******************************************************************************** Trades report produced on 10/11/2023 21:39 from 09/11/2023 21:39 to 10/11/2023 21:39 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8291 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-11-10 09:01:16 [-1] 97.26000 8292 GAS_US_mini caleb_strategy_v3 [20240100] 2023-11-10 14:01:02 [-1] 3.33000 8293 MXP caleb_strategy_v3 [20231200] 2023-11-10 15:01:00 [1] 0.05573 8290 NIKKEI caleb_strategy_v3 [20231200] 2023-11-10 03:01:28 [1] 32450.00000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8290 NIKKEI caleb_strategy_v3 2023-11-09 2023-11-10 03:01:14.122 2023-11-10 03:01:28 97274.1 13.878 8291 EURIBOR-ICE caleb_strategy_v3 2023-11-09 2023-11-10 09:00:29.202 2023-11-10 09:01:16 118829 46.798 8292 GAS_US_mini caleb_strategy_v3 2023-11-09 2023-11-10 14:00:55.044 2023-11-10 14:01:02 136855 6.956 8293 MXP caleb_strategy_v3 2023-11-08 2023-11-10 15:00:57.822 2023-11-10 15:01:00 226858 2.178 ============================================================================================================================================================================================================================== 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 8290 NIKKEI caleb_strategy_v3 [1] 32570 None 32452.5 32455 32450 32450 32450 117.5 -2.5 5 0 NaN 2.5 8291 EURIBOR-ICE caleb_strategy_v3 [-1] 97.27 None 97.2675 97.265 97.27 97.27 97.26 -0.0025 -0.0025 -0.005 -0.01 NaN -0.0075 8292 GAS_US_mini caleb_strategy_v3 [-1] 3.335 None 3.33 3.325 3.335 3.335 3.33 -0.005 -0.005 0.005 -0.005 NaN 0 8293 MXP caleb_strategy_v3 [1] 0.05661 None 0.055735 0.05574 0.05573 0.05573 0.05573 0.000875 -5e-06 1e-05 0 NaN 5e-06 ============================================================================================================================================================ 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 8290 NIKKEI caleb_strategy_v3 [1] 5976.08 196.617 -4.18334 8.36668 0 NaN 4.18334 8291 EURIBOR-ICE caleb_strategy_v3 [-1] 0.983288 -25.4249 -25.4249 -50.8498 -101.7 NaN -76.2747 8292 GAS_US_mini caleb_strategy_v3 [-1] 2.05933 -24.2797 -24.2797 24.2797 -24.2797 NaN 0 8293 MXP caleb_strategy_v3 [1] 0.00717242 1219.95 -6.97115 13.9423 0 NaN 6.97115 ======================================================================================================================================================================= 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 8290 NIKKEI caleb_strategy_v3 [1] 0.66029 77.5841 -1.65073 3.30145 0 NaN 1.65073 8291 EURIBOR-ICE caleb_strategy_v3 [-1] 2665.62 -6.66406 -6.66406 -13.3281 -26.6562 NaN -19.9922 8292 GAS_US_mini caleb_strategy_v3 [-1] 2500 -12.5 -12.5 12.5 -12.5 NaN 0 8293 MXP caleb_strategy_v3 [1] 500000 437.5 -2.5 5 0 NaN 2.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -6.664062 GAS_US_mini -12.500000 MXP 437.500000 NIKKEI 77.584129 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 495.920067 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -6.664062 GAS_US_mini -12.500000 MXP -2.500000 NIKKEI -1.650726 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -23.314789 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -13.328125 GAS_US_mini 12.500000 MXP 5.000000 NIKKEI 3.301452 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 7.473327 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -26.65625 GAS_US_mini -12.50000 MXP 0.00000 NIKKEI 0.00000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -39.15625 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 0 GAS_US_mini 0 MXP 0 NIKKEI 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 EURIBOR-ICE -19.992187 GAS_US_mini 0.000000 MXP 2.500000 NIKKEI 1.650726 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -15.841461 ******************************************************************************** END OF REPORT ********************************************************************************