******************************************************************************** Trades report produced on 02/09/2024 21:37 from 01/09/2024 21:37 to 02/09/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14554 BTP caleb_strategy_v3 [20241200] 2024-09-02 07:00:36.000 [-1] 118.2700 14555 MXP caleb_strategy_v3 [20240900] 2024-09-02 14:00:46.000 [-1] 0.0506 14560 RUSSELL caleb_strategy_v3 [20240900] 2024-09-02 14:24:31.000 [1] 2216.0000 14562 RUSSELL caleb_strategy_v3 [20240900] 2024-09-02 14:25:31.000 [1] 2216.0000 14556 RUSSELL caleb_strategy_v3 [20240900] 2024-09-02 14:01:19.000 [1] 2217.9000 14558 RUSSELL caleb_strategy_v3 [20240900] 2024-09-02 14:14:26.000 [1] 2218.5000 14561 SP500_micro caleb_strategy_v3 [20240900] 2024-09-02 14:24:54.000 [-1] 5653.7500 14557 SP500_micro caleb_strategy_v3 [20240900] 2024-09-02 19:45:00.101 [0] NaN 14559 SP500_micro caleb_strategy_v3 [20240900] 2024-09-02 19:45:00.126 [0] NaN ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14554 BTP caleb_strategy_v3 2024-08-30 2024-09-02 08:00:30.226 2024-09-02 07:00:36.000 288030.226 NaN 14555 MXP caleb_strategy_v3 2024-08-30 2024-09-02 15:00:46.138 2024-09-02 14:00:46.000 313246.138 NaN 14560 RUSSELL caleb_strategy_v3 2024-08-30 2024-09-02 15:24:30.963 2024-09-02 14:24:31.000 314670.963 NaN 14562 RUSSELL caleb_strategy_v3 2024-08-30 2024-09-02 15:25:31.472 2024-09-02 14:25:31.000 314731.472 NaN 14556 RUSSELL caleb_strategy_v3 2024-08-30 2024-09-02 15:00:47.139 2024-09-02 14:01:19.000 313247.139 NaN 14558 RUSSELL caleb_strategy_v3 2024-08-30 2024-09-02 15:11:23.468 2024-09-02 14:14:26.000 313883.468 NaN 14561 SP500_micro caleb_strategy_v3 2024-08-30 2024-09-02 15:24:31.570 2024-09-02 14:24:54.000 314671.57 NaN 14557 SP500_micro caleb_strategy_v3 2024-08-30 2024-09-02 15:01:19.990 2024-09-02 19:45:00.101 313279.99 17020.111 14559 SP500_micro caleb_strategy_v3 2024-08-30 2024-09-02 15:14:27.480 2024-09-02 19:45:00.126 314067.48 16232.646 =============================================================================================================================================================================================================================== 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 14554 BTP caleb_strategy_v3 [-1] 118.42 None 118.265 118.26 118.27 118.27 118.27 -0.155 -0.005 0.01 -0.0 NaN 0.005 14555 MXP caleb_strategy_v3 [-1] 0.05068 None 0.05056 0.05055 0.05057 0.05057 0.0506 -0.00012 -0.00001 0.00005 0.00003 NaN 0.00004 14560 RUSSELL caleb_strategy_v3 [1] 2210.3 None 2218.4 2218.5 2218.3 2218.3 2216.0 -8.1 -0.1 2.5 2.3 NaN 2.4 14562 RUSSELL caleb_strategy_v3 [1] 2210.3 None 2218.3 2218.4 2218.2 2218.2 2216.0 -8.0 -0.1 2.4 2.2 NaN 2.3 14556 RUSSELL caleb_strategy_v3 [1] 2210.3 None 2217.6 2217.7 2217.5 2217.5 2217.9 -7.3 -0.1 -0.2 -0.4 NaN -0.3 14558 RUSSELL caleb_strategy_v3 [1] 2210.3 None 2218.0 2218.1 2217.9 2217.9 2218.5 -7.7 -0.1 -0.4 -0.6 NaN -0.5 14561 SP500_micro caleb_strategy_v3 [-1] 5631.0 None 5654.125 5654.0 5654.25 5654.25 