******************************************************************************** Trades report produced on 17/09/2024 21:37 from 16/09/2024 21:37 to 17/09/2024 21:37 ******************************************************************************** ================================================================================================== Broker orders ================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14770 BUND caleb_strategy_v3 [20241200] 2024-09-17 07:01:23.000 [-1] 135.19000 14769 DAX caleb_strategy_v3 [20241200] 2024-09-17 07:01:22.000 [-1] 18886.00000 14771 DAX caleb_strategy_v3 [20241200] 2024-09-17 07:01:32.000 [-1] 18886.00000 14774 DOW caleb_strategy_v3 [20241200] 2024-09-17 14:04:44.000 [-1] 42115.00000 14779 MXP caleb_strategy_v3 [20241200] 2024-09-17 14:36:06.000 [1] 0.05114 14777 MXP caleb_strategy_v3 [20241200] 2024-09-17 19:45:16.349 [0] NaN 14775 MXP caleb_strategy_v3 [20241200] 2024-09-17 19:45:16.266 [0] NaN 14772 PLAT caleb_strategy_v3 [20241000] 2024-09-17 13:00:55.000 [1] 985.90000 14782 RUSSELL caleb_strategy_v3 [20241200] 2024-09-17 14:37:10.000 [1] 2241.40000 14784 RUSSELL caleb_strategy_v3 [20241200] 2024-09-17 14:39:11.000 [1] 2243.50000 14785 RUSSELL caleb_strategy_v3 [20241200] 2024-09-17 14:40:11.000 [1] 2243.50000 14786 RUSSELL caleb_strategy_v3 [20241200] 2024-09-17 14:41:11.000 [1] 2244.60000 14776 RUSSELL caleb_strategy_v3 [20241200] 2024-09-17 19:45:16.307 [0] NaN 14778 RUSSELL caleb_strategy_v3 [20241200] 2024-09-17 14:34:50.000 [1] 2243.50000 14780 RUSSELL caleb_strategy_v3 [20241200] 2024-09-17 14:36:07.000 [1] 2240.80000 14781 RUSSELL caleb_strategy_v3 [20241200] 2024-09-17 14:36:10.000 [1] 2240.60000 14783 RUSSELL caleb_strategy_v3 [20241200] 2024-09-17 14:38:10.000 [1] 2241.90000 14773 US30 caleb_strategy_v3 [20241200] 2024-09-17 14:00:58.000 [1] 137.50000 ============================================================================================================================================================= Delays ============================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14770 BUND caleb_strategy_v3 2024-09-16 2024-09-17 08:01:23.419 2024-09-17 07:01:23.000 115283.419 NaN 14769 DAX caleb_strategy_v3 2024-09-16 2024-09-17 08:00:33.115 2024-09-17 07:01:22.000 115233.115 NaN 14771 DAX caleb_strategy_v3 2024-09-16 2024-09-17 08:01:32.835 2024-09-17 07:01:32.000 115292.835 NaN 14772 PLAT caleb_strategy_v3 2024-09-16 2024-09-17 14:00:55.579 2024-09-17 13:00:55.000 136855.579 NaN 14773 US30 caleb_strategy_v3 2024-09-16 2024-09-17 15:00:58.059 2024-09-17 14:00:58.000 140458.059 NaN 14774 DOW caleb_strategy_v3 2024-09-16 2024-09-17 15:00:59.337 2024-09-17 14:04:44.000 140459.337 NaN 14777 MXP caleb_strategy_v3 2024-09-16 2024-09-17 15:24:50.043 2024-09-17 19:45:16.349 141890.043 15626.306 14779 MXP caleb_strategy_v3 2024-09-16 2024-09-17 15:34:54.535 2024-09-17 14:36:06.000 142494.535 NaN 14775 MXP caleb_strategy_v3 2024-09-16 2024-09-17 15:04:45.342 2024-09-17 19:45:16.266 140685.342 16830.924 14784 RUSSELL caleb_strategy_v3 2024-09-16 2024-09-17 15:39:10.951 2024-09-17 14:39:11.000 142750.951 NaN 14785 RUSSELL caleb_strategy_v3 2024-09-16 2024-09-17 15:40:10.972 2024-09-17 14:40:11.000 142810.972 NaN 14786 RUSSELL caleb_strategy_v3 2024-09-16 2024-09-17 15:41:11.103 2024-09-17 14:41:11.000 142871.103 NaN 14776 RUSSELL caleb_strategy_v3 2024-09-16 2024-09-17 15:14:46.447 2024-09-17 19:45:16.307 141286.447 16229.86 14778 RUSSELL caleb_strategy_v3 2024-09-16 2024-09-17 15:34:50.462 2024-09-17 14:34:50.000 142490.462 NaN 14780 RUSSELL caleb_strategy_v3 2024-09-16 2024-09-17 