******************************************************************************** Trades report produced on 20/09/2023 21:38 from 19/09/2023 21:38 to 20/09/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 7088 BOBL caleb_strategy_v3 [20231200] 2023-09-20 07:00:04 [1] 115.860 7090 BOBL caleb_strategy_v3 [20231200] 2023-09-20 07:00:08 [1] 115.850 7091 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-20 08:04:20 [-1] 96.920 7092 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-20 08:05:04 [-1] 96.915 7089 OAT caleb_strategy_v3 [20231200] 2023-09-20 07:00:07 [-1] 124.380 7087 OAT caleb_strategy_v3 [20231200] 2023-09-20 07:00:03 [-1] 124.400 7093 ROBUSTA caleb_strategy_v3 [20231100] 2023-09-20 09:00:17 [1] 2519.000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7089 OAT caleb_strategy_v3 2023-09-19 2023-09-20 08:00:06.830 2023-09-20 07:00:07 115207 NaN 7087 OAT caleb_strategy_v3 2023-09-19 2023-09-20 08:00:01.975 2023-09-20 07:00:03 115202 NaN 7088 BOBL caleb_strategy_v3 2023-09-19 2023-09-20 08:00:04.085 2023-09-20 07:00:04 115204 NaN 7090 BOBL caleb_strategy_v3 2023-09-19 2023-09-20 08:00:07.946 2023-09-20 07:00:08 115208 NaN 7091 EURIBOR-ICE caleb_strategy_v3 2023-09-19 2023-09-20 09:00:01.667 2023-09-20 08:04:20 118802 NaN 7092 EURIBOR-ICE caleb_strategy_v3 2023-09-19 2023-09-20 09:04:25.864 2023-09-20 08:05:04 119066 NaN 7093 ROBUSTA caleb_strategy_v3 2023-09-19 2023-09-20 10:00:01.302 2023-09-20 09:00:17 122401 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 7089 OAT caleb_strategy_v3 [-1] 124.18 None 124.405 124.4 124.41 124.41 124.38 0.225 -0.005 -0.02 -0.03 NaN -0.025 7087 OAT caleb_strategy_v3 [-1] 124.18 None 124.395 124.39 124.4 124.4 124.4 0.215 -0.005 0.01 -0 NaN 0.005 7088 BOBL caleb_strategy_v3 [1] 115.73 None 115.845 115.85 115.84 115.84 115.86 -0.115 -0.005 -0.01 -0.02 NaN -0.015 7090 BOBL caleb_strategy_v3 [1] 115.73 None 115.855 115.86 115.85 115.85 115.85 -0.125 -0.005 0.01 1.42109e-14 NaN 0.005 7091 EURIBOR-ICE caleb_strategy_v3 [-1] 96.895 None 96.9175 96.915 96.92 96.92 96.92 0.0225 -0.0025 0.005 -0 NaN 0.0025 7092 EURIBOR-ICE caleb_strategy_v3 [-1] 96.895 None 96.92 96.915 96.925 96.925 96.915 0.025 -0.005 -0 -0.01 NaN -0.005 7093 ROBUSTA caleb_strategy_v3 [1] 2544 None 2517 2518 2516 2516 2519 27 -1 -1 -3 NaN -2 ============================================================================================================================================================ 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 7089 OAT caleb_strategy_v3 [-1] 10.7636 209.037 -4.64527 -18.5811 -27.8716 NaN -23.2264 7087 OAT caleb_strategy_v3 [-1] 10.7636 199.747 -4.64527 9.29054 -0 NaN 4.64527 7088 BOBL caleb_strategy_v3 [1] 5.14526 -223.507 -9.71768 -19.4354 -38.8707 NaN -29.153 7090 BOBL caleb_strategy_v3 [1] 5.14526 -242.942 -9.71768 19.4354 2.76193e-11 NaN 9.71768 7091 EURIBOR-ICE caleb_strategy_v3 [-1] 1.03157 218.115 -24.235 48.4699 -0 NaN 24.235 7092 EURIBOR-ICE caleb_strategy_v3 [-1] 1.03157 242.35 -48.4699 -0 -96.9398 NaN -48.4699 7093 ROBUSTA caleb_strategy_v3 [1] 524.049 515.219 -19.0822 -19.0822 -57.2466 NaN -38.1644 ======================================================================================================================================================================= 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 7089 OAT caleb_strategy_v3 [-1] 1068.15 240.334 -5.34075 -21.363 -32.0445 NaN -26.7038 7087 OAT caleb_strategy_v3 [-1] 1068.15 229.652 -5.34075 10.6815 -0 NaN 5.34075 7088 BOBL caleb_strategy_v3 [1] 1068.15 -122.837 -5.34075 -10.6815 -21.363 NaN -16.0223 7090 BOBL caleb_strategy_v3 [1] 1068.15 -133.519 -5.34075 10.6815 1.51793e-11 NaN 5.34075 7091 EURIBOR-ICE caleb_strategy_v3 [-1] 2670.38 60.0834 -6.67594 13.3519 -0 NaN 6.67594 7092 EURIBOR-ICE caleb_strategy_v3 [-1] 2670.38 66.7594 -13.3519 -0 -26.7037 NaN -13.3519 7093 ROBUSTA caleb_strategy_v3 [1] 10 270 -10 -10 -30 NaN -20 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BOBL -256.356000 EURIBOR-ICE 126.842813 OAT 469.986000 ROBUSTA 270.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 610.472813 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BOBL -10.681500 EURIBOR-ICE -20.027812 OAT -10.681500 ROBUSTA -10.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -51.390812 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0.000000 EURIBOR-ICE 13.351875 OAT -10.681500 ROBUSTA -10.000000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -7.329625 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL -21.36300 EURIBOR-ICE -26.70375 OAT -32.04450 ROBUSTA -30.00000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -110.11125 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0 EURIBOR-ICE 0 OAT 0 ROBUSTA 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 BOBL -10.681500 EURIBOR-ICE -6.675937 OAT -21.363000 ROBUSTA -20.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -58.720438 ******************************************************************************** END OF REPORT ********************************************************************************