******************************************************************************** Trades report produced on 07/12/2023 21:39 from 06/12/2023 21:39 to 07/12/2023 21:39 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 8889 BITCOIN caleb_strategy_v3 [20231200] 2023-12-07 15:05:47 [1] 43970.00000 8887 BITCOIN caleb_strategy_v3 [20231200] 2023-12-07 15:03:47 [1] 44120.00000 8886 BITCOIN caleb_strategy_v3 [20231200] 2023-12-07 15:02:47 [1] 44050.00000 8888 BITCOIN caleb_strategy_v3 [20231200] 2023-12-07 15:04:47 [1] 44070.00000 8884 BITCOIN caleb_strategy_v3 [20231200] 2023-12-07 15:01:47 [1] 44025.00000 8882 BITCOIN caleb_strategy_v3 [20231200] 2023-12-07 15:00:49 [1] 43990.00000 8872 DAX caleb_strategy_v3 [20240300] 2023-12-07 08:01:27 [1] 16829.00000 8873 DAX caleb_strategy_v3 [20240300] 2023-12-07 08:02:26 [1] 16822.00000 8874 DAX caleb_strategy_v3 [20240300] 2023-12-07 08:03:59 [1] 16809.00000 8871 DAX caleb_strategy_v3 [20240300] 2023-12-07 08:00:32 [1] 16832.00000 8881 DOW caleb_strategy_v3 [20240300] 2023-12-07 15:00:48 [1] 36453.00000 8883 DOW caleb_strategy_v3 [20240300] 2023-12-07 15:01:47 [1] 36450.00000 8885 DOW caleb_strategy_v3 [20240300] 2023-12-07 15:02:47 [1] 36445.00000 8875 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-07 09:00:43 [1] 97.77000 8876 GAS_US_mini caleb_strategy_v3 [20240200] 2023-12-07 14:00:37 [-1] 2.50500 8879 GOLD_micro caleb_strategy_v3 [20240200] 2023-12-07 14:02:35 [-1] 2053.90000 8878 GOLD_micro caleb_strategy_v3 [20240200] 2023-12-07 14:01:35 [-1] 2054.00000 8877 GOLD_micro caleb_strategy_v3 [20240200] 2023-12-07 14:00:40 [-1] 2054.20000 8870 NIKKEI caleb_strategy_v3 [20240300] 2023-12-07 03:01:34 [1] 32735.00000 8880 US10 caleb_strategy_v3 [20240300] 2023-12-07 15:00:47 [-1] 111.03125 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8870 NIKKEI caleb_strategy_v3 2023-12-06 2023-12-07 03:01:18.185 2023-12-07 03:01:34 97278.2 15.815 8872 DAX caleb_strategy_v3 2023-12-06 2023-12-07 08:01:26.816 2023-12-07 08:01:27 115287 0.184 8873 DAX caleb_strategy_v3 2023-12-06 2023-12-07 08:02:26.795 2023-12-07 08:02:26 115347 NaN 8874 DAX caleb_strategy_v3 2023-12-06 2023-12-07 08:03:26.825 2023-12-07 08:03:59 115407 32.175 8871 DAX caleb_strategy_v3 2023-12-06 2023-12-07 08:00:26.952 2023-12-07 08:00:32 115227 5.048 8875 EURIBOR-ICE caleb_strategy_v3 2023-12-06 2023-12-07 09:00:28.027 2023-12-07 09:00:43 118828 14.973 8876 GAS_US_mini caleb_strategy_v3 2023-12-06 2023-12-07 14:00:35.212 2023-12-07 14:00:37 136835 1.788 8877 GOLD_micro caleb_strategy_v3 2023-12-06 2023-12-07 14:00:38.451 2023-12-07 14:00:40 136838 1.549 8878 GOLD_micro caleb_strategy_v3 2023-12-06 2023-12-07 14:01:35.065 2023-12-07 14:01:35 136895 NaN 8879 GOLD_micro caleb_strategy_v3 2023-12-06 2023-12-07 