******************************************************************************** Trades report report produced on 28/10/2022 21:34 from 27/10/2022 21:34 to 28/10/2022 21:34 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 124 BOBL caleb_strategy_v1 [20221200] 2022-10-28 07:00:04 [1] 120.530000 125 BUXL caleb_strategy_v1 [20221200] 2022-10-28 07:00:05 [1] 146.460000 126 CRUDE_W caleb_strategy_v1 [20231200] 2022-10-28 13:03:17 [1] 77.260000 135 DOW caleb_strategy_v1 [20221200] 2022-10-28 14:00:06 [1] 32476.000000 129 DOW caleb_strategy_v1 [20221200] 2022-10-28 14:00:00 [1] 32473.000000 139 FEEDCOW _ROLL_PSEUDO_STRATEGY [20230100, 20230300] 2022-10-28 14:30:05 [1, -1] -1.975000 140 FEEDCOW _ROLL_PSEUDO_STRATEGY [20230100, 20230300] 2022-10-28 14:30:06 [1, -1] -1.975000 128 GAS_US caleb_strategy_v1 [20230100] 2022-10-28 13:03:19 [1] 5.994000 127 GOLD_micro caleb_strategy_v1 [20221200] 2022-10-28 13:03:18 [1] 1648.800000 131 NASDAQ caleb_strategy_v1 [20221200] 2022-10-28 14:00:02 [-1] 11326.500000 137 RUSSELL caleb_strategy_v1 [20221200] 2022-10-28 14:00:07 [1] 1827.600000 134 RUSSELL caleb_strategy_v1 [20221200] 2022-10-28 14:00:04 [1] 1826.800000 138 SOYMEAL caleb_strategy_v1 [20230300] 2022-10-28 14:30:01 [-1] 398.600000 133 US20 caleb_strategy_v1 [20221200] 2022-10-28 14:00:03 [1] 122.062500 130 US30 caleb_strategy_v1 [20221200] 2022-10-28 14:00:01 [-1] 130.093750 136 US5 caleb_strategy_v1 [20221200] 2022-10-28 14:00:06 [-1] 107.117188 132 US5 caleb_strategy_v1 [20221200] 2022-10-28 14:00:03 [-1] 107.078125 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 124 BOBL caleb_strategy_v1 2022-10-26 00:00:00 2022-10-28 08:00:03.703 2022-10-28 07:00:04 201604 NaN 125 BUXL caleb_strategy_v1 2022-10-27 00:00:00 2022-10-28 08:00:05.338 2022-10-28 07:00:05 115205 NaN 126 CRUDE_W caleb_strategy_v1 2022-10-27 00:00:00 2022-10-28 14:03:16.612 2022-10-28 13:03:17 136997 NaN 127 GOLD_micro caleb_strategy_v1 2022-10-27 00:00:00 2022-10-28 14:03:18.312 2022-10-28 13:03:18 136998 NaN 128 GAS_US caleb_strategy_v1 2022-10-27 00:00:00 2022-10-28 14:03:19.013 2022-10-28 13:03:19 136999 NaN 130 US30 caleb_strategy_v1 2022-10-27 00:00:00 2022-10-28 15:00:01.456 2022-10-28 14:00:01 140401 NaN 131 NASDAQ caleb_strategy_v1 2022-10-27 00:00:00 2022-10-28 15:00:02.297 2022-10-28 14:00:02 140402 NaN 133 US20 caleb_strategy_v1 2022-10-27 00:00:00 2022-10-28 15:00:03.861 2022-10-28 14:00:03 140404 NaN 129 DOW caleb_strategy_v1 2022-10-27 00:00:00 2022-10-28 15:00:00.794 2022-10-28 14:00:00 140401 NaN 135 DOW caleb_strategy_v1 2022-10-27 00:00:00 2022-10-28 15:00:06.120 2022-10-28 14:00:06 140406 NaN 136 US5 caleb_strategy_v1 2022-10-27 00:00:00 2022-10-28 15:00:06.620 2022-10-28 14:00:06 140407 NaN 132 US5 caleb_strategy_v1 2022-10-27 00:00:00 2022-10-28 15:00:02.940 2022-10-28 14:00:03 140403 NaN 137 RUSSELL caleb_strategy_v1 2022-10-27 00:00:00 2022-10-28 15:00:07.359 2022-10-28 14:00:07 140407 NaN 134 RUSSELL caleb_strategy_v1 2022-10-27 00:00:00 2022-10-28 15:00:04.649 2022-10-28 14:00:04 140405 NaN 138 SOYMEAL caleb_strategy_v1 2022-10-27 00:00:00 2022-10-28 15:30:00.569 2022-10-28 14:30:01 142201 NaN 139 FEEDCOW _ROLL_PSEUDO_STRATEGY 2022-10-27 19:00:00 2022-10-28 15:30:03.058 2022-10-28 14:30:05 73803.1 NaN 140 FEEDCOW _ROLL_PSEUDO_STRATEGY 2022-10-27 19:00:00 2022-10-28 15:30:06.678 2022-10-28 14:30:06 73806.7 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 124 BOBL caleb_strategy_v1 [1] 119.74 None 120.53 120.54 120.52 None 120.53 -0.79 -0.01 0.01 NaN NaN 0 125 BUXL caleb_strategy_v1 [1] 148.4 None 146.37 146.4 146.34 None 146.46 2.03 -0.03 -0.06 NaN NaN -0.09 126 CRUDE_W caleb_strategy_v1 [1] 77.78 None 77.235 77.25 77.22 None 77.26 0.545 -0.015 -0.01 NaN NaN -0.025 127 GOLD_micro caleb_strategy_v1 [1] 1662.3 None 1648.7 1648.8 1648.6 None 1648.8 13.6 -0.1 0 NaN NaN -0.1 128 GAS_US caleb_strategy_v1 [1] 6.177 None 5.992 5.994 5.99 None 5.994 0.185 -0.002 0 NaN NaN -0.002 130 US30 caleb_strategy_v1 [-1] 130.219 None 130.125 130.094 130.156 None 130.094 -0.09375 -0.03125 -0 NaN NaN -0.03125 131 NASDAQ caleb_strategy_v1 [-1] 11223 None 11329.1 11328.2 11330 None 11326.5 106.125 -0.875 -1.75 NaN NaN -2.625 133 US20 caleb_strategy_v1 [1] 122.188 None 122.047 122.062 122.031 None 122.062 0.140625 -0.015625 0 NaN NaN -0.015625 129 DOW caleb_strategy_v1 [1] 32127 None 32466.5 32469 32464 None 32473 -339.5 -2.5 -4 NaN NaN -6.5 135 DOW caleb_strategy_v1 [1] 32127 None 32472 32478 32466 None 32476 -345 -6 2 NaN NaN -4 136 US5 caleb_strategy_v1 [-1] 107.305 None 107.086 107.078 107.094 None 107.117 -0.21875 -0.0078125 0.039063 NaN NaN 0.0312505 132 US5 caleb_strategy_v1 [-1] 107.305 None 107.082 107.078 107.086 None 107.078 -0.222656 -0.00390625 -0 NaN NaN -0.00390625 137 RUSSELL caleb_strategy_v1 [1] 1811.4 None 1826.2 1826.8 1825.6 None 1827.6 -14.8 -0.6 -0.8 NaN NaN -1.4 134 RUSSELL caleb_strategy_v1 [1] 1811.4 None 1826.2 1827 1825.4 None 1826.8 -14.8 -0.8 0.2 NaN NaN -0.6 138 SOYMEAL caleb_strategy_v1 [-1] 399.5 None 398.65 398.5 398.8 None 398.6 -0.85 -0.15 0.1 NaN NaN -0.05 139 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] -1.875 None -2 -1.975 -2.025 None -1.975 0.125 -0.025 -5.77316e-15 NaN NaN -0.025 140 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] -1.875 None -2.5 -2.5 -2.5 None -1.975 0.625 0 -0.525 NaN NaN -0.525 ======================================================================================================================================================================= 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 124 BOBL caleb_strategy_v1 [1] 7.37592 -1071.05 -13.5576 13.5576 NaN NaN 0 125 BUXL caleb_strategy_v1 [1] 40.329 503.36 -7.43881 -14.8776 NaN NaN -22.3164 126 CRUDE_W caleb_strategy_v1 [1] 28.0927 194 -5.33946 -3.55964 NaN NaN -8.8991 127 GOLD_micro caleb_strategy_v1 [1] 264.256 514.653 -3.78421 0 NaN NaN -3.78421 128 GAS_US caleb_strategy_v1 [1] 3.98817 463.872 -5.01483 0 NaN NaN -5.01483 130 US30 caleb_strategy_v1 [-1] 26.7705 -35.0199 -11.6733 -0 NaN NaN -11.6733 131 NASDAQ caleb_strategy_v1 [-1] 3794 279.718 -2.30627 -4.61254 NaN NaN -6.91881 133 US20 caleb_strategy_v1 [1] 18.0508 77.9051 -8.65612 0 NaN NaN -8.65612 129 DOW caleb_strategy_v1 [1] 6486.12 -523.425 -3.85438 -6.16701 NaN NaN -10.0214 135 DOW caleb_strategy_v1 [1] 6486.12 -531.905 -9.25052 3.08351 NaN NaN -6.16701 136 US5 caleb_strategy_v1 [-1] 6.22192 -351.58 -12.5564 62.7829 NaN NaN 50.2265 132 US5 caleb_strategy_v1 [-1] 6.22192 -357.858 -6.27821 -0 NaN NaN -6.27821 137 RUSSELL caleb_strategy_v1 [1] 517.533 -285.972 -11.5935 -15.458 NaN NaN -27.0514 134 RUSSELL caleb_strategy_v1 [1] 517.533 -285.972 -15.458 3.86449 NaN NaN -11.5935 138 SOYMEAL caleb_strategy_v1 [-1] 96.0233 -88.5202 -15.6212 10.4141 NaN NaN -5.20707 139 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 23.2399 53.7868 -10.7574 -2.48416e-12 NaN NaN -10.7574 140 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 23.2399 268.934 0 -225.905 NaN NaN -225.905 ================================================================================================================================================================================== 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 124 BOBL caleb_strategy_v1 [1] 995.58 -786.508 -9.9558 9.9558 NaN NaN 0 125 BUXL caleb_strategy_v1 [1] 995.58 2021.03 -29.8674 -59.7348 NaN NaN -89.6022 126 CRUDE_W caleb_strategy_v1 [1] 1000 545 -15 -10 NaN NaN -25 127 GOLD_micro caleb_strategy_v1 [1] 10 136 -1 0 NaN NaN -1 128 GAS_US caleb_strategy_v1 [1] 10000 1850 -20 0 NaN NaN -20 130 US30 caleb_strategy_v1 [-1] 1000 -93.75 -31.25 -0 NaN NaN -31.25 131 NASDAQ caleb_strategy_v1 [-1] 20 2122.5 -17.5 -35 NaN NaN -52.5 133 US20 caleb_strategy_v1 [1] 1000 140.625 -15.625 0 NaN NaN -15.625 129 DOW caleb_strategy_v1 [1] 0.5 -169.75 -1.25 -2 NaN NaN -3.25 135 DOW caleb_strategy_v1 [1] 0.5 -172.5 -3 1 NaN NaN -2 136 US5 caleb_strategy_v1 [-1] 1000 -218.75 -7.8125 39.063 NaN NaN 31.2505 132 US5 caleb_strategy_v1 [-1] 1000 -222.656 -3.90625 -0 NaN NaN -3.90625 137 RUSSELL caleb_strategy_v1 [1] 5 -74 -3 -4 NaN NaN -7 134 RUSSELL caleb_strategy_v1 [1] 5 -74 -4 1 NaN NaN -3 138 SOYMEAL caleb_strategy_v1 [-1] 100 -85 -15 10 NaN NaN -5 139 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 500 62.5 -12.5 -2.88658e-12 NaN NaN -12.5 140 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 500 312.5 0 -262.5 NaN NaN -262.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 375.00000 caleb_strategy_v1 BOBL -786.50820 BUXL 2021.02740 CRUDE_W 545.00000 DOW -342.25000 GAS_US 1850.00000 GOLD_micro 136.00000 NASDAQ 2122.50000 RUSSELL -148.00000 SOYMEAL -85.00000 US20 140.62500 US30 -93.75000 US5 -441.40625 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 375.00000 caleb_strategy_v1 4918.23795 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -12.50000 caleb_strategy_v1 BOBL -9.95580 BUXL -29.86740 CRUDE_W -15.00000 DOW -4.25000 GAS_US -20.00000 GOLD_micro -1.00000 NASDAQ -17.50000 RUSSELL -7.00000 SOYMEAL -15.00000 US20 -15.62500 US30 -31.25000 US5 -11.71875 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -12.50000 caleb_strategy_v1 -178.16695 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -262.5000 caleb_strategy_v1 BOBL 9.9558 BUXL -59.7348 CRUDE_W -10.0000 DOW -1.0000 GAS_US 0.0000 GOLD_micro 0.0000 NASDAQ -35.0000 RUSSELL -3.0000 SOYMEAL 10.0000 US20 0.0000 US30 -0.0000 US5 39.0630 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -262.500 caleb_strategy_v1 -49.716 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 0 caleb_strategy_v1 BOBL 0 BUXL 0 CRUDE_W 0 DOW 0 GAS_US 0 GOLD_micro 0 NASDAQ 0 RUSSELL 0 SOYMEAL 0 US20 0 US30 0 US5 0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v1 0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 0 caleb_strategy_v1 BOBL 0 BUXL 0 CRUDE_W 0 DOW 0 GAS_US 0 GOLD_micro 0 NASDAQ 0 RUSSELL 0 SOYMEAL 0 US20 0 US30 0 US5 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v1 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -275.00000 caleb_strategy_v1 BOBL 0.00000 BUXL -89.60220 CRUDE_W -25.00000 DOW -5.25000 GAS_US -20.00000 GOLD_micro -1.00000 NASDAQ -52.50000 RUSSELL -10.00000 SOYMEAL -5.00000 US20 -15.62500 US30 -31.25000 US5 27.34425 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -275.00000 caleb_strategy_v1 -227.88295 ******************************************************************************** END OF REPORT ********************************************************************************