******************************************************************************** Trades report produced on 20/10/2023 21:38 from 19/10/2023 21:38 to 20/10/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 7874 BUXL caleb_strategy_v3 [20231200] 2023-10-20 08:26:00 [-1] 119.560 7872 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-10-20 08:25:50 [1] 96.900 7875 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-10-20 08:26:53 [1] 96.895 7871 EUROSTX caleb_strategy_v3 [20231200] 2023-10-20 08:23:36 [-1] 4073.000 7873 GASOIL caleb_strategy_v3 [20240100] 2023-10-20 08:25:53 [1] 879.750 7870 SMI caleb_strategy_v3 [20231200] 2023-10-20 08:23:34 [-1] 10425.000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 7870 SMI caleb_strategy_v3 2023-10-20 2023-10-20 09:23:33.241 2023-10-20 08:23:34 33813.2 NaN 7871 EUROSTX caleb_strategy_v3 2023-10-20 2023-10-20 09:23:35.129 2023-10-20 08:23:36 33815.1 NaN 7873 GASOIL caleb_strategy_v3 2023-10-20 2023-10-20 09:25:51.696 2023-10-20 08:25:53 33951.7 NaN 7874 BUXL caleb_strategy_v3 2023-10-20 2023-10-20 09:25:54.313 2023-10-20 08:26:00 33954.3 NaN 7872 EURIBOR-ICE caleb_strategy_v3 2023-10-20 2023-10-20 09:23:38.750 2023-10-20 08:25:50 33818.8 NaN 7875 EURIBOR-ICE caleb_strategy_v3 2023-10-20 2023-10-20 09:26:13.726 2023-10-20 08:26:53 33973.7 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 7870 SMI caleb_strategy_v3 [-1] 10430 None 10426 10425 10427 10427 10425 -4 -1 -0 -2 NaN -1 7871 EUROSTX caleb_strategy_v3 [-1] 4068 None 4072.5 4072 4073 4073 4073 4.5 -0.5 1 -0 NaN 0.5 7873 GASOIL caleb_strategy_v3 [1] 880 None 879.25 879.5 879 879 879.75 0.75 -0.25 -0.25 -0.75 NaN -0.5 7874 BUXL caleb_strategy_v3 [-1] 119.6 None 119.54 119.52 119.56 119.56 119.56 -0.06 -0.02 0.04 -0 NaN 0.02 7872 EURIBOR-ICE caleb_strategy_v3 [1] 96.905 None 96.8925 96.895 96.89 96.89 96.9 0.0125 -0.0025 -0.005 -0.01 NaN -0.0075 7875 EURIBOR-ICE caleb_strategy_v3 [1] 96.905 None 96.8975 96.9 96.895 96.895 96.895 0.0075 -0.0025 0.005 0 NaN 0.0025 ============================================================================================================================================================ 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 7870 SMI caleb_strategy_v3 [-1] 1485.84 -26.9209 -6.73021 -0 -13.4604 NaN -6.73021 7871 EUROSTX caleb_strategy_v3 [-1] 656.052 68.5921 -7.62135 15.2427 -0 NaN 7.62135 7873 GASOIL caleb_strategy_v3 [1] 325.123 23.0682 -7.68941 -7.68941 -23.0682 NaN -15.3788 7874 BUXL caleb_strategy_v3 [-1] 26.3274 -22.7899 -7.59663 15.1933 -0 NaN 7.59663 7872 EURIBOR-ICE caleb_strategy_v3 [1] 1.07614 116.156 -23.2311 -46.4622 -92.9244 NaN -69.6933 7875 EURIBOR-ICE caleb_strategy_v3 [1] 1.07614 69.6933 -23.2311 46.4622 0 NaN 23.2311 ======================================================================================================================================================================= 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 7870 SMI caleb_strategy_v3 [-1] 11.213 -44.852 -11.213 -0 -22.426 NaN -11.213 7871 EUROSTX caleb_strategy_v3 [-1] 10.5745 47.5853 -5.28725 10.5745 -0 NaN 5.28725 7873 GASOIL caleb_strategy_v3 [1] 100 75 -25 -25 -75 NaN -50 7874 BUXL caleb_strategy_v3 [-1] 1057.45 -63.447 -21.149 42.298 -0 NaN 21.149 7872 EURIBOR-ICE caleb_strategy_v3 [1] 2643.62 33.0453 -6.60906 -13.2181 -26.4363 NaN -19.8272 7875 EURIBOR-ICE caleb_strategy_v3 [1] 2643.62 19.8272 -6.60906 13.2181 0 NaN 6.60906 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BUXL -63.44700 EURIBOR-ICE 52.87250 EUROSTX 47.58525 GASOIL 75.00000 SMI -44.85200 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 67.15875 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BUXL -21.149000 EURIBOR-ICE -13.218125 EUROSTX -5.287250 GASOIL -25.000000 SMI -11.213000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -75.867375 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BUXL 42.2980 EURIBOR-ICE 0.0000 EUROSTX 10.5745 GASOIL -25.0000 SMI -0.0000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 27.8725 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BUXL -0.00000 EURIBOR-ICE -26.43625 EUROSTX -0.00000 GASOIL -75.00000 SMI -22.42600 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -123.86225 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BUXL 0 EURIBOR-ICE 0 EUROSTX 0 GASOIL 0 SMI 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 BUXL 21.149000 EURIBOR-ICE -13.218125 EUROSTX 5.287250 GASOIL -50.000000 SMI -11.213000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -47.994875 ******************************************************************************** END OF REPORT 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