******************************************************************************** Trades report report produced on 27/10/2022 21:34 from 26/10/2022 21:34 to 27/10/2022 21:34 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 101 BOBL caleb_strategy_v1 [20221200] 2022-10-27 07:00:03 [1] 119.56000 103 BOBL caleb_strategy_v1 [20221200] 2022-10-27 07:00:05 [-1] 119.54000 115 CAD caleb_strategy_v1 [20221200] 2022-10-27 14:00:04 [-1] 0.73880 106 CRUDE_W caleb_strategy_v1 [20231200] 2022-10-27 13:00:01 [1] 77.79000 109 CRUDE_W caleb_strategy_v1 [20231200] 2022-10-27 13:00:03 [-1] 77.76000 118 DOW caleb_strategy_v1 [20221200] 2022-10-27 14:00:07 [1] 32155.00000 113 DOW caleb_strategy_v1 [20221200] 2022-10-27 14:00:02 [1] 32161.00000 120 DOW caleb_strategy_v1 [20221200] 2022-10-27 14:00:09 [1] 32150.00000 107 GOLD_micro caleb_strategy_v1 [20221200] 2022-10-27 13:00:01 [-1] 1663.90000 108 GOLD_micro caleb_strategy_v1 [20221200] 2022-10-27 13:00:02 [1] 1663.90000 110 GOLD_micro caleb_strategy_v1 [20221200] 2022-10-27 13:00:05 [1] 1663.90000 123 LEANHOG caleb_strategy_v1 [20230200] 2022-10-27 14:30:01 [1] 89.10000 104 OAT caleb_strategy_v1 [20221200] 2022-10-27 07:00:07 [1] 132.91000 102 OAT caleb_strategy_v1 [20221200] 2022-10-27 07:00:04 [-1] 132.93000 105 ROBUSTA caleb_strategy_v1 [20230100] 2022-10-27 09:00:01 [-1] 1880.00000 111 RUSSELL caleb_strategy_v1 [20221200] 2022-10-27 14:00:00 [-1] 1817.60000 121 RUSSELL caleb_strategy_v1 [20221200] 2022-10-27 14:00:10 [1] 1817.40000 114 RUSSELL caleb_strategy_v1 [20221200] 2022-10-27 14:00:03 [1] 1817.50000 122 RUSSELL caleb_strategy_v1 [20221200] 2022-10-27 14:00:11 [1] 1817.10000 119 RUSSELL caleb_strategy_v1 [20221200] 2022-10-27 14:00:07 [1] 1817.60000 117 US30 caleb_strategy_v1 [20221200] 2022-10-27 14:00:05 [1] 129.65625 116 VIX caleb_strategy_v1 [20221200] 2022-10-27 14:00:04 [1] 27.80000 112 VIX caleb_strategy_v1 [20221200] 2022-10-27 14:00:01 [-1] 27.75000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 101 BOBL caleb_strategy_v1 2022-10-25 2022-10-27 08:00:02.473 2022-10-27 07:00:03 201602 NaN 102 OAT caleb_strategy_v1 2022-10-26 2022-10-27 08:00:04.174 2022-10-27 07:00:04 115204 NaN 103 BOBL caleb_strategy_v1 2022-10-26 2022-10-27 08:00:05.053 2022-10-27 07:00:05 115205 NaN 104 OAT caleb_strategy_v1 2022-10-25 2022-10-27 08:00:07.241 2022-10-27 07:00:07 201607 NaN 105 ROBUSTA caleb_strategy_v1 2022-10-26 2022-10-27 10:00:01.044 2022-10-27 09:00:01 122401 NaN 106 CRUDE_W caleb_strategy_v1 2022-10-25 2022-10-27 14:00:01.017 2022-10-27 13:00:01 223201 NaN 107 GOLD_micro caleb_strategy_v1 2022-10-25 2022-10-27 14:00:01.849 2022-10-27 13:00:01 223202 NaN 109 CRUDE_W caleb_strategy_v1 2022-10-26 2022-10-27 14:00:03.623 2022-10-27 13:00:03 136804 NaN 108 GOLD_micro caleb_strategy_v1 2022-10-26 2022-10-27 14:00:02.542 2022-10-27 13:00:02 136803 NaN 110 GOLD_micro caleb_strategy_v1 2022-10-26 2022-10-27 14:00:05.352 2022-10-27 13:00:05 136805 NaN 111 RUSSELL caleb_strategy_v1 2022-10-25 2022-10-27 