******************************************************************************** Trades report produced on 26/02/2024 21:36 from 25/02/2024 21:36 to 26/02/2024 21:36 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 10692 COCOA caleb_strategy_v3 [20240500] 2024-02-26 14:00:40 [1] 6450.000 10691 CRUDE_W caleb_strategy_v3 [20241200] 2024-02-26 14:00:40 [-1] 72.620 10696 DOW caleb_strategy_v3 [20240300] 2024-02-26 15:02:37 [1] 39254.000 10694 DOW caleb_strategy_v3 [20240300] 2024-02-26 15:00:38 [1] 39265.000 10695 DOW caleb_strategy_v3 [20240300] 2024-02-26 15:01:37 [1] 39249.000 10689 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-02-26 09:05:02 [-1] 97.625 10690 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-02-26 09:05:48 [-1] 97.630 10688 EUROSTX caleb_strategy_v3 [20240300] 2024-02-26 08:02:30 [1] 4873.000 10686 EUROSTX caleb_strategy_v3 [20240300] 2024-02-26 08:00:33 [1] 4873.000 10687 EUROSTX caleb_strategy_v3 [20240300] 2024-02-26 08:01:30 [1] 4875.000 10697 SOYOIL caleb_strategy_v3 [20240700] 2024-02-26 15:30:39 [-1] 45.430 10693 SUGAR11 caleb_strategy_v3 [20240700] 2024-02-26 14:00:54 [-1] 21.830 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 10688 EUROSTX caleb_strategy_v3 2024-02-23 2024-02-26 08:02:28.938 2024-02-26 08:02:30 288148.938 1.062 10686 EUROSTX caleb_strategy_v3 2024-02-23 2024-02-26 08:00:29.138 2024-02-26 08:00:33 288029.138 3.862 10687 EUROSTX caleb_strategy_v3 2024-02-23 2024-02-26 08:01:28.879 2024-02-26 08:01:30 288088.879 1.121 10689 EURIBOR-ICE caleb_strategy_v3 2024-02-23 2024-02-26 09:00:30.346 2024-02-26 09:05:02 291630.346 271.654 10690 EURIBOR-ICE caleb_strategy_v3 2024-02-23 2024-02-26 09:05:05.867 2024-02-26 09:05:48 291905.867 42.133 10691 CRUDE_W caleb_strategy_v3 2024-02-23 2024-02-26 14:00:34.857 2024-02-26 14:00:40 309634.857 5.143 10692 COCOA caleb_strategy_v3 2024-02-23 2024-02-26 14:00:40.726 2024-02-26 14:00:40 309640.726 NaN 10693 SUGAR11 caleb_strategy_v3 2024-02-23 2024-02-26 14:00:41.646 2024-02-26 14:00:54 309641.646 12.354 10696 DOW caleb_strategy_v3 2024-02-23 2024-02-26 15:02:37.442 2024-02-26 15:02:37 313357.442 NaN 10694 DOW caleb_strategy_v3 2024-02-23 2024-02-26 15:00:37.566 2024-02-26 15:00:38 313237.566 0.434 10695 DOW caleb_strategy_v3 2024-02-23 2024-02-26 15:01:37.414 2024-02-26 15:01:37 313297.414 NaN 10697 SOYOIL caleb_strategy_v3 2024-02-23 2024-02-26 15:30:38.918 2024-02-26 15:30:39 315038.918 0.082 ============================================================================================================================================================================================================================= 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 10688 EUROSTX caleb_strategy_v3 [1] 4884.0 None 4873.5 4874.0 4873.0 4873.0 4873.0 10.5 -0.5 1.0 0.0 NaN 0.5 10686 EUROSTX caleb_strategy_v3 [1] 4884.0 None 4873.5 4874.0 4873.0 4873.0 4873.0 10.5 -0.5 1.0 0.0 NaN 0.5 10687 EUROSTX caleb_strategy_v3 [1] 4884.0 None 4873.5 4874.0 4873.0 4873.0 4875.0 10.5 -0.5 -1.0 -2.0 NaN -1.5 10689 EURIBOR-ICE caleb_strategy_v3 [-1] 97.635 None 97.6325 97.63 97.635 97.635 97.625 -0.0025 -0.0025 -0.005 -0.01 NaN -0.0075 10690 EURIBOR-ICE caleb_strategy_v3 [-1] 97.635 None 97.6275 97.625 97.63 97.63 97.63 -0.0075 -0.0025 0.005 -0.0 NaN 0.0025 10691 CRUDE_W caleb_strategy_v3 [-1] 72.65 None 72.615 72.61 72.62 72.62 72.62 -0.035 -0.005 0.01 -0.0 NaN 0.005 10692 COCOA caleb_strategy_v3 [1] 6347.0 None 6447.0 6448.0 6446.0 6446.0 6450.0 -100.0 -1.0 -2.0 -4.0 NaN -3.0 10693 SUGAR11 caleb_strategy_v3 [-1] 21.6 None 21.83 21.82 21.84 21.84 21.83 0.23 -0.01 0.01 -0.01 NaN 0.0 10696 DOW caleb_strategy_v3 [1] 39206.0 None 39248.5 39249.0 39248.0 39248.0 39254.0 -42.5 -0.5 -5.0 -6.0 NaN -5.5 10694 DOW caleb_strategy_v3 [1] 39206.0 None 39266.0 39267.0 39265.0 39265.0 39265.0 -60.0 -1.0 2.0 0.0 NaN 1.0 10695 DOW caleb_strategy_v3 [1] 39206.0 None 39265.0 39266.0 39264.0 39264.0 39249.0 -59.0 -1.0 17.0 15.0 NaN 16.0 10697 SOYOIL