [-1] 10.6545 229.072 -5.32725 10.6545 -0 NaN 5.32725 6910 EUROSTX caleb_strategy_v3 [-1] 10.6545 229.072 -5.32725 53.2725 42.618 NaN 47.9453 6913 EURIBOR-ICE caleb_strategy_v3 [1] 2663.62 59.9316 -6.65906 13.3181 0 NaN 6.65906 6914 EURIBOR-ICE caleb_strategy_v3 [1] 2663.62 73.2497 -6.65906 0 NaN NaN -6.65906 6915 EURIBOR-ICE caleb_strategy_v3 [1] 2663.62 73.2497 -6.65906 -13.3181 -26.6363 NaN -19.9772 6912 CAC caleb_strategy_v3 [1] 10.6545 -657.915 -2.66363 -10.6545 -15.9818 NaN -13.3181 6905 CAC caleb_strategy_v3 [1] 10.6545 -380.898 -2.66363 NaN NaN NaN NaN 6909 CAC caleb_strategy_v3 [1] 10.6545 -378.235 -5.32725 NaN NaN NaN NaN 6911 CAC caleb_strategy_v3 [1] 10.6545 -554.034 -5.32725 -101.218 -111.872 NaN -106.545 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BUXL -383.562000 CAC -1971.082500 EURIBOR-ICE 206.430938 EUROSTX 458.143500 NIKKEI -130.565569 OAT 239.726250 SMI -1050.074000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -2630.983382 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BUXL -21.309000 CAC -15.981750 EURIBOR-ICE -19.977188 EUROSTX -10.654500 NIKKEI -1.695657 OAT -5.327250 SMI -11.171000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -86.116344 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BUXL 42.618000 CAC -111.872250 EURIBOR-ICE 0.000000 EUROSTX 63.927000 NIKKEI -3.391313 OAT 0.000000 SMI -11.171000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -19.889563 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BUXL -0.000000 CAC -127.854000 EURIBOR-ICE -26.636250 EUROSTX 42.618000 NIKKEI -6.782627 OAT -10.654500 SMI -33.513000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -162.822377 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BUXL 0 CAC 0 EURIBOR-ICE 0 EUROSTX 0 NIKKEI 0 OAT 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 BUXL 21.309000 CAC -119.863125 EURIBOR-ICE -19.977188 EUROSTX 53.272500 NIKKEI -5.086970 OAT -5.327250 SMI -22.342000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -98.015033 ******************************************************************************** END OF REPORT ********************************************************************************