******************************************************************************** Trades report produced on 14/12/2023 21:36 from 13/12/2023 21:36 to 14/12/2023 21:36 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9160 AUD caleb_strategy_v3 [20240300] 2023-12-14 15:00:14 [1] 0.67345 9163 AUD caleb_strategy_v3 [20240300] 2023-12-14 15:01:12 [1] 0.67375 9157 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-14 09:00:30 [1] 97.93500 9158 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-14 09:01:16 [1] 97.93000 9162 NASDAQ_micro caleb_strategy_v3 [20240300] 2023-12-14 15:01:11 [1] 16835.50000 9159 NASDAQ_micro caleb_strategy_v3 [20240300] 2023-12-14 15:00:12 [1] 16844.50000 9156 SMI caleb_strategy_v3 [20240300] 2023-12-14 08:00:11 [1] 11233.00000 9161 SP500_micro caleb_strategy_v3 [20240300] 2023-12-14 15:00:15 [-1] 4786.00000 9164 SP500_micro caleb_strategy_v3 [20240300] 2023-12-14 15:01:13 [-1] 4784.50000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9156 SMI caleb_strategy_v3 2023-12-13 2023-12-14 08:00:11.145 2023-12-14 08:00:11 115211.145 NaN 9157 EURIBOR-ICE caleb_strategy_v3 2023-12-13 2023-12-14 09:00:17.640 2023-12-14 09:00:30 118817.64 12.36 9158 EURIBOR-ICE caleb_strategy_v3 2023-12-13 2023-12-14 09:01:16.413 2023-12-14 09:01:16 118876.413 NaN 9162 NASDAQ_micro caleb_strategy_v3 2023-12-13 2023-12-14 15:01:11.656 2023-12-14 15:01:11 140471.656 NaN 9159 NASDAQ_micro caleb_strategy_v3 2023-12-13 2023-12-14 15:00:12.298 2023-12-14 15:00:12 140412.298 NaN 9160 AUD caleb_strategy_v3 2023-12-13 2023-12-14 15:00:13.335 2023-12-14 15:00:14 140413.335 0.665 9163 AUD caleb_strategy_v3 2023-12-13 2023-12-14 15:01:12.251 2023-12-14 15:01:12 140472.251 NaN 9161 SP500_micro caleb_strategy_v3 2023-12-13 2023-12-14 15:00:15.550 2023-12-14 15:00:15 140415.55 NaN 9164 SP500_micro caleb_strategy_v3 2023-12-13 2023-12-14 15:01:12.997 2023-12-14 15:01:13 140472.997 0.003 ================================================================================================================================================================================================================================ 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 9156 SMI caleb_strategy_v3 [1] 11199.0 None 11231.5 11232.0 11231.0 NaN 11233.0 -32.5 -0.5 -1.0 NaN NaN -1.5 9157 EURIBOR-ICE caleb_strategy_v3 [1] 97.87 None 97.9275 97.93 97.925 97.925 97.935 -0.0575 -0.0025 -0.005 -0.01 NaN -0.0075 9158 EURIBOR-ICE caleb_strategy_v3 [1] 97.87 None 97.9325 97.935 97.93 97.93 97.93 -0.0625 -0.0025 0.005 0.0 NaN 0.0025 9162 NASDAQ_micro caleb_strategy_v3 [1] 16798.25 None 16844.5 16844.75 16844.25 16844.25 16835.5 -46.25 -0.25 9.25 8.75 NaN 9.0 9159 NASDAQ_micro caleb_strategy_v3 [1] 16798.25 None 16844.75 16845.0 16844.5 16844.5 16844.5 -46.5 -0.25 0.5 0.0 NaN 0.25 9160 AUD caleb_strategy_v3 [1] 0.6681 None 0.6734 0.67345 0.67335 0.67335 0.67345 -0.0053 -0.00005 0.0 -0.0001 NaN -0.00005 9163 AUD caleb_strategy_v3 [1] 0.6681 None 0.673425 0.67345 0.6734 0.6734 0.67375 -0.005325 -0.000025 -0.0003 -0.00035 NaN -0.000325 9161 SP500_micro caleb_strategy_v3 [-1] 4752.75 None 4786.375 4786.25 4786.5 4786.5 4786.0 33.625 -0.125 -0.25 -0.5 NaN -0.375 9164 SP500_micro caleb_strategy_v3 [-1] 4752.75 None 4786.125 4786.0 4786.25 4786.25 4784.5 33.375 -0.125 -1.5 -1.75 NaN -1.625 ============================================================================================================================================================== 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 9156 SMI caleb_strategy_v3 [1] 1093.276719 -297.271491 -4.573408 -9.146815 NaN NaN -13.720223 9157 EURIBOR-ICE caleb_strategy_v3 [1] 1.055845 -544.587434 -23.677715 -47.355429 -94.710858 NaN -71.033144 9158 EURIBOR-ICE caleb_strategy_v3 [1] 1.055845 -591.942863 -23.677715 47.355429 0.0 NaN 23.677715 9162 NASDAQ_micro caleb_strategy_v3 [1] 2547.432787 -181.55533 -0.98138 36.311066 34.348306 NaN 35.329686 9159 NASDAQ_micro caleb_strategy_v3 [1] 2547.432787 -182.53671 -0.98138 1.96276 0.0 NaN 0.98138 9160 AUD caleb_strategy_v3 [1] 0.076043 -696.97419 -6.575228 0.0 -13.150456 NaN -6.575228 9163 AUD caleb_strategy_v3 [1] 0.076043 -700.261804 -3.287614 -39.451369 -46.026597 NaN -42.738983 9161 SP500_micro caleb_strategy_v3 [-1] 557.849168 602.761498 -2.240749 -4.481498 -8.962996 NaN -6.722247 9164 SP500_micro caleb_strategy_v3 [-1] 557.849168 598.28 -2.240749 -26.888989 -31.370487 NaN -29.129738 ======================================================================================================================================================================== 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 9156 SMI caleb_strategy_v3 [1] 11.4735 -372.88875 -5.73675 -11.4735 NaN NaN -17.21025 9157 EURIBOR-ICE caleb_strategy_v3 [1] 2721.25 -156.471875 -6.803125 -13.60625 -27.2125 NaN -20.409375 9158 EURIBOR-ICE caleb_strategy_v3 [1] 2721.25 -170.078125 -6.803125 13.60625 0.0 NaN 6.803125 9162 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -92.5 -0.5 18.5 17.5 NaN 18.0 9159 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -93.0 -0.5 1.0 0.0 NaN 0.5 9160 AUD caleb_strategy_v3 [1] 100000.0 -530.0 -5.0 0.0 -10.0 NaN -5.0 9163 AUD caleb_strategy_v3 [1] 100000.0 -532.5 -2.5 -30.0 -35.0 NaN -32.5 9161 SP500_micro caleb_strategy_v3 [-1] 5.0 168.125 -0.625 -1.25 -2.5 NaN -1.875 9164 SP500_micro caleb_strategy_v3 [-1] 5.0 166.875 -0.625 -7.5 -8.75 NaN -8.125 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD -1062.5 EURIBOR-ICE -326.55 NASDAQ_micro -185.5 SMI -372.88875 SP500_micro 335.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1612.43875 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -7.5 EURIBOR-ICE -13.60625 NASDAQ_micro -1.0 SMI -5.73675 SP500_micro -1.25 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -29.093 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD -30.0 EURIBOR-ICE 0.0 NASDAQ_micro 19.5 SMI -11.4735 SP500_micro -8.75 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -30.7235 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD -45.0 EURIBOR-ICE -27.2125 NASDAQ_micro 17.5 SMI 0 SP500_micro -11.25 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -65.9625 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 EURIBOR-ICE 0 NASDAQ_micro 0 SMI 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 AUD -37.5 EURIBOR-ICE -13.60625 NASDAQ_micro 18.5 SMI -17.21025 SP500_micro -10.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -59.8165 ******************************************************************************** END OF REPORT ********************************************************************************