******************************************************************************** Trades report produced on 16/11/2023 21:39 from 15/11/2023 21:39 to 16/11/2023 21:39 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8466 BITCOIN caleb_strategy_v3 [20231200] 2023-11-16 15:05:21 [1] 37450.00000 8464 BITCOIN caleb_strategy_v3 [20231200] 2023-11-16 15:02:52 [1] 37440.00000 8463 BITCOIN caleb_strategy_v3 [20231200] 2023-11-16 15:01:52 [1] 37395.00000 8461 BITCOIN caleb_strategy_v3 [20231200] 2023-11-16 15:01:06 [1] 37360.00000 8465 BITCOIN caleb_strategy_v3 [20231200] 2023-11-16 15:05:07 [1] 37445.00000 8450 CAC caleb_strategy_v3 [20231200] 2023-11-16 08:00:28 [1] 7221.00000 8451 CAC caleb_strategy_v3 [20231200] 2023-11-16 08:01:27 [1] 7217.00000 8457 CHF caleb_strategy_v3 [20231200] 2023-11-16 15:00:55 [1] 1.13165 8453 COPPER caleb_strategy_v3 [20231200] 2023-11-16 14:00:46 [1] 3.73200 8459 DOW caleb_strategy_v3 [20231200] 2023-11-16 15:01:01 [1] 35087.00000 8462 EUR caleb_strategy_v3 [20231200] 2023-11-16 15:01:09 [1] 1.08955 8455 GOLD_micro caleb_strategy_v3 [20231200] 2023-11-16 14:02:45 [-1] 1975.90000 8454 GOLD_micro caleb_strategy_v3 [20231200] 2023-11-16 14:01:44 [-1] 1975.00000 8452 GOLD_micro caleb_strategy_v3 [20231200] 2023-11-16 14:00:43 [-1] 1974.90000 8458 NASDAQ_micro caleb_strategy_v3 [20231200] 2023-11-16 15:01:00 [1] 15893.00000 8449 NIKKEI caleb_strategy_v3 [20231200] 2023-11-16 03:01:31 [-1] 33260.00000 8460 RUSSELL caleb_strategy_v3 [20231200] 2023-11-16 15:01:02 [1] 1790.00000 8456 SP500_micro caleb_strategy_v3 [20231200] 2023-11-16 15:00:52 [1] 4525.50000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8449 NIKKEI caleb_strategy_v3 2023-11-14 2023-11-16 03:01:15.677 2023-11-16 03:01:31 183676 15.323 8450 CAC caleb_strategy_v3 2023-11-15 2023-11-16 08:00:27.968 2023-11-16 08:00:28 115228 0.032 8451 CAC caleb_strategy_v3 2023-11-15 2023-11-16 08:01:27.758 2023-11-16 08:01:27 115288 NaN 8453 COPPER caleb_strategy_v3 2023-11-15 2023-11-16 14:00:44.605 2023-11-16 14:00:46 136845 1.395 8452 GOLD_micro caleb_strategy_v3 2023-11-15 2023-11-16 14:00:43.843 2023-11-16 14:00:43 136844 NaN 8454 GOLD_micro caleb_strategy_v3 2023-11-15 2023-11-16 14:01:43.931 2023-11-16 14:01:44 136904 0.069 8455 GOLD_micro caleb_strategy_v3 2023-11-15 2023-11-16 14:02:44.202 2023-11-16 14:02:45 136964 0.798 8456 SP500_micro caleb_strategy_v3 2023-11-15 2023-11-16 15:00:51.869 2023-11-16 15:00:52 140452 0.131 8457 CHF caleb_strategy_v3 2023-11-15 2023-11-16 15:00:53.142 2023-11-16 15:00:55 140453 1.858 8458 NASDAQ_micro caleb_strategy_v3 2023-11-15 2023-11-16 15:00:56.206 2023-11-16 15:01:00 140456 3.794 8459 DOW caleb_strategy_v3 2023-11-15 2023-11-16 15:01:00.620 2023-11-16 15:01:01 140461 0.38 8460 RUSSELL caleb_strategy_v3 2023-11-15 2023-11-16 15:01:01.876 2023-11-16 15:01:02 140462 0.124 8462 EUR caleb_strategy_v3 2023-11-15 2023-11-16 15:01:06.656 2023-11-16 15:01:09 140467 2.344 8461 BITCOIN caleb_strategy_v3 2023-11-15 2023-11-16 15:01:02.783 2023-11-16 15:01:06 140463 3.217 8463 BITCOIN caleb_strategy_v3 2023-11-15 2023-11-16 15:01:52.220 2023-11-16 15:01:52 140512 NaN 8464 BITCOIN caleb_strategy_v3 2023-11-15 2023-11-16 15:02:52.472 2023-11-16 15:02:52 140572 NaN 8465 BITCOIN caleb_strategy_v3 2023-11-15 2023-11-16 15:03:52.641 2023-11-16 15:05:07 140633 74.359 8466 BITCOIN caleb_strategy_v3 2023-11-15 2023-11-16 15:05:09.831 2023-11-16 15:05:21 140710 11.169 =============================================================================================================================================================================================================================== 