******************************************************************************** Trades report report produced on 08/11/2022 21:35 from 07/11/2022 21:35 to 08/11/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 208 AUD caleb_strategy_v1 [20221200] 2022-11-08 15:00:05 [1] 0.649300 199 CAC caleb_strategy_v1 [20221100] 2022-11-08 12:51:04 [1] 6420.000000 213 CORN caleb_strategy_v1 [20231200] 2022-11-08 15:30:03 [1] 623.750000 207 DOW caleb_strategy_v1 [20221200] 2022-11-08 15:00:03 [1] 33013.000000 200 GASOIL caleb_strategy_v1 [20221200] 2022-11-08 12:51:10 [-1] 1046.000000 201 GOLD_micro caleb_strategy_v1 [20221200] 2022-11-08 14:00:00 [1] 1675.600000 202 GOLD_micro caleb_strategy_v1 [20221200] 2022-11-08 14:00:03 [1] 1675.600000 203 JPY caleb_strategy_v1 [20221200] 2022-11-08 15:00:00 [-1] 0.006886 211 LEANHOG caleb_strategy_v1 [20230200] 2022-11-08 15:30:00 [-1] 88.750000 216 LIVECOW caleb_strategy_v1 [20230200] 2022-11-08 15:30:07 [-1] 154.825000 214 LIVECOW caleb_strategy_v1 [20230200] 2022-11-08 15:30:03 [-1] 154.825000 206 RUSSELL caleb_strategy_v1 [20221200] 2022-11-08 15:00:02 [-1] 1809.800000 215 SOYMEAL caleb_strategy_v1 [20230300] 2022-11-08 15:30:05 [1] 407.600000 212 SOYOIL caleb_strategy_v1 [20230300] 2022-11-08 15:30:02 [1] 71.510000 204 US30 caleb_strategy_v1 [20221200] 2022-11-08 15:00:01 [-1] 125.968750 205 US5 caleb_strategy_v1 [20221200] 2022-11-08 15:00:02 [-1] 106.140625 209 VIX caleb_strategy_v1 [20230200] 2022-11-08 15:00:06 [-1] 26.850000 210 VIX caleb_strategy_v1 [20230200] 2022-11-08 15:00:08 [-1] 26.850000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 199 CAC caleb_strategy_v1 2022-11-07 2022-11-08 12:50:53.746 2022-11-08 12:51:04 132654 10.254 200 GASOIL caleb_strategy_v1 2022-11-07 2022-11-08 12:51:05.935 2022-11-08 12:51:10 132666 4.065 201 GOLD_micro caleb_strategy_v1 2022-11-07 2022-11-08 14:00:00.818 2022-11-08 14:00:00 136801 NaN 202 GOLD_micro caleb_strategy_v1 2022-11-07 2022-11-08 14:00:03.115 2022-11-08 14:00:03 136803 NaN 203 JPY caleb_strategy_v1 2022-11-07 2022-11-08 15:00:00.516 2022-11-08 15:00:00 140401 NaN 204 US30 caleb_strategy_v1 2022-11-07 2022-11-08 15:00:01.134 2022-11-08 15:00:01 140401 NaN 205 US5 caleb_strategy_v1 2022-11-07 2022-11-08 15:00:01.929 2022-11-08 15:00:02 140402 0.071 206 RUSSELL caleb_strategy_v1 2022-11-07 2022-11-08 15:00:02.783 2022-11-08 15:00:02 140403 NaN 207 DOW caleb_strategy_v1 2022-11-07 2022-11-08 15:00:03.625 2022-11-08 15:00:03 140404 NaN 208 AUD caleb_strategy_v1 2022-11-07 2022-11-08 15:00:05.327 2022-11-08 15:00:05 140405 NaN 209 VIX caleb_strategy_v1 2022-11-07 2022-11-08 15:00:06.809 2022-11-08 15:00:06 140407 NaN 210 VIX caleb_strategy_v1 2022-11-07 2022-11-08 15:00:08.494 2022-11-08 15:00:08 140408 NaN 211 LEANHOG caleb_strategy_v1 2022-11-07 2022-11-08 15:30:00.517 2022-11-08 15:30:00 142201 NaN 212 SOYOIL caleb_strategy_v1 2022-11-07 2022-11-08 15:30:01.221 2022-11-08 15:30:02 142201 0.779 213 CORN caleb_strategy_v1 2022-11-07 2022-11-08 15:30:02.959 2022-11-08 15:30:03 142203 0.041 215 SOYMEAL caleb_strategy_v1 2022-11-07 2022-11-08 15:30:04.512 2022-11-08 15:30:05 142205 0.488 216 LIVECOW caleb_strategy_v1 2022-11-07 2022-11-08 15:30:07.012 2022-11-08 15:30:07 142207 NaN 214 LIVECOW caleb_strategy_v1 2022-11-07 2022-11-08 15:30:03.749 2022-11-08 15:30:03 142204 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 199 CAC caleb_strategy_v1 [1] 6427 None 6420.25 6420.5 6420 6420 6420 6.75 -0.25 0.5 0 NaN 