******************************************************************************** Trades report produced on 22/11/2023 21:38 from 21/11/2023 21:38 to 22/11/2023 21:38 ******************************************************************************** ============================================================================================ Broker orders ============================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price 8543 CAC caleb_strategy_v3 [20231200] 2023-11-22 08:08:59 [1] 7258.500000 8546 JPY caleb_strategy_v3 [20231200] 2023-11-22 15:00:36 [1] 0.006713 8541 NIKKEI caleb_strategy_v3 [20240300] 2023-11-22 03:01:17 [1] 33450.000000 8542 NIKKEI caleb_strategy_v3 [20240300] 2023-11-22 03:02:22 [1] 33445.000000 8545 RUSSELL caleb_strategy_v3 [20231200] 2023-11-22 15:00:34 [1] 1799.500000 8547 RUSSELL caleb_strategy_v3 [20231200] 2023-11-22 15:01:33 [1] 1796.000000 8544 US5 caleb_strategy_v3 [20231200] 2023-11-22 15:00:33 [1] 105.890625 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8541 NIKKEI caleb_strategy_v3 2023-11-21 2023-11-22 03:01:14.338 2023-11-22 03:01:17 97274.3 2.662 8542 NIKKEI caleb_strategy_v3 2023-11-21 2023-11-22 03:02:14.556 2023-11-22 03:02:22 97334.6 7.444 8543 CAC caleb_strategy_v3 2023-11-21 2023-11-22 08:00:25.927 2023-11-22 08:08:59 115226 513.073 8544 US5 caleb_strategy_v3 2023-11-21 2023-11-22 15:00:33.429 2023-11-22 15:00:33 140433 NaN 8546 JPY caleb_strategy_v3 2023-11-21 2023-11-22 15:00:35.540 2023-11-22 15:00:36 140436 0.46 8545 RUSSELL caleb_strategy_v3 2023-11-21 2023-11-22 15:00:34.420 2023-11-22 15:00:34 140434 NaN 8547 RUSSELL caleb_strategy_v3 2023-11-21 2023-11-22 15:01:33.251 2023-11-22 15:01:33 140493 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 8541 NIKKEI caleb_strategy_v3 [1] 33110 None 33452.5 33455 33450 33450 33450 -342.5 -2.5 5 0 NaN 2.5 8542 NIKKEI caleb_strategy_v3 [1] 33110 None 33447.5 33450 33445 33445 33445 -337.5 -2.5 5 0 NaN 2.5 8543 CAC caleb_strategy_v3 [1] 7246.5 None 7253.25 7253.5 7253 7253 7258.5 -6.75 -0.25 -5 -5.5 NaN -5.25 8544 US5 caleb_strategy_v3 [1] 105.945 None 105.879 105.883 105.875 105.875 105.891 0.0664062 -0.00390625 -0.0078125 -0.015625 NaN -0.0117188 8546 JPY caleb_strategy_v3 [1] 0.0067675 None 0.0067135 0.006714 0.006713 0.006713 0.006713 5.4e-05 -5e-07 1e-06 -8.67362e-19 NaN 5e-07 8545 RUSSELL caleb_strategy_v3 [1] 1792 None 1799.3 1799.4 1799.2 1799.2 1799.5 -7.3 -0.1 -0.1 -0.3 NaN -0.2 8547 RUSSELL caleb_strategy_v3 [1] 1792 None 1799.5 1799.6 1799.4 1799.4 1796 -7.5 -0.1 3.6 3.4 NaN 3.5 ============================================================================================================================================================ 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 8541 NIKKEI caleb_strategy_v3 [1] 5573.68 -614.495 -4.48537 8.97073 0 NaN 4.48537 8542 NIKKEI caleb_strategy_v3 [1] 5573.68 -605.524 -4.48537 8.97073 0 NaN 4.48537 8543 CAC caleb_strategy_v3 [1] 997.322 -67.6813 -2.50671 -50.1343 -55.1477 NaN -52.641 8544 US5 caleb_strategy_v3 [1] 5.88562 112.828 -6.63694 -13.2739 -26.5478 NaN -19.9108 8546 JPY caleb_strategy_v3 [1] 0.000658442 820.118 -7.59369 15.1874 -1.31729e-11 NaN 7.59369 8545 RUSSELL caleb_strategy_v3 [1] 445.115 -164.003 -2.24661 -2.24661 -6.73983 NaN -4.49322 8547 RUSSELL caleb_strategy_v3 [1] 445.115 -168.496 -2.24661 80.878 76.3848 NaN 78.6314 ======================================================================================================================================================================= 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 8541 NIKKEI caleb_strategy_v3 [1] 0.671596 -230.022 -1.67899 3.35798 0 NaN 1.67899 8542 NIKKEI caleb_strategy_v3 [1] 0.671596 -226.664 -1.67899 3.35798 0 NaN 1.67899 8543 CAC caleb_strategy_v3 [1] 10.903 -73.5953 -2.72575 -54.515 -59.9665 NaN -57.2408 8544 US5 caleb_strategy_v3 [1] 1000 66.4062 -3.90625 -7.8125 -15.625 NaN -11.7188 8546 JPY caleb_strategy_v3 [1] 1.25e+07 675 -6.25 12.5 -1.0842e-11 NaN 6.25 8545 RUSSELL caleb_strategy_v3 [1] 5 -36.5 -0.5 -0.5 -1.5 NaN -1 8547 RUSSELL caleb_strategy_v3 [1] 5 -37.5 -0.5 18 17 NaN 17.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CAC -73.595250 JPY 675.000000 NIKKEI -456.685404 RUSSELL -74.000000 US5 66.406250 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 137.125596 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CAC -2.725750 JPY -6.250000 NIKKEI -3.357981 RUSSELL -1.000000 US5 -3.906250 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -17.239981 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CAC -54.515000 JPY 12.500000 NIKKEI 6.715962 RUSSELL 17.500000 US5 -7.812500 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -25.611538 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CAC -5.996650e+01 JPY -1.084202e-11 NIKKEI 0.000000e+00 RUSSELL 1.550000e+01 US5 -1.562500e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -60.0915 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CAC 0 JPY 0 NIKKEI 0 RUSSELL 0 US5 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 CAC -57.240750 JPY 6.250000 NIKKEI 3.357981 RUSSELL 16.500000 US5 -11.718750 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -42.851519 ******************************************************************************** END OF REPORT ********************************************************************************