******************************************************************************** Trades report produced on 18/03/2024 21:37 from 17/03/2024 21:37 to 18/03/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11351 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-03-18 09:02:01 [-1] 97.55000 11353 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-03-18 15:00:44 [-1] 18360.00000 11350 NIKKEI caleb_strategy_v3 [20240600] 2024-03-18 03:01:33 [-1] 39300.00000 11352 NZD caleb_strategy_v3 [20240600] 2024-03-18 15:00:43 [-1] 0.60865 11355 NZD caleb_strategy_v3 [20240600] 2024-03-18 15:01:40 [-1] 0.60865 11354 RUSSELL caleb_strategy_v3 [20240600] 2024-03-18 15:00:45 [-1] 2066.00000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11350 NIKKEI caleb_strategy_v3 2024-03-15 2024-03-18 03:01:16.754 2024-03-18 03:01:33 270076.754 16.246 11351 EURIBOR-ICE caleb_strategy_v3 2024-03-15 2024-03-18 09:00:28.311 2024-03-18 09:02:01 291628.311 92.689 11353 NASDAQ_micro caleb_strategy_v3 2024-03-15 2024-03-18 15:00:44.076 2024-03-18 15:00:44 313244.076 NaN 11354 RUSSELL caleb_strategy_v3 2024-03-15 2024-03-18 15:00:44.872 2024-03-18 15:00:45 313244.872 0.128 11352 NZD caleb_strategy_v3 2024-03-15 2024-03-18 15:00:40.447 2024-03-18 15:00:43 313240.447 2.553 11355 NZD caleb_strategy_v3 2024-03-15 2024-03-18 15:01:40.114 2024-03-18 15:01:40 313300.114 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 11350 NIKKEI caleb_strategy_v3 [-1] 38630.0 None 39307.5 39305.0 39310.0 39310.0 39300.0 677.5 -2.5 -5.0 -10.0 NaN -7.5 11351 EURIBOR-ICE caleb_strategy_v3 [-1] 97.555 None 97.5575 97.555 97.56 97.56 97.55 0.0025 -0.0025 -0.005 -0.01 NaN -0.0075 11353 NASDAQ_micro caleb_strategy_v3 [-1] 18072.5 None 18359.375 18359.25 18359.5 18359.5 18360.0 286.875 -0.125 0.75 0.5 NaN 0.625 11354 RUSSELL caleb_strategy_v3 [-1] 2062.4 None 2066.2 2066.1 2066.3 2066.3 2066.0 3.8 -0.1 -0.1 -0.3 NaN -0.2 11352 NZD caleb_strategy_v3 [-1] 0.6085 None 0.608625 0.6086 0.60865 0.60865 0.60865 0.000125 -0.000025 0.00005 -0.0 NaN 0.000025 11355 NZD caleb_strategy_v3 [-1] 0.6085 None 0.608625 0.6086 0.60865 0.60865 0.60865 0.000125 -0.000025 0.00005 -0.0 NaN 0.000025 ================================================================================================================================================================ 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 11350 NIKKEI caleb_strategy_v3 [-1] 6801.238641 996.142079 -3.675801 -7.351602 -14.703204 NaN -11.027403 11351 EURIBOR-ICE caleb_strategy_v3 [-1] 0.949632 26.325983 -26.325983 -52.651965 -105.30393 NaN -78.977948 11353 NASDAQ_micro caleb_strategy_v3 [-1] 2853.274465 1005.423781 -0.438093 2.628559 1.752373 NaN 2.190466 11354 RUSSELL caleb_strategy_v3 [-1] 392.981159 96.696748 -2.544651 -2.544651 -7.633954 NaN -5.089303 11352 NZD caleb_strategy_v3 [-1] 0.054956 22.745583 -4.549117 9.098233 -0.0 NaN 4.549117 11355 NZD caleb_strategy_v3 [-1] 0.054956 22.745583 -4.549117 9.098233 -0.0 NaN 4.549117 ========================================================================================================================================================================= 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 11350 NIKKEI caleb_strategy_v3 [-1] 0.669958 453.896813 -1.674896 -3.349792 -6.699584 NaN -5.024688 11351 EURIBOR-ICE caleb_strategy_v3 [-1] 2723.0 6.8075 -6.8075 -13.615 -27.23 NaN -20.4225 11353 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 573.75 -0.25 1.5 1.0 NaN 1.25 11354 RUSSELL caleb_strategy_v3 [-1] 5.0 19.0 -0.5 -0.5 -1.5 NaN -1.0 11352 NZD caleb_strategy_v3 [-1] 100000.0 12.5 -2.5 5.0 -0.0 NaN 2.5 11355 NZD caleb_strategy_v3 [-1] 100000.0 12.5 -2.5 5.0 -0.0 NaN 2.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 6.8075 NASDAQ_micro 573.75 NIKKEI 453.896813 NZD 25.0 RUSSELL 19.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 1078.454313 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -6.8075 NASDAQ_micro -0.25 NIKKEI -1.674896 NZD -5.0 RUSSELL -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -14.232396 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -13.615 NASDAQ_micro 1.5 NIKKEI -3.349792 NZD 10.0 RUSSELL -0.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -5.964792 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -27.23 NASDAQ_micro 1.0 NIKKEI -6.699584 NZD -0.0 RUSSELL -1.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -34.429584 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 0 NASDAQ_micro 0 NIKKEI 0 NZD 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 EURIBOR-ICE -20.4225 NASDAQ_micro 1.25 NIKKEI -5.024688 NZD 5.0 RUSSELL -1.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -20.197188 ******************************************************************************** END OF REPORT ********************************************************************************