0.25 200 GASOIL caleb_strategy_v1 [-1] 1042.75 None 1045.75 1045.5 1046 1046 1046 3 -0.25 0.5 -0 NaN 0.25 201 GOLD_micro caleb_strategy_v1 [1] 1679.2 None 1675.55 1675.6 1675.5 NaN 1675.6 3.65 -0.05 0 NaN NaN -0.05 202 GOLD_micro caleb_strategy_v1 [1] 1679.2 None 1675.55 1675.6 1675.5 NaN 1675.6 3.65 -0.05 0 NaN NaN -0.05 203 JPY caleb_strategy_v1 [-1] 0.0068575 None 0.00688575 0.0068855 0.006886 NaN 0.006886 2.825e-05 -2.5e-07 5e-07 NaN NaN 2.5e-07 204 US30 caleb_strategy_v1 [-1] 125.125 None 125.984 125.969 126 NaN 125.969 0.859375 -0.015625 -0 NaN NaN -0.015625 205 US5 caleb_strategy_v1 [-1] 105.938 None 106.145 106.141 106.148 NaN 106.141 0.207031 -0.00390625 -0 NaN NaN -0.00390625 206 RUSSELL caleb_strategy_v1 [-1] 1815.3 None 1809.8 1809.7 1809.9 NaN 1809.8 -5.5 -0.1 0.1 NaN NaN -2.27374e-13 207 DOW caleb_strategy_v1 [1] 32826 None 33011.5 33012 33011 NaN 33013 -185.5 -0.5 -1 NaN NaN -1.5 208 AUD caleb_strategy_v1 [1] 0.6487 None 0.649275 0.6493 0.64925 NaN 0.6493 -0.000575 -2.5e-05 0 NaN NaN -2.5e-05 209 VIX caleb_strategy_v1 [-1] 26.8 None 26.875 26.85 26.9 NaN 26.85 0.075 -0.025 -0 NaN NaN -0.025 210 VIX caleb_strategy_v1 [-1] 26.8 None 26.875 26.85 26.9 NaN 26.85 0.075 -0.025 -0 NaN NaN -0.025 211 LEANHOG caleb_strategy_v1 [-1] 89.05 None 88.7625 88.75 88.775 NaN 88.75 -0.2875 -0.0125 -0 NaN NaN -0.0125 212 SOYOIL caleb_strategy_v1 [1] 71.88 None 71.5 71.51 71.49 NaN 71.51 0.38 -0.01 0 NaN NaN -0.01 213 CORN caleb_strategy_v1 [1] 623.25 None 623.625 623.75 623.5 NaN 623.75 -0.375 -0.125 0 NaN NaN -0.125 215 SOYMEAL caleb_strategy_v1 [1] 404.2 None 407.55 407.6 407.5 NaN 407.6 -3.35 -0.05 0 NaN NaN -0.05 216 LIVECOW caleb_strategy_v1 [-1] 155.025 None 154.925 155 154.85 NaN 154.825 -0.1 0.075 -0.175 NaN NaN -0.1 214 LIVECOW caleb_strategy_v1 [-1] 155.025 None 154.837 154.825 154.85 NaN 154.825 -0.1875 -0.0125 -0 NaN NaN -0.0125 ================================================================================================================================================================ 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 199 CAC caleb_strategy_v1 [1] 1179.47 57.229 -2.11959 4.23918 0 NaN 2.11959 200 GASOIL caleb_strategy_v1 [-1] 386.042 77.7117 -6.47598 12.952 -0 NaN 6.47598 201 GOLD_micro caleb_strategy_v1 [1] 296.672 123.032 -1.68536 0 NaN NaN -1.68536 202 GOLD_micro caleb_strategy_v1 [1] 296.672 123.032 -1.68536 0 NaN NaN -1.68536 203 JPY caleb_strategy_v1 [-1] 0.000747316 378.019 -3.34531 6.69061 NaN NaN 3.34531 204 US30 caleb_strategy_v1 [-1] 25.4768 337.316 -6.13302 -0 NaN NaN -6.13302 205 US5 caleb_strategy_v1 [-1] 5.65382 366.18 -6.90905 -0 NaN NaN -6.90905 206 RUSSELL caleb_strategy_v1 [-1] 496.24 -110.834 -2.01516 2.01516 NaN NaN -4.58193e-12 207 DOW caleb_strategy_v1 [1] 6246.03 -296.988 -0.800508 -1.60102 NaN NaN -2.40152 208 AUD caleb_strategy_v1 [1] 0.103878 -55.3534 -2.40667 0 NaN NaN -2.40667 209 VIX caleb_strategy_v1 [-1] 9.03844 82.979 -27.6597 -0 NaN NaN -27.6597 210 VIX caleb_strategy_v1 [-1] 9.03844 82.979 -27.6597 -0 NaN NaN -27.6597 211 LEANHOG caleb_strategy_v1 [-1] 23.9159 -120.213 -5.22664 -0 NaN NaN -5.22664 212 SOYOIL caleb_strategy_v1 [1] 18.2289 208.46 -5.48578 0 NaN NaN -5.48578 213 CORN caleb_strategy_v1 [1] 98.4565 -38.0879 -12.696 0 NaN NaN -12.696 215 SOYMEAL caleb_strategy_v1 [1] 91.3327 -366.791 -5.47449 0 NaN NaN -5.47449 216 LIVECOW caleb_strategy_v1 [-1] 13.5371 -73.871 55.4033 -129.274 NaN NaN -73.871 214 LIVECOW caleb_strategy_v1 [-1] 