******************************************************************************** Trades report produced on 13/05/2024 21:37 from 12/05/2024 21:37 to 13/05/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 12473 BTP caleb_strategy_v3 [20240600] 2024-05-13 08:45:47 [-1] 117.59000 12472 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-05-13 08:02:40 [1] 97.40500 12476 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-13 13:00:26 [1] 2.49000 12475 GOLD_micro caleb_strategy_v3 [20240600] 2024-05-13 13:00:21 [1] 2353.10000 12477 GOLD_micro caleb_strategy_v3 [20240600] 2024-05-13 13:01:11 [1] 2353.40000 12482 MXP caleb_strategy_v3 [20240600] 2024-05-13 14:03:58 [1] 0.05934 12479 MXP caleb_strategy_v3 [20240600] 2024-05-13 14:00:32 [1] 0.05936 12480 NASDAQ_micro caleb_strategy_v3 [20240600] 2024-05-13 14:00:33 [1] 18283.25000 12471 NIKKEI caleb_strategy_v3 [20240600] 2024-05-13 02:01:19 [-1] 38145.00000 12478 RUSSELL caleb_strategy_v3 [20240600] 2024-05-13 14:00:14 [1] 2089.90000 12474 SUGAR11 caleb_strategy_v3 [20241000] 2024-05-13 13:00:20 [-1] 18.80000 12481 VIX caleb_strategy_v3 [20240800] 2024-05-13 14:03:39 [-1] 15.60000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12471 NIKKEI caleb_strategy_v3 2024-05-10 2024-05-13 03:01:17.870 2024-05-13 02:01:19 270077.87 NaN 12472 EURIBOR-ICE caleb_strategy_v3 2024-05-10 2024-05-13 09:00:31.970 2024-05-13 08:02:40 291631.97 NaN 12473 BTP caleb_strategy_v3 2024-05-10 2024-05-13 09:44:49.106 2024-05-13 08:45:47 294289.106 NaN 12474 SUGAR11 caleb_strategy_v3 2024-05-10 2024-05-13 14:00:11.578 2024-05-13 13:00:20 309611.578 NaN 12476 GAS_US_mini caleb_strategy_v3 2024-05-10 2024-05-13 14:00:22.878 2024-05-13 13:00:26 309622.878 NaN 12475 GOLD_micro caleb_strategy_v3 2024-05-10 2024-05-13 14:00:21.758 2024-05-13 13:00:21 309621.758 NaN 12477 GOLD_micro caleb_strategy_v3 2024-05-10 2024-05-13 14:01:10.987 2024-05-13 13:01:11 309670.987 NaN 12478 RUSSELL caleb_strategy_v3 2024-05-10 2024-05-13 15:00:13.763 2024-05-13 14:00:14 313213.763 NaN 12480 NASDAQ_micro caleb_strategy_v3 2024-05-10 2024-05-13 15:00:33.214 2024-05-13 14:00:33 313233.214 NaN 12481 VIX caleb_strategy_v3 2024-05-10 2024-05-13 15:00:34.538 2024-05-13 14:03:39 313234.538 NaN 12482 MXP caleb_strategy_v3 2024-05-10 2024-05-13 15:03:57.850 2024-05-13 14:03:58 313437.85 NaN 12479 MXP caleb_strategy_v3 2024-05-10 2024-05-13 15:00:15.139 2024-05-13 14:00:32 313215.139 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 12471 NIKKEI caleb_strategy_v3 [-1] 38160.0 None 38142.5 38140.0 38145.0 38145.0 38145.0 -17.5 -2.5 5.0 -0.0 NaN 2.5 12472 EURIBOR-ICE caleb_strategy_v3 [1] 97.395 None 97.3975 97.4 97.395 97.395 97.405 -0.0025 -0.0025 -0.005 -0.01 NaN -0.0075 12473 BTP caleb_strategy_v3 [-1] 117.52 None 117.585 117.58 117.59 117.59 117.59 0.065 -0.005 0.01 -0.0 NaN 0.005 12474 SUGAR11 caleb_strategy_v3 [-1] 19.31 None 18.825 18.82 18.83 18.83 18.8 -0.485 -0.005 -0.02 -0.03 NaN -0.025 12476 GAS_US_mini caleb_strategy_v3 [1] 2.485 None 2.4925 2.495 2.49 2.49 2.49 -0.0075 -0.0025 0.005 0.0 NaN 0.0025 12475 GOLD_micro caleb_strategy_v3 [1] 2372.6 None 2352.9 2353.0 2352.8 2352.8 2353.1 19.7 -0.1 -0.1 -0.3 NaN -0.2 12477 GOLD_micro caleb_strategy_v3 [1] 2372.6 None 2353.0 2353.1 2352.9 2352.9 2353.4 19.6 -0.1 -0.3 -0.5 NaN -0.4 12478 RUSSELL caleb_strategy_v3 [1] 2065.7 None 2090.0 2090.1 2089.9 2089.9 2089.9 -24.3 -0.1 0.2 0.0 NaN 0.1 12480 NASDAQ_micro caleb_strategy_v3 [1] 18253.5 None 18283.375 18283.5 18283.25 18283.25 18283.25 -29.875 -0.125 0.25 0.0 NaN 0.125 12481 VIX caleb_strategy_v3 [-1] 15.75 None 15.675 15.65 15.7 15.7 15.6 -0.075 -0.025 -0.05 -0.1 NaN -0.075 12482 MXP caleb_strategy_v3 [1] 0.05923 None 0.059355 0.05936 0.05935 NaN 0.05934 -0.000125 -0.000005 0.00002 NaN NaN 0.000015 12479 MXP caleb_strategy_v3 [1] 0.05923 None 0.05936 0.05937 0.05935 0.05935 0.05936 -0.00013 -0.00001 0.00001 -0.00001 NaN -0.0 =============================================================================================================================================================== 