5653.75 23.125 -0.125 -0.25 -0.5 NaN -0.375 14557 SP500_micro caleb_strategy_v3 [-1] 5631.0 None 5659.375 5659.25 5659.5 5659.5 NaN 28.375 -0.125 NaN NaN NaN NaN 14559 SP500_micro caleb_strategy_v3 [-1] 5631.0 None 5657.625 5657.5 5657.75 5657.75 NaN 26.625 -0.125 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 14554 BTP caleb_strategy_v3 [-1] 7.535778 -205.685468 -6.635015 13.27003 -0.0 NaN 6.635015 14555 MXP caleb_strategy_v3 [-1] 0.008508 -141.038086 -11.753174 58.765869 35.259522 NaN 47.012695 14560 RUSSELL caleb_strategy_v3 [1] 494.428755 -163.825423 -2.022536 50.563402 46.51833 NaN 48.540866 14562 RUSSELL caleb_strategy_v3 [1] 494.428755 -161.802887 -2.022536 48.540866 44.495794 NaN 46.51833 14556 RUSSELL caleb_strategy_v3 [1] 494.428755 -147.645134 -2.022536 -4.045072 -8.090144 NaN -6.067608 14558 RUSSELL caleb_strategy_v3 [1] 494.428755 -155.735279 -2.022536 -8.090144 -12.135217 NaN -10.11268 14561 SP500_micro caleb_strategy_v3 [-1] 800.366874 288.929999 -1.561784 -3.123568 -6.247135 NaN -4.685351 14557 SP500_micro caleb_strategy_v3 [-1] 800.366874 354.524918 -1.561784 NaN NaN NaN NaN 14559 SP500_micro caleb_strategy_v3 [-1] 800.366874 332.659945 -1.561784 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 14554 BTP caleb_strategy_v3 [-1] 1105.7 -171.3835 -5.5285 11.057 -0.0 NaN 5.5285 14555 MXP caleb_strategy_v3 [-1] 500000.0 -60.0 -5.0 25.0 15.0 NaN 20.0 14560 RUSSELL caleb_strategy_v3 [1] 5.0 -40.5 -0.5 12.5 11.5 NaN 12.0 14562 RUSSELL caleb_strategy_v3 [1] 5.0 -40.0 -0.5 12.0 11.0 NaN 11.5 14556 RUSSELL caleb_strategy_v3 [1] 5.0 -36.5 -0.5 -1.0 -2.0 NaN -1.5 14558 RUSSELL caleb_strategy_v3 [1] 5.0 -38.5 -0.5 -2.0 -3.0 NaN -2.5 14561 SP500_micro caleb_strategy_v3 [-1] 5.0 115.625 -0.625 -1.25 -2.5 NaN -1.875 14557 SP500_micro caleb_strategy_v3 [-1] 5.0 141.875 -0.625 NaN NaN NaN NaN 14559 SP500_micro caleb_strategy_v3 [-1] 5.0 133.125 -0.625 NaN NaN NaN NaN delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BTP -171.3835 MXP -60.0 RUSSELL -155.5 SP500_micro 390.625 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 3.7415 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BTP -5.5285 MXP -5.0 RUSSELL -2.0 SP500_micro -1.875 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -14.4035 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BTP 11.057 MXP 25.0 RUSSELL 21.5 SP500_micro -1.25 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 56.307 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP -0.0 MXP 15.0 RUSSELL 17.5 SP500_micro -2.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 30.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BTP 0 MXP 0 RUSSELL 0 SP500_micro 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 5.5285 MXP 20.0 RUSSELL 19.5 SP500_micro -1.875 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 43.1535 ******************************************************************************** END OF REPORT ********************************************************************************