******************************************************************************** Trades report produced on 19/01/2024 21:36 from 18/01/2024 21:36 to 19/01/2024 21:36 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9865 BITCOIN caleb_strategy_v3 [20240200] 2024-01-19 15:00:43 [1] 41385.000000 9870 BITCOIN caleb_strategy_v3 [20240200] 2024-01-19 15:01:51 [1] 41295.000000 9871 BITCOIN caleb_strategy_v3 [20240200] 2024-01-19 15:02:42 [1] 41300.000000 9872 BITCOIN caleb_strategy_v3 [20240200] 2024-01-19 15:03:43 [1] 41255.000000 9873 BITCOIN caleb_strategy_v3 [20240200] 2024-01-19 15:04:42 [1] 41305.000000 9874 BITCOIN caleb_strategy_v3 [20240200] 2024-01-19 15:05:48 [1] 41225.000000 9868 EUR caleb_strategy_v3 [20240300] 2024-01-19 15:00:46 [-1] 1.091000 9862 EUROSTX caleb_strategy_v3 [20240300] 2024-01-19 08:00:34 [-1] 4498.000000 9863 GOLD_micro caleb_strategy_v3 [20240400] 2024-01-19 14:00:39 [-1] 2056.800000 9867 JPY caleb_strategy_v3 [20240300] 2024-01-19 15:00:45 [-1] 0.006808 9861 NIKKEI caleb_strategy_v3 [20240300] 2024-01-19 03:01:17 [1] 35975.000000 9864 NZD caleb_strategy_v3 [20240300] 2024-01-19 15:00:42 [-1] 0.610950 9869 NZD caleb_strategy_v3 [20240300] 2024-01-19 15:01:42 [-1] 0.610300 9866 SP500_micro caleb_strategy_v3 [20240300] 2024-01-19 15:00:44 [-1] 4828.250000 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9861 NIKKEI caleb_strategy_v3 2024-01-17 2024-01-19 03:01:16.702 2024-01-19 03:01:17 183676.702 0.298 9862 EUROSTX caleb_strategy_v3 2024-01-18 2024-01-19 08:00:30.039 2024-01-19 08:00:34 115230.039 3.961 9863 GOLD_micro caleb_strategy_v3 2024-01-18 2024-01-19 14:00:39.166 2024-01-19 14:00:39 136839.166 NaN 9866 SP500_micro caleb_strategy_v3 2024-01-18 2024-01-19 15:00:44.522 2024-01-19 15:00:44 140444.522 NaN 9867 JPY caleb_strategy_v3 2024-01-18 2024-01-19 15:00:45.254 2024-01-19 15:00:45 140445.254 NaN 9868 EUR caleb_strategy_v3 2024-01-18 2024-01-19 15:00:46.398 2024-01-19 15:00:46 140446.398 NaN 9864 NZD caleb_strategy_v3 2024-01-18 2024-01-19 15:00:42.614 2024-01-19 15:00:42 140442.614 NaN 9869 NZD caleb_strategy_v3 2024-01-18 2024-01-19 15:01:42.463 2024-01-19 15:01:42 140502.463 NaN 9865 BITCOIN caleb_strategy_v3 2024-01-18 2024-01-19 15:00:43.656 2024-01-19 15:00:43 140443.656 NaN 9870 BITCOIN caleb_strategy_v3 2024-01-18 2024-01-19 15:01:43.203 2024-01-19 15:01:51 140503.203 7.797 9871 BITCOIN caleb_strategy_v3 2024-01-18 2024-01-19 15:02:42.284 2024-01-19 15:02:42 140562.284 NaN 9872 BITCOIN caleb_strategy_v3 2024-01-18 2024-01-19 15:03:42.507 2024-01-19 15:03:43 140622.507 0.493 9873 BITCOIN caleb_strategy_v3 2024-01-18 2024-01-19 15:04:42.319 2024-01-19 15:04:42 140682.319 NaN 9874 BITCOIN caleb_strategy_v3 2024-01-18 2024-01-19 15:05:42.395 2024-01-19 15:05:48 140742.395 5.605 ============================================================================================================================================================================================================================== 