******************************************************************************** Trades report report produced on 14/11/2022 21:35 from 13/11/2022 21:35 to 14/11/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 231 BTP caleb_strategy_v1 [20221200] 2022-11-14 08:00:02 [1] 115.770000 238 DOW caleb_strategy_v1 [20221200] 2022-11-14 15:00:04 [1] 33787.000000 233 GOLD_micro caleb_strategy_v1 [20221200] 2022-11-14 14:00:01 [1] 1767.300000 230 NIKKEI caleb_strategy_v1 [20221200] 2022-11-14 03:01:08 [-1] 28060.000000 246 REDWHEAT caleb_strategy_v1 [20230300] 2022-11-14 15:30:02 [-1] 949.750000 232 ROBUSTA caleb_strategy_v1 [20230100] 2022-11-14 10:00:02 [1] 1814.000000 245 SOYOIL caleb_strategy_v1 [20230300] 2022-11-14 15:30:00 [-1] 72.240000 236 US10U caleb_strategy_v1 [20221200] 2022-11-14 15:00:02 [-1] 117.875000 242 US10U caleb_strategy_v1 [20221200] 2022-11-14 15:00:07 [1] 117.890625 235 US20 caleb_strategy_v1 [20221200] 2022-11-14 15:00:01 [-1] 123.562500 240 US30 caleb_strategy_v1 [20221200] 2022-11-14 15:00:06 [-1] 130.656250 234 US30 caleb_strategy_v1 [20221200] 2022-11-14 15:00:01 [1] 130.687500 243 US30 caleb_strategy_v1 [20221200] 2022-11-14 15:00:09 [1] 130.687500 244 US30 caleb_strategy_v1 [20221200] 2022-11-14 15:00:12 [1] 130.656250 237 US5 caleb_strategy_v1 [20221200] 2022-11-14 15:00:03 [1] 107.632813 241 US5 caleb_strategy_v1 [20221200] 2022-11-14 15:00:07 [-1] 107.625000 239 VIX caleb_strategy_v1 [20230200] 2022-11-14 15:00:06 [-1] 27.300000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 230 NIKKEI caleb_strategy_v1 2022-09-30 2022-11-14 03:00:40.079 2022-11-14 03:01:08 3.89884e+06 27.921 231 BTP caleb_strategy_v1 2022-11-10 2022-11-14 08:00:01.983 2022-11-14 08:00:02 374402 0.017 232 ROBUSTA caleb_strategy_v1 2022-11-10 2022-11-14 10:00:02.678 2022-11-14 10:00:02 381603 NaN 233 GOLD_micro caleb_strategy_v1 2022-11-10 2022-11-14 14:00:01.404 2022-11-14 14:00:01 396001 NaN 235 US20 caleb_strategy_v1 2022-11-10 2022-11-14 15:00:01.743 2022-11-14 15:00:01 399602 NaN 236 US10U caleb_strategy_v1 2022-11-10 2022-11-14 15:00:02.669 2022-11-14 15:00:02 399603 NaN 237 US5 caleb_strategy_v1 2022-11-10 2022-11-14 15:00:03.427 2022-11-14 15:00:03 399603 NaN 238 DOW caleb_strategy_v1 2022-11-10 2022-11-14 15:00:04.253 2022-11-14 15:00:04 399604 NaN 239 VIX caleb_strategy_v1 2022-11-10 2022-11-14 15:00:06.003 2022-11-14 15:00:06 399606 NaN 240 US30 caleb_strategy_v1 2022-11-10 2022-11-14 15:00:06.559 2022-11-14 15:00:06 399607 NaN 241 US5 caleb_strategy_v1 2022-11-10 2022-11-14 15:00:07.260 2022-11-14 15:00:07 399607 NaN 242 US10U caleb_strategy_v1 2022-11-10 2022-11-14 15:00:07.821 2022-11-14 15:00:07 399608 NaN 234 US30 caleb_strategy_v1 2022-11-10 2022-11-14 15:00:00.958 2022-11-14 15:00:01 399601 0.042 243 US30 caleb_strategy_v1 2022-11-10 2022-11-14 15:00:09.457 2022-11-14 15:00:09 399609 NaN 244 US30 caleb_strategy_v1 2022-11-10 2022-11-14 15:00:12.214 2022-11-14 15:00:12 399612 NaN 245 SOYOIL caleb_strategy_v1 2022-11-10 2022-11-14 15:30:00.923 2022-11-14 15:30:00 401401 NaN 246 REDWHEAT caleb_strategy_v1 2022-11-10 2022-11-14 15:30:02.768 2022-11-14 15:30:02 401403 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 230 NIKKEI caleb_strategy_v1 [-1] 25975 None 28057.5 28055 