15:00:00.485 2022-10-27 14:00:00 226800 NaN 112 VIX caleb_strategy_v1 2022-09-30 2022-10-27 15:00:01.748 2022-10-27 14:00:01 2.3868e+06 NaN 115 CAD caleb_strategy_v1 2022-10-26 2022-10-27 15:00:04.190 2022-10-27 14:00:04 140404 NaN 116 VIX caleb_strategy_v1 2022-10-26 2022-10-27 15:00:04.760 2022-10-27 14:00:04 140405 NaN 117 US30 caleb_strategy_v1 2022-10-26 2022-10-27 15:00:05.633 2022-10-27 14:00:05 140406 NaN 120 DOW caleb_strategy_v1 2022-10-26 2022-10-27 15:00:09.369 2022-10-27 14:00:09 140409 NaN 113 DOW caleb_strategy_v1 2022-10-26 2022-10-27 15:00:02.579 2022-10-27 14:00:02 140403 NaN 118 DOW caleb_strategy_v1 2022-10-26 2022-10-27 15:00:07.261 2022-10-27 14:00:07 140407 NaN 121 RUSSELL caleb_strategy_v1 2022-10-26 2022-10-27 15:00:10.075 2022-10-27 14:00:10 140410 NaN 114 RUSSELL caleb_strategy_v1 2022-10-26 2022-10-27 15:00:03.474 2022-10-27 14:00:03 140403 NaN 122 RUSSELL caleb_strategy_v1 2022-10-26 2022-10-27 15:00:11.548 2022-10-27 14:00:11 140412 NaN 119 RUSSELL caleb_strategy_v1 2022-10-26 2022-10-27 15:00:07.881 2022-10-27 14:00:07 140408 NaN 123 LEANHOG caleb_strategy_v1 2022-10-25 2022-10-27 15:30:01.326 2022-10-27 14:30:01 228601 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 order_id 101 BOBL caleb_strategy_v1 [1] 119.41 None 119.535 119.54 119.53 None 119.56 -0.125 -0.005 -0.02 NaN NaN -0.025 102 OAT caleb_strategy_v1 [-1] 133.04 None 132.95 132.94 132.96 None 132.93 -0.09 -0.01 -0.01 NaN NaN -0.02 103 BOBL caleb_strategy_v1 [-1] 119.64 None 119.555 119.55 119.56 None 119.54 -0.085 -0.005 -0.01 NaN NaN -0.015 104 OAT caleb_strategy_v1 [1] 132.46 None 132.94 132.95 132.93 None 132.91 -0.48 -0.01 0.04 NaN NaN 0.03 105 ROBUSTA caleb_strategy_v1 [-1] 1873 None 1880.5 1880 1881 None 1880 7.5 -0.5 -0 NaN NaN -0.5 106 CRUDE_W caleb_strategy_v1 [1] 75.74 None 77.78 77.79 77.77 None 77.79 -2.04 -0.01 0 NaN NaN -0.01 107 GOLD_micro caleb_strategy_v1 [-1] 1658 None 1663.9 1663.8 1664 None 1663.9 5.9 -0.1 0.1 NaN NaN 0 109 CRUDE_W caleb_strategy_v1 [-1] 77.34 None 77.79 77.78 77.8 None 77.76 0.45 -0.01 -0.02 NaN NaN -0.03 108 GOLD_micro caleb_strategy_v1 [1] 1669.1 None 1663.95 1664 1663.9 None 1663.9 5.15 -0.05 0.1 NaN NaN 0.05 110 GOLD_micro caleb_strategy_v1 [1] 1669.1 None 1663.85 1663.9 1663.8 None 1663.9 5.25 -0.05 0 NaN NaN -0.05 111 RUSSELL caleb_strategy_v1 [-1] 1802.1 None 1817.8 1817.7 1817.9 None 1817.6 15.7 -0.1 -0.1 NaN NaN -0.2 112 VIX caleb_strategy_v1 [-1] 29.85 None 27.775 27.75 27.8 None 27.75 -2.075 -0.025 -0 NaN NaN -0.025 115 CAD caleb_strategy_v1 [-1] 0.73685 None 0.73885 0.7388 0.7389 None 0.7388 0.002 -5e-05 -0 NaN NaN -5e-05 116 VIX caleb_strategy_v1 [1] 28.2 None 27.775 27.8 27.75 None 27.8 0.425 -0.025 0 NaN NaN -0.025 117 US30 caleb_strategy_v1 [1] 128.938 None 129.641 129.656 129.625 None 129.656 -0.703125 -0.015625 0 NaN NaN -0.015625 120 DOW caleb_strategy_v1 [1] 31834 None 32154.5 32155 32154 None 32150 -320.5 -0.5 5 NaN NaN 4.5 113 DOW caleb_strategy_v1 [1] 31834 None 32158 32159 32157 None 32161 -324 -1 -2 NaN NaN -3 118 DOW caleb_strategy_v1 [1] 31834 None 32159.5 32161 32158 None 32155 -325.5 -1.5 6 NaN NaN 4.5 121 RUSSELL caleb_strategy_v1 [1] 1813.3 None 1817.6 1817.7 1817.5 None 1817.4 -4.3 -0.1 0.3 NaN NaN 0.2 114 RUSSELL caleb_strategy_v1 [1] 1813.3 None 1817.7 1817.8 1817.6 None 1817.5 -4.4 -0.1 0.3 NaN NaN 0.2 122 RUSSELL caleb_strategy_v1 [1] 1813.3 None 1817.3 1817.4 1817.2 None 1817.1 -4 -0.1 0.3 NaN NaN 0.2 119 RUSSELL caleb_strategy_v1 [1] 1813.3 None 1817.4 1817.5 1817.3 None 1817.6 -4.1 -0.1 -0.1 NaN NaN -0.2 123 LEANHOG caleb_strategy_v1 [1] 90.725 None 89.075 89.1 89.05 None 89.1 1.65 -0.025 0 NaN 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 order_id 101 BOBL caleb_strategy_v1 [1] 6.76196 -184.858 -7.3943 -29.5772 NaN NaN -36.9715 102 OAT caleb_strategy_v1 [-1] 16.0875 -55.944 -6.216 -6.216 NaN NaN -12.432 103 BOBL caleb_strategy_v1 [-1] 6.76196 -125.703 -7.3943 -14.7886 NaN NaN -22.1829 104 OAT caleb_strategy_v1 [1] 16.0875 -298.368 -6.216 24.864 NaN NaN 18.648 105 ROBUSTA caleb_strategy_v1 [-1] 451.83 165.992 -11.0661 -0 NaN NaN -11.0661 106 CRUDE_W caleb_strategy_v1 [1] 28.5446 -714.671 -3.50329 0 NaN NaN -3.50329 107 GOLD_micro caleb_strategy_v1 [-1] 262.471 224.787 -3.80994 3.80994 NaN NaN 0 109 CRUDE_W caleb_strategy_v1 [-1] 28.5446 157.648 -3.50329 -7.00658 NaN NaN -10.5099 108 GOLD_micro caleb_strategy_v1 [1] 262.471 196.212 -1.90497 3.80994 NaN NaN 1.90497 110 GOLD_micro caleb_strategy_v1 [1] 262.471 200.022 -1.90497 0 NaN NaN -1.90497 111 RUSSELL caleb_strategy_v1 [-1] 513.639 305.662 -1.94689 -1.94689 NaN NaN -3.89379 112 VIX caleb_strategy_v1 [-1] 9.80764 -2115.7 -25.4903 -0 NaN NaN -25.4903 115 CAD caleb_strategy_v1 [-1] 0.0710883 281.34 -7.03351 -0 NaN NaN -7.03351 116 VIX caleb_strategy_v1 [1] 9.80764 433.336 -25.4903 0 NaN NaN -25.4903 117 US30 caleb_strategy_v1 [1] 27.0976 -259.478 -5.76619 0 NaN NaN -5.76619 120 DOW caleb_strategy_v1 [1] 6235.08 -514.027 -0.801915 8.01915 NaN NaN 7.21723 113 DOW caleb_strategy_v1 [1] 6235.08 -519.641 -1.60383 -3.20766 NaN NaN -4.81149 118 DOW caleb_strategy_v1 [1] 6235.08 -522.047 -2.40574 9.62298 NaN NaN 7.21723 121 RUSSELL caleb_strategy_v1 [1] 513.639 -83.7164 -1.94689 5.84068 NaN NaN 3.89379 114 RUSSELL caleb_strategy_v1 [1] 513.639 -85.6633 -1.94689 5.84068 NaN NaN 3.89379 122 RUSSELL caleb_strategy_v1 [1] 513.639 -77.8757 -1.94689 5.84068 NaN NaN 3.89379 119 RUSSELL caleb_strategy_v1 [1] 513.639 -79.8226 -1.94689 -1.94689 NaN NaN -3.89379 123 LEANHOG caleb_strategy_v1 [1] 25.6224 643.968 -9.7571 0 NaN NaN -9.7571 =========================================================================================================================================================================== 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 order_id 101 BOBL caleb_strategy_v1 [1] 996.245 -124.531 -4.98123 -19.9249 NaN NaN -24.9061 102 OAT caleb_strategy_v1 [-1] 996.245 -89.6621 -9.96245 -9.96245 NaN NaN -19.9249 103 BOBL caleb_strategy_v1 [-1] 996.245 -84.6808 -4.98123 -9.96245 NaN NaN -14.9437 104 OAT caleb_strategy_v1 [1] 996.245 -478.198 -9.96245 39.8498 NaN NaN 29.8874 105 ROBUSTA caleb_strategy_v1 [-1] 10 75 -5 -0 NaN NaN -5 106 CRUDE_W caleb_strategy_v1 [1] 1000 -2040 -10 0 NaN NaN -10 107 GOLD_micro caleb_strategy_v1 [-1] 10 59 -1 1 NaN NaN 0 109 CRUDE_W caleb_strategy_v1 [-1] 1000 450 -10 -20 NaN NaN -30 108 GOLD_micro caleb_strategy_v1 [1] 10 51.5 -0.5 1 NaN NaN 0.5 110 GOLD_micro caleb_strategy_v1 [1] 10 52.5 -0.5 0 NaN NaN -0.5 111 RUSSELL caleb_strategy_v1 [-1] 5 78.5 -0.5 -0.5 NaN NaN -1 112 VIX caleb_strategy_v1 [-1] 1000 -2075 -25 -0 NaN NaN -25 115 CAD caleb_strategy_v1 [-1] 100000 200 -5 -0 NaN NaN -5 116 VIX caleb_strategy_v1 [1] 1000 425 -25 0 NaN NaN -25 117 US30 caleb_strategy_v1 [1] 1000 -703.125 -15.625 0 NaN NaN -15.625 120 DOW caleb_strategy_v1 [1] 0.5 -160.25 -0.25 2.5 NaN NaN 2.25 113 DOW caleb_strategy_v1 [1] 0.5 -162 -0.5 -1 NaN NaN -1.5 118 DOW caleb_strategy_v1 [1] 0.5 -162.75 -0.75 3 NaN NaN 2.25 121 RUSSELL caleb_strategy_v1 [1] 5 -21.5 -0.5 1.5 NaN NaN 1 114 RUSSELL caleb_strategy_v1 [1] 5 -22 -0.5 1.5 NaN NaN 1 122 RUSSELL caleb_strategy_v1 [1] 5 -20 -0.5 1.5 NaN NaN 1 119 RUSSELL caleb_strategy_v1 [1] 5 -20.5 -0.5 -0.5 NaN NaN -1 123 LEANHOG caleb_strategy_v1 [1] 400 660 -10 0 NaN NaN -10 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BOBL -209.21145 CAD 200.00000 CRUDE_W -1590.00000 DOW -485.00000 GOLD_micro 163.00000 LEANHOG 660.00000 OAT -567.85965 ROBUSTA 75.00000 RUSSELL -5.50000 US30 -703.12500 VIX -1650.00000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -4112.6961 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BOBL -9.96245 CAD -5.00000 CRUDE_W -20.00000 DOW -1.50000 GOLD_micro -2.00000 LEANHOG -10.00000 OAT -19.92490 ROBUSTA -5.00000 RUSSELL -2.50000 US30 -15.62500 VIX -50.00000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -141.51235 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BOBL -29.88735 CAD -0.00000 CRUDE_W -20.00000 DOW 4.50000 GOLD_micro 2.00000 LEANHOG 0.00000 OAT 29.88735 ROBUSTA -0.00000 RUSSELL 3.50000 US30 0.00000 VIX 0.00000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -10.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0 CAD 0 CRUDE_W 0 DOW 0 GOLD_micro 0 LEANHOG 0 OAT 0 ROBUSTA 0 RUSSELL 0 US30 0 VIX 0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0 CAD 0 CRUDE_W 0 DOW 0 GOLD_micro 0 LEANHOG 0 OAT 0 ROBUSTA 0 RUSSELL 0 US30 0 VIX 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v1 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v1 BOBL -3.984980e+01 CAD -5.000000e+00 CRUDE_W -4.000000e+01 DOW 3.000000e+00 GOLD_micro -2.273737e-12 LEANHOG -1.000000e+01 OAT 9.962450e+00 ROBUSTA -5.000000e+00 RUSSELL 1.000000e+00 US30 -1.562500e+01 VIX -5.000000e+01 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -151.51235 ******************************************************************************** END OF REPORT ********************************************************************************