15:36:07.014 2024-09-17 14:36:07.000 142567.014 NaN 14781 RUSSELL caleb_strategy_v3 2024-09-16 2024-09-17 15:36:10.753 2024-09-17 14:36:10.000 142570.753 NaN 14782 RUSSELL caleb_strategy_v3 2024-09-16 2024-09-17 15:37:10.810 2024-09-17 14:37:10.000 142630.81 NaN 14783 RUSSELL caleb_strategy_v3 2024-09-16 2024-09-17 15:38:10.770 2024-09-17 14:38:10.000 142690.77 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 14770 BUND caleb_strategy_v3 [-1] 135.06 None 135.095 135.09 135.1 135.1 135.19 0.035 -0.005 0.1 0.09 NaN 0.095 14769 DAX caleb_strategy_v3 [-1] 18880.0 None 18883.0 18880.0 18886.0 18886.0 18886.0 3.0 -3.0 6.0 -0.0 NaN 3.0 14771 DAX caleb_strategy_v3 [-1] 18880.0 None 18883.0 18880.0 18886.0 18886.0 18886.0 3.0 -3.0 6.0 -0.0 NaN 3.0 14772 PLAT caleb_strategy_v3 [1] 989.3 None 986.35 986.5 986.2 986.2 985.9 2.95 -0.15 0.6 0.3 NaN 0.45 14773 US30 caleb_strategy_v3 [1] 137.5625 None 137.671875 137.6875 137.65625 137.65625 137.5 -0.109375 -0.015625 0.1875 0.15625 NaN 0.171875 14774 DOW caleb_strategy_v3 [-1] 42059.0 None 42121.0 42120.0 42122.0 42122.0 42115.0 62.0 -1.0 -5.0 -7.0 NaN -6.0 14777 MXP caleb_strategy_v3 [1] 0.05114 None 0.051015 0.05102 0.05101 0.05101 NaN 0.000125 -0.000005 NaN NaN NaN NaN 14779 MXP caleb_strategy_v3 [1] 0.05114 None 0.051115 0.05112 0.05111 0.05111 0.05114 0.000025 -0.000005 -0.00002 -0.00003 NaN -0.000025 14775 MXP caleb_strategy_v3 [1] 0.05114 None 0.050925 0.05093 0.05092 0.05092 NaN 0.000215 -0.000005 NaN NaN NaN NaN 14784 RUSSELL caleb_strategy_v3 [1] 2214.1 None 2245.95 2246.0 2245.9 2245.9 2243.5 -31.85 -0.05 2.5 2.4 NaN 2.45 14785 RUSSELL caleb_strategy_v3 [1] 2214.1 None 2245.95 2246.0 2245.9 2245.9 2243.5 -31.85 -0.05 2.5 2.4 NaN 2.45 14786 RUSSELL caleb_strategy_v3 [1] 2214.1 None 2245.95 2246.0 2245.9 2245.9 2244.6 -31.85 -0.05 1.4 1.3 NaN 1.35 14776 RUSSELL caleb_strategy_v3 [1] 2214.1 None 2231.85 2231.9 2231.8 2231.8 NaN -17.75 -0.05 NaN NaN NaN NaN 14778 RUSSELL caleb_strategy_v3 [1] 2214.1 None 2238.0 2238.1 2237.9 2237.9 2243.5 -23.9 -0.1 -5.4 -5.6 NaN -5.5 14780 RUSSELL caleb_strategy_v3 [1] 2214.1 None 2245.95 2246.0 2245.9 2245.9 2240.8 -31.85 -0.05 5.2 5.1 NaN 5.15 14781 RUSSELL caleb_strategy_v3 [1] 2214.1 None 2245.95 2246.0 2245.9 2245.9 2240.6 -31.85 -0.05 5.4 5.3 NaN 5.35 14782 RUSSELL caleb_strategy_v3 [1] 2214.1 None 2245.95 2246.0 2245.9 2245.9 2241.4 -31.85 -0.05 4.6 4.5 NaN 4.55 14783 RUSSELL caleb_strategy_v3 [1] 2214.1 None 2245.95 2246.0 2245.9 2245.9 2241.9 -31.85 -0.05 4.1 4.0 NaN 4.05 =============================================================================================================================================================== 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 14770 BUND caleb_strategy_v3 [-1] 8.108272 43.165796 -6.166542 123.330845 110.99776 NaN 117.164303 14769 DAX caleb_strategy_v3 [-1] 2337.429427 12.834612 -12.834612 25.669224 -0.0 NaN 12.834612 14771 DAX caleb_strategy_v3 [-1] 2337.429427 12.834612 -12.834612 25.669224 -0.0 NaN 12.834612 14772 PLAT caleb_strategy_v3 [1] 252.610941 116.780374 -5.937985 23.75194 11.87597 NaN 17.813955 14773 US30 caleb_strategy_v3 [1] 16.548898 -66.092016 -9.441717 113.300598 94.417165 NaN 103.858882 14774 DOW caleb_strategy_v3 [-1] 4672.087963 132.702981 -2.140371 -10.701853 -14.982595 NaN -12.842224 14777 MXP caleb_strategy_v3 [1] 0.008157 153.246149 -6.129846 NaN NaN NaN NaN 14779 MXP caleb_strategy_v3 [1] 0.008157 30.64923 -6.129846 -24.519384 -36.779076 NaN -30.64923 14775 MXP caleb_strategy_v3 [1] 0.008157 263.583376 -6.129846 NaN NaN NaN NaN 14784 RUSSELL caleb_strategy_v3 [1] 460.810175 -691.173975 -1.085045 