13.5371 -138.508 -9.23388 -0 NaN NaN -9.23388 =========================================================================================================================================================================== 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 199 CAC caleb_strategy_v1 [1] 10.0764 68.0157 -2.5191 5.0382 0 NaN 2.5191 200 GASOIL caleb_strategy_v1 [-1] 100 300 -25 50 -0 NaN 25 201 GOLD_micro caleb_strategy_v1 [1] 10 36.5 -0.5 0 NaN NaN -0.5 202 GOLD_micro caleb_strategy_v1 [1] 10 36.5 -0.5 0 NaN NaN -0.5 203 JPY caleb_strategy_v1 [-1] 1.25e+07 353.125 -3.125 6.25 NaN NaN 3.125 204 US30 caleb_strategy_v1 [-1] 1000 859.375 -15.625 -0 NaN NaN -15.625 205 US5 caleb_strategy_v1 [-1] 1000 207.031 -3.90625 -0 NaN NaN -3.90625 206 RUSSELL caleb_strategy_v1 [-1] 5 -27.5 -0.5 0.5 NaN NaN -1.13687e-12 207 DOW caleb_strategy_v1 [1] 0.5 -92.75 -0.25 -0.5 NaN NaN -0.75 208 AUD caleb_strategy_v1 [1] 100000 -57.5 -2.5 0 NaN NaN -2.5 209 VIX caleb_strategy_v1 [-1] 1000 75 -25 -0 NaN NaN -25 210 VIX caleb_strategy_v1 [-1] 1000 75 -25 -0 NaN NaN -25 211 LEANHOG caleb_strategy_v1 [-1] 400 -115 -5 -0 NaN NaN -5 212 SOYOIL caleb_strategy_v1 [1] 600 228 -6 0 NaN NaN -6 213 CORN caleb_strategy_v1 [1] 50 -18.75 -6.25 0 NaN NaN -6.25 215 SOYMEAL caleb_strategy_v1 [1] 100 -335 -5 0 NaN NaN -5 216 LIVECOW caleb_strategy_v1 [-1] 400 -40 30 -70 NaN NaN -40 214 LIVECOW caleb_strategy_v1 [-1] 400 -75 -5 -0 NaN NaN -5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 AUD -57.50000 CAC 68.01570 CORN -18.75000 DOW -92.75000 GASOIL 300.00000 GOLD_micro 73.00000 JPY 353.12500 LEANHOG -115.00000 LIVECOW -115.00000 RUSSELL -27.50000 SOYMEAL -335.00000 SOYOIL 228.00000 US30 859.37500 US5 207.03125 VIX 150.00000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 1477.04695 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 AUD -2.50000 CAC -2.51910 CORN -6.25000 DOW -0.25000 GASOIL -25.00000 GOLD_micro -1.00000 JPY -3.12500 LEANHOG -5.00000 LIVECOW 25.00000 RUSSELL -0.50000 SOYMEAL -5.00000 SOYOIL -6.00000 US30 -15.62500 US5 -3.90625 VIX -50.00000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -101.67535 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 AUD 0.0000 CAC 5.0382 CORN 0.0000 DOW -0.5000 GASOIL 50.0000 GOLD_micro 0.0000 JPY 6.2500 LEANHOG -0.0000 LIVECOW -70.0000 RUSSELL 0.5000 SOYMEAL 0.0000 SOYOIL 0.0000 US30 -0.0000 US5 -0.0000 VIX -0.0000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -8.7118 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 AUD 0.0 CAC 0.0 CORN 0.0 DOW 0.0 GASOIL -0.0 GOLD_micro 0.0 JPY 0.0 LEANHOG 0.0 LIVECOW 0.0 RUSSELL 0.0 SOYMEAL 0.0 SOYOIL 0.0 US30 0.0 US5 0.0 VIX 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 0.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 AUD 0 CAC 0 CORN 0 DOW 0 GASOIL 0 GOLD_micro 0 JPY 0 LEANHOG 0 LIVECOW 0 RUSSELL 0 SOYMEAL 0 SOYOIL 0 US30 0 US5 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 AUD -2.500000e+00 CAC 2.519100e+00 CORN -6.250000e+00 DOW -7.500000e-01 GASOIL 2.500000e+01 GOLD_micro -1.000000e+00 JPY 3.125000e+00 LEANHOG -5.000000e+00 LIVECOW -4.500000e+01 RUSSELL -1.136868e-12 SOYMEAL -5.000000e+00 SOYOIL -6.000000e+00 US30 -1.562500e+01 US5 -3.906250e+00 VIX -5.000000e+01 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -110.38715 ******************************************************************************** END OF REPORT ********************************************************************************