******************************************************************************** Trades report produced on 01/10/2024 21:37 from 30/09/2024 21:37 to 01/10/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14943 EUROSTX caleb_strategy_v3 [20241200] 2024-10-01 07:00:29 [1] 5034.00000 14944 GAS_US_mini caleb_strategy_v3 [20241200] 2024-10-01 13:04:09 [1] 3.30500 14945 MXP caleb_strategy_v3 [20241200] 2024-10-01 14:00:54 [-1] 0.05004 14947 MXP caleb_strategy_v3 [20241200] 2024-10-01 14:08:42 [-1] 0.05000 14946 US5 caleb_strategy_v3 [20241200] 2024-10-01 14:00:55 [-1] 110.28125 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14943 EUROSTX caleb_strategy_v3 2024-09-30 2024-10-01 08:00:29.346 2024-10-01 07:00:29 115229.346 NaN 14944 GAS_US_mini caleb_strategy_v3 2024-09-30 2024-10-01 14:00:42.731 2024-10-01 13:04:09 136842.731 NaN 14946 US5 caleb_strategy_v3 2024-09-30 2024-10-01 15:00:55.458 2024-10-01 14:00:55 140455.458 NaN 14945 MXP caleb_strategy_v3 2024-09-30 2024-10-01 15:00:24.458 2024-10-01 14:00:54 140424.458 NaN 14947 MXP caleb_strategy_v3 2024-09-30 2024-10-01 15:01:23.380 2024-10-01 14:08:42 140483.38 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 14943 EUROSTX caleb_strategy_v3 [1] 5031.0 None 5042.5 5043.0 5042.0 5042.0 5034.0 -11.5 -0.5 9.0 8.0 NaN 8.5 14944 GAS_US_mini caleb_strategy_v3 [1] 3.34 None 3.2975 3.3 3.295 3.295 3.305 0.0425 -0.0025 -0.005 -0.01 NaN -0.0075 14946 US5 caleb_strategy_v3 [-1] 109.890625 None 110.253906 110.25 110.257812 110.257812 110.28125 0.363281 -0.003906 0.03125 0.023438 NaN 0.027344 14945 MXP caleb_strategy_v3 [-1] 0.05027 None 0.05006 0.05005 0.05007 0.05007 0.05004 -0.00021 -0.00001 -0.00001 -0.00003 NaN -0.00002 14947 MXP caleb_strategy_v3 [-1] 0.05027 None 0.05004 0.05003 0.05005 0.05005 0.05 -0.00023 -0.00001 -0.00003 -0.00005 NaN -0.00004 =============================================================================================================================================================== 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 14943 EUROSTX caleb_strategy_v3 [1] 777.977922 -147.819105 -6.426918 115.684517 102.830682 NaN 109.257599 14944 GAS_US_mini caleb_strategy_v3 [1] 1.317796 322.508091 -18.971064 -37.942128 -75.884257 NaN -56.913193 14946 US5 caleb_strategy_v3 [-1] 4.044318 898.250902 -9.658612 77.268895 57.951671 NaN 67.610283 14945 MXP caleb_strategy_v3 [-1] 0.00721 -291.267351 -13.869874 -13.869874 -41.609622 NaN -27.739748 14947 MXP caleb_strategy_v3 [-1] 0.00721 -319.007099 -13.869874 -41.609622 -69.349369 NaN -55.479495 ======================================================================================================================================================================== 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 14943 EUROSTX caleb_strategy_v3 [1] 11.1335 -128.03525 -5.56675 100.2015 89.068 NaN 94.63475 14944 GAS_US_mini caleb_strategy_v3 [1] 2500.0 106.25 -6.25 -12.5 -25.0 NaN -18.75 14946 US5 caleb_strategy_v3 [-1] 1000.0 363.28125 -3.90625 31.25 23.4375 NaN 27.34375 14945 MXP caleb_strategy_v3 [-1] 500000.0 -105.0 -5.0 -5.0 -15.0 NaN -10.0 14947 MXP caleb_strategy_v3 [-1] 500000.0 -115.0 -5.0 -15.0 -25.0 NaN -20.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 EUROSTX -128.03525 GAS_US_mini 106.25 MXP -220.0 US5 363.28125 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 121.496 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 EUROSTX -5.56675 GAS_US_mini -6.25 MXP -10.0 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -25.723 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 EUROSTX 100.2015 GAS_US_mini -12.5 MXP -20.0 US5 31.25 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 98.9515 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 EUROSTX 89.068 GAS_US_mini -25.0 MXP -40.0 US5 23.4375 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 47.5055 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 EUROSTX 0 GAS_US_mini 0 MXP 0 US5 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 EUROSTX 94.63475 GAS_US_mini -18.75 MXP -30.0 US5 27.34375 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 73.2285 ******************************************************************************** END OF REPORT ********************************************************************************