******************************************************************************** Trades report produced on 03/10/2023 21:38 from 02/10/2023 21:38 to 03/10/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 7456 BOBL caleb_strategy_v3 [20231200] 2023-10-03 07:00:04 [1] 115.48000 7457 EURIBOR-ICE caleb_strategy_v3 [20250900] 2023-10-03 08:02:01 [1] 96.89500 7458 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-03 13:00:05 [1] 1840.50000 7459 GOLD_micro caleb_strategy_v3 [20231200] 2023-10-03 13:00:07 [1] 1840.40000 7460 MXP caleb_strategy_v3 [20231200] 2023-10-03 14:00:08 [-1] 0.05564 7455 NIKKEI caleb_strategy_v3 [20231200] 2023-10-03 02:00:27 [-1] 31305.00000 7461 RUSSELL caleb_strategy_v3 [20231200] 2023-10-03 14:00:09 [-1] 1759.50000 7462 RUSSELL caleb_strategy_v3 [20231200] 2023-10-03 14:00:12 [-1] 1757.50000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7455 NIKKEI caleb_strategy_v3 2023-09-29 2023-10-03 03:00:26.112 2023-10-03 02:00:27 356426 NaN 7456 BOBL caleb_strategy_v3 2023-10-02 2023-10-03 08:00:03.559 2023-10-03 07:00:04 115204 NaN 7457 EURIBOR-ICE caleb_strategy_v3 2023-10-02 2023-10-03 09:00:01.503 2023-10-03 08:02:01 118802 NaN 7458 GOLD_micro caleb_strategy_v3 2023-10-02 2023-10-03 14:00:04.504 2023-10-03 13:00:05 136805 NaN 7459 GOLD_micro caleb_strategy_v3 2023-10-02 2023-10-03 14:00:07.255 2023-10-03 13:00:07 136807 NaN 7460 MXP caleb_strategy_v3 2023-10-02 2023-10-03 15:00:04.982 2023-10-03 14:00:08 140405 NaN 7461 RUSSELL caleb_strategy_v3 2023-10-02 2023-10-03 15:00:09.476 2023-10-03 14:00:09 140409 NaN 7462 RUSSELL caleb_strategy_v3 2023-10-02 2023-10-03 15:00:11.986 2023-10-03 14:00:12 140412 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 7455 NIKKEI caleb_strategy_v3 [-1] 31860 None 31302.5 31300 31305 31305 31305 -557.5 -2.5 5 -0 NaN 2.5 7456 BOBL caleb_strategy_v3 [1] 115.43 None 115.465 115.47 115.46 115.46 115.48 -0.035 -0.005 -0.01 -0.02 NaN -0.015 7457 EURIBOR-ICE caleb_strategy_v3 [1] 96.885 None 96.8875 96.89 96.885 96.885 96.895 -0.0025 -0.0025 -0.005 -0.01 NaN -0.0075 7458 GOLD_micro caleb_strategy_v3 [1] 1846.3 None 1840.55 1840.6 1840.5 1840.5 1840.5 5.75 -0.05 0.1 0 NaN 0.05 7459 GOLD_micro caleb_strategy_v3 [1] 1846.3 None 1840.5 1840.6 1840.4 1840.4 1840.4 5.8 -0.1 0.2 0 NaN 0.1 7460 MXP caleb_strategy_v3 [-1] 0.05585 None 0.05568 0.05567 0.05569 0.05569 0.05564 -0.00017 -1e-05 -3e-05 -5e-05 NaN -4e-05 7461 RUSSELL caleb_strategy_v3 [-1] 1765.1 None 1759.05 1758.6 1759.5 1759.5 1759.5 -6.05 -0.45 0.9 -0 NaN 0.45 7462 RUSSELL caleb_strategy_v3 [-1] 1765.1 None 1759.5 1759 1760 1760 1757.5 -5.6 -0.5 -1.5 -2.5 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 7455 NIKKEI caleb_strategy_v3 [-1] 5681.43 -981.267 -4.4003 8.8006 -0 NaN 4.4003 7456 BOBL caleb_strategy_v3 [1] 5.86949 -59.6304 -8.51862 -17.0372 -34.0745 NaN -25.5559 7457 EURIBOR-ICE caleb_strategy_v3 [1] 1.12343 -22.2532 -22.2532 -44.5064 -89.0129 NaN -66.7596 7458 GOLD_micro caleb_strategy_v3 [1] 201.181 285.812 -2.48532 4.97064 0 NaN 2.48532 7459 GOLD_micro caleb_strategy_v3 [1] 201.181 288.297 -4.97064 9.94128 0 NaN 4.97064 7460 MXP caleb_strategy_v3 [-1] 0.00736301 -230.884 -13.5814 -40.7442 -67.907 NaN -54.3256 7461 RUSSELL caleb_strategy_v3 [-1] 331.434 -182.54 -13.5774 27.1547 -0 NaN 13.5774 7462 RUSSELL caleb_strategy_v3 [-1] 331.434 -168.963 -15.086 -45.2579 -75.4298 NaN -60.3438 ======================================================================================================================================================================= 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 7455 NIKKEI caleb_strategy_v3 [-1] 0.667218 -371.974 -1.66805 3.33609 -0 NaN 1.66805 7456 BOBL caleb_strategy_v3 [1] 1046.55 -36.6292 -5.23275 -10.4655 -20.931 NaN -15.6983 7457 EURIBOR-ICE caleb_strategy_v3 [1] 2616.38 -6.54094 -6.54094 -13.0819 -26.1637 NaN -19.6228 7458 GOLD_micro caleb_strategy_v3 [1] 10 57.5 -0.5 1 0 NaN 0.5 7459 GOLD_micro caleb_strategy_v3 [1] 10 58 -1 2 0 NaN 1 7460 MXP caleb_strategy_v3 [-1] 500000 -85 -5 -15 -25 NaN -20 7461 RUSSELL caleb_strategy_v3 [-1] 5 -30.25 -2.25 4.5 -0 NaN 2.25 7462 RUSSELL caleb_strategy_v3 [-1] 5 -28 -2.5 -7.5 -12.5 NaN -10 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BOBL -36.629250 EURIBOR-ICE -6.540937 GOLD_micro 115.500000 MXP -85.000000 NIKKEI -371.974165 RUSSELL -58.250000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -442.894353 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BOBL -5.232750 EURIBOR-ICE -6.540937 GOLD_micro -1.500000 MXP -5.000000 NIKKEI -1.668046 RUSSELL -4.750000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -24.691733 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BOBL -10.465500 EURIBOR-ICE -13.081875 GOLD_micro 3.000000 MXP -15.000000 NIKKEI 3.336091 RUSSELL -3.000000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -35.211284 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL -20.93100 EURIBOR-ICE -26.16375 GOLD_micro 0.00000 MXP -25.00000 NIKKEI -0.00000 RUSSELL -12.50000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -84.59475 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0 EURIBOR-ICE 0 GOLD_micro 0 MXP 0 NIKKEI 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 BOBL -15.698250 EURIBOR-ICE -19.622812 GOLD_micro 1.500000 MXP -20.000000 NIKKEI 1.668046 RUSSELL -7.750000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -59.903017 ******************************************************************************** END OF REPORT ********************************************************************************