******************************************************************************** Trades report produced on 14/05/2024 21:37 from 13/05/2024 21:37 to 14/05/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 12492 CHF caleb_strategy_v3 [20240600] 2024-05-14 14:01:56 [1] 1.10815 12485 DAX caleb_strategy_v3 [20240600] 2024-05-14 07:00:28 [1] 18844.00000 12486 DAX caleb_strategy_v3 [20240600] 2024-05-14 07:01:28 [1] 18838.00000 12487 EURIBOR-ICE caleb_strategy_v3 [20260600] 2024-05-14 08:05:29 [1] 97.43000 12488 GOLD_micro caleb_strategy_v3 [20240600] 2024-05-14 13:00:56 [1] 2353.10000 12490 GOLD_micro caleb_strategy_v3 [20240600] 2024-05-14 13:01:55 [1] 2352.50000 12498 LEANHOG caleb_strategy_v3 [20240800] 2024-05-14 14:30:10 [-1] 99.87500 12496 MXP caleb_strategy_v3 [20240600] 2024-05-14 14:12:25 [1] 0.05907 12497 MXP caleb_strategy_v3 [20240600] 2024-05-14 14:13:06 [1] 0.05908 12491 MXP caleb_strategy_v3 [20240600] 2024-05-14 14:01:50 [1] 0.05907 12494 MXP caleb_strategy_v3 [20240600] 2024-05-14 14:07:01 [1] 0.05909 12483 NIKKEI caleb_strategy_v3 [20240600] 2024-05-14 02:01:21 [-1] 38240.00000 12484 NIKKEI caleb_strategy_v3 [20240600] 2024-05-14 02:02:17 [-1] 38245.00000 12489 PLAT caleb_strategy_v3 [20240700] 2024-05-14 13:00:58 [1] 1026.80000 12493 VIX caleb_strategy_v3 [20240800] 2024-05-14 14:06:57 [-1] 15.75000 12495 VIX caleb_strategy_v3 [20240800] 2024-05-14 14:12:01 [-1] 15.75000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12483 NIKKEI caleb_strategy_v3 2024-05-13 2024-05-14 03:01:16.474 2024-05-14 02:01:21 97276.474 NaN 12484 NIKKEI caleb_strategy_v3 2024-05-13 2024-05-14 03:02:16.907 2024-05-14 02:02:17 97336.907 NaN 12485 DAX caleb_strategy_v3 2024-05-13 2024-05-14 08:00:27.854 2024-05-14 07:00:28 115227.854 NaN 12486 DAX caleb_strategy_v3 2024-05-13 2024-05-14 08:01:27.860 2024-05-14 07:01:28 115287.86 NaN 12487 EURIBOR-ICE caleb_strategy_v3 2024-05-13 2024-05-14 09:00:29.754 2024-05-14 08:05:29 118829.754 NaN 12489 PLAT caleb_strategy_v3 2024-05-13 2024-05-14 14:00:56.774 2024-05-14 13:00:58 136856.774 NaN 12488 GOLD_micro caleb_strategy_v3 2024-05-13 2024-05-14 14:00:55.866 2024-05-14 13:00:56 136855.866 NaN 12490 GOLD_micro caleb_strategy_v3 2024-05-13 2024-05-14 14:01:55.708 2024-05-14 13:01:55 136915.708 NaN 12492 CHF caleb_strategy_v3 2024-05-13 2024-05-14 15:01:51.618 2024-05-14 14:01:56 140511.618 NaN 12493 VIX caleb_strategy_v3 2024-05-13 2024-05-14 15:01:57.306 2024-05-14 14:06:57 140517.306 NaN 12495 VIX caleb_strategy_v3 2024-05-13 2024-05-14 15:07:01.754 2024-05-14 14:12:01 140821.754 NaN 12496 MXP caleb_strategy_v3 2024-05-13 2024-05-14 15:12:05.543 2024-05-14 14:12:25 141125.543 NaN 12497 MXP caleb_strategy_v3 2024-05-13 2024-05-14 15:13:05.966 2024-05-14 14:13:06 141185.966 NaN 12491 MXP caleb_strategy_v3 2024-05-13 2024-05-14 15:00:58.138 2024-05-14 14:01:50 140458.138 NaN 12494 MXP caleb_strategy_v3 2024-05-13 2024-05-14 15:07:01.011 2024-05-14 14:07:01 140821.011 NaN 12498 LEANHOG caleb_strategy_v3 2024-05-13 2024-05-14 15:30:09.578 2024-05-14 14:30:10 142209.578 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 12483 NIKKEI caleb_strategy_v3 [-1] 38195.0 None 38247.5 38245.0 38250.0 38250.0 38240.0 52.5 -2.5 -5.0 -10.0 NaN -7.5 12484 NIKKEI