******************************************************************************** Trades report produced on 05/11/2024 21:37 from 04/11/2024 21:37 to 05/11/2024 21:37 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15220 DAX caleb_strategy_v3 [20241200] 2024-11-05 08:02:12 [-1] 19259.00 15225 DOW caleb_strategy_v3 [20241200] 2024-11-05 15:06:04 [-1] 42215.00 15223 DOW caleb_strategy_v3 [20241200] 2024-11-05 15:00:48 [-1] 42139.00 15221 GAS_US_mini caleb_strategy_v3 [20250100] 2024-11-05 14:00:41 [-1] 3.02 15222 GOLD_micro caleb_strategy_v3 [20241200] 2024-11-05 14:00:42 [1] 2755.80 15224 VIX caleb_strategy_v3 [20250100] 2024-11-05 15:05:49 [-1] 18.65 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15220 DAX caleb_strategy_v3 2024-11-04 2024-11-05 08:00:31.038 2024-11-05 08:02:12 115231.038 100.962 15221 GAS_US_mini caleb_strategy_v3 2024-11-04 2024-11-05 14:00:40.928 2024-11-05 14:00:41 136840.928 0.072 15222 GOLD_micro caleb_strategy_v3 2024-11-04 2024-11-05 14:00:42.032 2024-11-05 14:00:42 136842.032 NaN 15224 VIX caleb_strategy_v3 2024-11-04 2024-11-05 15:00:49.922 2024-11-05 15:05:49 140449.922 299.078 15225 DOW caleb_strategy_v3 2024-11-04 2024-11-05 15:06:04.746 2024-11-05 15:06:04 140764.746 NaN 15223 DOW caleb_strategy_v3 2024-11-04 2024-11-05 15:00:48.814 2024-11-05 15:00:48 140448.814 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 15220 DAX caleb_strategy_v3 [-1] 19236.0 None 19258.5 19258.0 19259.0 19259.0 19259.0 22.5 -0.5 1.0 -0.0 NaN 0.5 15221 GAS_US_mini caleb_strategy_v3 [-1] 3.035 None 3.0275 3.025 3.03 NaN 3.02 -0.0075 -0.0025 -0.005 NaN NaN -0.0075 15222 GOLD_micro caleb_strategy_v3 [1] 2748.0 None 2755.05 2755.1 2755.0 NaN 2755.8 -7.05 -0.05 -0.7 NaN NaN -0.75 15224 VIX caleb_strategy_v3 [-1] 19.05 None 18.675 18.65 18.7 18.7 18.65 -0.375 -0.025 -0.0 -0.05 NaN -0.025 15225 DOW caleb_strategy_v3 [-1] 41985.0 None 42068.0 42067.0 42069.0 42069.0 42215.0 83.0 -1.0 148.0 146.0 NaN 147.0 15223 DOW caleb_strategy_v3 [-1] 41985.0 None 42068.0 42067.0 42069.0 42069.0 42139.0 83.0 -1.0 72.0 70.0 NaN 71.0 =============================================================================================================================================================== 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 15220 DAX caleb_strategy_v3 [-1] 2206.780211 101.9585 -2.265744 4.531489 -0.0 NaN 2.265744 15221 GAS_US_mini caleb_strategy_v3 [-1] 1.422299 -52.731513 -17.577171 -35.154342 NaN NaN -52.731513 15222 GOLD_micro caleb_strategy_v3 [1] 319.678592 -220.534005 -1.564071 -21.896993 NaN NaN -23.461064 15224 VIX caleb_strategy_v3 [-1] 8.501573 -441.094861 -29.406324 -0.0 -58.812648 NaN -29.406324 15225 DOW caleb_strategy_v3 [-1] 4351.038353 190.759063 -2.298302 340.148691 335.552087 NaN 337.850389 15223 DOW caleb_strategy_v3 [-1] 4351.038353 190.759063 -2.298302 165.477742 160.881138 NaN 163.17944 ======================================================================================================================================================================== 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 15220 DAX caleb_strategy_v3 [-1] 1.08835 24.487875 -0.544175 1.08835 -0.0 NaN 0.544175 15221 GAS_US_mini caleb_strategy_v3 [-1] 2500.0 -18.75 -6.25 -12.5 NaN NaN -18.75 15222 GOLD_micro caleb_strategy_v3 [1] 10.0 -70.5 -0.5 -7.0 NaN NaN -7.5 15224 VIX caleb_strategy_v3 [-1] 1000.0 -375.0 -25.0 -0.0 -50.0 NaN -25.0 15225 DOW caleb_strategy_v3 [-1] 0.5 41.5 -0.5 74.0 73.0 NaN 73.5 15223 DOW caleb_strategy_v3 [-1] 0.5 41.5 -0.5 36.0 35.0 NaN 35.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DAX 24.487875 DOW 83.0 GAS_US_mini -18.75 GOLD_micro -70.5 VIX -375.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -356.762125 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DAX -0.544175 DOW -1.0 GAS_US_mini -6.25 GOLD_micro -0.5 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -33.294175 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DAX 1.08835 DOW 110.0 GAS_US_mini -12.5 GOLD_micro -7.0 VIX -0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 91.58835 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX -0.0 DOW 108.0 GAS_US_mini 0 GOLD_micro 0 VIX -50.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 58.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX 0 DOW 0 GAS_US_mini 0 GOLD_micro 0 VIX 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 DAX 0.544175 DOW 109.0 GAS_US_mini -18.75 GOLD_micro -7.5 VIX -25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 58.294175 ******************************************************************************** END OF REPORT ********************************************************************************