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 9861 NIKKEI caleb_strategy_v3 [1] 35490.0 None 35977.5 35980.0 35975.0 35975.0 35975.0 -487.5 -2.5 5.0 0.0 NaN 2.5 9862 EUROSTX caleb_strategy_v3 [-1] 4489.0 None 4497.5 4497.0 4498.0 4498.0 4498.0 8.5 -0.5 1.0 -0.0 NaN 0.5 9863 GOLD_micro caleb_strategy_v3 [-1] 2042.4 None 2056.95 2056.8 2057.1 2057.1 2056.8 14.55 -0.15 -0.0 -0.3 NaN -0.15 9866 SP500_micro caleb_strategy_v3 [-1] 4807.25 None 4828.125 4828.0 4828.25 4828.25 4828.25 20.875 -0.125 0.25 -0.0 NaN 0.125 9867 JPY caleb_strategy_v3 [-1] 0.006808 None 0.006808 0.006808 0.006808 0.006808 0.006808 -0.0 -0.0 0.0 -0.0 NaN 0.0 9868 EUR caleb_strategy_v3 [-1] 1.08895 None 1.09105 1.091 1.0911 1.0911 1.091 0.0021 -0.00005 -0.0 -0.0001 NaN -0.00005 9864 NZD caleb_strategy_v3 [-1] 0.6106 None 0.6109 0.61085 0.61095 0.61095 0.61095 0.0003 -0.00005 0.0001 -0.0 NaN 0.00005 9869 NZD caleb_strategy_v3 [-1] 0.6106 None 0.61095 0.6109 0.611 0.611 0.6103 0.00035 -0.00005 -0.0006 -0.0007 NaN -0.00065 9865 BITCOIN caleb_strategy_v3 [1] 41395.0 None 41365.0 41385.0 41345.0 NaN 41385.0 30.0 -20.0 0.0 NaN NaN -20.0 9870 BITCOIN caleb_strategy_v3 [1] 41395.0 None 41277.5 41300.0 41255.0 41255.0 41295.0 117.5 -22.5 5.0 -40.0 NaN -17.5 9871 BITCOIN caleb_strategy_v3 [1] 41395.0 None 41285.0 41300.0 41270.0 NaN 41300.0 110.0 -15.0 0.0 NaN NaN -15.0 9872 BITCOIN caleb_strategy_v3 [1] 41395.0 None 41232.5 41255.0 41210.0 41210.0 41255.0 162.5 -22.5 0.0 -45.0 NaN -22.5 9873 BITCOIN caleb_strategy_v3 [1] 41395.0 None 41297.5 41305.0 41290.0 NaN 41305.0 97.5 -7.5 0.0 NaN NaN -7.5 9874 BITCOIN caleb_strategy_v3 [1] 41395.0 None 41202.5 41225.0 41180.0 41180.0 41225.0 192.5 -22.5 0.0 -45.0 NaN -22.5 ============================================================================================================================================================== 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 9861 NIKKEI caleb_strategy_v3 [1] 5600.014216 -870.533504 -4.464274 8.928549 0.0 NaN 4.464274 9862 EUROSTX caleb_strategy_v3 [-1] 541.691207 156.915968 -9.230351 18.460702 -0.0 NaN 9.230351 9863 GOLD_micro caleb_strategy_v3 [-1] 257.20659 565.693126 -5.831888 -0.0 -11.663776 NaN -5.831888 9866 SP500_micro caleb_strategy_v3 [-1] 584.1975 357.327787 -2.139687 4.279375 -0.0 NaN 2.139687 9867 JPY caleb_strategy_v3 [-1] 0.000725 -3.448562 -3.448562 6.897124 -0.0 NaN 3.448562 9868 EUR caleb_strategy_v3 [-1] 0.07335 286.299671 -6.816659 -0.0 -13.633318 NaN -6.816659 9864 NZD caleb_strategy_v3 [-1] 0.059824 50.147189 -8.357865 16.71573 -0.0 NaN 8.357865 9869 NZD caleb_strategy_v3 [-1] 0.059824 58.505054 -8.357865 -100.294378 -117.010108 NaN -108.652243 9865 BITCOIN caleb_strategy_v3 [1] 19886.927763 15.085286 -10.056858 0.0 NaN NaN -10.056858 9870 BITCOIN caleb_strategy_v3 [1] 19886.927763 59.084038 -11.313965 2.514214 -20.113715 NaN -8.79975 9871 BITCOIN caleb_strategy_v3 [1] 19886.927763 