******************************************************************************** Trades report produced on 21/09/2023 21:39 from 20/09/2023 21:39 to 21/09/2023 21:39 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 7094 BOBL caleb_strategy_v3 [20231200] 2023-09-21 07:00:03 [1] 115.720000 7099 COCOA caleb_strategy_v3 [20240300] 2023-09-21 13:00:32 [-1] 3585.000000 7106 EUR caleb_strategy_v3 [20231200] 2023-09-21 14:00:08 [-1] 1.068300 7097 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-09-21 08:00:01 [-1] 96.890000 7096 EUROSTX caleb_strategy_v3 [20231200] 2023-09-21 07:00:07 [-1] 4267.000000 7098 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-21 13:00:01 [-1] 1917.800000 7100 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-21 13:00:33 [-1] 1918.400000 7101 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-21 13:00:46 [-1] 1918.300000 7102 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-21 13:00:49 [-1] 1918.300000 7103 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-21 13:00:51 [-1] 1918.200000 7105 JPY caleb_strategy_v3 [20231200] 2023-09-21 14:00:07 [-1] 0.006857 7107 LIVECOW caleb_strategy_v3 [20231200] 2023-09-21 14:30:13 [1] 190.200000 7095 OAT caleb_strategy_v3 [20231200] 2023-09-21 07:00:05 [-1] 124.250000 7104 US30 caleb_strategy_v3 [20231200] 2023-09-21 14:00:05 [1] 121.968750 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7094 BOBL caleb_strategy_v3 2023-09-20 2023-09-21 08:00:02.441 2023-09-21 07:00:03 115202 NaN 7095 OAT caleb_strategy_v3 2023-09-20 2023-09-21 08:00:04.223 2023-09-21 07:00:05 115204 NaN 7096 EUROSTX caleb_strategy_v3 2023-09-20 2023-09-21 08:00:06.218 2023-09-21 07:00:07 115206 NaN 7097 EURIBOR-ICE caleb_strategy_v3 2023-09-20 2023-09-21 09:00:00.950 2023-09-21 08:00:01 118801 NaN 7099 COCOA caleb_strategy_v3 2023-09-20 2023-09-21 14:00:04.271 2023-09-21 13:00:32 136804 NaN 7098 GOLD_micro caleb_strategy_v3 2023-09-20 2023-09-21 14:00:01.032 2023-09-21 13:00:01 136801 NaN 7100 GOLD_micro caleb_strategy_v3 2023-09-20 2023-09-21 14:00:33.302 2023-09-21 13:00:33 136833 NaN 7101 GOLD_micro caleb_strategy_v3 2023-09-20 2023-09-21 14:00:45.333 2023-09-21 13:00:46 136845 NaN 7102 GOLD_micro caleb_strategy_v3 2023-09-20 2023-09-21 14:00:49.073 2023-09-21 13:00:49 136849 NaN 7103 GOLD_micro caleb_strategy_v3 2023-09-20 2023-09-21 14:00:51.604 2023-09-21 13:00:51 136852 NaN 7104 US30 caleb_strategy_v3 2023-09-20 2023-09-21 15:00:01.910 2023-09-21 14:00:05 140402 NaN 7105 JPY caleb_strategy_v3 2023-09-20 2023-09-21 15:00:05.685 2023-09-21 14:00:07 140406 NaN 7106 EUR caleb_strategy_v3 2023-09-20 2023-09-21 15:00:07.946 2023-09-21 14:00:08 140408 NaN 7107 LIVECOW caleb_strategy_v3 2023-09-20 2023-09-21 15:30:01.130 2023-09-21 14:30:13 142201 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 7094 BOBL caleb_strategy_v3 [1] 115.83 None 115.715 115.72 115.71 NaN 115.72 0.115 -0.005 0 NaN NaN -0.005 7095 OAT caleb_strategy_v3 [-1] 