******************************************************************************** Trades report produced on 12/02/2024 21:37 from 11/02/2024 21:37 to 12/02/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10250 COCOA caleb_strategy_v3 [20240500] 2024-02-12 14:00:42 [1] 5622.00 10251 COTTON2 caleb_strategy_v3 [20240500] 2024-02-12 14:00:49 [1] 91.51 10249 EUROSTX caleb_strategy_v3 [20240300] 2024-02-12 08:00:32 [-1] 4745.00 10252 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-12 15:00:43 [1] 18033.00 10253 RUSSELL caleb_strategy_v3 [20240300] 2024-02-12 15:00:44 [-1] 2043.60 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10249 EUROSTX caleb_strategy_v3 2024-02-09 2024-02-12 08:00:28.942 2024-02-12 08:00:32 288028.942 3.058 10250 COCOA caleb_strategy_v3 2024-02-08 2024-02-12 14:00:41.935 2024-02-12 14:00:42 396041.935 0.065 10251 COTTON2 caleb_strategy_v3 2024-02-09 2024-02-12 14:00:42.778 2024-02-12 14:00:49 309642.778 6.222 10252 NASDAQ_micro caleb_strategy_v3 2024-02-09 2024-02-12 15:00:43.834 2024-02-12 15:00:43 313243.834 NaN 10253 RUSSELL caleb_strategy_v3 2024-02-09 2024-02-12 15:00:44.670 2024-02-12 15:00:44 313244.67 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 10249 EUROSTX caleb_strategy_v3 [-1] 4748.0 None 4746.5 4746.0 4747.0 4747.0 4745.0 -1.5 -0.5 -1.0 -2.0 NaN -1.5 10250 COCOA caleb_strategy_v3 [1] 5611.0 None 5623.0 5624.0 5622.0 5622.0 5622.0 -12.0 -1.0 2.0 0.0 NaN 1.0 10251 COTTON2 caleb_strategy_v3 [1] 92.01 None 91.495 91.51 91.48 91.48 91.51 0.515 -0.015 0.0 -0.03 NaN -0.015 10252 NASDAQ_micro caleb_strategy_v3 [1] 18041.0 None 18032.75 18033.0 18032.5 18032.5 18033.0 8.25 -0.25 0.0 -0.5 NaN -0.25 10253 RUSSELL caleb_strategy_v3 [-1] 2013.5 None 2043.55 2043.5 2043.6 2043.6 2043.6 30.05 -0.05 0.1 -0.0 NaN 0.05 =============================================================================================================================================================== 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 10249 EUROSTX caleb_strategy_v3 [-1] 530.067097 -28.298304 -9.432768 -18.865536 -37.731072 NaN -28.298304 10250 COCOA caleb_strategy_v3 [1] 1166.032327 -102.913099 -8.576092 17.152183 0.0 NaN 8.576092 10251 COTTON2 caleb_strategy_v3 [1] 18.362472 280.463327 -8.168835 0.0 -16.33767 NaN -8.168835 10252 NASDAQ_micro caleb_strategy_v3 [1] 2678.339443 30.802668 -0.933414 0.0 -1.866828 NaN -0.933414 10253 RUSSELL caleb_strategy_v3 [-1] 416.845219 720.891079 -1.199486 2.398972 -0.0 NaN 1.199486 ======================================================================================================================================================================== 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 10249 EUROSTX caleb_strategy_v3 [-1] 10.7955 -16.19325 -5.39775 -10.7955 -21.591 NaN -16.19325 10250 COCOA caleb_strategy_v3 [1] 10.0 -120.0 -10.0 20.0 0.0 NaN 10.0 10251 COTTON2 caleb_strategy_v3 [1] 500.0 257.5 -7.5 0.0 -15.0 NaN -7.5 10252 NASDAQ_micro caleb_strategy_v3 [1] 2.0 16.5 -0.5 0.0 -1.0 NaN -0.5 10253 RUSSELL caleb_strategy_v3 [-1] 5.0 150.25 -0.25 0.5 -0.0 NaN 0.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 COCOA -120.0 COTTON2 257.5 EUROSTX -16.19325 NASDAQ_micro 16.5 RUSSELL 150.25 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 288.05675 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 COCOA -10.0 COTTON2 -7.5 EUROSTX -5.39775 NASDAQ_micro -0.5 RUSSELL -0.25 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -23.64775 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 COCOA 20.0 COTTON2 0.0 EUROSTX -10.7955 NASDAQ_micro 0.0 RUSSELL 0.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 9.7045 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 COCOA 0.0 COTTON2 -15.0 EUROSTX -21.591 NASDAQ_micro -1.0 RUSSELL -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -37.591 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 COCOA 0 COTTON2 0 EUROSTX 0 NASDAQ_micro 0 RUSSELL 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 COCOA 10.0 COTTON2 -7.5 EUROSTX -16.19325 NASDAQ_micro -0.5 RUSSELL 0.25 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -13.94325 ******************************************************************************** END OF REPORT ********************************************************************************