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 8449 NIKKEI caleb_strategy_v3 [-1] 32710 None 33257.5 33255 33260 33260 33260 547.5 -2.5 5 -0 NaN 2.5 8450 CAC caleb_strategy_v3 [1] 7227 None 7219.25 7219.5 7219 NaN 7221 7.75 -0.25 -1.5 NaN NaN -1.75 8451 CAC caleb_strategy_v3 [1] 7227 None 7219.75 7220.5 7219 7219 7217 7.25 -0.75 3.5 2 NaN 2.75 8453 COPPER caleb_strategy_v3 [1] 3.715 None 3.73225 3.7325 3.732 3.732 3.732 -0.01725 -0.00025 0.0005 0 NaN 0.00025 8452 GOLD_micro caleb_strategy_v3 [-1] 1965.1 None 1975.05 1975 1975.1 NaN 1974.9 9.95 -0.05 -0.1 NaN NaN -0.15 8454 GOLD_micro caleb_strategy_v3 [-1] 1965.1 None 1975.05 1975 1975.1 NaN 1975 9.95 -0.05 -0 NaN NaN -0.05 8455 GOLD_micro caleb_strategy_v3 [-1] 1965.1 None 1976 1975.9 1976.1 1976.1 1975.9 10.9 -0.1 -0 -0.2 NaN -0.1 8456 SP500_micro caleb_strategy_v3 [1] 4524.25 None 4525.12 4525.25 4525 4525 4525.5 -0.875 -0.125 -0.25 -0.5 NaN -0.375 8457 CHF caleb_strategy_v3 [1] 1.12955 None 1.1316 1.13165 1.13155 1.13155 1.13165 -0.00205 -5e-05 0 -0.0001 NaN -5e-05 8458 NASDAQ_micro caleb_strategy_v3 [1] 15897.5 None 15891.9 15892 15891.8 15891.8 15893 5.625 -0.125 -1 -1.25 NaN -1.125 8459 DOW caleb_strategy_v3 [1] 35070 None 35084.5 35085 35084 35084 35087 -14.5 -0.5 -2 -3 NaN -2.5 8460 RUSSELL caleb_strategy_v3 [1] 1810.1 None 1790.1 1790.2 1790 1790 1790 20 -0.1 0.2 0 NaN 0.1 8462 EUR caleb_strategy_v3 [1] 1.0859 None 1.08947 1.0895 1.08945 1.08945 1.08955 -0.003575 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 8461 BITCOIN caleb_strategy_v3 [1] 38380 None 37327.5 37350 37305 37305 37360 1052.5 -22.5 -10 -55 NaN -32.5 8463 BITCOIN caleb_strategy_v3 [1] 38380 None 37335 37360 37310 37310 37395 1045 -25 -35 -85 NaN -60 8464 BITCOIN caleb_strategy_v3 [1] 38380 None 37370 37395 37345 37345 37440 1010 -25 -45 -95 NaN -70 8465 BITCOIN caleb_strategy_v3 [1] 38380 None 37420 37440 37400 37400 37445 960 -20 -5 -45 NaN -25 8466 BITCOIN caleb_strategy_v3 [1] 38380 None 37432.5 37445 37420 37420 37450 947.5 -12.5 -5 -30 NaN -17.5 ============================================================================================================================================================ 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 8449 NIKKEI caleb_strategy_v3 [-1] 5638.94 970.927 -4.43346 8.86691 -0 NaN 4.43346 8450 CAC caleb_strategy_v3 [1] 1045.72 74.1114 -2.39069 -14.3441 NaN NaN -16.7348 8451 CAC caleb_strategy_v3 [1] 1045.72 69.33 -7.17207 33.4696 19.1255 NaN 26.2976 8453 COPPER caleb_strategy_v3 [1] 0.672484 -256.512 -3.71756 7.43512 0 NaN 3.71756 8452 GOLD_micro caleb_strategy_v3 [-1] 255.723 389.093 -1.95524 -3.91049 NaN NaN -5.86573 8454 GOLD_micro caleb_strategy_v3 [-1] 255.723 389.093 -1.95524 -0 NaN NaN -1.95524 8455 GOLD_micro caleb_strategy_v3 [-1] 255.723 426.243 -3.91049 -0 -7.82097 NaN -3.91049 8456 SP500_micro caleb_strategy_v3 [1] 683.353 -12.8045 -1.82922 -3.65843 -7.31686 NaN -5.48765 8457 CHF caleb_strategy_v3 [1] 0.087423 -234.492 -5.71932 0 -11.4386 NaN -5.71932 8458 NASDAQ_micro caleb_strategy_v3 [1] 3036.62 18.5239 -0.411642 -3.29314 -4.11642 NaN -3.70478 8459 DOW caleb_strategy_v3 [1] 4491.01 -32.2867 -1.11334 -4.45334 -6.68001 NaN -5.56668 8460 RUSSELL caleb_strategy_v3 [1] 472.265 423.491 -2.11746 4.23491 0 NaN 2.11746 8462 EUR caleb_strategy_v3 [1] 0.0914672 -390.851 -2.73322 -5.46644 -10.9329 NaN -8.19966 8461 BITCOIN caleb_strategy_v3 [1] 16179.4 650.52 -13.9066 -6.18072 -33.9939 NaN -20.0873 8463 BITCOIN caleb_strategy_v3 [1] 16179.4 645.885 -15.4518 -21.6325 -52.5361 NaN -37.0843 8464 BITCOIN caleb_strategy_v3 [1] 16179.4 624.252 -15.4518 -27.8132 -58.7168 NaN -43.265 8465 BITCOIN caleb_strategy_v3 [1] 16179.4 593.349 -12.3614 -3.09036 -27.8132 NaN -15.4518 8466 BITCOIN caleb_strategy_v3 [1] 16179.4 585.623 -7.72589 -3.09036 -18.5421 NaN -10.8163 ======================================================================================================================================================================= 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 8449 NIKKEI caleb_strategy_v3 [-1] 0.660657 361.71 -1.65164 3.30328 -0 NaN 1.65164 8450 CAC caleb_strategy_v3 [1] 10.8385 83.9984 -2.70962 -16.2578 NaN NaN -18.9674 8451 CAC caleb_strategy_v3 [1] 10.8385 78.5791 -8.12888 37.9348 21.677 NaN 29.8059 8453 COPPER caleb_strategy_v3 [1] 25000 -431.25 -6.25 12.5 0 NaN 6.25 8452 GOLD_micro caleb_strategy_v3 [-1] 10 99.5 -0.5 -1 NaN NaN -1.5 8454 GOLD_micro caleb_strategy_v3 [-1] 10 99.5 -0.5 -0 NaN NaN -0.5 8455 GOLD_micro caleb_strategy_v3 [-1] 10 109 -1 -0 -2 NaN -1 8456 SP500_micro caleb_strategy_v3 [1] 5 -4.375 -0.625 -1.25 -2.5 NaN -1.875 8457 CHF caleb_strategy_v3 [1] 125000 -256.25 -6.25 0 -12.5 NaN -6.25 8458 NASDAQ_micro caleb_strategy_v3 [1] 2 11.25 -0.25 -2 -2.5 NaN -2.25 8459 DOW caleb_strategy_v3 [1] 0.5 -7.25 -0.25 -1 -1.5 NaN -1.25 8460 RUSSELL caleb_strategy_v3 [1] 5 100 -0.5 1 0 NaN 0.5 8462 EUR caleb_strategy_v3 [1] 125000 -446.875 -3.125 -6.25 -12.5 NaN -9.375 8461 BITCOIN caleb_strategy_v3 [1] 0.1 105.25 -2.25 -1 -5.5 NaN -3.25 8463 BITCOIN caleb_strategy_v3 [1] 0.1 104.5 -2.5 -3.5 -8.5 NaN -6 8464 BITCOIN caleb_strategy_v3 [1] 0.1 101 -2.5 -4.5 -9.5 NaN -7 8465 BITCOIN caleb_strategy_v3 [1] 0.1 96 -2 -0.5 -4.5 NaN -2.5 8466 BITCOIN caleb_strategy_v3 [1] 0.1 94.75 -1.25 -0.5 -3 NaN -1.75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 501.500000 CAC 162.577500 CHF -256.250000 COPPER -431.250000 DOW -7.250000 EUR -446.875000 GOLD_micro 308.000000 NASDAQ_micro 11.250000 NIKKEI 361.709648 RUSSELL 100.000000 SP500_micro -4.375000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 299.037148 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -10.500000 CAC -10.838500 CHF -6.250000 COPPER -6.250000 DOW -0.250000 EUR -3.125000 GOLD_micro -2.000000 NASDAQ_micro -0.250000 NIKKEI -1.651642 RUSSELL -0.500000 SP500_micro -0.625000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -42.240142 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -10.000000 CAC 21.677000 CHF 0.000000 COPPER 12.500000 DOW -1.000000 EUR -6.250000 GOLD_micro -1.000000 NASDAQ_micro -2.000000 NIKKEI 3.303284 RUSSELL 1.000000 SP500_micro -1.250000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 16.980284 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -31.000 CAC 21.677 CHF -12.500 COPPER 0.000 DOW -1.500 EUR -12.500 GOLD_micro -2.000 NASDAQ_micro -2.500 NIKKEI -0.000 RUSSELL 0.000 SP500_micro -2.500 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -42.823 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0 CAC 0 CHF 0 COPPER 0 DOW 0 EUR 0 GOLD_micro 0 NASDAQ_micro 0 NIKKEI 0 RUSSELL 0 SP500_micro 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 BITCOIN -20.500000 CAC 10.838500 CHF -6.250000 COPPER 6.250000 DOW -1.250000 EUR -9.375000 GOLD_micro -3.000000 NASDAQ_micro -2.250000 NIKKEI 1.651642 RUSSELL 0.500000 SP500_micro -1.875000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -25.259858 ******************************************************************************** END OF REPORT ********************************************************************************