14:02:35.253 2023-12-07 14:02:35 136955 NaN 8880 US10 caleb_strategy_v3 2023-12-06 2023-12-07 15:00:46.772 2023-12-07 15:00:47 140447 0.228 8881 DOW caleb_strategy_v3 2023-12-06 2023-12-07 15:00:47.591 2023-12-07 15:00:48 140448 0.409 8883 DOW caleb_strategy_v3 2023-12-06 2023-12-07 15:01:47.076 2023-12-07 15:01:47 140507 NaN 8885 DOW caleb_strategy_v3 2023-12-06 2023-12-07 15:02:47.302 2023-12-07 15:02:47 140567 NaN 8882 BITCOIN caleb_strategy_v3 2023-12-06 2023-12-07 15:00:48.690 2023-12-07 15:00:49 140449 0.31 8884 BITCOIN caleb_strategy_v3 2023-12-06 2023-12-07 15:01:47.528 2023-12-07 15:01:47 140508 NaN 8886 BITCOIN caleb_strategy_v3 2023-12-06 2023-12-07 15:02:47.744 2023-12-07 15:02:47 140568 NaN 8887 BITCOIN caleb_strategy_v3 2023-12-06 2023-12-07 15:03:47.323 2023-12-07 15:03:47 140627 NaN 8888 BITCOIN caleb_strategy_v3 2023-12-06 2023-12-07 15:04:47.444 2023-12-07 15:04:47 140687 NaN 8889 BITCOIN caleb_strategy_v3 2023-12-06 2023-12-07 15:05:47.728 2023-12-07 15:05:47 140748 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 8870 NIKKEI caleb_strategy_v3 [1] 33165 None 32737.5 32740 32735 32735 32735 427.5 -2.5 5 0 NaN 2.5 8872 DAX caleb_strategy_v3 [1] 16856 None 16825.5 16832 16819 16819 16829 30.5 -6.5 3 -10 NaN -3.5 8873 DAX caleb_strategy_v3 [1] 16856 None 16826.5 16829 16824 16824 16822 29.5 -2.5 7 2 NaN 4.5 8874 DAX caleb_strategy_v3 [1] 16856 None 16815.5 16822 16809 16809 16809 40.5 -6.5 13 0 NaN 6.5 8871 DAX caleb_strategy_v3 [1] 16856 None 16825 16833 16817 16817 16832 31 -8 1 -15 NaN -7 8875 EURIBOR-ICE caleb_strategy_v3 [1] 97.775 None 97.7675 97.77 97.765 97.765 97.77 0.0075 -0.0025 0 -0.005 NaN -0.0025 8876 GAS_US_mini caleb_strategy_v3 [-1] 2.53 None 2.505 2.5 2.51 2.51 2.505 -0.025 -0.005 0.005 -0.005 NaN 0 8877 GOLD_micro caleb_strategy_v3 [-1] 2046 None 2054.2 2054.1 2054.3 2054.3 2054.2 8.2 -0.1 0.1 -0.1 NaN 0 8878 GOLD_micro caleb_strategy_v3 [-1] 2046 None 2054.25 2054.2 2054.3 NaN 2054 8.25 -0.05 -0.2 NaN NaN -0.25 8879 GOLD_micro caleb_strategy_v3 [-1] 2046 None 2053.95 2053.9 2054 2054 2053.9 7.95 -0.05 -0 -0.1 NaN -0.05 8880 US10 caleb_strategy_v3 [-1] 111.094 None 111.023 111.016 111.031 111.031 111.031 -0.0703125 -0.0078125 0.015625 -0 NaN 0.0078125 8881 DOW caleb_strategy_v3 [1] 36520 None 36449.5 36451 36448 36448 36453 70.5 -1.5 -2 -5 NaN -3.5 8883 DOW caleb_strategy_v3 [1] 36520 None 36451.5 36453 36450 36450 36450 68.5 -1.5 3 0 NaN 1.5 8885 DOW caleb_strategy_v3 [1] 36520 None 36448.5 36450 36447 36447 36445 71.5 -1.5 5 2 NaN 3.5 8882 BITCOIN caleb_strategy_v3 [1] 44515 None 43982.5 43990 43975 43975 43990 532.5 -7.5 0 -15 NaN -7.5 8884 BITCOIN caleb_strategy_v3 [1] 44515 None 43985 43990 43980 43980 44025 530 -5 -35 -45 NaN -40 8886 BITCOIN caleb_strategy_v3 [1] 