caleb_strategy_v3 [-1] 38195.0 None 38242.5 38240.0 38245.0 38245.0 38245.0 47.5 -2.5 5.0 -0.0 NaN 2.5 12485 DAX caleb_strategy_v3 [1] 18843.0 None 18842.0 18843.0 18841.0 18841.0 18844.0 1.0 -1.0 -1.0 -3.0 NaN -2.0 12486 DAX caleb_strategy_v3 [1] 18843.0 None 18843.0 18844.0 18842.0 18842.0 18838.0 0.0 -1.0 6.0 4.0 NaN 5.0 12487 EURIBOR-ICE caleb_strategy_v3 [1] 97.405 None 97.4275 97.43 97.425 97.425 97.43 -0.0225 -0.0025 0.0 -0.005 NaN -0.0025 12489 PLAT caleb_strategy_v3 [1] 1009.7 None 1026.6 1026.7 1026.5 1026.5 1026.8 -16.9 -0.1 -0.1 -0.3 NaN -0.2 12488 GOLD_micro caleb_strategy_v3 [1] 2342.6 None 2352.9 2353.0 2352.8 2352.8 2353.1 -10.3 -0.1 -0.1 -0.3 NaN -0.2 12490 GOLD_micro caleb_strategy_v3 [1] 2342.6 None 2353.0 2353.1 2352.9 2352.9 2352.5 -10.4 -0.1 0.6 0.4 NaN 0.5 12492 CHF caleb_strategy_v3 [1] 1.1054 None 1.108175 1.1082 1.10815 1.10815 1.10815 -0.002775 -0.000025 0.00005 0.0 NaN 0.000025 12493 VIX caleb_strategy_v3 [-1] 15.65 None 15.775 15.75 15.8 15.8 15.75 0.125 -0.025 -0.0 -0.05 NaN -0.025 12495 VIX caleb_strategy_v3 [-1] 15.65 None 15.775 15.75 15.8 15.8 15.75 0.125 -0.025 -0.0 -0.05 NaN -0.025 12496 MXP caleb_strategy_v3 [1] 0.05917 None 0.05908 0.05909 0.05907 0.05907 0.05907 0.00009 -0.00001 0.00002 0.0 NaN 0.00001 12497 MXP caleb_strategy_v3 [1] 0.05917 None 0.05907 0.05908 0.05906 0.05906 0.05908 0.0001 -0.00001 0.0 -0.00002 NaN -0.00001 12491 MXP caleb_strategy_v3 [1] 0.05917 None 0.059055 0.05906 0.05905 0.05905 0.05907 0.000115 -0.000005 -0.00001 -0.00002 NaN -0.000015 12494 MXP caleb_strategy_v3 [1] 0.05917 None 0.059065 0.05907 0.05906 0.05906 0.05909 0.000105 -0.000005 -0.00002 -0.00003 NaN -0.000025 12498 LEANHOG caleb_strategy_v3 [-1] 99.3 None 100.0 100.0 100.0 100.0 99.875 0.7 -0.0 -0.125 -0.125 NaN -0.125 =============================================================================================================================================================== 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 12483 NIKKEI caleb_strategy_v3 [-1] 6668.345585 78.730173 -3.749056 -7.498112 -14.996223 NaN -11.247168 12484 NIKKEI caleb_strategy_v3 [-1] 6668.345585 71.232061 -3.749056 7.498112 -0.0 NaN 3.749056 12485 DAX caleb_strategy_v3 [1] 2182.960596 4.580935 -4.580935 -4.580935 -13.742804 NaN -9.161869 12486 DAX caleb_strategy_v3 [1] 2182.960596 0.0 -4.580935 27.485608 18.323739 NaN 22.904674 12487 EURIBOR-ICE caleb_strategy_v3 [1] 0.963634 -233.49122 -25.943469 0.0 -51.886938 NaN -25.943469 12489 PLAT caleb_strategy_v3 [1] 251.692572 -671.454063 -3.973101 -3.973101 -11.919303 NaN -7.946202 12488 GOLD_micro caleb_strategy_v3 [1] 348.396576 -295.640104 -2.870292 -2.870292 -8.610877 NaN -5.740585 12490 GOLD_micro caleb_strategy_v3 [1] 348.396576 -298.510396 -2.870292 17.221754 11.481169 NaN 14.351461 12492 CHF caleb_strategy_v3 [1] 0.074771 -371.13504 -3.343559 6.687118 0.0 NaN 3.343559 12493 VIX caleb_strategy_v3 [-1] 5.87664 212.706597 -42.541319 -0.0 -85.082639 NaN -42.541319 12495 VIX caleb_strategy_v3 [-1] 5.87664 212.706597 -42.541319 -0.0 -85.082639 NaN -42.541319 12496 MXP caleb_strategy_v3 [1] 0.005331 168.83546 -18.759496 37.518991 0.0 NaN 18.759496 12497 MXP caleb_strategy_v3 [1] 0.005331 187.594955 -18.759496 0.0 -37.518991 NaN -18.759496 