******************************************************************************** Trades report produced on 29/09/2023 21:38 from 28/09/2023 21:38 to 29/09/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 7389 BUND caleb_strategy_v3 [20231200] 2023-09-29 07:00:04 [-1] 128.020000 7396 CHF caleb_strategy_v3 [20231200] 2023-09-29 14:00:13 [1] 1.103050 7403 DOW caleb_strategy_v3 [20231200] 2023-09-29 14:00:23 [1] 34003.000000 7401 DOW caleb_strategy_v3 [20231200] 2023-09-29 14:00:18 [1] 34008.000000 7399 DOW caleb_strategy_v3 [20231200] 2023-09-29 14:00:16 [1] 34004.000000 7402 DOW caleb_strategy_v3 [20231200] 2023-09-29 14:00:20 [1] 34005.000000 7393 DOW caleb_strategy_v3 [20231200] 2023-09-29 14:00:03 [1] 33992.000000 7390 GOLD_micro caleb_strategy_v3 [20231200] 2023-09-29 13:00:03 [1] 1890.600000 7397 JPY caleb_strategy_v3 [20231200] 2023-09-29 14:00:15 [-1] 0.006784 7391 JPY caleb_strategy_v3 [20231200] 2023-09-29 14:00:01 [-1] 0.006786 7400 MXP caleb_strategy_v3 [20231200] 2023-09-29 14:00:16 [-1] 0.056810 7394 MXP caleb_strategy_v3 [20231200] 2023-09-29 14:00:04 [-1] 0.056780 7392 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-09-29 14:00:02 [-1] 15040.750000 7398 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-09-29 14:00:15 [-1] 15037.500000 7387 NIKKEI caleb_strategy_v3 [20231200] 2023-09-29 02:00:35 [1] 31795.000000 7388 SMI caleb_strategy_v3 [20231200] 2023-09-29 07:00:02 [-1] 10985.000000 7395 US30 caleb_strategy_v3 [20231200] 2023-09-29 14:00:12 [1] 119.656250 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7387 NIKKEI caleb_strategy_v3 2023-09-28 2023-09-29 03:00:28.726 2023-09-29 02:00:35 97228.7 NaN 7388 SMI caleb_strategy_v3 2023-09-28 2023-09-29 08:00:02.485 2023-09-29 07:00:02 115202 NaN 7389 BUND caleb_strategy_v3 2023-09-28 2023-09-29 08:00:03.750 2023-09-29 07:00:04 115204 NaN 7390 GOLD_micro caleb_strategy_v3 2023-09-28 2023-09-29 14:00:02.037 2023-09-29 13:00:03 136802 NaN 7395 US30 caleb_strategy_v3 2023-09-28 2023-09-29 15:00:05.308 2023-09-29 14:00:12 140405 NaN 7396 CHF caleb_strategy_v3 2023-09-28 2023-09-29 15:00:12.816 2023-09-29 14:00:13 140413 NaN 7397 JPY caleb_strategy_v3 2023-09-28 2023-09-29 15:00:14.902 2023-09-29 14:00:15 140415 NaN 7391 JPY caleb_strategy_v3 2023-09-28 2023-09-29 15:00:01.156 2023-09-29 14:00:01 140401 NaN 7392 NASDAQ_micro caleb_strategy_v3 2023-09-28 2023-09-29 15:00:02.397 2023-09-29 14:00:02 140402 NaN 7398 NASDAQ_micro caleb_strategy_v3 2023-09-28 2023-09-29 15:00:15.585 2023-09-29 14:00:15 140416 NaN 7400 MXP caleb_strategy_v3 2023-09-28 2023-09-29 15:00:16.928 2023-09-29 14:00:16 140417 NaN 7394 MXP caleb_strategy_v3 2023-09-28 2023-09-29 15:00:04.260 2023-09-29 14:00:04 140404 NaN 7393 DOW caleb_strategy_v3 2023-09-28 2023-09-29 15:00:03.251 2023-09-29 14:00:03 140403 NaN 7399 DOW caleb_strategy_v3 2023-09-28 2023-09-29 15:00:16.287 2023-09-29 14:00:16 140416 NaN 7401 DOW caleb_strategy_v3 2023-09-28 2023-09-29 15:00:18.777 2023-09-29 14:00:18 140419 NaN 7402 DOW caleb_strategy_v3 2023-09-28 2023-09-29 15:00:20.848 2023-09-29 14:00:20 140421 NaN 7403 DOW caleb_strategy_v3 2023-09-28 2023-09-29 15:00:22.773 2023-09-29 14:00:23 140423 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 7387 NIKKEI caleb_strategy_v3 [1] 31975 None 31787.5 31790 31785 31785 31795 187.5 -2.5 -5 -10 NaN -7.5 