44515 None 44017.5 44025 44010 44010 44050 497.5 -7.5 -25 -40 NaN -32.5 8887 BITCOIN caleb_strategy_v3 [1] 44515 None 44042.5 44050 44035 44035 44120 472.5 -7.5 -70 -85 NaN -77.5 8888 BITCOIN caleb_strategy_v3 [1] 44515 None 44112.5 44120 44105 44105 44070 402.5 -7.5 50 35 NaN 42.5 8889 BITCOIN caleb_strategy_v3 [1] 44515 None 44065 44070 44060 44060 43970 450 -5 100 90 NaN 95 ============================================================================================================================================================ 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 8870 NIKKEI caleb_strategy_v3 [1] 5231.28 817.2 -4.77895 9.5579 0 NaN 4.77895 8872 DAX caleb_strategy_v3 [1] 1899.06 160.606 -34.2275 15.7973 -52.6576 NaN -18.4302 8873 DAX caleb_strategy_v3 [1] 1899.06 155.34 -13.1644 36.8603 10.5315 NaN 23.6959 8874 DAX caleb_strategy_v3 [1] 1899.06 213.263 -34.2275 68.4549 0 NaN 34.2275 8871 DAX caleb_strategy_v3 [1] 1899.06 163.239 -42.1261 5.26576 -78.9865 NaN -36.8603 8875 EURIBOR-ICE caleb_strategy_v3 [1] 1.0647 70.4426 -23.4809 0 -46.9617 NaN -23.4809 8876 GAS_US_mini caleb_strategy_v3 [-1] 1.86458 -134.078 -26.8156 26.8156 -26.8156 NaN 0 8877 GOLD_micro caleb_strategy_v3 [-1] 284.719 288.003 -3.51223 3.51223 -3.51223 NaN 0 8878 GOLD_micro caleb_strategy_v3 [-1] 284.719 289.759 -1.75612 -7.02447 NaN NaN -8.78058 8879 GOLD_micro caleb_strategy_v3 [-1] 284.719 279.223 -1.75612 -0 -3.51223 NaN -1.75612 8880 US10 caleb_strategy_v3 [-1] 8.7182 -80.6503 -8.96114 17.9223 -0 NaN 8.96114 8881 DOW caleb_strategy_v3 [1] 3930.26 179.377 -3.81654 -5.08872 -12.7218 NaN -8.90526 8883 DOW caleb_strategy_v3 [1] 3930.26 174.289 -3.81654 7.63308 0 NaN 3.81654 8885 DOW caleb_strategy_v3 [1] 3930.26 181.922 -3.81654 12.7218 5.08872 NaN 8.90526 8882 BITCOIN caleb_strategy_v3 [1] 17352.9 306.864 -4.32203 0 -8.64406 NaN -4.32203 8884 BITCOIN caleb_strategy_v3 [1] 17352.9 305.424 -2.88135 -20.1695 -25.9322 NaN -23.0508 8886 BITCOIN caleb_strategy_v3 [1] 17352.9 286.695 -4.32203 -14.4068 -23.0508 NaN -18.7288 8887 BITCOIN caleb_strategy_v3 [1] 17352.9 272.288 -4.32203 -40.339 -48.983 NaN -44.661 8888 BITCOIN caleb_strategy_v3 [1] 17352.9 231.949 -4.32203 28.8135 20.1695 NaN 24.4915 8889 BITCOIN caleb_strategy_v3 [1] 17352.9 259.322 -2.88135 57.6271 51.8644 NaN 54.7457 ======================================================================================================================================================================= 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 8870 NIKKEI caleb_strategy_v3 [1] 0.684503 292.625 -1.71126 3.42251 0 NaN 1.71126 8872 DAX caleb_strategy_v3 [1] 1.07615 32.8226 -6.99497 3.22845 -10.7615 NaN -3.76652 8873 DAX caleb_strategy_v3 [1] 1.07615 31.7464 -2.69037 7.53305 