******************************************************************************** Trades report report produced on 16/11/2022 21:35 from 15/11/2022 21:35 to 16/11/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 256 BOBL caleb_strategy_v1 [20221200] 2022-11-16 08:01:38 [-1] 119.46000 257 COPPER caleb_strategy_v1 [20221200] 2022-11-16 14:00:53 [1] 3.76750 259 DOW caleb_strategy_v1 [20221200] 2022-11-16 15:00:09 [1] 33632.00000 262 DOW caleb_strategy_v1 [20221200] 2022-11-16 15:02:23 [1] 33637.00000 254 NIKKEI caleb_strategy_v1 [20221200] 2022-11-16 03:02:40 [-1] 27975.00000 255 NIKKEI caleb_strategy_v1 [20221200] 2022-11-16 03:07:14 [-1] 27980.00000 260 NZD caleb_strategy_v1 [20221200] 2022-11-16 15:00:10 [1] 0.61730 258 US30 caleb_strategy_v1 [20221200] 2022-11-16 15:00:08 [1] 133.53125 261 VIX caleb_strategy_v1 [20230200] 2022-11-16 15:00:11 [-1] 27.65000 263 VIX caleb_strategy_v1 [20230200] 2022-11-16 15:02:24 [-1] 27.60000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 254 NIKKEI caleb_strategy_v1 2022-09-30 2022-11-16 03:00:19.291 2022-11-16 03:02:40 4.07162e+06 140.709 255 NIKKEI caleb_strategy_v1 2022-09-30 2022-11-16 03:07:14.530 2022-11-16 03:07:14 4.07203e+06 NaN 256 BOBL caleb_strategy_v1 2022-11-15 2022-11-16 08:01:37.887 2022-11-16 08:01:38 115298 0.113 257 COPPER caleb_strategy_v1 2022-11-15 2022-11-16 14:00:53.857 2022-11-16 14:00:53 136854 NaN 258 US30 caleb_strategy_v1 2022-11-15 2022-11-16 15:00:08.567 2022-11-16 15:00:08 140409 NaN 260 NZD caleb_strategy_v1 2022-11-15 2022-11-16 15:00:10.054 2022-11-16 15:00:10 140410 NaN 259 DOW caleb_strategy_v1 2022-11-15 2022-11-16 15:00:09.257 2022-11-16 15:00:09 140409 NaN 262 DOW caleb_strategy_v1 2022-11-15 2022-11-16 15:02:23.566 2022-11-16 15:02:23 140544 NaN 261 VIX caleb_strategy_v1 2022-11-15 2022-11-16 15:00:11.424 2022-11-16 15:00:11 140411 NaN 263 VIX caleb_strategy_v1 2022-11-15 2022-11-16 15:02:24.082 2022-11-16 15:02:24 140544 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 254 NIKKEI caleb_strategy_v1 [-1] 25975 None 27972.5 27970 27975 27975 27975 1997.5 -2.5 5 -0 NaN 2.5 255 NIKKEI caleb_strategy_v1 [-1] 25975 None 27977.5 27975 27980 27980 27980 2002.5 -2.5 5 -0 NaN 2.5 256 BOBL caleb_strategy_v1 [-1] 119.65 None 119.465 119.46 119.47 NaN 119.46 -0.185 -0.005 -0 NaN NaN -0.005 257 COPPER caleb_strategy_v1 [1] 3.8185 None 3.76725 3.7675 3.767 NaN 3.7675 0.05125 -0.00025 0 NaN NaN -0.00025 258 US30 caleb_strategy_v1 [1] 131.938 None 133.516 133.531 133.5 NaN 133.531 -1.57812 -0.015625 0 NaN NaN -0.015625 260 NZD caleb_strategy_v1 [1] 0.61725 None 0.61725 0.6173 0.6172 NaN 0.6173 0 -5e-05 0 NaN NaN -5e-05 259 DOW caleb_strategy_v1 [1] 33640 None 33630 33631 33629 NaN 33632 10 -1 -1 NaN NaN -2 262 DOW caleb_strategy_v1 [1] 33640 None 33631 33632 33630 NaN 33637 9 -1 -5 NaN NaN -6 261 VIX caleb_strategy_v1 [-1] 27.45 None 27.675 27.65 27.7 NaN 27.65 0.225 -0.025 -0 NaN NaN -0.025 263 VIX caleb_strategy_v1 [-1] 27.45 None 27.675 27.65 27.7 NaN 27.6 