******************************************************************************** Trades report produced on 27/12/2023 21:36 from 26/12/2023 21:36 to 27/12/2023 21:36 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9455 DOW caleb_strategy_v3 [20240300] 2023-12-27 15:00:39 [-1] 37920.00000 9448 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-27 09:10:33 [-1] 98.12500 9449 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-27 09:11:58 [-1] 98.13000 9447 EURIBOR-ICE caleb_strategy_v3 [20251200] 2023-12-27 09:05:29 [-1] 98.12500 9451 GAS_US_mini caleb_strategy_v3 [20240300] 2023-12-27 14:01:16 [1] 2.35500 9453 GAS_US_mini caleb_strategy_v3 [20240300] 2023-12-27 14:01:32 [1] 2.35500 9450 GOLD_micro caleb_strategy_v3 [20240200] 2023-12-27 14:00:31 [1] 2079.80000 9452 GOLD_micro caleb_strategy_v3 [20240200] 2023-12-27 14:01:31 [1] 2079.80000 9454 GOLD_micro caleb_strategy_v3 [20240200] 2023-12-27 14:02:31 [1] 2080.20000 9457 MXP caleb_strategy_v3 [20240300] 2023-12-27 15:01:00 [1] 0.05818 9456 NASDAQ_micro caleb_strategy_v3 [20240300] 2023-12-27 15:00:40 [-1] 17116.00000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9448 EURIBOR-ICE caleb_strategy_v3 2023-12-22 2023-12-27 09:05:33.472 2023-12-27 09:10:33 464733.472 299.528 9449 EURIBOR-ICE caleb_strategy_v3 2023-12-22 2023-12-27 09:10:37.158 2023-12-27 09:11:58 465037.158 80.842 9447 EURIBOR-ICE caleb_strategy_v3 2023-12-22 2023-12-27 09:00:29.835 2023-12-27 09:05:29 464429.835 299.165 9451 GAS_US_mini caleb_strategy_v3 2023-12-26 2023-12-27 14:00:32.238 2023-12-27 14:01:16 136832.238 43.762 9453 GAS_US_mini caleb_strategy_v3 2023-12-26 2023-12-27 14:01:31.795 2023-12-27 14:01:32 136891.795 0.205 9450 GOLD_micro caleb_strategy_v3 2023-12-26 2023-12-27 14:00:31.342 2023-12-27 14:00:31 136831.342 NaN 9452 GOLD_micro caleb_strategy_v3 2023-12-26 2023-12-27 14:01:31.055 2023-12-27 14:01:31 136891.055 NaN 9454 GOLD_micro caleb_strategy_v3 2023-12-26 2023-12-27 14:02:31.001 2023-12-27 14:02:31 136951.001 NaN 9455 DOW caleb_strategy_v3 2023-12-26 2023-12-27 15:00:37.527 2023-12-27 15:00:39 140437.527 1.473 9456 NASDAQ_micro caleb_strategy_v3 2023-12-26 2023-12-27 15:00:39.938 2023-12-27 15:00:40 140439.938 0.062 9457 MXP caleb_strategy_v3 2023-12-26 2023-12-27 15:00:40.795 2023-12-27 15:01:00 140440.795 19.205 ================================================================================================================================================================================================================================= 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 9448 EURIBOR-ICE caleb_strategy_v3 [-1] 98.105 None 98.1275 98.125 98.13 98.13 98.125 0.0225 -0.0025 -0.0 -0.005 NaN -0.0025 9449 EURIBOR-ICE caleb_strategy_v3 [-1] 98.105 None 98.1275 98.125 98.13 98.13 98.13 0.0225 -0.0025 0.005 -0.0 NaN 0.0025 9447 EURIBOR-ICE caleb_strategy_v3 [-1] 98.105 None 98.1275 98.125 98.13 98.13 98.125 0.0225 -0.0025 -0.0 -0.005 NaN -0.0025 9451 GAS_US_mini caleb_strategy_v3 [1] 2.275 None 2.3525 2.355 2.35 2.35 2.355 -0.0775 -0.0025 0.0 -0.005 NaN -0.0025 9453 GAS_US_mini caleb_strategy_v3 [1] 2.275 None 2.3525 2.355 2.35 NaN 2.355 -0.0775 -0.0025 0.0 NaN NaN -0.0025 9450 GOLD_micro caleb_strategy_v3 [1] 2074.0 None 2079.7 2079.8 2079.6 2079.6 2079.8 -5.7 -0.1 0.0 -0.2 NaN -0.1 9452 GOLD_micro caleb_strategy_v3 [1] 2074.0 None 2079.75 2079.8 2079.7 2079.7 2079.8 -5.75 -0.05 0.0 -0.1 NaN -0.05 9454 GOLD_micro caleb_strategy_v3 [1] 2074.0 None 2079.75 2079.8 2079.7 NaN 2080.2 -5.75 -0.05 -0.4 NaN NaN -0.45 9455 DOW caleb_strategy_v3 [-1] 37908.0 None 37922.0 37921.0 37923.0 37923.0 37920.0 14.0 -1.0 -1.0 -3.0 NaN -2.0 9456 NASDAQ_micro caleb_strategy_v3 [-1] 17079.5 None 17116.375 17116.25 17116.5 17116.5 17116.0 36.875 -0.125 -0.25 -0.5 NaN -0.375 9457 MXP caleb_strategy_v3 [1] 0.05823 None 0.058165 