******************************************************************************** Trades report produced on 04/04/2024 21:37 from 03/04/2024 21:37 to 04/04/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11584 DAX caleb_strategy_v3 [20240600] 2024-04-04 07:01:36 [1] 18606.000000 11585 DAX caleb_strategy_v3 [20240600] 2024-04-04 07:02:35 [1] 18600.000000 11583 DAX caleb_strategy_v3 [20240600] 2024-04-04 07:00:36 [1] 18602.000000 11586 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-04-04 08:03:03 [1] 97.600000 11587 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-04-04 08:03:21 [1] 97.600000 11588 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-04-04 08:04:07 [1] 97.605000 11589 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-04-04 08:06:24 [1] 97.610000 11580 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-04-04 02:00:57 [-1] 145.450000 11591 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-04-04 14:01:53 [1] 18516.750000 11581 NIKKEI caleb_strategy_v3 [20240600] 2024-04-04 02:01:36 [1] 40140.000000 11582 NIKKEI caleb_strategy_v3 [20240600] 2024-04-04 02:02:17 [1] 40145.000000 11590 US5 caleb_strategy_v3 [20240600] 2024-04-04 14:01:20 [-1] 106.539063 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11580 JGB-SGX-mini caleb_strategy_v3 2024-04-03 2024-04-04 03:00:17.818 2024-04-04 02:00:57 97217.818 NaN 11581 NIKKEI caleb_strategy_v3 2024-04-03 2024-04-04 03:01:15.911 2024-04-04 02:01:36 97275.911 NaN 11582 NIKKEI caleb_strategy_v3 2024-04-03 2024-04-04 03:02:16.164 2024-04-04 02:02:17 97336.164 NaN 11584 DAX caleb_strategy_v3 2024-04-03 2024-04-04 08:01:35.924 2024-04-04 07:01:36 115295.924 NaN 11585 DAX caleb_strategy_v3 2024-04-03 2024-04-04 08:02:35.808 2024-04-04 07:02:35 115355.808 NaN 11583 DAX caleb_strategy_v3 2024-04-03 2024-04-04 08:00:36.374 2024-04-04 07:00:36 115236.374 NaN 11586 EURIBOR-ICE caleb_strategy_v3 2024-04-03 2024-04-04 09:01:38.154 2024-04-04 08:03:03 118898.154 NaN 11587 EURIBOR-ICE caleb_strategy_v3 2024-04-03 2024-04-04 09:03:06.924 2024-04-04 08:03:21 118986.924 NaN 11588 EURIBOR-ICE caleb_strategy_v3 2024-04-03 2024-04-04 09:04:07.202 2024-04-04 08:04:07 119047.202 NaN 11589 EURIBOR-ICE caleb_strategy_v3 2024-04-03 2024-04-04 09:05:07.503 2024-04-04 08:06:24 119107.503 NaN 11590 US5 caleb_strategy_v3 2024-04-03 2024-04-04 15:00:54.919 2024-04-04 14:01:20 140454.919 NaN 11591 NASDAQ_micro caleb_strategy_v3 2024-04-03 2024-04-04 15:01:53.599 2024-04-04 14:01:53 140513.599 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 11580 JGB-SGX-mini caleb_strategy_v3 [-1] 145.46 None 145.465 145.45 145.48 145.48 145.45 0.005 -0.015 -0.0 -0.03 NaN -0.015 11581 NIKKEI caleb_strategy_v3 [1] 40040.0 None 40137.5 40140.0 40135.0 40135.0 40140.0 -97.5 -2.5 0.0 -5.0 NaN -2.5 11582 NIKKEI caleb_strategy_v3 [1] 40040.0 None 40137.5 40140.0 40135.0 40135.0 40145.0 -97.5 -2.5 -5.0 -10.0 NaN -7.5 11584 DAX caleb_strategy_v3 [1] 18620.0 None 18602.5 18603.0 18602.0 18602.0 18606.0 17.5 -0.5 -3.0 -4.0 NaN -3.5 11585 DAX caleb_strategy_v3 [1] 18620.0 None 18605.0 18606.0 18604.0 18604.0 18600.0 15.0 -1.0 6.0 4.0 NaN 5.0 11583 DAX caleb_strategy_v3 [1] 18620.0 None 18603.0 18604.0 18602.0 18602.0 18602.0 17.0 -1.0 2.0 0.0 NaN 1.0 11586 EURIBOR-ICE caleb_strategy_v3 [1] 97.63 None 97.6025 97.605 97.6 97.6 97.6 0.0275 -0.0025 0.005 0.0 NaN 0.0025 11587 EURIBOR-ICE caleb_strategy_v3 [1] 97.63 None 97.6 97.605 97.595 97.595 97.6 0.03 -0.005 0.005 -0.005 NaN 0.0 11588 EURIBOR-ICE caleb_strategy_v3 [1] 97.63 None 97.5975 97.6 97.595 NaN 97.605 0.0325 -0.0025 -0.005 NaN NaN -0.0075 11589 EURIBOR-ICE caleb_strategy_v3 [1] 97.63 None 97.6025 97.605 97.6 97.6 97.61 0.0275 -0.0025 -0.005 -0.01 NaN -0.0075 11590 US5 caleb_strategy_v3 [-1] 106.484375 None 106.535156 106.53125 106.539062 106.539062 106.539063 0.050781 -0.003906 0.007813 0.0 NaN 0.003907 11591 NASDAQ_micro caleb_strategy_v3 [1] 18391.75 None 18517.0 18517.25 18516.75 18516.75 18516.75 -125.25 -0.25 0.5 0.0 NaN 0.25 =============================================================================================================================================================== 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 11580 JGB-SGX-mini caleb_strategy_v3 [-1] 3.585074 13.946713 -41.84014 -0.0 -83.680281 NaN -41.84014 11581 NIKKEI caleb_strategy_v3 [1] 6000.692941 -162.481235 -4.166186 0.0 -8.332371 NaN -4.166186 11582 NIKKEI caleb_strategy_v3 [1] 6000.692941 -162.481235 -4.166186 -8.332371 -16.664742 NaN -12.498557 11584 DAX caleb_strategy_v3 [1] 1543.996493 113.342226 -3.238349 -19.430096 -25.906795 NaN -22.668445 11585 DAX caleb_strategy_v3 [1] 1543.996493 97.15048 -6.476699 38.860192 25.906795 NaN 32.383493 11583 DAX caleb_strategy_v3 [1] 1543.996493 110.103877 -6.476699 12.953397 0.0 NaN 6.476699 11586 EURIBOR-ICE caleb_strategy_v3 [1] 0.925413 297.164674 -27.01497 54.029941 0.0 NaN 27.01497 11587 EURIBOR-ICE caleb_strategy_v3 [1] 0.925413 324.179644 -54.029941 54.029941 -54.029941 NaN 0.0 11588 EURIBOR-ICE caleb_strategy_v3 [1] 0.925413 351.194614 -27.01497 -54.029941 NaN NaN -81.044911 11589 EURIBOR-ICE caleb_strategy_v3 [1] 0.925413 297.164674 -27.01497 -54.029941 -108.059881 NaN -81.044911 11590 US5 caleb_strategy_v3 [-1] 4.234587 119.920198 -9.224631 18.450442 0.001181 NaN 9.225811 11591 NASDAQ_micro caleb_strategy_v3 [1] 2568.004036 -487.732878 -0.973519 1.947037 0.0 NaN 0.973519 ======================================================================================================================================================================== 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 11580 JGB-SGX-mini caleb_strategy_v3 [-1] 659.482702 3.297414 -9.892241 -0.0 -19.784481 NaN -9.892241 11581 NIKKEI caleb_strategy_v3 [1] 0.659483 -64.299563 -1.648707 0.0 -3.297414 NaN -1.648707 11582 NIKKEI caleb_strategy_v3 [1] 0.659483 -64.299563 -1.648707 -3.297414 -6.594827 NaN -4.94612 11584 DAX caleb_strategy_v3 [1] 1.0842 18.9735 -0.5421 -3.2526 -4.3368 NaN -3.7947 11585 DAX caleb_strategy_v3 [1] 1.0842 16.263 -1.0842 6.5052 4.3368 NaN 5.421 11583 DAX caleb_strategy_v3 [1] 1.0842 18.4314 -1.0842 2.1684 0.0 NaN 1.0842 11586 EURIBOR-ICE caleb_strategy_v3 [1] 2710.5 74.53875 -6.77625 13.5525 0.0 NaN 6.77625 11587 EURIBOR-ICE caleb_strategy_v3 [1] 2710.5 81.315 -13.5525 13.5525 -13.5525 NaN 0.0 11588 EURIBOR-ICE caleb_strategy_v3 [1] 2710.5 88.09125 -6.77625 -13.5525 NaN NaN -20.32875 11589 EURIBOR-ICE caleb_strategy_v3 [1] 2710.5 74.53875 -6.77625 -13.5525 -27.105 NaN -20.32875 11590 US5 caleb_strategy_v3 [-1] 1000.0 50.78125 -3.90625 7.813 0.0005 NaN 3.90675 11591 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -250.5 -0.5 1.0 0.0 NaN 0.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DAX 53.6679 EURIBOR-ICE 318.48375 JGB-SGX-mini 3.297414 NASDAQ_micro -250.5 NIKKEI -128.599127 US5 50.78125 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 47.131187 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DAX -2.7105 EURIBOR-ICE -33.88125 JGB-SGX-mini -9.892241 NASDAQ_micro -0.5 NIKKEI -3.297414 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -54.187654 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DAX 5.421 EURIBOR-ICE 0.0 JGB-SGX-mini -0.0 NASDAQ_micro 1.0 NIKKEI -3.297414 US5 7.813 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 10.936586 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX 0.0 EURIBOR-ICE -40.6575 JGB-SGX-mini -19.784481 NASDAQ_micro 0.0 NIKKEI -9.892241 US5 0.0005 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -70.333722 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX 0 EURIBOR-ICE 0 JGB-SGX-mini 0 NASDAQ_micro 0 NIKKEI 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 DAX 2.7105 EURIBOR-ICE -33.88125 JGB-SGX-mini -9.892241 NASDAQ_micro 0.5 NIKKEI -6.594827 US5 3.90675 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -43.251068 ******************************************************************************** END OF REPORT ********************************************************************************