******************************************************************************** Trades report produced on 15/02/2024 21:37 from 14/02/2024 21:37 to 15/02/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10367 BITCOIN caleb_strategy_v3 [20240300] 2024-02-15 15:00:47 [1] 53580.000000 10370 BITCOIN caleb_strategy_v3 [20240300] 2024-02-15 15:02:04 [1] 53585.000000 10371 BITCOIN caleb_strategy_v3 [20240300] 2024-02-15 15:03:24 [1] 53495.000000 10356 CAC caleb_strategy_v3 [20240300] 2024-02-15 08:00:31 [1] 7751.000000 10368 DOW caleb_strategy_v3 [20240300] 2024-02-15 15:00:47 [1] 38668.000000 10366 EUR caleb_strategy_v3 [20240300] 2024-02-15 15:00:46 [1] 1.078950 10357 EUROSTX caleb_strategy_v3 [20240300] 2024-02-15 08:02:00 [-1] 4753.000000 10355 EUROSTX caleb_strategy_v3 [20240300] 2024-02-15 08:00:29 [-1] 4753.000000 10358 EUROSTX caleb_strategy_v3 [20240300] 2024-02-15 08:02:28 [-1] 4753.000000 10360 GASOLINE caleb_strategy_v3 [20240500] 2024-02-15 14:00:42 [1] 2.545100 10359 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-15 14:00:40 [-1] 2014.300000 10361 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-15 14:01:40 [-1] 2013.900000 10362 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-15 14:02:40 [-1] 2014.000000 10364 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-15 14:04:40 [-1] 2014.400000 10365 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-15 14:05:40 [-1] 2014.200000 10363 GOLD_micro caleb_strategy_v3 [20240400] 2024-02-15 14:03:40 [-1] 2013.200000 10369 JPY caleb_strategy_v3 [20240300] 2024-02-15 15:00:50 [-1] 0.006702 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10356 CAC caleb_strategy_v3 2024-02-14 2024-02-15 08:00:30.990 2024-02-15 08:00:31 115230.99 0.01 10355 EUROSTX caleb_strategy_v3 2024-02-14 2024-02-15 08:00:28.475 2024-02-15 08:00:29 115228.475 0.525 10357 EUROSTX caleb_strategy_v3 2024-02-14 2024-02-15 08:01:28.369 2024-02-15 08:02:00 115288.369 31.631 10358 EUROSTX caleb_strategy_v3 2024-02-14 2024-02-15 08:02:28.389 2024-02-15 08:02:28 115348.389 NaN 10360 GASOLINE caleb_strategy_v3 2024-02-14 2024-02-15 14:00:41.207 2024-02-15 14:00:42 136841.207 0.793 10359 GOLD_micro caleb_strategy_v3 2024-02-14 2024-02-15 14:00:40.339 2024-02-15 14:00:40 136840.339 NaN 10361 GOLD_micro caleb_strategy_v3 2024-02-14 2024-02-15 14:01:40.256 2024-02-15 14:01:40 136900.256 NaN 10362 GOLD_micro caleb_strategy_v3 2024-02-14 2024-02-15 14:02:40.288 2024-02-15 14:02:40 136960.288 NaN 10363 GOLD_micro caleb_strategy_v3 2024-02-14 2024-02-15 14:03:40.294 2024-02-15 14:03:40 137020.294 NaN 10364 GOLD_micro caleb_strategy_v3 2024-02-14 2024-02-15 14:04:40.315 2024-02-15 14:04:40 137080.315 NaN 10365 GOLD_micro caleb_strategy_v3 2024-02-14 2024-02-15 14:05:40.199 2024-02-15 14:05:40 137140.199 NaN 10366 EUR caleb_strategy_v3 2024-02-14 2024-02-15 15:00:45.123 2024-02-15 15:00:46 140445.123 0.877 10368 DOW caleb_strategy_v3 2024-02-14 2024-02-15 15:00:47.783 2024-02-15 15:00:47 140447.783 NaN 10369 JPY caleb_strategy_v3 2024-02-14 2024-02-15 15:00:48.666 2024-02-15 15:00:50 140448.666 1.334 10370 BITCOIN caleb_strategy_v3 2024-02-14 2024-02-15 15:01:44.998 2024-02-15 15:02:04 140504.998 19.002 10371 BITCOIN caleb_strategy_v3 2024-02-14 2024-02-15 15:02:45.020 2024-02-15 15:03:24 140565.02 38.98 10367 BITCOIN caleb_strategy_v3 2024-02-14 2024-02-15 15:00:46.945 2024-02-15 15:00:47 140446.945 0.055 ================================================================================================================================================================================================================================= 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 10356 CAC caleb_strategy_v3 [1] 7710.0 None 7754.25 7754.5 7754.0 7754.0 7751.0 -44.25 -0.25 3.5 3.0 NaN 3.25 10355 EUROSTX caleb_strategy_v3 [-1] 4732.0 None 4752.5 4752.0 4753.0 4753.0 4753.0 20.5 -0.5 1.0 -0.0 NaN 0.5 10357 EUROSTX caleb_strategy_v3 [-1] 4732.0 None 4752.5 4752.0 4753.0 4753.0 4753.0 20.5 -0.5 1.0 -0.0 NaN 0.5 10358 EUROSTX caleb_strategy_v3 [-1] 4732.0 None 4752.5 4752.0 4753.0 4753.0 4753.0 20.5 -0.5 1.0 -0.0 NaN 0.5 10360 GASOLINE caleb_strategy_v3 [1] 2.5407 None 2.5455 2.5459 2.5451 2.5451 2.5451 -0.0048 -0.0004 0.0008 0.0 NaN 0.0004 10359 GOLD_micro caleb_strategy_v3 [-1] 2003.8 None 2014.25 2014.2 2014.3 2014.3 2014.3 10.45 -0.05 0.1 -0.0 NaN 0.05 10361 GOLD_micro caleb_strategy_v3 [-1] 2003.8 None 2014.35 2014.3 2014.4 2014.4 2013.9 10.55 -0.05 -0.4 -0.5 NaN -0.45 10362 GOLD_micro caleb_strategy_v3 [-1] 2003.8 None 2013.95 2013.9 2014.0 2014.0 2014.0 10.15 -0.05 0.1 -0.0 NaN 0.05 10363 GOLD_micro caleb_strategy_v3 [-1] 2003.8 None 2014.05 2014.0 2014.1 2014.1 2013.2 10.25 -0.05 -0.8 -0.9 NaN -0.85 10364 GOLD_micro caleb_strategy_v3 [-1] 2003.8 None 2013.25 2013.2 2013.3 2013.3 2014.4 9.45 -0.05 1.2 1.1 NaN 1.15 10365 GOLD_micro caleb_strategy_v3 [-1] 2003.8 None 2014.4 2014.3 2014.5 2014.5 2014.2 10.6 -0.1 -0.1 -0.3 NaN -0.2 10366 EUR caleb_strategy_v3 [1] 1.0742 None 1.078975 1.079 1.07895 1.07895 1.07895 -0.004775 -0.000025 0.00005 0.0 NaN 0.000025 10368 DOW caleb_strategy_v3 [1] 38413.0 None 38668.0 38669.0 38667.0 38667.0 38668.0 -255.0 -1.0 1.0 -1.0 NaN 0.0 10369 JPY caleb_strategy_v3 [-1] 0.006677 None 0.006703 0.006703 0.006703 0.006703 0.006702 0.000026 -0.0 -0.000001 -0.000001 NaN -0.000001 10370 BITCOIN caleb_strategy_v3 [1] 52590.0 None 53552.5 53575.0 53530.0 53530.0 53585.0 -962.5 -22.5 -10.0 -55.0 NaN -32.5 10371 BITCOIN caleb_strategy_v3 [1] 52590.0 None 53520.0 53545.0 53495.0 53495.0 53495.0 -930.0 -25.0 50.0 0.0 NaN 25.0 10367 BITCOIN caleb_strategy_v3 [1] 52590.0 None 53557.5 53585.0 53530.0 NaN 53580.0 -967.5 -27.5 5.0 NaN 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 10356 CAC caleb_strategy_v3 [1] 959.027556 -461.404886 -2.606807 36.495302 31.281687 NaN 33.888494 10355 EUROSTX caleb_strategy_v3 [-1] 567.190092 361.430855 -8.815387 17.630773 -0.0 NaN 8.815387 10357 EUROSTX caleb_strategy_v3 [-1] 567.190092 361.430855 -8.815387 17.630773 -0.0 NaN 8.815387 10358 EUROSTX caleb_strategy_v3 [-1] 567.190092 361.430855 -8.815387 17.630773 -0.0 NaN 8.815387 10360 GASOLINE caleb_strategy_v3 [1] 0.732518 -65.527363 -5.460614 10.921227 0.0 NaN 5.460614 10359 GOLD_micro caleb_strategy_v3 [-1] 228.423269 457.484041 -2.188919 4.377838 -0.0 NaN 2.188919 10361 GOLD_micro caleb_strategy_v3 [-1] 228.423269 461.861879 -2.188919 -17.511351 -21.889189 NaN -19.70027 10362 GOLD_micro caleb_strategy_v3 [-1] 228.423269 444.350528 -2.188919 4.377838 -0.0 NaN 2.188919 10363 GOLD_micro caleb_strategy_v3 [-1] 228.423269 448.728365 -2.188919 -35.022702 -39.400539 NaN -37.211621 10364 GOLD_micro caleb_strategy_v3 [-1] 228.423269 413.705664 -2.188919 52.534053 48.156215 NaN 50.345134 10365 GOLD_micro caleb_strategy_v3 [-1] 228.423269 464.050797 -4.377838 -4.377838 -13.133513 NaN -8.755675 10366 EUR caleb_strategy_v3 [1] 