******************************************************************************** Trades report produced on 15/08/2024 21:37 from 14/08/2024 21:37 to 15/08/2024 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 14393 GAS_US_mini caleb_strategy_v3 [20241000] 2024-08-15 13:00:01.000 [1] 2.34000 14394 MXP caleb_strategy_v3 [20240900] 2024-08-15 14:01:34.000 [1] 0.05329 14397 MXP caleb_strategy_v3 [20240900] 2024-08-15 14:11:58.000 [1] 0.05328 14392 NIKKEI caleb_strategy_v3 [20240900] 2024-08-15 02:31:19.000 [1] 36745.00000 14390 NIKKEI caleb_strategy_v3 [20240900] 2024-08-15 19:45:11.761 [0] NaN 14391 NIKKEI caleb_strategy_v3 [20240900] 2024-08-15 19:45:11.788 [0] NaN 14395 RUSSELL caleb_strategy_v3 [20240900] 2024-08-15 14:01:35.000 [1] 2128.90000 14400 US30 caleb_strategy_v3 [20240900] 2024-08-15 14:34:01.000 [1] 131.34375 14396 US30 caleb_strategy_v3 [20240900] 2024-08-15 19:45:11.816 [0] NaN 14398 US30 caleb_strategy_v3 [20240900] 2024-08-15 19:45:11.843 [0] NaN 14399 US30 caleb_strategy_v3 [20240900] 2024-08-15 19:45:11.869 [0] NaN ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14393 GAS_US_mini caleb_strategy_v3 2024-08-14 2024-08-15 14:00:01.687 2024-08-15 13:00:01.000 136801.687 NaN 14395 RUSSELL caleb_strategy_v3 2024-08-14 2024-08-15 15:01:35.402 2024-08-15 14:01:35.000 140495.402 NaN 14394 MXP caleb_strategy_v3 2024-08-14 2024-08-15 15:00:05.338 2024-08-15 14:01:34.000 140405.338 NaN 14397 MXP caleb_strategy_v3 2024-08-14 2024-08-15 15:11:58.255 2024-08-15 14:11:58.000 141118.255 NaN 14400 US30 caleb_strategy_v3 2024-08-14 2024-08-15 15:32:06.039 2024-08-15 14:34:01.000 142326.039 NaN 14396 US30 caleb_strategy_v3 2024-08-14 2024-08-15 15:01:36.834 2024-08-15 19:45:11.816 140496.834 17014.982 14398 US30 caleb_strategy_v3 2024-08-14 2024-08-15 15:11:58.872 2024-08-15 19:45:11.843 141118.872 16392.971 14399 US30 caleb_strategy_v3 2024-08-14 2024-08-15 15:22:02.405 2024-08-15 19:45:11.869 141722.405 15789.464 14392 NIKKEI caleb_strategy_v3 2024-08-14 2024-08-15 03:21:24.714 2024-08-15 02:31:19.000 98484.714 NaN 14390 NIKKEI caleb_strategy_v3 2024-08-14 2024-08-15 03:01:17.286 2024-08-15 19:45:11.761 97277.286 60234.475 14391 NIKKEI caleb_strategy_v3 2024-08-14 2024-08-15 03:11:21.008 2024-08-15 19:45:11.788 97881.008 59630.78 =================================================================================================================================================================================================================================== 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 14393 GAS_US_mini caleb_strategy_v3 [1] 2.35 None 2.3325 2.335 2.33 NaN 2.34 0.0175 -0.0025 -0.005 NaN NaN -0.0075 14395 RUSSELL caleb_strategy_v3 [1] 2092.1 None 2133.8 2133.9 2133.7 2133.7 2128.9 -41.7 -0.1 5.0 4.8 NaN 4.9 14394 MXP caleb_strategy_v3 [1] 0.05283 None 0.053275 0.05328 0.05327 0.05327 0.05329 -0.000445 -0.000005 -0.00001 -0.00002 NaN -0.000015 14397 MXP caleb_strategy_v3 [1] 0.05283 None 0.053285 0.05329 0.05328 0.05328 0.05328 -0.000455 -0.000005 0.00001 0.0 NaN 0.000005 14400 US30 caleb_strategy_v3 [1] 133.15625 None 131.265625 131.28125 131.25 131.25 131.34375 1.890625 -0.015625 -0.0625 -0.09375 NaN -0.078125 14396 US30 caleb_strategy_v3 [1] 133.15625 None 130.765625 130.78125 130.75 130.75 NaN 2.390625 -0.015625 NaN NaN NaN NaN 14398 US30 caleb_strategy_v3 [1] 133.15625 None 130.859375 130.875 130.84375 130.84375 NaN 2.296875 -0.015625 NaN NaN NaN NaN 14399 US30 caleb_strategy_v3 [1] 133.15625 None 131.078125 131.09375 131.0625 131.0625 NaN 2.078125 -0.015625 NaN NaN NaN NaN 14392 NIKKEI caleb_strategy_v3 [1] 36225.0 None 36722.5 36725.0 36720.0 36720.0 36745.0 -497.5 -2.5 -20.0 -25.0 NaN -22.5 14390 NIKKEI caleb_strategy_v3 [1] 36225.0 None 36642.5 36645.0 36640.0 36640.0 NaN -417.5 -2.5 NaN NaN NaN NaN 14391 NIKKEI caleb_strategy_v3 [1] 36225.0 None 36677.5 36680.0 36675.0 36675.0 NaN -452.5 -2.5 NaN NaN NaN NaN ================================================================================================================================================================ 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 14393 GAS_US_mini caleb_strategy_v3 [1] 1.301636 134.446228 -19.206604 -38.413208 NaN NaN -57.619812 14395 RUSSELL caleb_strategy_v3 [1] 562.152622 -741.791434 -1.778876 88.943817 85.386064 NaN 87.164941 14394 MXP caleb_strategy_v3 [1] 0.008314 -535.250921 -6.014055 -12.028111 -24.056221 NaN -18.042166 14397 MXP caleb_strategy_v3 [1] 0.008314 -547.279031 -6.014055 12.028111 0.0 NaN 6.014055 14400 US30 caleb_strategy_v3 [1] 21.138901 894.381863 -7.391586 -29.566343 -44.349514 NaN -36.957928 14396 US30 caleb_strategy_v3 [1] 21.138901 1130.912603 -7.391586 NaN NaN NaN NaN 14398 US30 caleb_strategy_v3 [1] 21.138901 1086.563089 -7.391586 NaN NaN NaN NaN 14399 US30 caleb_strategy_v3 [1] 21.138901 983.08089 -7.391586 NaN NaN NaN NaN 14392 NIKKEI caleb_strategy_v3 [1] 16348.287744 -304.313215 -1.529212 -12.233697 -15.292121 NaN -13.762909 14390 NIKKEI caleb_strategy_v3 [1] 16348.287744 -255.378426 -1.529212 NaN NaN NaN NaN 14391 NIKKEI caleb_strategy_v3 [1] 16348.287744 -276.787396 -1.529212 NaN NaN NaN NaN ========================================================================================================================================================================= 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 14393 GAS_US_mini caleb_strategy_v3 [1] 2500.0 43.75 -6.25 -12.5 NaN NaN -18.75 14395 RUSSELL caleb_strategy_v3 [1] 5.0 -208.5 -0.5 25.0 24.0 NaN 24.5 14394 MXP caleb_strategy_v3 [1] 500000.0 -222.5 -2.5 -5.0 -10.0 NaN -7.5 14397 MXP caleb_strategy_v3 [1] 500000.0 -227.5 -2.5 5.0 0.0 NaN 2.5 14400 US30 caleb_strategy_v3 [1] 1000.0 1890.625 -15.625 -62.5 -93.75 NaN -78.125 14396 US30 caleb_strategy_v3 [1] 1000.0 2390.625 -15.625 NaN NaN NaN NaN 14398 US30 caleb_strategy_v3 [1] 1000.0 2296.875 -15.625 NaN NaN NaN NaN 14399 US30 caleb_strategy_v3 [1] 1000.0 2078.125 -15.625 NaN NaN NaN NaN 14392 NIKKEI caleb_strategy_v3 [1] 0.679669 -338.135193 -1.699172 -13.593375 -16.991718 NaN -15.292546 14390 NIKKEI caleb_strategy_v3 [1] 0.679669 -283.761695 -1.699172 NaN NaN NaN NaN 14391 NIKKEI caleb_strategy_v3 [1] 0.679669 -307.5501 -1.699172 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini 43.75 MXP -450.0 NIKKEI -929.446988 RUSSELL -208.5 US30 8656.25 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 7112.053012 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini -6.25 MXP -5.0 NIKKEI -5.097515 RUSSELL -0.5 US30 -62.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -79.347515 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini -12.5 MXP 0.0 NIKKEI -13.593375 RUSSELL 25.0 US30 -62.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -63.593375 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini 0 MXP -10.0 NIKKEI -16.991718 RUSSELL 24.0 US30 -93.75 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -96.741718 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini 0 MXP 0 NIKKEI 0 RUSSELL 0 US30 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 GAS_US_mini -18.75 MXP -5.0 NIKKEI -15.292546 RUSSELL 24.5 US30 -78.125 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -92.667546 ******************************************************************************** END OF REPORT ********************************************************************************