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 12471 NIKKEI caleb_strategy_v3 [-1] 6663.557042 -26.26225 -3.75175 7.5035 -0.0 NaN 3.75175 12472 EURIBOR-ICE caleb_strategy_v3 [1] 0.977771 -25.568352 -25.568352 -51.136705 -102.273409 NaN -76.705057 12473 BTP caleb_strategy_v3 [-1] 10.046798 64.697231 -4.97671 9.95342 -0.0 NaN 4.97671 12474 SUGAR11 caleb_strategy_v3 [-1] 5.250068 -923.797542 -9.523686 -38.094744 -57.142116 NaN -47.61843 12476 GAS_US_mini caleb_strategy_v3 [1] 1.473949 -50.883728 -16.961243 33.922485 0.0 NaN 16.961243 12475 GOLD_micro caleb_strategy_v3 [1] 351.443799 560.544817 -2.845405 -2.845405 -8.536215 NaN -5.69081 12477 GOLD_micro caleb_strategy_v3 [1] 351.443799 557.699412 -2.845405 -8.536215 -14.227026 NaN -11.381621 12478 RUSSELL caleb_strategy_v3 [1] 373.508162 -650.588193 -2.677318 5.354635 0.0 NaN 2.677318 12480 NASDAQ_micro caleb_strategy_v3 [1] 2992.664215 -99.827438 -0.417688 0.835376 0.0 NaN 0.417688 12481 VIX caleb_strategy_v3 [-1] 5.942102 -126.217964 -42.072655 -84.145309 -168.290619 NaN -126.217964 12482 MXP caleb_strategy_v3 [1] 0.005414 -230.888138 -9.235526 36.942102 NaN NaN 27.706577 12479 MXP caleb_strategy_v3 [1] 0.005414 -240.123664 -18.471051 18.471051 -18.471051 NaN -0.0 ======================================================================================================================================================================== 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 12471 NIKKEI caleb_strategy_v3 [-1] 0.64162 -11.228349 -1.60405 3.2081 -0.0 NaN 1.60405 12472 EURIBOR-ICE caleb_strategy_v3 [1] 2693.625 -6.734063 -6.734062 -13.468125 -26.93625 NaN -20.202187 12473 BTP caleb_strategy_v3 [-1] 1077.45 70.03425 -5.38725 10.7745 -0.0 NaN 5.38725 12474 SUGAR11 caleb_strategy_v3 [-1] 1120.0 -543.2 -5.6 -22.4 -33.6 NaN -28.0 12476 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -18.75 -6.25 12.5 0.0 NaN 6.25 12475 GOLD_micro caleb_strategy_v3 [1] 10.0 197.0 -1.0 -1.0 -3.0 NaN -2.0 12477 GOLD_micro caleb_strategy_v3 [1] 10.0 196.0 -1.0 -3.0 -5.0 NaN -4.0 12478 RUSSELL caleb_strategy_v3 [1] 5.0 -121.5 -0.5 1.0 0.0 NaN 0.5 12480 NASDAQ_micro caleb_strategy_v3 [1] 2.0 -59.75 -0.25 0.5 0.0 NaN 0.25 12481 VIX caleb_strategy_v3 [-1] 1000.0 -75.0 -25.0 -50.0 -100.0 NaN -75.0 12482 MXP caleb_strategy_v3 [1] 500000.0 -62.5 -2.5 10.0 NaN NaN 7.5 12479 MXP caleb_strategy_v3 [1] 500000.0 -65.0 -5.0 5.0 -5.0 NaN -0.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BTP 70.03425 EURIBOR-ICE -6.734063 GAS_US_mini -18.75 GOLD_micro 393.0 MXP -127.5 NASDAQ_micro -59.75 NIKKEI -11.228349 RUSSELL -121.5 SUGAR11 -543.2 VIX -75.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -500.628162 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BTP -5.38725 EURIBOR-ICE -6.734062 GAS_US_mini -6.25 GOLD_micro -2.0 MXP -7.5 NASDAQ_micro -0.25 NIKKEI -1.60405 RUSSELL -0.5 SUGAR11 -5.6 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -60.825362 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BTP 10.7745 EURIBOR-ICE -13.468125 GAS_US_mini 12.5 GOLD_micro -4.0 MXP 15.0 NASDAQ_micro 0.5 NIKKEI 3.2081 RUSSELL 1.0 SUGAR11 -22.4 VIX -50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -46.885525 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP -0.0 EURIBOR-ICE -26.93625 GAS_US_mini 0.0 GOLD_micro -8.0 MXP -5.0 NASDAQ_micro 0.0 NIKKEI -0.0 RUSSELL 0.0 SUGAR11 -33.6 VIX -100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -173.53625 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP 0 EURIBOR-ICE 0 GAS_US_mini 0 GOLD_micro 0 MXP 0 NASDAQ_micro 0 NIKKEI 0 RUSSELL 0 SUGAR11 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 BTP 5.38725 EURIBOR-ICE -20.202187 GAS_US_mini 6.25 GOLD_micro -6.0 MXP 7.5 NASDAQ_micro 0.25 NIKKEI 1.60405 RUSSELL 0.5 SUGAR11 -28.0 VIX -75.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -107.710888 ******************************************************************************** END OF REPORT ********************************************************************************