2.1523 NaN 4.84267 8874 DAX caleb_strategy_v3 [1] 1.07615 43.5841 -6.99497 13.9899 0 NaN 6.99497 8871 DAX caleb_strategy_v3 [1] 1.07615 33.3606 -8.6092 1.07615 -16.1423 NaN -7.53305 8875 EURIBOR-ICE caleb_strategy_v3 [1] 2690.38 20.1778 -6.72594 0 -13.4519 NaN -6.72594 8876 GAS_US_mini caleb_strategy_v3 [-1] 2500 -62.5 -12.5 12.5 -12.5 NaN 0 8877 GOLD_micro caleb_strategy_v3 [-1] 10 82 -1 1 -1 NaN 0 8878 GOLD_micro caleb_strategy_v3 [-1] 10 82.5 -0.5 -2 NaN NaN -2.5 8879 GOLD_micro caleb_strategy_v3 [-1] 10 79.5 -0.5 -0 -1 NaN -0.5 8880 US10 caleb_strategy_v3 [-1] 1000 -70.3125 -7.8125 15.625 -0 NaN 7.8125 8881 DOW caleb_strategy_v3 [1] 0.5 35.25 -0.75 -1 -2.5 NaN -1.75 8883 DOW caleb_strategy_v3 [1] 0.5 34.25 -0.75 1.5 0 NaN 0.75 8885 DOW caleb_strategy_v3 [1] 0.5 35.75 -0.75 2.5 1 NaN 1.75 8882 BITCOIN caleb_strategy_v3 [1] 0.1 53.25 -0.75 0 -1.5 NaN -0.75 8884 BITCOIN caleb_strategy_v3 [1] 0.1 53 -0.5 -3.5 -4.5 NaN -4 8886 BITCOIN caleb_strategy_v3 [1] 0.1 49.75 -0.75 -2.5 -4 NaN -3.25 8887 BITCOIN caleb_strategy_v3 [1] 0.1 47.25 -0.75 -7 -8.5 NaN -7.75 8888 BITCOIN caleb_strategy_v3 [1] 0.1 40.25 -0.75 5 3.5 NaN 4.25 8889 BITCOIN caleb_strategy_v3 [1] 0.1 45 -0.5 10 9 NaN 9.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 288.500000 DAX 141.513725 DOW 105.250000 EURIBOR-ICE 20.177813 GAS_US_mini -62.500000 GOLD_micro 244.000000 NIKKEI 292.624828 US10 -70.312500 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 959.253865 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -4.000000 DAX -25.289525 DOW -2.250000 EURIBOR-ICE -6.725937 GAS_US_mini -12.500000 GOLD_micro -2.000000 NIKKEI -1.711256 US10 -7.812500 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -62.289219 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 2.000000 DAX 25.827600 DOW 3.000000 EURIBOR-ICE 0.000000 GAS_US_mini 12.500000 GOLD_micro -1.000000 NIKKEI 3.422513 US10 15.625000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 61.375113 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -6.000000 DAX -24.751450 DOW -1.500000 EURIBOR-ICE -13.451875 GAS_US_mini -12.500000 GOLD_micro -2.000000 NIKKEI 0.000000 US10 -0.000000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -60.203325 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0 DAX 0 DOW 0 EURIBOR-ICE 0 GAS_US_mini 0 GOLD_micro 0 NIKKEI 0 US10 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 -2.000000 DAX 0.538075 DOW 0.750000 EURIBOR-ICE -6.725937 GAS_US_mini 0.000000 GOLD_micro -3.000000 NIKKEI 1.711256 US10 7.812500 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -0.914106 ******************************************************************************** END OF REPORT ********************************************************************************