0.05817 0.05816 0.05816 0.05818 0.000065 -0.000005 -0.00001 -0.00002 NaN -0.000015 ============================================================================================================================================================== 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 9448 EURIBOR-ICE caleb_strategy_v3 [-1] 1.031665 218.094031 -24.23267 -0.0 -48.46534 NaN -24.23267 9449 EURIBOR-ICE caleb_strategy_v3 [-1] 1.031665 218.094031 -24.23267 48.46534 -0.0 NaN 24.23267 9447 EURIBOR-ICE caleb_strategy_v3 [-1] 1.031665 218.094031 -24.23267 -0.0 -48.46534 NaN -24.23267 9451 GAS_US_mini caleb_strategy_v3 [1] 1.801321 -430.239852 -13.878705 0.0 -27.75741 NaN -13.878705 9453 GAS_US_mini caleb_strategy_v3 [1] 1.801321 -430.239852 -13.878705 0.0 NaN NaN -13.878705 9450 GOLD_micro caleb_strategy_v3 [1] 282.996368 -201.416013 -3.533614 0.0 -7.067229 NaN -3.533614 9452 GOLD_micro caleb_strategy_v3 [1] 282.996368 -203.18282 -1.766807 0.0 -3.533614 NaN -1.766807 9454 GOLD_micro caleb_strategy_v3 [1] 282.996368 -203.18282 -1.766807 -14.134457 NaN NaN -15.901264 9455 DOW caleb_strategy_v3 [-1] 3940.021325 35.532803 -2.538057 -2.538057 -7.614172 NaN -5.076115 9456 NASDAQ_micro caleb_strategy_v3 [-1] 2473.284255 149.093255 -0.505401 -1.010802 -2.021603 NaN -1.516203 9457 MXP caleb_strategy_v3 [1] 0.00589 110.350172 -8.488475 -16.97695 -33.953899 NaN -25.465424 ======================================================================================================================================================================= 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 9448 EURIBOR-ICE caleb_strategy_v3 [-1] 2761.375 62.130937 -6.903437 -0.0 -13.806875 NaN -6.903437 9449 EURIBOR-ICE caleb_strategy_v3 [-1] 2761.375 62.130937 -6.903437 13.806875 -0.0 NaN 6.903437 9447 EURIBOR-ICE caleb_strategy_v3 [-1] 2761.375 62.130937 -6.903437 -0.0 -13.806875 NaN -6.903437 9451 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -193.75 -6.25 0.0 -12.5 NaN -6.25 9453 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -193.75 -6.25 0.0 NaN NaN -6.25 9450 GOLD_micro caleb_strategy_v3 [1] 10.0 -57.0 -1.0 0.0 -2.0 NaN -1.0 9452 GOLD_micro caleb_strategy_v3 [1] 10.0 -57.5 -0.5 0.0 -1.0 NaN -0.5 9454 GOLD_micro caleb_strategy_v3 [1] 10.0 -57.5 -0.5 -4.0 NaN NaN -4.5 9455 DOW caleb_strategy_v3 [-1] 0.5 7.0 -0.5 -0.5 -1.5 NaN -1.0 9456 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 73.75 -0.25 -0.5 -1.0 NaN -0.75 9457 MXP caleb_strategy_v3 [1] 500000.0 32.5 -2.5 -5.0 -10.0 NaN -7.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW 7.0 EURIBOR-ICE 186.392812 GAS_US_mini -387.5 GOLD_micro -172.0 MXP 32.5 NASDAQ_micro 73.75 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -259.857188 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -0.5 EURIBOR-ICE -20.710312 GAS_US_mini -12.5 GOLD_micro -2.0 MXP -2.5 NASDAQ_micro -0.25 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -38.460312 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW -0.5 EURIBOR-ICE 13.806875 GAS_US_mini 0.0 GOLD_micro -4.0 MXP -5.0 NASDAQ_micro -0.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 3.806875 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW -1.5 EURIBOR-ICE -27.61375 GAS_US_mini -12.5 GOLD_micro -3.0 MXP -10.0 NASDAQ_micro -1.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -55.61375 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 EURIBOR-ICE 0 GAS_US_mini 0 GOLD_micro 0 MXP 0 NASDAQ_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 DOW -1.0 EURIBOR-ICE -6.903437 GAS_US_mini -12.5 GOLD_micro -6.0 MXP -7.5 NASDAQ_micro -0.75 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -34.653437 ******************************************************************************** END OF REPORT ********************************************************************************