******************************************************************************** Trades report produced on 07/11/2024 21:38 from 06/11/2024 21:38 to 07/11/2024 21:38 ******************************************************************************** ============================================================================================== Broker orders ============================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 15236 DOW caleb_strategy_v3 [20241200] 2024-11-07 15:00:46 [1] 43936.00000 15232 EUROSTX caleb_strategy_v3 [20241200] 2024-11-07 08:00:30 [-1] 4823.00000 15233 EUROSTX caleb_strategy_v3 [20241200] 2024-11-07 08:01:29 [-1] 4827.00000 15234 GOLD_micro caleb_strategy_v3 [20241200] 2024-11-07 14:00:41 [-1] 2691.90000 15237 MXP caleb_strategy_v3 [20241200] 2024-11-07 15:01:04 [-1] 0.05022 15238 US30 caleb_strategy_v3 [20241200] 2024-11-07 15:01:04 [-1] 123.59375 15235 VIX caleb_strategy_v3 [20250100] 2024-11-07 15:00:46 [-1] 16.85000 15239 VIX caleb_strategy_v3 [20250100] 2024-11-07 15:01:45 [-1] 16.85000 ========================================================================================================================================================= Delays ========================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 15232 EUROSTX caleb_strategy_v3 2024-11-06 2024-11-07 08:00:29.567 2024-11-07 08:00:30 115229.567 0.433 15233 EUROSTX caleb_strategy_v3 2024-11-06 2024-11-07 08:01:29.017 2024-11-07 08:01:29 115289.017 NaN 15234 GOLD_micro caleb_strategy_v3 2024-11-06 2024-11-07 14:00:41.614 2024-11-07 14:00:41 136841.614 NaN 15236 DOW caleb_strategy_v3 2024-11-06 2024-11-07 15:00:46.829 2024-11-07 15:00:46 140446.829 NaN 15237 MXP caleb_strategy_v3 2024-11-06 2024-11-07 15:00:47.674 2024-11-07 15:01:04 140447.674 16.326 15238 US30 caleb_strategy_v3 2024-11-06 2024-11-07 15:01:04.935 2024-11-07 15:01:04 140464.935 NaN 15235 VIX caleb_strategy_v3 2024-11-06 2024-11-07 15:00:45.935 2024-11-07 15:00:46 140445.935 0.065 15239 VIX caleb_strategy_v3 2024-11-06 2024-11-07 15:01:45.534 2024-11-07 15:01:45 140505.534 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 15232 EUROSTX caleb_strategy_v3 [-1] 4815.0 None 4820.5 4820.0 4821.0 4821.0 4823.0 5.5 -0.5 3.0 2.0 NaN 2.5 15233 EUROSTX caleb_strategy_v3 [-1] 4815.0 None 4820.5 4820.0 4821.0 4821.0 4827.0 5.5 -0.5 7.0 6.0 NaN 6.5 15234 GOLD_micro caleb_strategy_v3 [-1] 2676.0 None 2689.95 2689.9 2690.0 2690.0 2691.9 13.95 -0.05 2.0 1.9 NaN 1.95 15236 DOW caleb_strategy_v3 [1] 43827.0 None 43941.5 43942.0 43941.0 43941.0 43936.0 -114.5 -0.5 6.0 5.0 NaN 5.5 15237 MXP caleb_strategy_v3 [-1] 0.04925 None 0.050235 0.05023 0.05024 0.05024 0.05022 0.000985 -0.000005 -0.00001 -0.00002 NaN -0.000015 15238 US30 caleb_strategy_v3 [-1] 122.8125 None 123.546875 123.53125 123.5625 123.5625 123.59375 0.734375 -0.015625 0.0625 0.03125 NaN 0.046875 15235 VIX caleb_strategy_v3 [-1] 17.2 None 16.825 16.8 16.85 16.85 16.85 -0.375 -0.025 0.05 -0.0 NaN 0.025 15239 VIX caleb_strategy_v3 [-1] 17.2 None 16.825 16.8 16.85 16.85 16.85 -0.375 -0.025 0.05 -0.0 NaN 0.025 ================================================================================================================================================================ 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 15232 EUROSTX caleb_strategy_v3 [-1] 723.333182 76.036882 -6.912444 41.474663 27.649775 NaN 34.562219 15233 EUROSTX caleb_strategy_v3 [-1] 723.333182 76.036882 -6.912444 96.774214 82.949326 NaN 89.86177 15234 GOLD_micro caleb_strategy_v3 [-1] 416.484225 334.946659 -1.200526 48.021026 45.619975 NaN 46.820501 15236 DOW caleb_strategy_v3 [1] 6173.354089 -185.474538 -0.809932 9.71919 8.099325 NaN 8.909257 15237 MXP caleb_strategy_v3 [-1] 0.006181 1593.587187 -8.089275 -16.17855 -32.3571 NaN -24.267825 15238 US30 caleb_strategy_v3 [-1] 21.490515 341.720525 -7.270649 29.082598 14.541299 NaN 21.811948 15235 VIX caleb_strategy_v3 [-1] 8.961984 -418.434122 -27.895608 55.791216 -0.0 NaN 27.895608 15239 VIX caleb_strategy_v3 [-1] 8.961984 -418.434122 -27.895608 55.791216 -0.0 NaN 27.895608 ======================================================================================================================================================================== 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 15232 EUROSTX caleb_strategy_v3 [-1] 10.7515 59.13325 -5.37575 32.2545 21.503 NaN 26.87875 15233 EUROSTX caleb_strategy_v3 [-1] 10.7515 59.13325 -5.37575 75.2605 64.509 NaN 69.88475 15234 GOLD_micro caleb_strategy_v3 [-1] 10.0 139.5 -0.5 20.0 19.0 NaN 19.5 15236 DOW caleb_strategy_v3 [1] 0.5 -57.25 -0.25 3.0 2.5 NaN 2.75 15237 MXP caleb_strategy_v3 [-1] 500000.0 492.5 -2.5 -5.0 -10.0 NaN -7.5 15238 US30 caleb_strategy_v3 [-1] 1000.0 734.375 -15.625 62.5 31.25 NaN 46.875 15235 VIX caleb_strategy_v3 [-1] 1000.0 -375.0 -25.0 50.0 -0.0 NaN 25.0 15239 VIX caleb_strategy_v3 [-1] 1000.0 -375.0 -25.0 50.0 -0.0 NaN 25.0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DOW -57.25 EUROSTX 118.2665 GOLD_micro 139.5 MXP 492.5 US30 734.375 VIX -750.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 677.3915 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DOW -0.25 EUROSTX -10.7515 GOLD_micro -0.5 MXP -2.5 US30 -15.625 VIX -50.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -79.6265 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DOW 3.0 EUROSTX 107.515 GOLD_micro 20.0 MXP -5.0 US30 62.5 VIX 100.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 288.015 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 2.5 EUROSTX 86.012 GOLD_micro 19.0 MXP -10.0 US30 31.25 VIX -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 128.762 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DOW 0 EUROSTX 0 GOLD_micro 0 MXP 0 US30 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 DOW 2.75 EUROSTX 96.7635 GOLD_micro 19.5 MXP -7.5 US30 46.875 VIX 50.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 208.3885 ******************************************************************************** END OF REPORT ********************************************************************************