******************************************************************************** Trades report produced on 05/04/2024 21:37 from 04/04/2024 21:37 to 05/04/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 11594 BOBL caleb_strategy_v3 [20240600] 2024-04-05 07:01:02 [-1] 118.050 11595 DAX caleb_strategy_v3 [20240600] 2024-04-05 07:01:04 [1] 18430.000 11596 DAX caleb_strategy_v3 [20240600] 2024-04-05 07:01:50 [1] 18425.000 11597 DAX caleb_strategy_v3 [20240600] 2024-04-05 07:02:50 [1] 18426.000 11598 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-04-05 08:05:53 [1] 97.645 11599 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-04-05 08:07:42 [1] 97.640 11593 JGB-SGX-mini caleb_strategy_v3 [20240600] 2024-04-05 02:06:25 [-1] 145.260 11592 NIKKEI caleb_strategy_v3 [20240600] 2024-04-05 02:00:30 [1] 38850.000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 11592 NIKKEI caleb_strategy_v3 2024-04-04 2024-04-05 03:00:27.474 2024-04-05 02:00:30 97227.474 NaN 11593 JGB-SGX-mini caleb_strategy_v3 2024-04-04 2024-04-05 03:01:24.890 2024-04-05 02:06:25 97284.89 NaN 11594 BOBL caleb_strategy_v3 2024-04-04 2024-04-05 08:00:50.686 2024-04-05 07:01:02 115250.686 NaN 11595 DAX caleb_strategy_v3 2024-04-03 2024-04-05 08:01:03.374 2024-04-05 07:01:04 201663.374 NaN 11596 DAX caleb_strategy_v3 2024-04-03 2024-04-05 08:01:50.593 2024-04-05 07:01:50 201710.593 NaN 11597 DAX caleb_strategy_v3 2024-04-03 2024-04-05 08:02:50.605 2024-04-05 07:02:50 201770.605 NaN 11598 EURIBOR-ICE caleb_strategy_v3 2024-04-04 2024-04-05 09:00:52.870 2024-04-05 08:05:53 118852.87 NaN 11599 EURIBOR-ICE caleb_strategy_v3 2024-04-04 2024-04-05 09:05:56.658 2024-04-05 08:07:42 119156.658 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 11592 NIKKEI caleb_strategy_v3 [1] 39330.0 None 38842.5 38845.0 38840.0 38840.0 38850.0 487.5 -2.5 -5.0 -10.0 NaN -7.5 11593 JGB-SGX-mini caleb_strategy_v3 [-1] 145.55 None 145.285 145.28 145.29 145.29 145.26 -0.265 -0.005 -0.02 -0.03 NaN -0.025 11594 BOBL caleb_strategy_v3 [-1] 118.1 None 118.065 118.06 118.07 118.07 118.05 -0.035 -0.005 -0.01 -0.02 NaN -0.015 11595 DAX caleb_strategy_v3 [1] 18630.0 None 18428.5 18429.0 18428.0 18428.0 18430.0 201.5 -0.5 -1.0 -2.0 NaN -1.5 11596 DAX caleb_strategy_v3 [1] 18630.0 None 18429.0 18430.0 18428.0 18428.0 18425.0 201.0 -1.0 5.0 3.0 NaN 4.0 11597 DAX caleb_strategy_v3 [1] 18630.0 None 18423.5 18425.0 18422.0 18422.0 18426.0 206.5 -1.5 -1.0 -4.0 NaN -2.5 11598 EURIBOR-ICE caleb_strategy_v3 [1] 97.65 None 97.6425 97.645 97.64 97.64 97.645 0.0075 -0.0025 0.0 -0.005 NaN -0.0025 11599 EURIBOR-ICE caleb_strategy_v3 [1] 97.65 None 97.6425 97.645 97.64 97.64 97.64 0.0075 -0.0025 0.005 0.0 NaN 0.0025 ================================================================================================================================================================ 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 11592 NIKKEI caleb_strategy_v3 [1] 6146.556933 793.126958 -4.067318 -8.134635 -16.269271 NaN -12.201953 11593 JGB-SGX-mini caleb_strategy_v3 [-1] 3.556927 -745.025081 -14.057077 -56.228308 -84.342462 NaN -70.285385 11594 BOBL caleb_strategy_v3 [-1] 4.67582 -74.853175 -10.693311 -21.386621 -42.773243 NaN -32.079932 11595 DAX caleb_strategy_v3 [1] 1770.8403 1137.877876 -2.823518 -5.647037 -11.294073 NaN -8.470555 11596 DAX caleb_strategy_v3 [1] 1770.8403 1135.054358 -5.647037 28.235183 16.94111 NaN 22.588146 11597 DAX caleb_strategy_v3 [1] 1770.8403 1166.113059 -8.470555 -5.647037 -22.588146 NaN -14.117592 11598 EURIBOR-ICE caleb_strategy_v3 [1] 0.922445 81.305676 -27.101892 0.0 -54.203784 NaN -27.101892 11599 EURIBOR-ICE caleb_strategy_v3 [1] 0.922445 81.305676 -27.101892 54.203784 0.0 NaN 27.101892 ========================================================================================================================================================================= 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 11592 NIKKEI caleb_strategy_v3 [1] 0.661728 322.592385 -1.65432 -3.30864 -6.61728 NaN -4.96296 11593 JGB-SGX-mini caleb_strategy_v3 [-1] 661.72797 -175.357912 -3.30864 -13.234559 -19.851839 NaN -16.543199 11594 BOBL caleb_strategy_v3 [-1] 1082.8 -37.898 -5.414 -10.828 -21.656 NaN -16.242 11595 DAX caleb_strategy_v3 [1] 1.0828 218.1842 -0.5414 -1.0828 -2.1656 NaN -1.6242 11596 DAX caleb_strategy_v3 [1] 1.0828 217.6428 -1.0828 5.414 3.2484 NaN 4.3312 11597 DAX caleb_strategy_v3 [1] 1.0828 223.5982 -1.6242 -1.0828 -4.3312 NaN -2.707 11598 EURIBOR-ICE caleb_strategy_v3 [1] 2707.0 20.3025 -6.7675 0.0 -13.535 NaN -6.7675 11599 EURIBOR-ICE caleb_strategy_v3 [1] 2707.0 20.3025 -6.7675 13.535 0.0 NaN 6.7675 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BOBL -37.898 DAX 659.4252 EURIBOR-ICE 40.605 JGB-SGX-mini -175.357912 NIKKEI 322.592385 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 809.366673 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BOBL -5.414 DAX -3.2484 EURIBOR-ICE -13.535 JGB-SGX-mini -3.30864 NIKKEI -1.65432 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -27.16036 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BOBL -10.828 DAX 3.2484 EURIBOR-ICE 13.535 JGB-SGX-mini -13.234559 NIKKEI -3.30864 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -10.587799 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL -21.656 DAX -3.2484 EURIBOR-ICE -13.535 JGB-SGX-mini -19.851839 NIKKEI -6.61728 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -64.908519 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0 DAX 0 EURIBOR-ICE 0 JGB-SGX-mini 0 NIKKEI 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 BOBL -16.242 DAX 0.0 EURIBOR-ICE 0.0 JGB-SGX-mini -16.543199 NIKKEI -4.96296 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -37.748159 ******************************************************************************** END OF REPORT ********************************************************************************