7388 SMI caleb_strategy_v3 [-1] 10962 None 10984 10983 10985 10985 10985 22 -1 2 -0 NaN 1 7389 BUND caleb_strategy_v3 [-1] 127.63 None 128.015 128.01 128.02 128.02 128.02 0.385 -0.005 0.01 -0 NaN 0.005 7390 GOLD_micro caleb_strategy_v3 [1] 1882.2 None 1890.7 1890.8 1890.6 1890.6 1890.6 -8.5 -0.1 0.2 2.27374e-13 NaN 0.1 7395 US30 caleb_strategy_v3 [1] 118.562 None 119.688 119.719 119.656 119.656 119.656 -1.125 -0.03125 0.0625 0 NaN 0.03125 7396 CHF caleb_strategy_v3 [1] 1.10085 None 1.10285 1.10295 1.10275 1.10275 1.10305 -0.002 -0.0001 -0.0001 -0.0003 NaN -0.0002 7397 JPY caleb_strategy_v3 [-1] 0.0067845 None 0.00678575 0.0067855 0.006786 0.006786 0.006784 1.25e-06 -2.5e-07 -1.5e-06 -2e-06 NaN -1.75e-06 7391 JPY caleb_strategy_v3 [-1] 0.0067845 None 0.006786 0.0067855 0.0067865 0.0067865 0.006786 1.5e-06 -5e-07 5e-07 -5e-07 NaN 0 7392 NASDAQ_micro caleb_strategy_v3 [-1] 14861.5 None 15038 15035.2 15040.8 15040.8 15040.8 176.5 -2.75 5.5 -0 NaN 2.75 7398 NASDAQ_micro caleb_strategy_v3 [-1] 14861.5 None 15039.6 15038.8 15040.5 15040.5 15037.5 178.125 -0.875 -1.25 -3 NaN -2.125 7400 MXP caleb_strategy_v3 [-1] 0.05609 None 0.05679 0.05678 0.0568 0.0568 0.05681 0.0007 -1e-05 3e-05 1e-05 NaN 2e-05 7394 MXP caleb_strategy_v3 [-1] 0.05609 None 0.0568 0.05679 0.05681 0.05681 0.05678 0.00071 -1e-05 -1e-05 -3e-05 NaN -2e-05 7393 DOW caleb_strategy_v3 [1] 33895 None 33989.5 33992 33987 33987 33992 -94.5 -2.5 0 -5 NaN -2.5 7399 DOW caleb_strategy_v3 [1] 33895 None 33990.5 33992 33989 33989 34004 -95.5 -1.5 -12 -15 NaN -13.5 7401 DOW caleb_strategy_v3 [1] 33895 None 34004 34005 34003 34003 34008 -109 -1 -3 -5 NaN -4 7402 DOW caleb_strategy_v3 [1] 33895 None 34007 34008 34006 34006 34005 -112 -1 3 1 NaN 2 7403 DOW caleb_strategy_v3 [1] 33895 None 34004 34005 34003 34003 34003 -109 -1 2 0 NaN 1 ============================================================================================================================================================ 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 7387 NIKKEI caleb_strategy_v3 [1] 4734.49 396.03 -5.2804 -10.5608 -21.1216 NaN -15.8412 7388 SMI caleb_strategy_v3 [-1] 1230.75 178.752 -8.1251 16.2502 -0 NaN 8.1251 7389 BUND caleb_strategy_v3 [-1] 11.7401 327.935 -4.2589 8.5178 -0 NaN 4.2589 7390 GOLD_micro caleb_strategy_v3 [1] 200.661 -423.6 -4.98353 9.96705 1.13312e-11 NaN 4.98353 7395 US30 caleb_strategy_v3 [1] 19.9323 -564.41 -15.6781 31.3561 0 NaN 15.6781 7396 CHF caleb_strategy_v3 [1] 0.0746961 -267.752 -13.3876 -13.3876 -40.1627 NaN -26.7752 7397 JPY caleb_strategy_v3 [-1] 0.000551153 22.6797 -4.53595 -27.2157 -36.2876 NaN -31.7516 7391 JPY caleb_strategy_v3 [-1] 0.000551153 27.2157 -9.0719 9.0719 -9.0719 NaN 0 7392 NASDAQ_micro caleb_strategy_v3 [-1] 2873.71 614.189 -9.56952 19.139 -0 NaN 9.56952 7398 NASDAQ_micro caleb_strategy_v3 [-1] 2873.71 619.844 -3.04485 -4.34978 -10.4395 NaN -7.39463 7400 MXP caleb_strategy_v3 [-1] 0.00673472 1039.39 -14.8484 44.5453 14.8484 NaN 29.6968 7394 MXP caleb_strategy_v3 [-1] 0.00673472 1054.24 -14.8484 -14.8484 -44.5453 NaN -29.6968 7393 DOW caleb_strategy_v3 [1] 3817.21 -247.563 -6.54928 0 -13.0986 NaN -6.54928 7399 DOW caleb_strategy_v3 [1] 3817.21 -250.182 -3.92957 -31.4365 -39.2957 NaN -35.3661 7401 DOW caleb_strategy_v3 [1] 3817.21 -285.549 -2.61971 -7.85913 -13.0986 NaN -10.4788 7402 DOW