54.252274 52.082183 NaN 53.167229 14785 RUSSELL caleb_strategy_v3 [1] 460.810175 -691.173975 -1.085045 54.252274 52.082183 NaN 53.167229 14786 RUSSELL caleb_strategy_v3 [1] 460.810175 -691.173975 -1.085045 30.381274 28.211183 NaN 29.296228 14776 RUSSELL caleb_strategy_v3 [1] 460.810175 -385.191148 -1.085045 NaN NaN NaN NaN 14778 RUSSELL caleb_strategy_v3 [1] 460.810175 -518.651742 -2.170091 -117.184913 -121.525094 NaN -119.355003 14780 RUSSELL caleb_strategy_v3 [1] 460.810175 -691.173975 -1.085045 112.844731 110.67464 NaN 111.759685 14781 RUSSELL caleb_strategy_v3 [1] 460.810175 -691.173975 -1.085045 117.184913 115.014822 NaN 116.099867 14782 RUSSELL caleb_strategy_v3 [1] 460.810175 -691.173975 -1.085045 99.824185 97.654094 NaN 98.739139 14783 RUSSELL caleb_strategy_v3 [1] 460.810175 -691.173975 -1.085045 88.97373 86.803639 NaN 87.888684 ======================================================================================================================================================================== 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 14770 BUND caleb_strategy_v3 [-1] 1112.9 38.9515 -5.5645 111.29 100.161 NaN 105.7255 14769 DAX caleb_strategy_v3 [-1] 1.1129 3.3387 -3.3387 6.6774 -0.0 NaN 3.3387 14771 DAX caleb_strategy_v3 [-1] 1.1129 3.3387 -3.3387 6.6774 -0.0 NaN 3.3387 14772 PLAT caleb_strategy_v3 [1] 50.0 147.5 -7.5 30.0 15.0 NaN 22.5 14773 US30 caleb_strategy_v3 [1] 1000.0 -109.375 -15.625 187.5 156.25 NaN 171.875 14774 DOW caleb_strategy_v3 [-1] 0.5 31.0 -0.5 -2.5 -3.5 NaN -3.0 14777 MXP caleb_strategy_v3 [1] 500000.0 62.5 -2.5 NaN NaN NaN NaN 14779 MXP caleb_strategy_v3 [1] 500000.0 12.5 -2.5 -10.0 -15.0 NaN -12.5 14775 MXP caleb_strategy_v3 [1] 500000.0 107.5 -2.5 NaN NaN NaN NaN 14784 RUSSELL caleb_strategy_v3 [1] 5.0 -159.25 -0.25 12.5 12.0 NaN 12.25 14785 RUSSELL caleb_strategy_v3 [1] 5.0 -159.25 -0.25 12.5 12.0 NaN 12.25 14786 RUSSELL caleb_strategy_v3 [1] 5.0 -159.25 -0.25 7.0 6.5 NaN 6.75 14776 RUSSELL caleb_strategy_v3 [1] 5.0 -88.75 -0.25 NaN NaN NaN NaN 14778 RUSSELL caleb_strategy_v3 [1] 5.0 -119.5 -0.5 -27.0 -28.0 NaN -27.5 14780 RUSSELL caleb_strategy_v3 [1] 5.0 -159.25 -0.25 26.0 25.5 NaN 25.75 14781 RUSSELL caleb_strategy_v3 [1] 5.0 -159.25 -0.25 27.0 26.5 NaN 26.75 14782 RUSSELL caleb_strategy_v3 [1] 5.0 -159.25 -0.25 23.0 22.5 NaN 22.75 14783 RUSSELL caleb_strategy_v3 [1] 5.0 -159.25 -0.25 20.5 20.0 NaN 20.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BUND 38.9515 DAX 6.6774 DOW 31.0 MXP 182.5 PLAT 147.5 RUSSELL -1323.0 US30 -109.375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -1025.7461 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BUND -5.5645 DAX -6.6774 DOW -0.5 MXP -7.5 PLAT -7.5 RUSSELL -2.5 US30 -15.625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -45.8669 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BUND 111.29 DAX 13.3548 DOW -2.5 MXP -10.0 PLAT 30.0 RUSSELL 101.5 US30 187.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 431.1448 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BUND 100.161 DAX -0.0 DOW -3.5 MXP -15.0 PLAT 15.0 RUSSELL 97.0 US30 156.25 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 349.911 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BUND 0 DAX 0 DOW 0 MXP 0 PLAT 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 BUND 105.7255 DAX 6.6774 DOW -3.0 MXP -12.5 PLAT 22.5 RUSSELL 99.25 US30 171.875 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 390.5279 ******************************************************************************** END OF REPORT ********************************************************************************