******************************************************************************** Trades report produced on 26/04/2024 21:37 from 25/04/2024 21:37 to 26/04/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 12178 BOBL caleb_strategy_v3 [20240600] 2024-04-26 07:00:33 [1] 116.44000 12179 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-04-26 08:00:45 [1] 97.32000 12180 MXP caleb_strategy_v3 [20240600] 2024-04-26 14:00:44 [-1] 0.05790 12181 US10U caleb_strategy_v3 [20240600] 2024-04-26 14:00:51 [-1] 110.53125 12184 VIX caleb_strategy_v3 [20240700] 2024-04-26 14:02:44 [-1] 16.35000 12185 VIX caleb_strategy_v3 [20240700] 2024-04-26 14:06:04 [-1] 16.40000 12182 VIX caleb_strategy_v3 [20240700] 2024-04-26 14:00:53 [-1] 16.35000 12183 VIX caleb_strategy_v3 [20240700] 2024-04-26 14:01:44 [-1] 16.30000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12178 BOBL caleb_strategy_v3 2024-04-25 2024-04-26 08:00:28.422 2024-04-26 07:00:33 115228.422 NaN 12179 EURIBOR-ICE caleb_strategy_v3 2024-04-25 2024-04-26 09:00:30.362 2024-04-26 08:00:45 118830.362 NaN 12180 MXP caleb_strategy_v3 2024-04-25 2024-04-26 15:00:44.090 2024-04-26 14:00:44 140444.09 NaN 12181 US10U caleb_strategy_v3 2024-04-25 2024-04-26 15:00:45.218 2024-04-26 14:00:51 140445.218 NaN 12184 VIX caleb_strategy_v3 2024-04-25 2024-04-26 15:02:43.997 2024-04-26 14:02:44 140563.997 NaN 12185 VIX caleb_strategy_v3 2024-04-25 2024-04-26 15:03:43.891 2024-04-26 14:06:04 140623.891 NaN 12182 VIX caleb_strategy_v3 2024-04-25 2024-04-26 15:00:52.186 2024-04-26 14:00:53 140452.186 NaN 12183 VIX caleb_strategy_v3 2024-04-25 2024-04-26 15:01:43.972 2024-04-26 14:01:44 140503.972 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 12178 BOBL caleb_strategy_v3 [1] 116.35 None 116.445 116.45 116.44 116.44 116.44 -0.095 -0.005 0.01 0.0 NaN 0.005 12179 EURIBOR-ICE caleb_strategy_v3 [1] 97.29 None 97.3175 97.32 97.315 97.315 97.32 -0.0275 -0.0025 0.0 -0.005 NaN -0.0025 12180 MXP caleb_strategy_v3 [-1] 0.05767 None 0.05791 0.0579 0.05792 0.05792 0.0579 0.00024 -0.00001 -0.0 -0.00002 NaN -0.00001 12181 US10U caleb_strategy_v3 [-1] 110.0625 None 110.523438 110.515625 110.53125 110.53125 110.53125 0.460938 -0.007812 0.015625 -0.0 NaN 0.007812 12184 VIX caleb_strategy_v3 [-1] 16.75 None 16.325 16.3 16.35 16.35 16.35 -0.425 -0.025 0.05 -0.0 NaN 0.025 12185 VIX caleb_strategy_v3 [-1] 16.75 None 16.375 16.35 16.4 16.4 16.4 -0.375 -0.025 0.05 -0.0 NaN 0.025 12182 VIX caleb_strategy_v3 [-1] 16.75 None 16.325 16.3 16.35 16.35 16.35 -0.425 -0.025 0.05 -0.0 NaN 0.025 12183 VIX caleb_strategy_v3 [-1] 16.75 None 16.35 16.3 16.4 16.4 16.3 -0.4 -0.05 -0.0 -0.1 NaN -0.05 =============================================================================================================================================================== 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 12178 BOBL caleb_strategy_v3 [1] 5.140182 -184.818346 -9.727281 19.454563 0.0 NaN 9.727281 12179 EURIBOR-ICE caleb_strategy_v3 [1] 0.975499 -281.907148 -25.627923 0.0 -51.255845 NaN -25.627923 12180 MXP caleb_strategy_v3 [-1] 0.005957 402.913571 -16.788065 -0.0 -33.576131 NaN -16.788065 12181 US10U caleb_strategy_v3 [-1] 9.068389 508.290412 -8.615092 17.230183 -0.0 NaN 8.615092 12184 VIX caleb_strategy_v3 [-1] 6.902887 -615.684388 -36.216729 72.433457 -0.0 NaN 36.216729 12185 VIX caleb_strategy_v3 [-1] 6.902887 -543.250931 -36.216729 72.433457 -0.0 NaN 36.216729 12182 VIX caleb_strategy_v3 [-1] 6.902887 -615.684388 -36.216729 72.433457 -0.0 NaN 36.216729 12183 VIX caleb_strategy_v3 [-1] 6.902887 -579.46766 -72.433457 -0.0 -144.866915 NaN -72.433457 ======================================================================================================================================================================== 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 12178 BOBL caleb_strategy_v3 [1] 1072.7 -101.9065 -5.3635 10.727 0.0 NaN 5.3635 12179 EURIBOR-ICE caleb_strategy_v3 [1] 2681.75 -73.748125 -6.704375 0.0 -13.40875 NaN -6.704375 12180 MXP caleb_strategy_v3 [-1] 500000.0 120.0 -5.0 -0.0 -10.0 NaN -5.0 12181 US10U caleb_strategy_v3 [-1] 1000.0 460.9375 -7.8125 15.625 -0.0 NaN 7.8125 12184 VIX caleb_strategy_v3 [-1] 1000.0 -425.0 -25.0 50.0 -0.0 NaN 25.0 12185 VIX caleb_strategy_v3 [-1] 1000.0 -375.0 -25.0 50.0 -0.0 NaN 25.0 12182 VIX caleb_strategy_v3 [-1] 1000.0 -425.0 -25.0 50.0 -0.0 NaN 25.0 12183 VIX caleb_strategy_v3 [-1] 1000.0 -400.0 -50.0 -0.0 -100.0 NaN -50.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BOBL -101.9065 EURIBOR-ICE -73.748125 MXP 120.0 US10U 460.9375 VIX -1625.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1219.717125 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BOBL -5.3635 EURIBOR-ICE -6.704375 MXP -5.0 US10U -7.8125 VIX -125.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -149.880375 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BOBL 10.727 EURIBOR-ICE 0.0 MXP -0.0 US10U 15.625 VIX 150.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 176.352 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0.0 EURIBOR-ICE -13.40875 MXP -10.0 US10U -0.0 VIX -100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -123.40875 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0 EURIBOR-ICE 0 MXP 0 US10U 0 VIX 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 5.3635 EURIBOR-ICE -6.704375 MXP -5.0 US10U 7.8125 VIX 25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 26.471625 ******************************************************************************** END OF REPORT 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