******************************************************************************** Trades report produced on 03/04/2024 21:37 from 02/04/2024 21:37 to 03/04/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11576 CHF caleb_strategy_v3 [20240600] 2024-04-03 14:00:46 [-1] 1.112500 11573 CRUDE_W caleb_strategy_v3 [20241200] 2024-04-03 13:00:45 [1] 79.540000 11567 DAX caleb_strategy_v3 [20240600] 2024-04-03 07:00:30 [1] 18589.000000 11568 DAX caleb_strategy_v3 [20240600] 2024-04-03 07:01:29 [1] 18588.000000 11569 DAX caleb_strategy_v3 [20240600] 2024-04-03 07:02:29 [1] 18580.000000 11570 DAX caleb_strategy_v3 [20240600] 2024-04-03 07:03:31 [1] 18581.000000 11571 DAX caleb_strategy_v3 [20240600] 2024-04-03 07:04:29 [1] 18586.000000 11578 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-03 14:01:44 [-1] 18333.000000 11579 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-03 14:02:44 [-1] 18346.750000 11575 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-03 14:00:45 [-1] 18328.250000 11572 ROBUSTA caleb_strategy_v3 [20240700] 2024-04-03 09:00:34 [1] 3592.000000 11577 RUSSELL caleb_strategy_v3 [20240600] 2024-04-03 14:00:47 [1] 2093.000000 11574 US5 caleb_strategy_v3 [20240600] 2024-04-03 14:00:44 [-1] 106.351563 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11567 DAX caleb_strategy_v3 2024-04-02 2024-04-03 08:00:29.610 2024-04-03 07:00:30 115229.61 NaN 11568 DAX caleb_strategy_v3 2024-04-02 2024-04-03 08:01:29.504 2024-04-03 07:01:29 115289.504 NaN 11569 DAX caleb_strategy_v3 2024-04-02 2024-04-03 08:02:29.347 2024-04-03 07:02:29 115349.347 NaN 11570 DAX caleb_strategy_v3 2024-04-02 2024-04-03 08:03:29.535 2024-04-03 07:03:31 115409.535 NaN 11571 DAX caleb_strategy_v3 2024-04-02 2024-04-03 08:04:29.550 2024-04-03 07:04:29 115469.55 NaN 11572 ROBUSTA caleb_strategy_v3 2024-04-02 2024-04-03 10:00:33.106 2024-04-03 09:00:34 122433.106 NaN 11573 CRUDE_W caleb_strategy_v3 2024-04-02 2024-04-03 14:00:39.678 2024-04-03 13:00:45 136839.678 NaN 11574 US5 caleb_strategy_v3 2024-04-02 2024-04-03 15:00:44.550 2024-04-03 14:00:44 140444.55 NaN 11576 CHF caleb_strategy_v3 2024-04-02 2024-04-03 15:00:46.339 2024-04-03 14:00:46 140446.339 NaN 11577 RUSSELL caleb_strategy_v3 2024-04-02 2024-04-03 15:00:47.262 2024-04-03 14:00:47 140447.262 NaN 11578 NASDAQ_micro caleb_strategy_v3 2024-04-02 2024-04-03 15:01:44.394 2024-04-03 14:01:44 140504.394 NaN 11579 NASDAQ_micro caleb_strategy_v3 2024-04-02 2024-04-03 15:02:44.417 2024-04-03 14:02:44 140564.417 NaN 11575 NASDAQ_micro caleb_strategy_v3 2024-04-02 2024-04-03 15:00:45.486 2024-04-03 14:00:45 140445.486 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 11567 DAX caleb_strategy_v3 [1] 18549.0 None 18590.0 18591.0 18589.0 18589.0 18589.0 -41.0 -1.0 2.0 0.0 NaN 1.0 11568 DAX caleb_strategy_v3 [1] 18549.0 None 18588.5 18589.0 18588.0 18588.0 18588.0 -39.5 -0.5 1.0 0.0 NaN 0.5 11569 DAX caleb_strategy_v3 [1] 18549.0 None 18587.0 18588.0 18586.0 18586.0 18580.0 -38.0 -1.0 8.0 6.0 NaN 7.0 11570 DAX caleb_strategy_v3 [1] 18549.0 None 18579.0 18580.0 18578.0 18578.0 18581.0 -30.0 -1.0 -1.0 -3.0 NaN -2.0 11571 DAX caleb_strategy_v3 [1] 18549.0 None 18581.5 18582.0 18581.0 18581.0 18586.0 -32.5 -0.5 -4.0 -5.0 NaN -4.5 11572 ROBUSTA caleb_strategy_v3 [1] 3588.0 None 3591.5 3593.0 3590.0 3590.0 3592.0 -3.5 -1.5 1.0 -2.0 NaN -0.5 11573 CRUDE_W caleb_strategy_v3 [1] 78.89 None 79.525 79.53 79.52 79.52 79.54 -0.635 -0.005 -0.01 -0.02 NaN -0.015 11574 US5 caleb_strategy_v3 [-1] 106.429688 None 106.347656 106.34375 106.351562 106.351562 106.351563 -0.082031 -0.003906 0.007813 0.0 NaN 0.003907 11576 CHF caleb_strategy_v3 [-1] 1.11035 None 1.11255 1.1125 1.1126 1.1126 1.1125 0.0022 -0.00005 -0.0 -0.0001 NaN -0.00005 11577 RUSSELL caleb_strategy_v3 [1] 2079.3 None 2092.9 2093.0 2092.8 2092.8 2093.0 -13.6 -0.1 0.0 -0.2 NaN -0.1 11578 NASDAQ_micro caleb_strategy_v3 [-1] 18303.25 None 18328.5 18328.25 18328.75 18328.75 18333.0 25.25 -0.25 4.75 4.25 NaN 4.5 11579 NASDAQ_micro caleb_strategy_v3 [-1] 18303.25 None 18333.125 18333.0 18333.25 18333.25 18346.75 29.875 -0.125 13.75 13.5 NaN 13.625 11575 NASDAQ_micro caleb_strategy_v3 [-1] 18303.25 None 18327.625 