******************************************************************************** Trades report produced on 20/12/2023 21:37 from 19/12/2023 21:37 to 20/12/2023 21:37 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9297 CAD caleb_strategy_v3 [20240300] 2023-12-20 15:00:33 [1] 0.751400 9293 COPPER caleb_strategy_v3 [20240300] 2023-12-20 14:00:28 [1] 3.910000 9298 CORN caleb_strategy_v3 [20241200] 2023-12-20 15:30:31 [-1] 504.250000 9292 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-20 09:04:00 [-1] 98.030000 9291 EUROSTX caleb_strategy_v3 [20240300] 2023-12-20 08:00:43 [1] 4579.000000 9294 GOLD_micro caleb_strategy_v3 [20240200] 2023-12-20 14:00:29 [-1] 2050.000000 9295 GOLD_micro caleb_strategy_v3 [20240200] 2023-12-20 14:01:27 [-1] 2049.900000 9296 JPY caleb_strategy_v3 [20240300] 2023-12-20 15:00:31 [-1] 0.007074 9288 NIKKEI caleb_strategy_v3 [20240300] 2023-12-20 03:02:06 [-1] 33725.000000 9289 NIKKEI caleb_strategy_v3 [20240300] 2023-12-20 03:03:12 [-1] 33725.000000 9290 NIKKEI caleb_strategy_v3 [20240300] 2023-12-20 03:03:30 [-1] 33715.000000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9288 NIKKEI caleb_strategy_v3 2023-12-19 2023-12-20 03:01:17.430 2023-12-20 03:02:06 97277.43 48.57 9289 NIKKEI caleb_strategy_v3 2023-12-19 2023-12-20 03:02:17.730 2023-12-20 03:03:12 97337.73 54.27 9290 NIKKEI caleb_strategy_v3 2023-12-19 2023-12-20 03:03:17.800 2023-12-20 03:03:30 97397.8 12.2 9291 EUROSTX caleb_strategy_v3 2023-12-19 2023-12-20 08:00:39.966 2023-12-20 08:00:43 115239.966 3.034 9292 EURIBOR-ICE caleb_strategy_v3 2023-12-19 2023-12-20 09:00:42.090 2023-12-20 09:04:00 118842.09 197.91 9293 COPPER caleb_strategy_v3 2023-12-19 2023-12-20 14:00:27.406 2023-12-20 14:00:28 136827.406 0.594 9294 GOLD_micro caleb_strategy_v3 2023-12-19 2023-12-20 14:00:29.378 2023-12-20 14:00:29 136829.378 NaN 9295 GOLD_micro caleb_strategy_v3 2023-12-19 2023-12-20 14:01:26.978 2023-12-20 14:01:27 136886.978 0.022 9296 JPY caleb_strategy_v3 2023-12-19 2023-12-20 15:00:30.474 2023-12-20 15:00:31 140430.474 0.526 9297 CAD caleb_strategy_v3 2023-12-19 2023-12-20 15:00:32.002 2023-12-20 15:00:33 140432.002 0.998 9298 CORN caleb_strategy_v3 2023-12-19 2023-12-20 15:30:31.374 2023-12-20 15:30:31 142231.374 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 9288 NIKKEI caleb_strategy_v3 [-1] 33310.0 None 33722.5 33720.0 33725.0 33725.0 33725.0 412.5 -2.5 5.0 -0.0 NaN 2.5 9289 NIKKEI caleb_strategy_v3 [-1] 33310.0 None 33722.5 33720.0 33725.0 33725.0 33725.0 412.5 -2.5 5.0 -0.0 NaN 2.5 9290 NIKKEI caleb_strategy_v3 [-1] 33310.0 None 33722.5 33720.0 33725.0 33725.0 33715.0 412.5 -2.5 -5.0 -10.0 NaN -7.5 9291 EUROSTX caleb_strategy_v3 [1] 4580.0 None 4577.5 4578.0 4577.0 4577.0 4579.0 2.5 -0.5 -1.0 -2.0 NaN -1.5 9292 EURIBOR-ICE caleb_strategy_v3 [-1] 97.98 None 98.0275 98.025 98.03 98.03 98.03 0.0475 -0.0025 0.005 -0.0 NaN 0.0025 9293 COPPER caleb_strategy_v3 [1] 3.904 None 3.91025 3.9105 3.91 3.91 3.91 -0.00625 -0.00025 0.0005 0.0 NaN 0.00025 9294 GOLD_micro caleb_strategy_v3 [-1] 2052.3 None 2049.95 2049.9 2050.0 2050.0 2050.0 -2.35 -0.05 0.1 -0.0 NaN 0.05 9295 GOLD_micro caleb_strategy_v3 [-1] 2052.3 None 2050.05 2050.0 2050.1 2050.1 2049.9 -2.25 -0.05 -0.1 -0.2 NaN -0.15 9296 JPY caleb_strategy_v3 [-1] 0.007048 None 0.007073 0.007073 0.007073 0.007073 0.007074 0.000025 -0.0 0.000001 0.000001 NaN 0.000001 9297 CAD caleb_strategy_v3 [1] 0.7507 None 0.751325 0.75135 0.7513 0.7513 0.7514 -0.000625 -0.000025 -0.00005 -0.0001 NaN -0.000075 9298 CORN caleb_strategy_v3 [-1] 503.25 None 504.375 504.25 504.5 504.5 504.25 1.125 -0.125 -0.0 -0.25 NaN -0.125 ============================================================================================================================================================== 