28060 28060 28060 2082.5 -2.5 5 -0 NaN 2.5 231 BTP caleb_strategy_v1 [1] 117.5 None 115.755 115.76 115.75 NaN 115.77 1.745 -0.005 -0.01 NaN NaN -0.015 232 ROBUSTA caleb_strategy_v1 [1] 1825 None 1813 1814 1812 NaN 1814 12 -1 0 NaN NaN -1 233 GOLD_micro caleb_strategy_v1 [1] 1757 None 1767.2 1767.3 1767.1 NaN 1767.3 -10.2 -0.1 0 NaN NaN -0.1 235 US20 caleb_strategy_v1 [-1] 124.094 None 123.578 123.562 123.594 NaN 123.562 -0.515625 -0.015625 -0 NaN NaN -0.015625 236 US10U caleb_strategy_v1 [-1] 118.297 None 117.883 117.875 117.891 NaN 117.875 -0.414062 -0.0078125 -0 NaN NaN -0.0078125 237 US5 caleb_strategy_v1 [1] 107.906 None 107.629 107.633 107.625 NaN 107.633 0.277344 -0.00390625 -5e-07 NaN NaN -0.00390675 238 DOW caleb_strategy_v1 [1] 33624 None 33786.5 33787 33786 NaN 33787 -162.5 -0.5 0 NaN NaN -0.5 239 VIX caleb_strategy_v1 [-1] 27.1 None 27.325 27.3 27.35 NaN 27.3 0.225 -0.025 -0 NaN NaN -0.025 240 US30 caleb_strategy_v1 [-1] 130.906 None 130.672 130.656 130.688 NaN 130.656 -0.234375 -0.015625 -0 NaN NaN -0.015625 241 US5 caleb_strategy_v1 [-1] 107.906 None 107.629 107.625 107.633 NaN 107.625 -0.277344 -0.00390625 -0 NaN NaN -0.00390625 242 US10U caleb_strategy_v1 [1] 118.297 None 117.883 117.891 117.875 NaN 117.891 0.414062 -0.0078125 0 NaN NaN -0.0078125 234 US30 caleb_strategy_v1 [1] 130.906 None 130.672 130.688 130.656 NaN 130.688 0.234375 -0.015625 0 NaN NaN -0.015625 243 US30 caleb_strategy_v1 [1] 130.906 None 130.672 130.688 130.656 NaN 130.688 0.234375 -0.015625 0 NaN NaN -0.015625 244 US30 caleb_strategy_v1 [1] 130.906 None 130.672 130.688 130.656 NaN 130.656 0.234375 -0.015625 0.03125 NaN NaN 0.015625 245 SOYOIL caleb_strategy_v1 [-1] 71.26 None 72.255 72.24 72.27 NaN 72.24 0.995 -0.015 -0 NaN NaN -0.015 246 REDWHEAT caleb_strategy_v1 [-1] 919.5 None 950 949.75 950.25 NaN 949.75 30.5 -0.25 -0 NaN NaN -0.25 ================================================================================================================================================================ 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 230 NIKKEI caleb_strategy_v1 [-1] 5096.25 4086.34 -4.90557 9.81114 -0 NaN 4.90557 231 BTP caleb_strategy_v1 [1] 18.5725 939.562 -2.69215 -5.38431 NaN NaN -8.07646 232 ROBUSTA caleb_strategy_v1 [1] 416.797 287.91 -23.9925 0 NaN NaN -23.9925 233 GOLD_micro caleb_strategy_v1 [1] 319.816 -318.934 -3.1268 0 NaN NaN -3.1268 235 US20 caleb_strategy_v1 [-1] 19.4344 -265.315 -8.03985 -0 NaN NaN -8.03985 236 US10U caleb_strategy_v1 [-1] 13.5846 -304.802 -5.75098 -0 NaN NaN -5.75098 237 US5 caleb_strategy_v1 [1] 6.60097 420.156 -5.91769 -0.000757465 NaN NaN -5.91845 238 DOW caleb_strategy_v1 [1] 6934.75 -234.327 -0.721007 0 NaN NaN -0.721007 239 VIX caleb_strategy_v1 [-1] 9.06432 248.226 -27.5807 -0 NaN NaN -27.5807 240 US30 caleb_strategy_v1 [-1] 27.9655 -83.8086 -5.58724 -0 NaN NaN -5.58724 241 US5 caleb_strategy_v1 [-1] 6.60097 -420.156 -5.91769 -0 NaN NaN -5.91769 242 US10U caleb_strategy_v1 [1] 13.5846 304.802 -5.75098 0 NaN NaN -5.75098 234 US30 caleb_strategy_v1 [1] 27.9655 83.8086 -5.58724 0 NaN NaN -5.58724 243 US30 caleb_strategy_v1 [1] 27.9655 83.8086 -5.58724 0 NaN NaN -5.58724 244 US30 caleb_strategy_v1 [1] 27.9655 83.8086 -5.58724 11.1745 NaN NaN 5.58724 245 SOYOIL