55.312717 -7.542643 0.0 NaN NaN -7.542643 9872 BITCOIN caleb_strategy_v3 [1] 19886.927763 81.711968 -11.313965 0.0 -22.62793 NaN -11.313965 9873 BITCOIN caleb_strategy_v3 [1] 19886.927763 49.027181 -3.771322 0.0 NaN NaN -3.771322 9874 BITCOIN caleb_strategy_v3 [1] 19886.927763 96.797254 -11.313965 0.0 -22.62793 NaN -11.313965 ======================================================================================================================================================================== 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 9861 NIKKEI caleb_strategy_v3 [1] 0.673303 -328.235306 -1.683258 3.366516 0.0 NaN 1.683258 9862 EUROSTX caleb_strategy_v3 [-1] 10.8825 92.50125 -5.44125 10.8825 -0.0 NaN 5.44125 9863 GOLD_micro caleb_strategy_v3 [-1] 10.0 145.5 -1.5 -0.0 -3.0 NaN -1.5 9866 SP500_micro caleb_strategy_v3 [-1] 5.0 104.375 -0.625 1.25 -0.0 NaN 0.625 9867 JPY caleb_strategy_v3 [-1] 12500000.0 -3.125 -3.125 6.25 -0.0 NaN 3.125 9868 EUR caleb_strategy_v3 [-1] 125000.0 262.5 -6.25 -0.0 -12.5 NaN -6.25 9864 NZD caleb_strategy_v3 [-1] 100000.0 30.0 -5.0 10.0 -0.0 NaN 5.0 9869 NZD caleb_strategy_v3 [-1] 100000.0 35.0 -5.0 -60.0 -70.0 NaN -65.0 9865 BITCOIN caleb_strategy_v3 [1] 0.1 3.0 -2.0 0.0 NaN NaN -2.0 9870 BITCOIN caleb_strategy_v3 [1] 0.1 11.75 -2.25 0.5 -4.0 NaN -1.75 9871 BITCOIN caleb_strategy_v3 [1] 0.1 11.0 -1.5 0.0 NaN NaN -1.5 9872 BITCOIN caleb_strategy_v3 [1] 0.1 16.25 -2.25 0.0 -4.5 NaN -2.25 9873 BITCOIN caleb_strategy_v3 [1] 0.1 9.75 -0.75 0.0 NaN NaN -0.75 9874 BITCOIN caleb_strategy_v3 [1] 0.1 19.25 -2.25 0.0 -4.5 NaN -2.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 71.0 EUR 262.5 EUROSTX 92.50125 GOLD_micro 145.5 JPY -3.125 NIKKEI -328.235306 NZD 65.0 SP500_micro 104.375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 409.515944 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -11.0 EUR -6.25 EUROSTX -5.44125 GOLD_micro -1.5 JPY -3.125 NIKKEI -1.683258 NZD -10.0 SP500_micro -0.625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -39.624508 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0.5 EUR -0.0 EUROSTX 10.8825 GOLD_micro -0.0 JPY 6.25 NIKKEI 3.366516 NZD -50.0 SP500_micro 1.25 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -27.750984 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -13.0 EUR -12.5 EUROSTX -0.0 GOLD_micro -3.0 JPY -0.0 NIKKEI 0.0 NZD -70.0 SP500_micro -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -98.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0 EUR 0 EUROSTX 0 GOLD_micro 0 JPY 0 NIKKEI 0 NZD 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 BITCOIN -10.5 EUR -6.25 EUROSTX 5.44125 GOLD_micro -1.5 JPY 3.125 NIKKEI 1.683258 NZD -60.0 SP500_micro 0.625 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -67.375492 ******************************************************************************** END OF REPORT ********************************************************************************