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 9288 NIKKEI caleb_strategy_v3 [-1] 5001.705141 824.718748 -4.998295 9.996591 -0.0 NaN 4.998295 9289 NIKKEI caleb_strategy_v3 [-1] 5001.705141 824.718748 -4.998295 9.996591 -0.0 NaN 4.998295 9290 NIKKEI caleb_strategy_v3 [-1] 5001.705141 824.718748 -4.998295 -9.996591 -19.993182 NaN -14.994886 9291 EUROSTX caleb_strategy_v3 [1] 528.103218 47.339231 -9.467846 -18.935692 -37.871384 NaN -28.403538 9292 EURIBOR-ICE caleb_strategy_v3 [-1] 1.071929 443.126326 -23.322438 46.644876 -0.0 NaN 23.322438 9293 COPPER caleb_strategy_v3 [1] 0.753729 -82.92105 -3.316842 6.633684 0.0 NaN 3.316842 9294 GOLD_micro caleb_strategy_v3 [-1] 298.411146 -78.75041 -1.675541 3.351081 -0.0 NaN 1.675541 9295 GOLD_micro caleb_strategy_v3 [-1] 298.411146 -75.399329 -1.675541 -3.351081 -6.702163 NaN -5.026622 9296 JPY caleb_strategy_v3 [-1] 0.000816 309.442753 -3.06379 12.255159 6.127579 NaN 9.191369 9297 CAD caleb_strategy_v3 [1] 0.044834 -139.402705 -5.576108 -11.152216 -22.304433 NaN -16.728325 9298 CORN caleb_strategy_v3 [-1] 78.511729 143.290691 -15.921188 -0.0 -31.842376 NaN -15.921188 ======================================================================================================================================================================== 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 9288 NIKKEI caleb_strategy_v3 [-1] 0.696311 287.228265 -1.740777 3.481555 -0.0 NaN 1.740777 9289 NIKKEI caleb_strategy_v3 [-1] 0.696311 287.228265 -1.740777 3.481555 -0.0 NaN 1.740777 9290 NIKKEI caleb_strategy_v3 [-1] 0.696311 287.228265 -1.740777 -3.481555 -6.963109 NaN -5.222332 9291 EUROSTX caleb_strategy_v3 [1] 10.956 27.39 -5.478 -10.956 -21.912 NaN -16.434 9292 EURIBOR-ICE caleb_strategy_v3 [-1] 2739.0 130.1025 -6.8475 13.695 -0.0 NaN 6.8475 9293 COPPER caleb_strategy_v3 [1] 25000.0 -156.25 -6.25 12.5 0.0 NaN 6.25 9294 GOLD_micro caleb_strategy_v3 [-1] 10.0 -23.5 -0.5 1.0 -0.0 NaN 0.5 9295 GOLD_micro caleb_strategy_v3 [-1] 10.0 -22.5 -0.5 -1.0 -2.0 NaN -1.5 9296 JPY caleb_strategy_v3 [-1] 12500000.0 315.625 -3.125 12.5 6.25 NaN 9.375 9297 CAD caleb_strategy_v3 [1] 100000.0 -62.5 -2.5 -5.0 -10.0 NaN -7.5 9298 CORN caleb_strategy_v3 [-1] 50.0 56.25 -6.25 -0.0 -12.5 NaN -6.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CAD -62.5 COPPER -156.25 CORN 56.25 EURIBOR-ICE 130.1025 EUROSTX 27.39 GOLD_micro -46.0 JPY 315.625 NIKKEI 861.684794 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1126.302294 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CAD -2.5 COPPER -6.25 CORN -6.25 EURIBOR-ICE -6.8475 EUROSTX -5.478 GOLD_micro -1.0 JPY -3.125 NIKKEI -5.222332 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -36.672832 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CAD -5.0 COPPER 12.5 CORN -0.0 EURIBOR-ICE 13.695 EUROSTX -10.956 GOLD_micro 0.0 JPY 12.5 NIKKEI 3.481555 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 26.220555 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CAD -10.0 COPPER 0.0 CORN -12.5 EURIBOR-ICE -0.0 EUROSTX -21.912 GOLD_micro -2.0 JPY 6.25 NIKKEI -6.963109 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -47.125109 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CAD 0 COPPER 0 CORN 0 EURIBOR-ICE 0 EUROSTX 0 GOLD_micro 0 JPY 0 NIKKEI 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 CAD -7.5 COPPER 6.25 CORN -6.25 EURIBOR-ICE 6.8475 EUROSTX -16.434 GOLD_micro -1.0 JPY 9.375 NIKKEI -1.740777 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -10.452277 ******************************************************************************** END OF REPORT ********************************************************************************