******************************************************************************** Trades report produced on 25/09/2023 21:39 from 24/09/2023 21:39 to 25/09/2023 21:39 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 7224 CAC caleb_strategy_v3 [20231000] 2023-09-25 07:00:04 [-1] 7179.5000 7225 CAC caleb_strategy_v3 [20231000] 2023-09-25 07:00:10 [-1] 7180.5000 7233 CHF caleb_strategy_v3 [20231200] 2023-09-25 14:00:22 [-1] 1.1067 7231 CHF caleb_strategy_v3 [20231200] 2023-09-25 14:00:06 [-1] 1.1066 7230 DOW caleb_strategy_v3 [20231200] 2023-09-25 14:00:05 [1] 34183.0000 7226 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-25 13:00:02 [1] 1927.0000 7227 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-25 13:00:16 [1] 1926.8000 7228 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-25 13:00:40 [1] 1927.0000 7229 GOLD_micro caleb_strategy_v3 [20231000] 2023-09-25 13:00:54 [1] 1927.3000 7232 RUSSELL caleb_strategy_v3 [20231200] 2023-09-25 14:00:08 [1] 1798.2000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7224 CAC caleb_strategy_v3 2023-09-22 2023-09-25 08:00:03.315 2023-09-25 07:00:04 288003 NaN 7225 CAC caleb_strategy_v3 2023-09-22 2023-09-25 08:00:06.663 2023-09-25 07:00:10 288007 NaN 7226 GOLD_micro caleb_strategy_v3 2023-09-22 2023-09-25 14:00:01.876 2023-09-25 13:00:02 309602 NaN 7227 GOLD_micro caleb_strategy_v3 2023-09-22 2023-09-25 14:00:15.726 2023-09-25 13:00:16 309616 NaN 7228 GOLD_micro caleb_strategy_v3 2023-09-22 2023-09-25 14:00:40.029 2023-09-25 13:00:40 309640 NaN 7229 GOLD_micro caleb_strategy_v3 2023-09-22 2023-09-25 14:00:53.891 2023-09-25 13:00:54 309654 NaN 7230 DOW caleb_strategy_v3 2023-09-22 2023-09-25 15:00:05.710 2023-09-25 14:00:05 313206 NaN 7232 RUSSELL caleb_strategy_v3 2023-09-22 2023-09-25 15:00:07.519 2023-09-25 14:00:08 313208 NaN 7233 CHF caleb_strategy_v3 2023-09-22 2023-09-25 15:00:22.060 2023-09-25 14:00:22 313222 NaN 7231 CHF caleb_strategy_v3 2023-09-22 2023-09-25 15:00:06.496 2023-09-25 14:00:06 313206 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 7224 CAC caleb_strategy_v3 [-1] 7172 None 7179.25 7179 7179.5 7179.5 7179.5 7.25 -0.25 0.5 -0 NaN 0.25 7225 CAC caleb_strategy_v3 [-1] 7172 None 7180 7179.5 7180.5 7180.5 7180.5 8 -0.5 1 -0 NaN 0.5 7226 GOLD_micro caleb_strategy_v3 [1] 1925.9 None 1926.85 1927 1926.7 1926.7 1927 -0.95 -0.15 0 -0.3 NaN -0.15 7227 GOLD_micro caleb_strategy_v3 [1] 1925.9 None 1926.9 1927 1926.8 1926.8 1926.8 -1 -0.1 0.2 2.27374e-13 NaN 0.1 7228 GOLD_micro caleb_strategy_v3 [1] 1925.9 None 1926.7 1926.8 1926.6 1926.6 1927 -0.8 -0.1 -0.2 -0.4 NaN -0.3 7229 GOLD_micro caleb_strategy_v3 [1] 1925.9 None 1926.9 1927 1926.8 1926.8 1927.3 -1 -0.1 -0.3 -0.5 NaN -0.4 7230 DOW caleb_strategy_v3 [1] 34335 None 34183 34184 34182 34182 34183 152 -1 1 -1 NaN 0 7232 RUSSELL caleb_strategy_v3 [1] 1800.8 None 1798.15 1798.2 1798.1 1798.1 1798.2 2.65 -0.05 0 -0.1 NaN -0.05 7233 CHF caleb_strategy_v3 [-1] 1.1131 None 1.1067 1.10665 1.10675 NaN 1.1067 -0.0064 -5e-05 5e-05 NaN NaN 0 7231 CHF caleb_strategy_v3 [-1] 1.1131 None 1.10665 1.1066 1.1067 1.1067 1.1066 -0.00645 -5e-05 -0 -0.0001 NaN -5e-05 ============================================================================================================================================================ 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 7224 CAC caleb_strategy_v3 [-1] 1033.84 70.1268 -2.41816 4.83633 -0 NaN 2.41816 7225 CAC caleb_strategy_v3 [-1] 1033.84 77.3813 -4.83633 9.67266 -0 NaN 4.83633 7226 GOLD_micro caleb_strategy_v3 [1] 177.579 -53.4972 -8.44693 0 -16.8939 NaN -8.44693 7227 GOLD_micro caleb_strategy_v3 [1] 177.579 -56.3129 -5.63129 11.2626 1.28041e-11 NaN 5.63129 7228 GOLD_micro caleb_strategy_v3 [1] 177.579 -45.0503 -5.63129 -11.2626 -22.5252 NaN -16.8939 7229 GOLD_micro caleb_strategy_v3 [1] 177.579 -56.3129 -5.63129 -16.8939 -28.1564 NaN -22.5252 7230 DOW caleb_strategy_v3 [1] 3834.07 396.445 -2.60819 2.60819 -2.60819 NaN 0 7232 RUSSELL caleb_strategy_v3 [1] 313.864 84.4314 -1.59304 0 -3.18609 NaN -1.59304 7233 CHF caleb_strategy_v3 [-1] 0.0706259 -906.183 -7.07956 7.07956 NaN NaN 0 7231 CHF caleb_strategy_v3 [-1] 0.0706259 -913.263 -7.07956 -0 -14.1591 NaN -7.07956 ======================================================================================================================================================================= 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 7224 CAC caleb_strategy_v3 [-1] 10.645 77.1762 -2.66125 5.3225 -0 NaN 2.66125 7225 CAC caleb_strategy_v3 [-1] 10.645 85.16 -5.3225 10.645 -0 NaN 5.3225 7226 GOLD_micro caleb_strategy_v3 [1] 10 -9.5 -1.5 0 -3 NaN -1.5 7227 GOLD_micro caleb_strategy_v3 [1] 10 -10 -1 2 2.27374e-12 NaN 1 7228 GOLD_micro caleb_strategy_v3 [1] 10 -8 -1 -2 -4 NaN -3 7229 GOLD_micro caleb_strategy_v3 [1] 10 -10 -1 -3 -5 NaN -4 7230 DOW caleb_strategy_v3 [1] 0.5 76 -0.5 0.5 -0.5 NaN 0 7232 RUSSELL caleb_strategy_v3 [1] 5 13.25 -0.25 0 -0.5 NaN -0.25 7233 CHF caleb_strategy_v3 [-1] 125000 -800 -6.25 6.25 NaN NaN 0 7231 CHF caleb_strategy_v3 [-1] 125000 -806.25 -6.25 -0 -12.5 NaN -6.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CAC 162.33625 CHF -1606.25000 DOW 76.00000 GOLD_micro -37.50000 RUSSELL 13.25000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1392.16375 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CAC -7.98375 CHF -12.50000 DOW -0.50000 GOLD_micro -4.50000 RUSSELL -0.25000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -25.73375 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CAC 15.9675 CHF 6.2500 DOW 0.5000 GOLD_micro -3.0000 RUSSELL 0.0000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 19.7175 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CAC -0.0 CHF -12.5 DOW -0.5 GOLD_micro -12.0 RUSSELL -0.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -25.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CAC 0 CHF 0 DOW 0 GOLD_micro 0 RUSSELL 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 CAC 7.98375 CHF -6.25000 DOW 0.00000 GOLD_micro -7.50000 RUSSELL -0.25000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -6.01625 ******************************************************************************** END OF REPORT ********************************************************************************