******************************************************************************** Trades report report produced on 15/11/2022 21:35 from 14/11/2022 21:35 to 15/11/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 249 DOW caleb_strategy_v1 [20221200] 2022-11-15 15:18:12 [1] 33836.000000 247 EUROSTX caleb_strategy_v1 [20221200] 2022-11-15 08:03:01 [-1] 3901.000000 248 SUGAR11 caleb_strategy_v1 [20230300] 2022-11-15 14:19:04 [1] 0.198900 250 US30 caleb_strategy_v1 [20221200] 2022-11-15 15:18:12 [1] 131.875000 252 US5 caleb_strategy_v1 [20221200] 2022-11-15 15:22:35 [1] 107.992188 251 VIX caleb_strategy_v1 [20230200] 2022-11-15 15:20:24 [-1] 27.300000 253 VIX caleb_strategy_v1 [20230200] 2022-11-15 15:24:48 [-1] 27.250000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 247 EUROSTX caleb_strategy_v1 2022-11-14 2022-11-15 08:03:00.447 2022-11-15 08:03:01 115380 0.553 248 SUGAR11 caleb_strategy_v1 2022-11-14 2022-11-15 14:19:04.150 2022-11-15 14:19:04 137944 NaN 249 DOW caleb_strategy_v1 2022-11-14 2022-11-15 15:18:12.253 2022-11-15 15:18:12 141492 NaN 250 US30 caleb_strategy_v1 2022-11-14 2022-11-15 15:18:12.783 2022-11-15 15:18:12 141493 NaN 252 US5 caleb_strategy_v1 2022-11-14 2022-11-15 15:22:35.422 2022-11-15 15:22:35 141755 NaN 251 VIX caleb_strategy_v1 2022-11-14 2022-11-15 15:20:24.224 2022-11-15 15:20:24 141624 NaN 253 VIX caleb_strategy_v1 2022-11-14 2022-11-15 15:24:48.016 2022-11-15 15:24:48 141888 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 247 EUROSTX caleb_strategy_v1 [-1] 3893 None 3901.5 3901 3902 None 3901 8.5 -0.5 -0 NaN NaN -0.5 248 SUGAR11 caleb_strategy_v1 [1] 0.1981 None 0.19885 0.1989 0.1988 None 0.1989 -0.00075 -5e-05 0 NaN NaN -5e-05 249 DOW caleb_strategy_v1 [1] 33864 None 33834 33835 33833 None 33836 30 -1 -1 NaN NaN -2 250 US30 caleb_strategy_v1 [1] 130.031 None 131.859 131.875 131.844 None 131.875 -1.82812 -0.015625 0 NaN NaN -0.015625 252 US5 caleb_strategy_v1 [1] 107.641 None 107.988 107.992 107.984 None 107.992 -0.347656 -0.00390625 -5e-07 NaN NaN -0.00390675 251 VIX caleb_strategy_v1 [-1] 27.4 None 27.325 27.3 27.35 None 27.3 -0.075 -0.025 -0 NaN NaN -0.025 253 VIX caleb_strategy_v1 [-1] 27.4 None 27.325 27.3 27.35 None 27.25 -0.075 -0.025 -0.05 NaN NaN -0.075 ================================================================================================================================================================ 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 247 EUROSTX caleb_strategy_v1 [-1] 691.974 122.837 -7.22571 -0 NaN NaN -7.22571 248 SUGAR11 caleb_strategy_v1 [1] 0.0382787 -195.932 -13.0621 0 NaN NaN -13.0621 249 DOW caleb_strategy_v1 [1] 6827.33 43.9411 -1.4647 -1.4647 NaN NaN -2.9294 250 US30 caleb_strategy_v1 [1] 27.7 -659.973 -5.6408 0 NaN NaN -5.6408 252 US5 caleb_strategy_v1 [1] 6.47666 -536.783 -6.03127 -0.000772002 NaN NaN -6.03204 251 VIX caleb_strategy_v1 [-1] 8.9103 -84.1722 -28.0574 -0 NaN NaN -28.0574 253 VIX caleb_strategy_v1 [-1] 8.9103 -84.1722 -28.0574 -56.1148 NaN NaN -84.1722 =========================================================================================================================================================================== 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 247 EUROSTX caleb_strategy_v1 [-1] 10.4108 88.4918 -5.2054 -0 NaN NaN -5.2054 248 SUGAR11 caleb_strategy_v1 [1] 112000 -84 -5.6 0 NaN NaN -5.6 249 DOW caleb_strategy_v1 [1] 0.5 15 -0.5 -0.5 NaN NaN -1 250 US30 caleb_strategy_v1 [1] 1000 -1828.12 -15.625 0 NaN NaN -15.625 252 US5 caleb_strategy_v1 [1] 1000 -347.656 -3.90625 -0.0005 NaN NaN -3.90675 251 VIX caleb_strategy_v1 [-1] 1000 -75 -25 -0 NaN NaN -25 253 VIX caleb_strategy_v1 [-1] 1000 -75 -25 -50 NaN NaN -75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 DOW 15.00000 EUROSTX 88.49180 SUGAR11 -84.00000 US30 -1828.12500 US5 -347.65625 VIX -150.00000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -2306.28945 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 DOW -0.50000 EUROSTX -5.20540 SUGAR11 -5.60000 US30 -15.62500 US5 -3.90625 VIX -50.00000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -80.83665 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 DOW -0.5000 EUROSTX -0.0000 SUGAR11 0.0000 US30 0.0000 US5 -0.0005 VIX -50.0000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -50.5005 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 DOW 0 EUROSTX 0 SUGAR11 0 US30 0 US5 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 DOW 0 EUROSTX 0 SUGAR11 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 DOW -1.00000 EUROSTX -5.20540 SUGAR11 -5.60000 US30 -15.62500 US5 -3.90675 VIX -100.00000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -131.33715 ******************************************************************************** END OF REPORT ********************************************************************************