******************************************************************************** Trades report produced on 21/02/2024 21:37 from 20/02/2024 21:37 to 21/02/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10547 DOW caleb_strategy_v3 [20240300] 2024-02-21 15:00:20 [1] 38509.0000 10539 EUROSTX caleb_strategy_v3 [20240300] 2024-02-21 10:45:51 [1] 4794.0000 10540 GASOLINE _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-21 14:00:15 [-1] 2.5241 10541 GASOLINE _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-21 14:00:17 [1] 2.4904 10542 GASOLINE _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-21 14:01:13 [-1] 2.5217 10543 GASOLINE _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-21 14:01:14 [1] 2.4894 10544 GASOLINE _ROLL_PSEUDO_STRATEGY [20240500] 2024-02-21 14:02:13 [-1] 2.5223 10545 GASOLINE _ROLL_PSEUDO_STRATEGY [20240600] 2024-02-21 14:02:14 [1] 2.4898 10546 NASDAQ_micro caleb_strategy_v3 [20240300] 2024-02-21 15:00:19 [-1] 17480.2500 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10539 EUROSTX caleb_strategy_v3 2024-02-20 00:00:00 2024-02-21 10:44:02.006 2024-02-21 10:45:51 125042.006 108.994 10540 GASOLINE _ROLL_PSEUDO_STRATEGY 2024-02-20 20:00:00 2024-02-21 14:00:14.259 2024-02-21 14:00:15 64814.259 0.741 10541 GASOLINE _ROLL_PSEUDO_STRATEGY 2024-02-20 20:00:00 2024-02-21 14:00:16.227 2024-02-21 14:00:17 64816.227 0.773 10542 GASOLINE _ROLL_PSEUDO_STRATEGY 2024-02-20 20:00:00 2024-02-21 14:01:13.601 2024-02-21 14:01:13 64873.601 NaN 10543 GASOLINE _ROLL_PSEUDO_STRATEGY 2024-02-20 20:00:00 2024-02-21 14:01:14.255 2024-02-21 14:01:14 64874.255 NaN 10544 GASOLINE _ROLL_PSEUDO_STRATEGY 2024-02-20 20:00:00 2024-02-21 14:02:13.870 2024-02-21 14:02:13 64933.87 NaN 10545 GASOLINE _ROLL_PSEUDO_STRATEGY 2024-02-20 20:00:00 2024-02-21 14:02:14.440 2024-02-21 14:02:14 64934.44 NaN 10546 NASDAQ_micro caleb_strategy_v3 2024-02-20 00:00:00 2024-02-21 15:00:19.211 2024-02-21 15:00:19 140419.211 NaN 10547 DOW caleb_strategy_v3 2024-02-20 00:00:00 2024-02-21 15:00:20.303 2024-02-21 15:00:20 140420.303 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 10539 EUROSTX caleb_strategy_v3 [1] 4777.0 None 4794.5 4795.0 4794.0 4794.0 4794.0 -17.5 -0.5 1.0 0.0 NaN 0.5 10540 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 2.5165 None 2.5232 2.5229 2.5235 2.5235 2.5241 0.0067 -0.0003 0.0012 0.0006 NaN 0.0009 10541 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 2.4838 None 2.491 2.4914 2.4906 2.4906 2.4904 -0.0072 -0.0004 0.001 0.0002 NaN 0.0006 10542 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 2.5165 None 2.5245 2.5241 2.5249 2.5249 2.5217 0.008 -0.0004 -0.0024 -0.0032 NaN -0.0028 10543 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 2.4838 None 2.49025 2.4906 2.4899 2.4899 2.4894 -0.00645 -0.00035 0.0012 0.0005 NaN 0.00085 10544 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 2.5165 None 2.5219 2.5217 2.5221 2.5221 2.5223 0.0054 -0.0002 0.0006 0.0002 NaN 0.0004 10545 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 2.4838 None 2.4888 2.4893 2.4883 2.4883 2.4898 -0.005 -0.0005 -0.0005 -0.0015 NaN -0.001 10546 NASDAQ_micro caleb_strategy_v3 [-1] 17585.75 None 17480.125 17480.0 17480.25 17480.25 17480.25 -105.625 -0.125 0.25 -0.0 NaN 0.125 10547 DOW caleb_strategy_v3 [1] 38649.0 None 38508.0 38509.0 38507.0 38507.0 38509.0 141.0 -1.0 0.0 -2.0 NaN -1.0 =================================================================================================================================================================== 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 10539 EUROSTX caleb_strategy_v3 [1] 516.090407 -339.087876 -9.688225 19.37645 0.0 NaN 9.688225 10540 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 0.69905 95.844427 -4.291542 17.166166 8.583083 NaN 12.874625 10541 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 0.69905 -102.996997 -5.722055 14.305138 2.861028 NaN 8.583083 10542 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 0.69905 114.441107 -5.722055 -34.332332 -45.776443 NaN -40.054388 10543 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 0.69905 -92.268143 -5.006798 17.166166 7.152569 NaN 12.159368 10544 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 0.69905 77.247747 -2.861028 8.583083 2.861028 NaN 5.722055 10545 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 0.69905 -71.525692 -7.152569 -7.152569 -21.457708 NaN -14.305138 10546 NASDAQ_micro caleb_strategy_v3 [-1] 2853.364829 -370.176989 -0.438079 0.876159 -0.0 NaN 0.438079 10547 DOW caleb_strategy_v3 [1] 4078.611028 345.705925 -2.451815 0.0 -4.90363 NaN -2.451815 ============================================================================================================================================================================ 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 10539 EUROSTX caleb_strategy_v3 [1] 10.813 -189.2275 -5.4065 10.813 0.0 NaN 5.4065 10540 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 42000.0 281.4 -12.6 50.4 25.2 NaN 37.8 10541 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 42000.0 -302.4 -16.8 42.0 8.4 NaN 25.2 10542 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 42000.0 336.0 -16.8 -100.8 -134.4 NaN -117.6 10543 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 42000.0 -270.9 -14.7 50.4 21.0 NaN 35.7 10544 GASOLINE _ROLL_PSEUDO_STRATEGY [-1] 42000.0 226.8 -8.4 25.2 8.4 NaN 16.8 10545 GASOLINE _ROLL_PSEUDO_STRATEGY [1] 42000.0 -210.0 -21.0 -21.0 -63.0 NaN -42.0 10546 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -211.25 -0.25 0.5 -0.0 NaN 0.25 10547 DOW caleb_strategy_v3 [1] 0.5 70.5 -0.5 0.0 -1.0 NaN -0.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE 60.9 caleb_strategy_v3 DOW 70.5 EUROSTX -189.2275 NASDAQ_micro -211.25 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 60.9 caleb_strategy_v3 -329.9775 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -90.3 caleb_strategy_v3 DOW -0.5 EUROSTX -5.4065 NASDAQ_micro -0.25 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -90.3 caleb_strategy_v3 -6.1565 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE 46.2 caleb_strategy_v3 DOW 0.0 EUROSTX 10.813 NASDAQ_micro 0.5 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 46.2 caleb_strategy_v3 11.313 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -134.4 caleb_strategy_v3 DOW -1.0 EUROSTX 0.0 NASDAQ_micro -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -134.4 caleb_strategy_v3 -1.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE 0 caleb_strategy_v3 DOW 0 EUROSTX 0 NASDAQ_micro 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOLINE -44.1 caleb_strategy_v3 DOW -0.5 EUROSTX 5.4065 NASDAQ_micro 0.25 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -44.1 caleb_strategy_v3 5.1565 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