caleb_strategy_v3 [-1] 45.02 None 45.0 45.0 45.0 45.0 45.43 -0.02 -0.0 0.43 0.43 NaN 0.43 =============================================================================================================================================================== 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 10688 EUROSTX caleb_strategy_v3 [1] 541.800284 193.798348 -9.228493 18.456986 0.0 NaN 9.228493 10686 EUROSTX caleb_strategy_v3 [1] 541.800284 193.798348 -9.228493 18.456986 0.0 NaN 9.228493 10687 EUROSTX caleb_strategy_v3 [1] 541.800284 193.798348 -9.228493 -18.456986 -36.913971 NaN -27.685478 10689 EURIBOR-ICE caleb_strategy_v3 [-1] 1.032804 -24.205945 -24.205945 -48.41189 -96.82378 NaN -72.617835 10690 EURIBOR-ICE caleb_strategy_v3 [-1] 1.032804 -72.617835 -24.205945 48.41189 -0.0 NaN 24.205945 10691 CRUDE_W caleb_strategy_v3 [-1] 17.058455 -20.517684 -2.931098 5.862196 -0.0 NaN 2.931098 10692 COCOA caleb_strategy_v3 [1] 1968.990037 -507.874586 -5.078746 -10.157492 -20.314983 NaN -15.236238 10693 SUGAR11 caleb_strategy_v3 [-1] 5.389257 426.774964 -18.555433 18.555433 -18.555433 NaN 0.0 10696 DOW caleb_strategy_v3 [1] 4034.187813 -105.349582 -1.239407 -12.394068 -14.872882 NaN -13.633475 10694 DOW caleb_strategy_v3 [1] 4034.187813 -148.728822 -2.478814 4.957627 0.0 NaN 2.478814 10695 DOW caleb_strategy_v3 [1] 4034.187813 -146.250008 -2.478814 42.139833 37.182205 NaN 39.661019 10697 SOYOIL caleb_strategy_v3 [-1] 12.273316 -16.295514 -0.0 350.353557 350.353557 NaN 350.353557 ======================================================================================================================================================================== 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 10688 EUROSTX caleb_strategy_v3 [1] 10.828 113.694 -5.414 10.828 0.0 NaN 5.414 10686 EUROSTX caleb_strategy_v3 [1] 10.828 113.694 -5.414 10.828 0.0 NaN 5.414 10687 EUROSTX caleb_strategy_v3 [1] 10.828 113.694 -5.414 -10.828 -21.656 NaN -16.242 10689 EURIBOR-ICE caleb_strategy_v3 [-1] 2707.0 -6.7675 -6.7675 -13.535 -27.07 NaN -20.3025 10690 EURIBOR-ICE caleb_strategy_v3 [-1] 2707.0 -20.3025 -6.7675 13.535 -0.0 NaN 6.7675 10691 CRUDE_W caleb_strategy_v3 [-1] 1000.0 -35.0 -5.0 10.0 -0.0 NaN 5.0 10692 COCOA caleb_strategy_v3 [1] 10.0 -1000.0 -10.0 -20.0 -40.0 NaN -30.0 10693 SUGAR11 caleb_strategy_v3 [-1] 1120.0 257.6 -11.2 11.2 -11.2 NaN 0.0 10696 DOW caleb_strategy_v3 [1] 0.5 -21.25 -0.25 -2.5 -3.0 NaN -2.75 10694 DOW caleb_strategy_v3 [1] 0.5 -30.0 -0.5 1.0 0.0 NaN 0.5 10695 DOW caleb_strategy_v3 [1] 0.5 -29.5 -0.5 8.5 7.5 NaN 8.0 10697 SOYOIL caleb_strategy_v3 [-1] 600.0 -12.0 -0.0 258.0 258.0 NaN 258.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 COCOA -1000.0 CRUDE_W -35.0 DOW -80.75 EURIBOR-ICE -27.07 EUROSTX 341.082 SOYOIL -12.0 SUGAR11 257.6 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -556.138 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 COCOA -10.0 CRUDE_W -5.0 DOW -1.25 EURIBOR-ICE -13.535 EUROSTX -16.242 SOYOIL -0.0 SUGAR11 -11.2 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -57.227 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 COCOA -20.0 CRUDE_W 10.0 DOW 7.0 EURIBOR-ICE 0.0 EUROSTX 10.828 SOYOIL 258.0 SUGAR11 11.2 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 277.028 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 COCOA -40.0 CRUDE_W -0.0 DOW 4.5 EURIBOR-ICE -27.07 EUROSTX -21.656 SOYOIL 258.0 SUGAR11 -11.2 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 162.574 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 COCOA 0 CRUDE_W 0 DOW 0 EURIBOR-ICE 0 EUROSTX 0 SOYOIL 0 SUGAR11 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 -30.0 CRUDE_W 5.0 DOW 5.75 EURIBOR-ICE -13.535 EUROSTX -5.414 SOYOIL 258.0 SUGAR11 0.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 219.801 ******************************************************************************** END OF REPORT ********************************************************************************