124.51 None 124.255 124.25 124.26 124.26 124.25 -0.255 -0.005 -0 -0.01 NaN -0.005 7096 EUROSTX caleb_strategy_v3 [-1] 4300 None 4268.5 4268 4269 4269 4267 -31.5 -0.5 -1 -2 NaN -1.5 7097 EURIBOR-ICE caleb_strategy_v3 [-1] 96.925 None 96.8975 96.895 96.9 96.9 96.89 -0.0275 -0.0025 -0.005 -0.01 NaN -0.0075 7099 COCOA caleb_strategy_v3 [-1] 3582 None 3584 3583 3585 3585 3585 2 -1 2 -0 NaN 1 7098 GOLD_micro caleb_strategy_v3 [-1] 1943 None 1917.9 1917.8 1918 1918 1917.8 -25.1 -0.1 -0 -0.2 NaN -0.1 7100 GOLD_micro caleb_strategy_v3 [-1] 1943 None 1917.8 1917.7 1917.9 1917.9 1918.4 -25.2 -0.1 0.7 0.5 NaN 0.6 7101 GOLD_micro caleb_strategy_v3 [-1] 1943 None 1918.5 1918.4 1918.6 1918.6 1918.3 -24.5 -0.1 -0.1 -0.3 NaN -0.2 7102 GOLD_micro caleb_strategy_v3 [-1] 1943 None 1918.4 1918.3 1918.5 1918.5 1918.3 -24.6 -0.1 -0 -0.2 NaN -0.1 7103 GOLD_micro caleb_strategy_v3 [-1] 1943 None 1918.4 1918.3 1918.5 1918.5 1918.2 -24.6 -0.1 -0.1 -0.3 NaN -0.2 7104 US30 caleb_strategy_v3 [1] 125.188 None 121.984 122 121.969 121.969 121.969 3.20312 -0.015625 0.03125 0 NaN 0.015625 7105 JPY caleb_strategy_v3 [-1] 0.006854 None 0.00685675 0.0068565 0.006857 0.006857 0.006857 2.75e-06 -2.5e-07 5e-07 8.67362e-19 NaN 2.5e-07 7106 EUR caleb_strategy_v3 [-1] 1.0724 None 1.06827 1.06825 1.0683 1.0683 1.0683 -0.004125 -2.5e-05 5e-05 -0 NaN 2.5e-05 7107 LIVECOW caleb_strategy_v3 [1] 191.575 None 190.137 190.15 190.125 190.125 190.2 1.4375 -0.0125 -0.05 -0.075 NaN -0.0625 ============================================================================================================================================================ 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 7094 BOBL caleb_strategy_v3 [1] 5.10378 225.323 -9.79665 0 NaN NaN -9.79665 7095 OAT caleb_strategy_v3 [-1] 10.6905 -238.529 -4.67704 -0 -9.35407 NaN -4.67704 7096 EUROSTX caleb_strategy_v3 [-1] 656.242 -480.006 -7.61914 -15.2383 -30.4765 NaN -22.8574 7097 EURIBOR-ICE caleb_strategy_v3 [-1] 1.01841 -270.029 -24.5481 -49.0962 -98.1924 NaN -73.6443 7099 COCOA caleb_strategy_v3 [-1] 721.82 27.7078 -13.8539 27.7078 -0 NaN 13.8539 7098 GOLD_micro caleb_strategy_v3 [-1] 177.679 -1412.66 -5.62812 -0 -11.2562 NaN -5.62812 7100 GOLD_micro caleb_strategy_v3 [-1] 177.679 -1418.29 -5.62812 39.3968 28.1406 NaN 33.7687 7101 GOLD_micro caleb_strategy_v3 [-1] 177.679 -1378.89 -5.62812 -5.62812 -16.8844 NaN -11.2562 7102 GOLD_micro caleb_strategy_v3 [-1] 177.679 -1384.52 -5.62812 -0 -11.2562 NaN -5.62812 7103 GOLD_micro caleb_strategy_v3 [-1] 177.679 -1384.52 -5.62812 -5.62812 -16.8844 NaN -11.2562 7104 US30 caleb_strategy_v3 [1] 19.493 1643.22 -8.0157 16.0314 0 NaN 8.0157 7105 JPY caleb_strategy_v3 [-1] 0.000590789 46.5479 -4.23163 8.46325 1.46814e-11 NaN 4.23163 7106 EUR caleb_strategy_v3 [-1] 0.0726189 -568.034 -3.44263 6.88526 -0 NaN 3.44263 7107 LIVECOW caleb_strategy_v3 [1] 18.7971 764.748 -6.64998 -26.5999 -39.8999 NaN -33.2499 ======================================================================================================================================================================= 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 7094 BOBL caleb_strategy_v3 [1] 1063.5 122.302 -5.3175 0 NaN NaN -5.3175 7095 OAT caleb_strategy_v3 [-1] 1063.5 -271.193 -5.3175 -0 -10.635 NaN -5.3175 7096 EUROSTX caleb_strategy_v3 [-1] 10.635 -335.002 -5.3175 -10.635 -21.27 NaN -15.9525 7097 EURIBOR-ICE caleb_strategy_v3 [-1] 2658.75 -73.1156 -6.64688 -13.2937 -26.5875 NaN -19.9406 7099 COCOA caleb_strategy_v3 [-1] 10 20 -10 20 -0 NaN 10 7098 GOLD_micro caleb_strategy_v3 [-1] 10 -251 -1 -0 -2 NaN -1 7100 GOLD_micro caleb_strategy_v3 [-1] 10 -252 -1 7 5 NaN 6 7101 GOLD_micro caleb_strategy_v3 [-1] 10 -245 -1 -1 -3 NaN -2 7102 GOLD_micro caleb_strategy_v3 [-1] 10 -246 -1 -0 -2 NaN -1 7103 GOLD_micro caleb_strategy_v3 [-1] 10 -246 -1 -1 -3 NaN -2 7104 US30 caleb_strategy_v3 [1] 1000 3203.12 -15.625 31.25 0 NaN 15.625 7105 JPY caleb_strategy_v3 [-1] 1.25e+07 34.375 -3.125 6.25 1.0842e-11 NaN 3.125 7106 EUR caleb_strategy_v3 [-1] 125000 -515.625 -3.125 6.25 -0 NaN 3.125 7107 LIVECOW caleb_strategy_v3 [1] 400 575 -5 -20 -30 NaN -25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BOBL 122.302500 COCOA 20.000000 EUR -515.625000 EURIBOR-ICE -73.115625 EUROSTX -335.002500 GOLD_micro -1240.000000 JPY 34.375000 LIVECOW 575.000000 OAT -271.192500 US30 3203.125000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1519.866875 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BOBL -5.317500 COCOA -10.000000 EUR -3.125000 EURIBOR-ICE -6.646875 EUROSTX -5.317500 GOLD_micro -5.000000 JPY -3.125000 LIVECOW -5.000000 OAT -5.317500 US30 -15.625000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -64.474375 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0.00000 COCOA 20.00000 EUR 6.25000 EURIBOR-ICE -13.29375 EUROSTX -10.63500 GOLD_micro 5.00000 JPY 6.25000 LIVECOW -20.00000 OAT -0.00000 US30 31.25000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 24.82125 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0.000000e+00 COCOA -0.000000e+00 EUR -0.000000e+00 EURIBOR-ICE -2.658750e+01 EUROSTX -2.127000e+01 GOLD_micro -5.000000e+00 JPY 1.084202e-11 LIVECOW -3.000000e+01 OAT -1.063500e+01 US30 0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -93.4925 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0 COCOA 0 EUR 0 EURIBOR-ICE 0 EUROSTX 0 GOLD_micro 0 JPY 0 LIVECOW 0 OAT 0 US30 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 -5.317500e+00 COCOA 1.000000e+01 EUR 3.125000e+00 EURIBOR-ICE -1.994063e+01 EUROSTX -1.595250e+01 GOLD_micro -4.547474e-12 JPY 3.125000e+00 LIVECOW -2.500000e+01 OAT -5.317500e+00 US30 1.562500e+01 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -39.653125 ******************************************************************************** END OF REPORT ********************************************************************************