0.069572 -686.33754 -3.59339 7.186781 0.0 NaN 3.59339 10368 DOW caleb_strategy_v3 [1] 4039.952851 -631.195485 -2.475276 2.475276 -2.475276 NaN 0.0 10369 JPY caleb_strategy_v3 [-1] 0.000664 387.868766 -3.765716 -7.531432 -15.062865 NaN -11.297149 10370 BITCOIN caleb_strategy_v3 [1] 18870.399562 -510.058092 -11.923436 -5.299305 -29.146177 NaN -17.222741 10371 BITCOIN caleb_strategy_v3 [1] 18870.399562 -492.835351 -13.248262 26.496524 0.0 NaN 13.248262 10367 BITCOIN caleb_strategy_v3 [1] 18870.399562 -512.707745 -14.573088 2.649652 NaN NaN -11.923436 ========================================================================================================================================================================= 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 10356 CAC caleb_strategy_v3 [1] 10.7325 -474.913125 -2.683125 37.56375 32.1975 NaN 34.880625 10355 EUROSTX caleb_strategy_v3 [-1] 10.7325 220.01625 -5.36625 10.7325 -0.0 NaN 5.36625 10357 EUROSTX caleb_strategy_v3 [-1] 10.7325 220.01625 -5.36625 10.7325 -0.0 NaN 5.36625 10358 EUROSTX caleb_strategy_v3 [-1] 10.7325 220.01625 -5.36625 10.7325 -0.0 NaN 5.36625 10360 GASOLINE caleb_strategy_v3 [1] 42000.0 -201.6 -16.8 33.6 0.0 NaN 16.8 10359 GOLD_micro caleb_strategy_v3 [-1] 10.0 104.5 -0.5 1.0 -0.0 NaN 0.5 10361 GOLD_micro caleb_strategy_v3 [-1] 10.0 105.5 -0.5 -4.0 -5.0 NaN -4.5 10362 GOLD_micro caleb_strategy_v3 [-1] 10.0 101.5 -0.5 1.0 -0.0 NaN 0.5 10363 GOLD_micro caleb_strategy_v3 [-1] 10.0 102.5 -0.5 -8.0 -9.0 NaN -8.5 10364 GOLD_micro caleb_strategy_v3 [-1] 10.0 94.5 -0.5 12.0 11.0 NaN 11.5 10365 GOLD_micro caleb_strategy_v3 [-1] 10.0 106.0 -1.0 -1.0 -3.0 NaN -2.0 10366 EUR caleb_strategy_v3 [1] 125000.0 -596.875 -3.125 6.25 0.0 NaN 3.125 10368 DOW caleb_strategy_v3 [1] 0.5 -127.5 -0.5 0.5 -0.5 NaN 0.0 10369 JPY caleb_strategy_v3 [-1] 12500000.0 321.875 -3.125 -6.25 -12.5 NaN -9.375 10370 BITCOIN caleb_strategy_v3 [1] 0.1 -96.25 -2.25 -1.0 -5.5 NaN -3.25 10371 BITCOIN caleb_strategy_v3 [1] 0.1 -93.0 -2.5 5.0 0.0 NaN 2.5 10367 BITCOIN caleb_strategy_v3 [1] 0.1 -96.75 -2.75 0.5 NaN NaN -2.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -286.0 CAC -474.913125 DOW -127.5 EUR -596.875 EUROSTX 660.04875 GASOLINE -201.6 GOLD_micro 614.5 JPY 321.875 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -90.464375 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -7.5 CAC -2.683125 DOW -0.5 EUR -3.125 EUROSTX -16.09875 GASOLINE -16.8 GOLD_micro -3.5 JPY -3.125 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -53.331875 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 4.5 CAC 37.56375 DOW 0.5 EUR 6.25 EUROSTX 32.1975 GASOLINE 33.6 GOLD_micro 1.0 JPY -6.25 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 109.36125 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -5.5 CAC 32.1975 DOW -0.5 EUR 0.0 EUROSTX -0.0 GASOLINE 0.0 GOLD_micro -6.0 JPY -12.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 7.6975 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0 CAC 0 DOW 0 EUR 0 EUROSTX 0 GASOLINE 0 GOLD_micro 0 JPY 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 -3.0 CAC 34.880625 DOW 0.0 EUR 3.125 EUROSTX 16.09875 GASOLINE 16.8 GOLD_micro -2.5 JPY -9.375 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 56.029375 ******************************************************************************** END OF REPORT ********************************************************************************