******************************************************************************** Trades report produced on 09/10/2024 21:37 from 08/10/2024 21:37 to 09/10/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15011 AUD caleb_strategy_v3 [20241200] 2024-10-09 14:00:47 [-1] 0.6727 15012 EUR caleb_strategy_v3 [20241200] 2024-10-09 14:03:24 [-1] 1.0984 15008 GAS_US_mini caleb_strategy_v3 [20241200] 2024-10-09 13:10:09 [-1] 3.1500 15009 GAS_US_mini caleb_strategy_v3 [20241200] 2024-10-09 13:10:29 [-1] 3.1500 15010 GAS_US_mini caleb_strategy_v3 [20241200] 2024-10-09 13:12:34 [-1] 3.1450 15013 NASDAQ_micro caleb_strategy_v3 [20241200] 2024-10-09 14:03:25 [-1] 20268.5000 15007 NIKKEI caleb_strategy_v3 [20241200] 2024-10-09 02:01:19 [1] 39215.0000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15007 NIKKEI caleb_strategy_v3 2024-10-08 2024-10-09 03:01:18.399 2024-10-09 02:01:19 97278.399 NaN 15008 GAS_US_mini caleb_strategy_v3 2024-10-08 2024-10-09 14:00:46.746 2024-10-09 13:10:09 136846.746 NaN 15009 GAS_US_mini caleb_strategy_v3 2024-10-08 2024-10-09 14:10:13.047 2024-10-09 13:10:29 137413.047 NaN 15010 GAS_US_mini caleb_strategy_v3 2024-10-08 2024-10-09 14:11:13.140 2024-10-09 13:12:34 137473.14 NaN 15011 AUD caleb_strategy_v3 2024-10-08 2024-10-09 15:00:47.818 2024-10-09 14:00:47 140447.818 NaN 15012 EUR caleb_strategy_v3 2024-10-08 2024-10-09 15:00:48.887 2024-10-09 14:03:24 140448.887 NaN 15013 NASDAQ_micro caleb_strategy_v3 2024-10-08 2024-10-09 15:03:25.146 2024-10-09 14:03:25 140605.146 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 15007 NIKKEI caleb_strategy_v3 [1] 39440.0 None 39297.5 39300.0 39295.0 39295.0 39215.0 142.5 -2.5 85.0 80.0 NaN 82.5 15008 GAS_US_mini caleb_strategy_v3 [-1] 3.195 None 3.1575 3.155 3.16 3.16 3.15 -0.0375 -0.0025 -0.005 -0.01 NaN -0.0075 15009 GAS_US_mini caleb_strategy_v3 [-1] 3.195 None 3.1525 3.15 3.155 3.155 3.15 -0.0425 -0.0025 -0.0 -0.005 NaN -0.0025 15010 GAS_US_mini caleb_strategy_v3 [-1] 3.195 None 3.155 3.15 3.16 3.16 3.145 -0.04 -0.005 -0.005 -0.015 NaN -0.01 15011 AUD caleb_strategy_v3 [-1] 0.67475 None 0.672125 0.6721 0.67215 0.67215 0.6727 -0.002625 -0.000025 0.0006 0.00055 NaN 0.000575 15012 EUR caleb_strategy_v3 [-1] 1.1004 None 1.0987 1.09865 1.09875 1.09875 1.0984 -0.0017 -0.00005 -0.00025 -0.00035 NaN -0.0003 15013 NASDAQ_micro caleb_strategy_v3 [-1] 20274.25 None 20252.0 20251.75 20252.25 20252.25 20268.5 -22.25 -0.25 16.75 16.25 NaN 16.5 =============================================================================================================================================================== 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 15007 NIKKEI caleb_strategy_v3 [1] 11494.392587 123.973493 -2.174974 73.949101 69.599154 NaN 71.774128 15008 GAS_US_mini caleb_strategy_v3 [-1] 1.288733 -290.983581 -19.398905 -38.797811 -77.595622 NaN -58.196716 15009 GAS_US_mini caleb_strategy_v3 [-1] 1.288733 -329.781392 -19.398905 -0.0 -38.797811 NaN -19.398905 15010 GAS_US_mini caleb_strategy_v3 [-1] 1.288733 -310.382486 -38.797811 -38.797811 -116.393432 NaN -77.595622 15011 AUD caleb_strategy_v3 [-1] 0.06271 -418.594907 -3.986618 95.678836 87.7056 NaN 91.692218 15012 EUR caleb_strategy_v3 [-1] 0.064872 -262.056462 -7.707543 -38.537715 -53.952801 NaN -46.245258 15013 NASDAQ_micro caleb_strategy_v3 [-1] 3342.811589 -66.560736 -0.747873 50.10752 48.611774 NaN 49.359647 ======================================================================================================================================================================== 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 15007 NIKKEI caleb_strategy_v3 [1] 0.672952 95.895666 -1.68238 57.200923 53.836163 NaN 55.518543 15008 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -93.75 -6.25 -12.5 -25.0 NaN -18.75 15009 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -106.25 -6.25 -0.0 -12.5 NaN -6.25 15010 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -100.0 -12.5 -12.5 -37.5 NaN -25.0 15011 AUD caleb_strategy_v3 [-1] 100000.0 -262.5 -2.5 60.0 55.0 NaN 57.5 15012 EUR caleb_strategy_v3 [-1] 125000.0 -212.5 -6.25 -31.25 -43.75 NaN -37.5 15013 NASDAQ_micro caleb_strategy_v3 [-1] 2.0 -44.5 -0.5 33.5 32.5 NaN 33.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 AUD -262.5 EUR -212.5 GAS_US_mini -300.0 NASDAQ_micro -44.5 NIKKEI 95.895666 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -723.604334 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 AUD -2.5 EUR -6.25 GAS_US_mini -25.0 NASDAQ_micro -0.5 NIKKEI -1.68238 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -35.93238 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 AUD 60.0 EUR -31.25 GAS_US_mini -25.0 NASDAQ_micro 33.5 NIKKEI 57.200923 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 94.450923 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 55.0 EUR -43.75 GAS_US_mini -75.0 NASDAQ_micro 32.5 NIKKEI 53.836163 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 22.586163 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 AUD 0 EUR 0 GAS_US_mini 0 NASDAQ_micro 0 NIKKEI 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 AUD 57.5 EUR -37.5 GAS_US_mini -50.0 NASDAQ_micro 33.0 NIKKEI 55.518543 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 58.518543 ******************************************************************************** END OF REPORT ********************************************************************************