******************************************************************************** Trades report produced on 01/12/2023 21:39 from 30/11/2023 21:39 to 01/12/2023 21:39 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8728 BTP _ROLL_PSEUDO_STRATEGY [20240300] 2023-12-01 08:00:32 [1] 114.59 8732 BTP _ROLL_PSEUDO_STRATEGY [20231200] 2023-12-01 08:01:42 [-1] 115.15 8733 BTP _ROLL_PSEUDO_STRATEGY [20240300] 2023-12-01 08:01:43 [1] 114.60 8727 BTP _ROLL_PSEUDO_STRATEGY [20231200] 2023-12-01 08:00:31 [-1] 115.14 8738 CAC caleb_strategy_v3 [20231200] 2023-12-01 08:06:28 [-1] 7349.00 8731 CAC caleb_strategy_v3 [20231200] 2023-12-01 08:01:28 [-1] 7347.00 8726 CAC caleb_strategy_v3 [20231200] 2023-12-01 08:00:30 [-1] 7343.00 8742 CAC caleb_strategy_v3 [20231200] 2023-12-01 08:10:28 [-1] 7353.00 8741 CAC caleb_strategy_v3 [20231200] 2023-12-01 08:09:28 [-1] 7352.00 8740 CAC caleb_strategy_v3 [20231200] 2023-12-01 08:08:28 [-1] 7350.00 8735 CAC caleb_strategy_v3 [20231200] 2023-12-01 08:03:28 [-1] 7348.50 8734 CAC caleb_strategy_v3 [20231200] 2023-12-01 08:02:28 [-1] 7352.50 8737 CAC caleb_strategy_v3 [20231200] 2023-12-01 08:05:28 [-1] 7347.00 8736 CAC caleb_strategy_v3 [20231200] 2023-12-01 08:04:28 [-1] 7349.50 8739 CAC caleb_strategy_v3 [20231200] 2023-12-01 08:07:28 [-1] 7349.50 8730 OAT _ROLL_PSEUDO_STRATEGY [20240300] 2023-12-01 08:00:38 [1] 126.82 8729 OAT _ROLL_PSEUDO_STRATEGY [20231200] 2023-12-01 08:00:34 [-1] 127.19 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8729 OAT _ROLL_PSEUDO_STRATEGY 2023-11-30 19:00:00 2023-12-01 08:00:33.535 2023-12-01 08:00:34 46833.5 0.465 8730 OAT _ROLL_PSEUDO_STRATEGY 2023-11-30 19:00:00 2023-12-01 08:00:34.971 2023-12-01 08:00:38 46835 3.029 8728 BTP _ROLL_PSEUDO_STRATEGY 2023-11-30 17:00:00 2023-12-01 08:00:32.263 2023-12-01 08:00:32 54032.3 NaN 8732 BTP _ROLL_PSEUDO_STRATEGY 2023-11-30 17:00:00 2023-12-01 08:01:28.859 2023-12-01 08:01:42 54088.9 13.141 8733 BTP _ROLL_PSEUDO_STRATEGY 2023-11-30 17:00:00 2023-12-01 08:01:42.675 2023-12-01 08:01:43 54102.7 0.325 8727 BTP _ROLL_PSEUDO_STRATEGY 2023-11-30 17:00:00 2023-12-01 08:00:30.910 2023-12-01 08:00:31 54030.9 0.09 8736 CAC caleb_strategy_v3 2023-11-30 17:35:00 2023-12-01 08:04:28.396 2023-12-01 08:04:28 52168.4 NaN 8737 CAC caleb_strategy_v3 2023-11-30 17:35:00 2023-12-01 08:05:28.364 2023-12-01 08:05:28 52228.4 NaN 8738 CAC caleb_strategy_v3 2023-11-30 17:35:00 2023-12-01 08:06:28.375 2023-12-01 08:06:28 52288.4 NaN 8739 CAC caleb_strategy_v3 2023-11-30 17:35:00 2023-12-01 08:07:28.397 2023-12-01 08:07:28 52348.4 NaN 8740 CAC caleb_strategy_v3 2023-11-30 17:35:00 2023-12-01 08:08:28.410 2023-12-01 08:08:28 52408.4 NaN 8741 CAC caleb_strategy_v3 2023-11-30 17:35:00 2023-12-01 08:09:28.423 2023-12-01 08:09:28 52468.4 NaN 8742 CAC caleb_strategy_v3 2023-11-30 17:35:00 2023-12-01 08:10:28.426 2023-12-01 08:10:28 52528.4 NaN 8726 CAC caleb_strategy_v3 2023-11-30 17:35:00 2023-12-01 08:00:28.842 2023-12-01 08:00:30 51928.8 1.158 8731 CAC caleb_strategy_v3 2023-11-30 17:35:00 2023-12-01 08:01:28.329 2023-12-01 08:01:28 51988.3 NaN 8734 CAC caleb_strategy_v3 2023-11-30 17:35:00 2023-12-01 08:02:28.501 2023-12-01 08:02:28 52048.5 NaN 8735 CAC caleb_strategy_v3 2023-11-30 17:35:00 