caleb_strategy_v3 [1] 3817.21 -293.408 -2.61971 7.85913 2.61971 NaN 5.23942 7403 DOW caleb_strategy_v3 [1] 3817.21 -285.549 -2.61971 5.23942 0 NaN 2.61971 ======================================================================================================================================================================= 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 7387 NIKKEI caleb_strategy_v3 [1] 0.670383 125.697 -1.67596 -3.35191 -6.70383 NaN -5.02787 7388 SMI caleb_strategy_v3 [-1] 10.9505 240.911 -10.9505 21.901 -0 NaN 10.9505 7389 BUND caleb_strategy_v3 [-1] 1058.05 407.349 -5.29025 10.5805 -0 NaN 5.29025 7390 GOLD_micro caleb_strategy_v3 [1] 10 -85 -1 2 2.27374e-12 NaN 1 7395 US30 caleb_strategy_v3 [1] 1000 -1125 -31.25 62.5 0 NaN 31.25 7396 CHF caleb_strategy_v3 [1] 125000 -250 -12.5 -12.5 -37.5 NaN -25 7397 JPY caleb_strategy_v3 [-1] 1.25e+07 15.625 -3.125 -18.75 -25 NaN -21.875 7391 JPY caleb_strategy_v3 [-1] 1.25e+07 18.75 -6.25 6.25 -6.25 NaN 0 7392 NASDAQ_micro caleb_strategy_v3 [-1] 2 353 -5.5 11 -0 NaN 5.5 7398 NASDAQ_micro caleb_strategy_v3 [-1] 2 356.25 -1.75 -2.5 -6 NaN -4.25 7400 MXP caleb_strategy_v3 [-1] 500000 350 -5 15 5 NaN 10 7394 MXP caleb_strategy_v3 [-1] 500000 355 -5 -5 -15 NaN -10 7393 DOW caleb_strategy_v3 [1] 0.5 -47.25 -1.25 0 -2.5 NaN -1.25 7399 DOW caleb_strategy_v3 [1] 0.5 -47.75 -0.75 -6 -7.5 NaN -6.75 7401 DOW caleb_strategy_v3 [1] 0.5 -54.5 -0.5 -1.5 -2.5 NaN -2 7402 DOW caleb_strategy_v3 [1] 0.5 -56 -0.5 1.5 0.5 NaN 1 7403 DOW caleb_strategy_v3 [1] 0.5 -54.5 -0.5 1 0 NaN 0.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BUND 407.349250 CHF -250.000000 DOW -260.000000 GOLD_micro -85.000000 JPY 34.375000 MXP 705.000000 NASDAQ_micro 709.250000 NIKKEI 125.696779 SMI 240.911000 US30 -1125.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 502.582029 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BUND -5.290250 CHF -12.500000 DOW -3.500000 GOLD_micro -1.000000 JPY -9.375000 MXP -10.000000 NASDAQ_micro -7.250000 NIKKEI -1.675957 SMI -10.950500 US30 -31.250000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -92.791707 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BUND 10.580500 CHF -12.500000 DOW -5.000000 GOLD_micro 2.000000 JPY -12.500000 MXP 10.000000 NASDAQ_micro 8.500000 NIKKEI -3.351914 SMI 21.901000 US30 62.500000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 82.129586 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BUND -0.000000e+00 CHF -3.750000e+01 DOW -1.200000e+01 GOLD_micro 2.273737e-12 JPY -3.125000e+01 MXP -1.000000e+01 NASDAQ_micro -6.000000e+00 NIKKEI -6.703828e+00 SMI -0.000000e+00 US30 0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -103.453828 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BUND 0 CHF 0 DOW 0 GOLD_micro 0 JPY 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 SMI 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 BUND 5.290250e+00 CHF -2.500000e+01 DOW -8.500000e+00 GOLD_micro 1.000000e+00 JPY -2.187500e+01 MXP -3.469225e-12 NASDAQ_micro 1.250000e+00 NIKKEI -5.027871e+00 SMI 1.095050e+01 US30 3.125000e+01 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -10.662121 ******************************************************************************** END OF REPORT ********************************************************************************