******************************************************************************** Trades report produced on 15/05/2024 21:37 from 14/05/2024 21:37 to 15/05/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 12500 DAX caleb_strategy_v3 [20240600] 2024-05-15 07:00:28 [1] 18869.00000 12501 DAX caleb_strategy_v3 [20240600] 2024-05-15 07:01:28 [1] 18887.00000 12502 DAX caleb_strategy_v3 [20240600] 2024-05-15 07:02:28 [1] 18888.00000 12503 GAS_US_mini caleb_strategy_v3 [20240700] 2024-05-15 13:00:38 [1] 2.60500 12504 GOLD_micro caleb_strategy_v3 [20240600] 2024-05-15 13:00:39 [1] 2377.30000 12505 GOLD_micro caleb_strategy_v3 [20240600] 2024-05-15 13:01:38 [1] 2377.20000 12507 MXP caleb_strategy_v3 [20240600] 2024-05-15 14:05:57 [1] 0.05930 12509 MXP caleb_strategy_v3 [20240600] 2024-05-15 14:08:00 [1] 0.05932 12499 NIKKEI caleb_strategy_v3 [20240600] 2024-05-15 02:01:28 [-1] 38500.00000 12506 VIX caleb_strategy_v3 [20240800] 2024-05-15 14:05:42 [-1] 15.40000 12508 VIX caleb_strategy_v3 [20240800] 2024-05-15 14:07:59 [-1] 15.40000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 12499 NIKKEI caleb_strategy_v3 2024-05-14 2024-05-15 03:01:15.503 2024-05-15 02:01:28 97275.503 NaN 12500 DAX caleb_strategy_v3 2024-05-14 2024-05-15 08:00:28.182 2024-05-15 07:00:28 115228.182 NaN 12501 DAX caleb_strategy_v3 2024-05-14 2024-05-15 08:01:28.090 2024-05-15 07:01:28 115288.09 NaN 12502 DAX caleb_strategy_v3 2024-05-14 2024-05-15 08:02:28.104 2024-05-15 07:02:28 115348.104 NaN 12503 GAS_US_mini caleb_strategy_v3 2024-05-14 2024-05-15 14:00:38.185 2024-05-15 13:00:38 136838.185 NaN 12504 GOLD_micro caleb_strategy_v3 2024-05-14 2024-05-15 14:00:39.034 2024-05-15 13:00:39 136839.034 NaN 12505 GOLD_micro caleb_strategy_v3 2024-05-14 2024-05-15 14:01:38.000 2024-05-15 13:01:38 136898.0 NaN 12506 VIX caleb_strategy_v3 2024-05-14 2024-05-15 15:00:42.610 2024-05-15 14:05:42 140442.61 NaN 12508 VIX caleb_strategy_v3 2024-05-14 2024-05-15 15:06:01.393 2024-05-15 14:07:59 140761.393 NaN 12507 MXP caleb_strategy_v3 2024-05-14 2024-05-15 15:05:43.242 2024-05-15 14:05:57 140743.242 NaN 12509 MXP caleb_strategy_v3 2024-05-14 2024-05-15 15:08:00.533 2024-05-15 14:08:00 140880.533 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 12499 NIKKEI caleb_strategy_v3 [-1] 38555.0 None 38507.5 38505.0 38510.0 38510.0 38500.0 -47.5 -2.5 -5.0 -10.0 NaN -7.5 12500 DAX caleb_strategy_v3 [1] 18873.0 None 18868.0 18869.0 18867.0 18867.0 18869.0 5.0 -1.0 0.0 -2.0 NaN -1.0 12501 DAX caleb_strategy_v3 [1] 18873.0 None 18868.0 18869.0 18867.0 18867.0 18887.0 5.0 -1.0 -18.0 -20.0 NaN -19.0 12502 DAX caleb_strategy_v3 [1] 18873.0 None 18886.0 18887.0 18885.0 18885.0 18888.0 -13.0 -1.0 -1.0 -3.0 NaN -2.0 12503 GAS_US_mini caleb_strategy_v3 [1] 2.565 None 2.6025 2.605 2.6 NaN 2.605 -0.0375 -0.0025 0.0 NaN NaN -0.0025 12504 GOLD_micro caleb_strategy_v3 [1] 2362.6 None 2377.4 2377.5 2377.3 2377.3 2377.3 -14.8 -0.1 0.2 0.0 NaN 0.1 12505 GOLD_micro caleb_strategy_v3 [1] 2362.6 None 2377.35 2377.4 2377.3 2377.3 2377.2 -14.75 -0.05 0.2 0.1 NaN 0.15 12506 VIX caleb_strategy_v3 [-1] 15.55 None 15.425 15.4 15.45 15.45 15.4 -0.125 -0.025 -0.0 -0.05 NaN -0.025 12508 VIX caleb_strategy_v3 [-1] 15.55 None 15.425 15.4 15.45 15.45 15.4 -0.125 -0.025 -0.0 -0.05 NaN -0.025 12507 MXP caleb_strategy_v3 [1] 0.05904 None 0.059305 0.05931 0.0593 0.0593 0.0593 -0.000265 -0.000005 0.00001 0.0 NaN 0.000005 12509 MXP caleb_strategy_v3 [1] 0.05904 None 0.059305 0.05931 0.0593 0.0593 0.05932 -0.000265 -0.000005 -0.00001 -0.00002 NaN -0.000015 =============================================================================================================================================================== 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 12499 NIKKEI caleb_strategy_v3 [-1] 6501.451114 -73.060612 -3.845295 -7.690591 -15.381182 NaN -11.535886 12500 DAX caleb_strategy_v3 [1] 2161.473312 23.13237 -4.626474 0.0 -9.252948 NaN -4.626474 12501 DAX caleb_strategy_v3 [1] 2161.473312 23.13237 -4.626474 -83.276531 -92.529479 NaN -87.903005 12502 DAX caleb_strategy_v3 [1] 2161.473312 -60.144162 -4.626474 -4.626474 -13.879422 NaN -9.252948 12503 GAS_US_mini caleb_strategy_v3 [1] 1.459115 -257.005039 -17.133669 0.0 NaN NaN -17.133669 12504 GOLD_micro caleb_strategy_v3 [1] 349.176771 -423.854082 -2.863879 5.727758 0.0 NaN 2.863879 12505 GOLD_micro caleb_strategy_v3 [1] 349.176771 -422.422143 -1.431939 5.727758 2.863879 NaN 4.295818 12506 VIX caleb_strategy_v3 [-1] 5.867711 -213.030251 -42.60605 -0.0 -85.2121 NaN -42.60605 12508 VIX caleb_strategy_v3 [-1] 5.867711 -213.030251 -42.60605 -0.0 -85.2121 NaN -42.60605 12507 MXP caleb_strategy_v3 [1] 0.005488 -482.84345 -9.110254 18.220508 0.0 NaN 9.110254 12509 MXP caleb_strategy_v3 [1] 0.005488 -482.84345 -9.110254 -18.220508 -36.441015 NaN -27.330761 ======================================================================================================================================================================== 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 12499 NIKKEI caleb_strategy_v3 [-1] 0.63974 -30.38765 -1.59935 -3.1987 -6.3974 NaN -4.79805 12500 DAX caleb_strategy_v3 [1] 1.0828 5.414 -1.0828 0.0 -2.1656 NaN -1.0828 12501 DAX caleb_strategy_v3 [1] 1.0828 5.414 -1.0828 -19.4904 -21.656 NaN -20.5732 12502 DAX caleb_strategy_v3 [1] 1.0828 -14.0764 -1.0828 -1.0828 -3.2484 NaN -2.1656 12503 GAS_US_mini caleb_strategy_v3 [1] 2500.0 -93.75 -6.25 0.0 NaN NaN -6.25 12504 GOLD_micro caleb_strategy_v3 [1] 10.0 -148.0 -1.0 2.0 0.0 NaN 1.0 12505 GOLD_micro caleb_strategy_v3 [1] 10.0 -147.5 -0.5 2.0 1.0 NaN 1.5 12506 VIX caleb_strategy_v3 [-1] 1000.0 -125.0 -25.0 -0.0 -50.0 NaN -25.0 12508 VIX caleb_strategy_v3 [-1] 1000.0 -125.0 -25.0 -0.0 -50.0 NaN -25.0 12507 MXP caleb_strategy_v3 [1] 500000.0 -132.5 -2.5 5.0 0.0 NaN 2.5 12509 MXP caleb_strategy_v3 [1] 500000.0 -132.5 -2.5 -5.0 -10.0 NaN -7.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DAX -3.2484 GAS_US_mini -93.75 GOLD_micro -295.5 MXP -265.0 NIKKEI -30.38765 VIX -250.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -937.88605 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DAX -3.2484 GAS_US_mini -6.25 GOLD_micro -1.5 MXP -5.0 NIKKEI -1.59935 VIX -50.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -67.59775 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DAX -20.5732 GAS_US_mini 0.0 GOLD_micro 4.0 MXP 0.0 NIKKEI -3.1987 VIX -0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -19.7719 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX -27.07 GAS_US_mini 0 GOLD_micro 1.0 MXP -10.0 NIKKEI -6.3974 VIX -100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -142.4674 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX 0 GAS_US_mini 0 GOLD_micro 0 MXP 0 NIKKEI 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 DAX -23.8216 GAS_US_mini -6.25 GOLD_micro 2.5 MXP -5.0 NIKKEI -4.79805 VIX -50.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -87.36965 ******************************************************************************** END OF REPORT ********************************************************************************