2023-12-01 08:03:28.518 2023-12-01 08:03:28 52108.5 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 8729 OAT _ROLL_PSEUDO_STRATEGY [-1] 127.04 None 127.2 127.19 127.21 127.21 127.19 0.16 -0.01 -0 -0.02 NaN -0.01 8730 OAT _ROLL_PSEUDO_STRATEGY [1] 126.64 None 126.815 126.82 126.81 126.81 126.82 -0.175 -0.005 0 -0.01 NaN -0.005 8728 BTP _ROLL_PSEUDO_STRATEGY [1] 114.32 None 114.58 114.59 114.57 114.57 114.59 -0.26 -0.01 0 -0.02 NaN -0.01 8732 BTP _ROLL_PSEUDO_STRATEGY [-1] 114.88 None 115.155 115.15 115.16 115.16 115.15 0.275 -0.005 -0 -0.01 NaN -0.005 8733 BTP _ROLL_PSEUDO_STRATEGY [1] 114.32 None 114.58 114.59 114.57 114.57 114.6 -0.26 -0.01 -0.01 -0.03 NaN -0.02 8727 BTP _ROLL_PSEUDO_STRATEGY [-1] 114.88 None 115.135 115.13 115.14 115.14 115.14 0.255 -0.005 0.01 -0 NaN 0.005 8736 CAC caleb_strategy_v3 [-1] 7321 None 7343 7342.5 7343.5 7343.5 7349.5 22 -0.5 7 6 NaN 6.5 8737 CAC caleb_strategy_v3 [-1] 7321 None 7343 7342.5 7343.5 7343.5 7347 22 -0.5 4.5 3.5 NaN 4 8738 CAC caleb_strategy_v3 [-1] 7321 None 7343 7342.5 7343.5 7343.5 7349 22 -0.5 6.5 5.5 NaN 6 8739 CAC caleb_strategy_v3 [-1] 7321 None 7343 7342.5 7343.5 7343.5 7349.5 22 -0.5 7 6 NaN 6.5 8740 CAC caleb_strategy_v3 [-1] 7321 None 7343 7342.5 7343.5 7343.5 7350 22 -0.5 7.5 6.5 NaN 7 8741 CAC caleb_strategy_v3 [-1] 7321 None 7343 7342.5 7343.5 7343.5 7352 22 -0.5 9.5 8.5 NaN 9 8742 CAC caleb_strategy_v3 [-1] 7321 None 7343 7342.5 7343.5 7343.5 7353 22 -0.5 10.5 9.5 NaN 10 8726 CAC caleb_strategy_v3 [-1] 7321 None 7342.5 7342 7343 7343 7343 21.5 -0.5 1 -0 NaN 0.5 8731 CAC caleb_strategy_v3 [-1] 7321 None 7343 7342.5 7343.5 7343.5 7347 22 -0.5 4.5 3.5 NaN 4 8734 CAC caleb_strategy_v3 [-1] 7321 None 7343 7342.5 7343.5 7343.5 7352.5 22 -0.5 10 9 NaN 9.5 8735 CAC caleb_strategy_v3 [-1] 7321 None 7343 7342.5 7343.5 7343.5 7348.5 22 -0.5 6 5 NaN 5.5 ================================================================================================================================================================ 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 8729 OAT _ROLL_PSEUDO_STRATEGY [-1] 10.9306 146.378 -9.14862 -0 -18.2972 NaN -9.14862 8730 OAT _ROLL_PSEUDO_STRATEGY [1] 10.9306 -160.101 -4.57431 0 -9.14862 NaN -4.57431 8728 BTP _ROLL_PSEUDO_STRATEGY [1] 11.6576 -223.031 -8.57813 0 -17.1563 NaN -8.57813 8732 BTP _ROLL_PSEUDO_STRATEGY [-1] 11.6576 235.899 -4.28906 -0 -8.57813 NaN -4.28906 8733 BTP _ROLL_PSEUDO_STRATEGY [1] 11.6576 -223.031 -8.57813 -8.57813 -25.7344 NaN -17.1563 8727 BTP _ROLL_PSEUDO_STRATEGY [-1] 11.6576 218.742 -4.28906 8.57813 -0 NaN 4.28906 8736 CAC caleb_strategy_v3 [-1] 912.674 241.05 -5.47841 76.6977 65.7409 NaN 71.2193 8737 CAC caleb_strategy_v3 [-1] 912.674 241.05 -5.47841 49.3056 38.3488 NaN 43.8272 8738 CAC caleb_strategy_v3 [-1] 912.674 241.05 -5.47841 71.2193 60.2625 NaN 65.7409 8739 CAC caleb_strategy_v3 [-1] 912.674 241.05 -5.47841 76.6977 65.7409 NaN 71.2193 8740 CAC caleb_strategy_v3 [-1] 912.674 241.05 -5.47841 82.1761 71.2193 NaN 76.6977 8741 CAC caleb_strategy_v3 [-1] 912.674 241.05 -5.47841 104.09 93.1329 NaN 98.6113 8742 CAC caleb_strategy_v3 [-1] 912.674 241.05 -5.47841 115.047 104.09 NaN 109.568 8726 CAC caleb_strategy_v3 [-1] 912.674 235.571 -5.47841 10.9568 -0 NaN 5.47841 8731 CAC caleb_strategy_v3 [-1] 912.674 241.05 -5.47841 49.3056 38.3488 NaN 43.8272 8734 CAC caleb_strategy_v3 [-1] 912.674 241.05 -5.47841 109.568 98.6113 NaN 104.09 8735 CAC caleb_strategy_v3 [-1] 912.674 241.05 -5.47841 65.7409 54.7841 NaN 60.2625 =========================================================================================================================================================================== 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 8729 OAT _ROLL_PSEUDO_STRATEGY [-1] 1090.85 174.536 -10.9085 -0 -21.817 NaN -10.9085 8730 OAT _ROLL_PSEUDO_STRATEGY [1] 1090.85 -190.899 -5.45425 0 -10.9085 NaN -5.45425 8728 BTP _ROLL_PSEUDO_STRATEGY [1] 1090.85 -283.621 -10.9085 0 -21.817 NaN -10.9085 8732 BTP _ROLL_PSEUDO_STRATEGY [-1] 1090.85 299.984 -5.45425 -0 -10.9085 NaN -5.45425 8733 BTP _ROLL_PSEUDO_STRATEGY [1] 1090.85 -283.621 -10.9085 -10.9085 -32.7255 NaN -21.817 8727 BTP _ROLL_PSEUDO_STRATEGY [-1] 1090.85 278.167 -5.45425 10.9085 -0 NaN 5.45425 8736 CAC caleb_strategy_v3 [-1] 10.9085 239.987 -5.45425 76.3595 65.451 NaN 70.9052 8737 CAC caleb_strategy_v3 [-1] 10.9085 239.987 -5.45425 49.0883 38.1797 NaN 43.634 8738 CAC caleb_strategy_v3 [-1] 10.9085 239.987 -5.45425 70.9052 59.9967 NaN 65.451 8739 CAC caleb_strategy_v3 [-1] 10.9085 239.987 -5.45425 76.3595 65.451 NaN 70.9052 8740 CAC caleb_strategy_v3 [-1] 10.9085 239.987 -5.45425 81.8137 70.9052 NaN 76.3595 8741 CAC caleb_strategy_v3 [-1] 10.9085 239.987 -5.45425 103.631 92.7223 NaN 98.1765 8742 CAC caleb_strategy_v3 [-1] 10.9085 239.987 -5.45425 114.539 103.631 NaN 109.085 8726 CAC caleb_strategy_v3 [-1] 10.9085 234.533 -5.45425 10.9085 -0 NaN 5.45425 8731 CAC caleb_strategy_v3 [-1] 10.9085 239.987 -5.45425 49.0883 38.1797 NaN 43.634 8734 CAC caleb_strategy_v3 [-1] 10.9085 239.987 -5.45425 109.085 98.1765 NaN 103.631 8735 CAC caleb_strategy_v3 [-1] 10.9085 239.987 -5.45425 65.451 54.5425 NaN 59.9967 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BTP 10.90850 OAT -16.36275 caleb_strategy_v3 CAC 2634.40275 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -5.45425 caleb_strategy_v3 2634.40275 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BTP -32.72550 OAT -16.36275 caleb_strategy_v3 CAC -59.99675 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -49.08825 caleb_strategy_v3 -59.99675 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BTP 1.550049e-11 OAT 0.000000e+00 caleb_strategy_v3 CAC 8.072290e+02 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 1.550049e-11 caleb_strategy_v3 8.072290e+02 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BTP -65.4510 OAT -32.7255 caleb_strategy_v3 CAC 687.2355 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -98.1765 caleb_strategy_v3 687.2355 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BTP 0 OAT 0 caleb_strategy_v3 CAC 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BTP -32.72550 OAT -16.36275 caleb_strategy_v3 CAC 747.23225 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -49.08825 caleb_strategy_v3 747.23225 ******************************************************************************** END OF REPORT ********************************************************************************