0.225 -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 254 NIKKEI caleb_strategy_v1 [-1] 4976.91 4013.54 -5.0232 10.0464 -0 NaN 5.0232 255 NIKKEI caleb_strategy_v1 [-1] 4976.91 4023.58 -5.0232 10.0464 -0 NaN 5.0232 256 BOBL caleb_strategy_v1 [-1] 7.55271 -244.945 -6.62014 -0 NaN NaN -6.62014 257 COPPER caleb_strategy_v1 [1] 1.31836 388.742 -1.8963 0 NaN NaN -1.8963 258 US30 caleb_strategy_v1 [1] 28.2994 -557.653 -5.52132 0 NaN NaN -5.52132 260 NZD caleb_strategy_v1 [1] 0.0956656 0 -5.22654 0 NaN NaN -5.22654 259 DOW caleb_strategy_v1 [1] 6695.82 14.9347 -1.49347 -1.49347 NaN NaN -2.98694 262 DOW caleb_strategy_v1 [1] 6695.82 13.4412 -1.49347 -7.46734 NaN NaN -8.96081 261 VIX caleb_strategy_v1 [-1] 8.92382 252.134 -28.0149 -0 NaN NaN -28.0149 263 VIX caleb_strategy_v1 [-1] 8.92382 252.134 -28.0149 -56.0298 NaN NaN -84.0447 =========================================================================================================================================================================== 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 254 NIKKEI caleb_strategy_v1 [-1] 0.717324 1432.85 -1.79331 3.58662 -0 NaN 1.79331 255 NIKKEI caleb_strategy_v1 [-1] 0.717324 1436.44 -1.79331 3.58662 -0 NaN 1.79331 256 BOBL caleb_strategy_v1 [-1] 1038.35 -192.094 -5.19173 -0 NaN NaN -5.19173 257 COPPER caleb_strategy_v1 [1] 25000 1281.25 -6.25 0 NaN NaN -6.25 258 US30 caleb_strategy_v1 [1] 1000 -1578.12 -15.625 0 NaN NaN -15.625 260 NZD caleb_strategy_v1 [1] 100000 0 -5 0 NaN NaN -5 259 DOW caleb_strategy_v1 [1] 0.5 5 -0.5 -0.5 NaN NaN -1 262 DOW caleb_strategy_v1 [1] 0.5 4.5 -0.5 -2.5 NaN NaN -3 261 VIX caleb_strategy_v1 [-1] 1000 225 -25 -0 NaN NaN -25 263 VIX caleb_strategy_v1 [-1] 1000 225 -25 -50 NaN NaN -75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BOBL -192.093825 COPPER 1281.250000 DOW 9.500000 NIKKEI 2869.296377 NZD 0.000000 US30 -1578.125000 VIX 450.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 2839.827552 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BOBL -5.191725 COPPER -6.250000 DOW -1.000000 NIKKEI -3.586620 NZD -5.000000 US30 -15.625000 VIX -50.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -86.653345 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BOBL -0.000000 COPPER 0.000000 DOW -3.000000 NIKKEI 7.173241 NZD 0.000000 US30 0.000000 VIX -50.000000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -45.826759 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0.0 COPPER 0.0 DOW 0.0 NIKKEI -0.0 NZD 0.0 US30 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 BOBL 0 COPPER 0 DOW 0 NIKKEI 0 NZD 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 -5.191725 COPPER -6.250000 DOW -4.000000 NIKKEI 3.586620 NZD -5.000000 US30 -15.625000 VIX -100.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -132.480105 ******************************************************************************** END OF REPORT ********************************************************************************