12491 MXP caleb_strategy_v3 [1] 0.005331 215.734198 -9.379748 -18.759496 -37.518991 NaN -28.139243 12494 MXP caleb_strategy_v3 [1] 0.005331 196.974703 -9.379748 -37.518991 -56.278487 NaN -46.898739 12498 LEANHOG caleb_strategy_v3 [-1] 19.769637 354.078319 -0.0 -63.228271 -63.228271 NaN -63.228271 ======================================================================================================================================================================== 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 12483 NIKKEI caleb_strategy_v3 [-1] 0.639157 33.55576 -1.597893 -3.195787 -6.391573 NaN -4.79368 12484 NIKKEI caleb_strategy_v3 [-1] 0.639157 30.359973 -1.597893 3.195787 -0.0 NaN 1.597893 12485 DAX caleb_strategy_v3 [1] 1.07855 1.07855 -1.07855 -1.07855 -3.23565 NaN -2.1571 12486 DAX caleb_strategy_v3 [1] 1.07855 0.0 -1.07855 6.4713 4.3142 NaN 5.39275 12487 EURIBOR-ICE caleb_strategy_v3 [1] 2696.375 -60.668438 -6.740937 0.0 -13.481875 NaN -6.740937 12489 PLAT caleb_strategy_v3 [1] 50.0 -845.0 -5.0 -5.0 -15.0 NaN -10.0 12488 GOLD_micro caleb_strategy_v3 [1] 10.0 -103.0 -1.0 -1.0 -3.0 NaN -2.0 12490 GOLD_micro caleb_strategy_v3 [1] 10.0 -104.0 -1.0 6.0 4.0 NaN 5.0 12492 CHF caleb_strategy_v3 [1] 125000.0 -346.875 -3.125 6.25 0.0 NaN 3.125 12493 VIX caleb_strategy_v3 [-1] 1000.0 125.0 -25.0 -0.0 -50.0 NaN -25.0 12495 VIX caleb_strategy_v3 [-1] 1000.0 125.0 -25.0 -0.0 -50.0 NaN -25.0 12496 MXP caleb_strategy_v3 [1] 500000.0 45.0 -5.0 10.0 0.0 NaN 5.0 12497 MXP caleb_strategy_v3 [1] 500000.0 50.0 -5.0 0.0 -10.0 NaN -5.0 12491 MXP caleb_strategy_v3 [1] 500000.0 57.5 -2.5 -5.0 -10.0 NaN -7.5 12494 MXP caleb_strategy_v3 [1] 500000.0 52.5 -2.5 -10.0 -15.0 NaN -12.5 12498 LEANHOG caleb_strategy_v3 [-1] 400.0 280.0 -0.0 -50.0 -50.0 NaN -50.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 CHF -346.875 DAX 1.07855 EURIBOR-ICE -60.668438 GOLD_micro -207.0 LEANHOG 280.0 MXP 205.0 NIKKEI 63.915733 PLAT -845.0 VIX 250.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -659.549154 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 CHF -3.125 DAX -2.1571 EURIBOR-ICE -6.740937 GOLD_micro -2.0 LEANHOG -0.0 MXP -15.0 NIKKEI -3.195787 PLAT -5.0 VIX -50.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -87.218824 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 CHF 6.25 DAX 5.39275 EURIBOR-ICE 0.0 GOLD_micro 5.0 LEANHOG -50.0 MXP -5.0 NIKKEI 0.0 PLAT -5.0 VIX -0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -43.35725 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF 0.0 DAX 1.07855 EURIBOR-ICE -13.481875 GOLD_micro 1.0 LEANHOG -50.0 MXP -35.0 NIKKEI -6.391573 PLAT -15.0 VIX -100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -217.794898 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 CHF 0 DAX 0 EURIBOR-ICE 0 GOLD_micro 0 LEANHOG 0 MXP 0 NIKKEI 0 PLAT 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 CHF 3.125 DAX 3.23565 EURIBOR-ICE -6.740937 GOLD_micro 3.0 LEANHOG -50.0 MXP -20.0 NIKKEI -3.195787 PLAT -10.0 VIX -50.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -130.576074 ******************************************************************************** END OF REPORT ********************************************************************************