caleb_strategy_v1 [-1] 17.2558 576.618 -8.69273 -0 NaN NaN -8.69273 246 REDWHEAT caleb_strategy_v1 [-1] 313.015 974.393 -7.98683 -0 NaN NaN -7.98683 =========================================================================================================================================================================== 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 230 NIKKEI caleb_strategy_v1 [-1] 0.713173 1485.18 -1.78293 3.56586 -0 NaN 1.78293 231 BTP caleb_strategy_v1 [1] 1031.73 1800.37 -5.15865 -10.3173 NaN NaN -15.476 232 ROBUSTA caleb_strategy_v1 [1] 10 120 -10 0 NaN NaN -10 233 GOLD_micro caleb_strategy_v1 [1] 10 -102 -1 0 NaN NaN -1 235 US20 caleb_strategy_v1 [-1] 1000 -515.625 -15.625 -0 NaN NaN -15.625 236 US10U caleb_strategy_v1 [-1] 1000 -414.062 -7.8125 -0 NaN NaN -7.8125 237 US5 caleb_strategy_v1 [1] 1000 277.344 -3.90625 -0.0005 NaN NaN -3.90675 238 DOW caleb_strategy_v1 [1] 0.5 -81.25 -0.25 0 NaN NaN -0.25 239 VIX caleb_strategy_v1 [-1] 1000 225 -25 -0 NaN NaN -25 240 US30 caleb_strategy_v1 [-1] 1000 -234.375 -15.625 -0 NaN NaN -15.625 241 US5 caleb_strategy_v1 [-1] 1000 -277.344 -3.90625 -0 NaN NaN -3.90625 242 US10U caleb_strategy_v1 [1] 1000 414.062 -7.8125 0 NaN NaN -7.8125 234 US30 caleb_strategy_v1 [1] 1000 234.375 -15.625 0 NaN NaN -15.625 243 US30 caleb_strategy_v1 [1] 1000 234.375 -15.625 0 NaN NaN -15.625 244 US30 caleb_strategy_v1 [1] 1000 234.375 -15.625 31.25 NaN NaN 15.625 245 SOYOIL caleb_strategy_v1 [-1] 600 597 -9 -0 NaN NaN -9 246 REDWHEAT caleb_strategy_v1 [-1] 50 1525 -12.5 -0 NaN NaN -12.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BTP 1800.368850 DOW -81.250000 GOLD_micro -102.000000 NIKKEI 1485.182055 REDWHEAT 1525.000000 ROBUSTA 120.000000 SOYOIL 597.000000 US10U 0.000000 US20 -515.625000 US30 468.750000 US5 0.000000 VIX 225.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 5522.425905 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BTP -5.158650 DOW -0.250000 GOLD_micro -1.000000 NIKKEI -1.782932 REDWHEAT -12.500000 ROBUSTA -10.000000 SOYOIL -9.000000 US10U -15.625000 US20 -15.625000 US30 -62.500000 US5 -7.812500 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -166.254082 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BTP -10.317300 DOW 0.000000 GOLD_micro 0.000000 NIKKEI 3.565863 REDWHEAT -0.000000 ROBUSTA 0.000000 SOYOIL -0.000000 US10U 0.000000 US20 -0.000000 US30 31.250000 US5 -0.000500 VIX -0.000000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 24.498063 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BTP 0.0 DOW 0.0 GOLD_micro 0.0 NIKKEI -0.0 REDWHEAT 0.0 ROBUSTA 0.0 SOYOIL 0.0 US10U 0.0 US20 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 BTP 0 DOW 0 GOLD_micro 0 NIKKEI 0 REDWHEAT 0 ROBUSTA 0 SOYOIL 0 US10U 0 US20 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 BTP -15.475950 DOW -0.250000 GOLD_micro -1.000000 NIKKEI 1.782932 REDWHEAT -12.500000 ROBUSTA -10.000000 SOYOIL -9.000000 US10U -15.625000 US20 -15.625000 US30 -31.250000 US5 -7.813000 VIX -25.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -141.756018 ******************************************************************************** END OF REPORT ********************************************************************************