18327.5 18327.75 18327.75 18328.25 24.375 -0.125 0.75 0.5 NaN 0.625 =============================================================================================================================================================== 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 11567 DAX caleb_strategy_v3 [1] 1541.341526 -266.002046 -6.487855 12.97571 0.0 NaN 6.487855 11568 DAX caleb_strategy_v3 [1] 1541.341526 -256.270264 -3.243927 6.487855 0.0 NaN 3.243927 11569 DAX caleb_strategy_v3 [1] 1541.341526 -246.538482 -6.487855 51.902838 38.927129 NaN 45.414984 11570 DAX caleb_strategy_v3 [1] 1541.341526 -194.635644 -6.487855 -6.487855 -19.463564 NaN -12.97571 11571 DAX caleb_strategy_v3 [1] 1541.341526 -210.855281 -3.243927 -25.951419 -32.439274 NaN -29.195347 11572 ROBUSTA caleb_strategy_v3 [1] 852.024095 -41.07865 -17.605136 11.736757 -23.473515 NaN -5.868379 11573 CRUDE_W caleb_strategy_v3 [1] 14.398124 -441.029684 -3.472675 -6.945349 -13.890699 NaN -10.418024 11574 US5 caleb_strategy_v3 [-1] 4.278739 -191.718287 -9.129442 18.260053 0.001169 NaN 9.130611 11576 CHF caleb_strategy_v3 [-1] 0.081699 269.280292 -6.120007 -0.0 -12.240013 NaN -6.120007 11577 RUSSELL caleb_strategy_v3 [1] 410.144626 -331.59035 -2.438164 0.0 -4.876329 NaN -2.438164 11578 NASDAQ_micro caleb_strategy_v3 [-1] 2530.202119 99.794399 -0.988063 18.773204 16.797077 NaN 17.78514 11579 NASDAQ_micro caleb_strategy_v3 [-1] 2530.202119 118.073571 -0.494032 54.343485 53.355421 NaN 53.849453 11575 NASDAQ_micro caleb_strategy_v3 [-1] 2530.202119 96.336177 -0.494032 2.96419 1.976127 NaN 2.470158 ======================================================================================================================================================================== 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 11567 DAX caleb_strategy_v3 [1] 1.0774 -44.1734 -1.0774 2.1548 0.0 NaN 1.0774 11568 DAX caleb_strategy_v3 [1] 1.0774 -42.5573 -0.5387 1.0774 0.0 NaN 0.5387 11569 DAX caleb_strategy_v3 [1] 1.0774 -40.9412 -1.0774 8.6192 6.4644 NaN 7.5418 11570 DAX caleb_strategy_v3 [1] 1.0774 -32.322 -1.0774 -1.0774 -3.2322 NaN -2.1548 11571 DAX caleb_strategy_v3 [1] 1.0774 -35.0155 -0.5387 -4.3096 -5.387 NaN -4.8483 11572 ROBUSTA caleb_strategy_v3 [1] 10.0 -35.0 -15.0 10.0 -20.0 NaN -5.0 11573 CRUDE_W caleb_strategy_v3 [1] 1000.0 -635.0 -5.0 -10.0 -20.0 NaN -15.0 11574 US5 caleb_strategy_v3 [-1] 1000.0 -82.03125 -3.90625 7.813 0.0005 NaN 3.90675 11576 CHF caleb_strategy_v3 [-1] 125000.0 275.0 -6.25 -0.0 -12.5 NaN -6.25 11577 RUSSELL caleb_strategy_v3 [1] 5.0 -68.0 -0.5 0.0 -1.0 NaN -0.5 11578 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 50.5 -0.5 9.5 8.5 NaN 9.0 11579 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 59.75 -0.25 27.5 27.0 NaN 27.25 11575 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 48.75 -0.25 1.5 1.0 NaN 1.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CHF 275.0 CRUDE_W -635.0 DAX -195.0094 NASDAQ_micro 159.0 ROBUSTA -35.0 RUSSELL -68.0 US5 -82.03125 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -581.04065 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CHF -6.25 CRUDE_W -5.0 DAX -4.3096 NASDAQ_micro -1.0 ROBUSTA -15.0 RUSSELL -0.5 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -35.96585 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CHF -0.0 CRUDE_W -10.0 DAX 6.4644 NASDAQ_micro 38.5 ROBUSTA 10.0 RUSSELL 0.0 US5 7.813 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 52.7774 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF -12.5 CRUDE_W -20.0 DAX -2.1548 NASDAQ_micro 36.5 ROBUSTA -20.0 RUSSELL -1.0 US5 0.0005 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -19.1543 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF 0 CRUDE_W 0 DAX 0 NASDAQ_micro 0 ROBUSTA 0 RUSSELL 0 US5 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 CHF -6.25 CRUDE_W -15.0 DAX 2.1548 NASDAQ_micro 37.5 ROBUSTA -5.0 RUSSELL -0.5 US5 3.90675 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 16.81155 ******************************************************************************** END OF REPORT ********************************************************************************