******************************************************************************** Trades report report produced on 23/11/2022 21:35 from 22/11/2022 21:35 to 23/11/2022 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 291 CAC caleb_strategy_v1 [20221200] 2022-11-23 08:00:03 [1] 6678.000000 295 CAD caleb_strategy_v1 [20221200] 2022-11-23 15:00:11 [-1] 0.747050 294 DOW caleb_strategy_v1 [20221200] 2022-11-23 15:00:07 [-1] 34203.000000 293 RUSSELL caleb_strategy_v1 [20221200] 2022-11-23 15:00:05 [1] 1867.100000 297 US20 _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-23 15:06:09 [1, -1] 0.156250 299 US20 _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-23 15:13:37 [1, -1] 0.156250 296 US30 _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-23 15:04:56 [1, -1] -0.476562 298 US30 _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-23 15:12:06 [1, -1] -0.500000 300 US30 _ROLL_PSEUDO_STRATEGY [20221200, 20230300] 2022-11-23 15:13:39 [1, -1] -0.484375 292 VIX caleb_strategy_v1 [20230200] 2022-11-23 15:00:03 [-1] 25.850000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 291 CAC caleb_strategy_v1 2022-11-21 00:00:00 2022-11-23 08:00:02.689 2022-11-23 08:00:03 201603 0.311 292 VIX caleb_strategy_v1 2022-11-21 00:00:00 2022-11-23 15:00:01.670 2022-11-23 15:00:03 226802 1.33 293 RUSSELL caleb_strategy_v1 2022-11-21 00:00:00 2022-11-23 15:00:05.073 2022-11-23 15:00:05 226805 NaN 294 DOW caleb_strategy_v1 2022-11-21 00:00:00 2022-11-23 15:00:06.332 2022-11-23 15:00:07 226806 0.668 295 CAD caleb_strategy_v1 2022-11-21 00:00:00 2022-11-23 15:00:07.809 2022-11-23 15:00:11 226808 3.191 297 US20 _ROLL_PSEUDO_STRATEGY 2022-11-22 20:00:00 2022-11-23 15:04:57.573 2022-11-23 15:06:09 68697.6 71.427 299 US20 _ROLL_PSEUDO_STRATEGY 2022-11-22 20:00:00 2022-11-23 15:12:07.944 2022-11-23 15:13:37 69127.9 89.056 296 US30 _ROLL_PSEUDO_STRATEGY 2022-11-22 20:00:00 2022-11-23 15:00:12.784 2022-11-23 15:04:56 68412.8 283.216 298 US30 _ROLL_PSEUDO_STRATEGY 2022-11-22 20:00:00 2022-11-23 15:08:57.382 2022-11-23 15:12:06 68937.4 188.618 300 US30 _ROLL_PSEUDO_STRATEGY 2022-11-22 20:00:00 2022-11-23 15:13:39.696 2022-11-23 15:13:39 69219.7 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 291 CAC caleb_strategy_v1 [1] 6654.5 None 6676 6676.5 6675.5 6675.5 6678 -21.5 -0.5 -1.5 -2.5 NaN -2 292 VIX caleb_strategy_v1 [-1] 26.6 None 25.825 25.8 25.85 25.85 25.85 -0.775 -0.025 0.05 -0 NaN 0.025 293 RUSSELL caleb_strategy_v1 [1] 1839.5 None 1867.55 1868 1867.1 1867.1 1867.1 -28.05 -0.45 0.9 2.27374e-13 NaN 0.45 294 DOW caleb_strategy_v1 [-1] 33729 None 34217 34214 34220 34220 34203 488 -3 -11 -17 NaN -14 295 CAD caleb_strategy_v1 [-1] 0.7437 None 0.74715 0.74705 0.74725 0.74725 0.74705 0.00345 -0.0001 -0 -0.0002 NaN -0.0001 297 US20 _ROLL_PSEUDO_STRATEGY [1, -1] 0.15625 None 0.160156 0.164062 0.15625 0.15625 0.15625 -0.00390625 -0.00390625 0.0078125 0 NaN 0.00390625 299 US20 _ROLL_PSEUDO_STRATEGY [1, -1] 0.15625 None 0.160156 0.164062 0.15625 0.15625 0.15625 -0.00390625 -0.00390625 0.0078125 0 NaN 0.00390625 296 US30 _ROLL_PSEUDO_STRATEGY [1, -1] -0.53125 None -0.488281 -0.484375 -0.492188 -0.5 -0.476562 -0.0429688 -0.00390625 -0.0078125 -0.0234375 NaN -0.0117188 298 US30 _ROLL_PSEUDO_STRATEGY [1, -1] -0.53125 None -0.480469 -0.476562 -0.484375 -0.5 -0.5 -0.0507812 -0.00390625 0.0234375 0 NaN 0.0195312 300 US30 _ROLL_PSEUDO_STRATEGY [1, -1] -0.53125 None -0.496094 -0.492188 -0.5 -0.5 -0.484375 -0.0351562 -0.00390625 -0.0078125 -0.015625 NaN -0.0117188 ======================================================================================================================================================================= 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 291 CAC caleb_strategy_v1 [1] 1063.86 -202.095 -4.69987 -14.0996 -23.4994 NaN -18.7995 292 VIX caleb_strategy_v1 [-1] 8.50474 -911.257 -29.3954 58.7908 -0 NaN 29.3954 293 RUSSELL caleb_strategy_v1 [1] 525.228 -534.054 -8.56772 17.1354 4.32905e-12 NaN 8.56772 294 DOW caleb_strategy_v1 [-1] 6112.83 798.321 -4.90771 -17.9949 -27.8104 NaN -22.9027 295 CAD caleb_strategy_v1 [-1] 0.0700883 492.236 -14.2677 -0 -28.5354 NaN -14.2677 297 US20 _ROLL_PSEUDO_STRATEGY [1, -1] 18.214 -2.14465 -2.14465 4.28929 0 NaN 2.14465 299 US20 _ROLL_PSEUDO_STRATEGY [1, -1] 18.214 -2.14465 -2.14465 4.28929 0 NaN 2.14465 296 US30 _ROLL_PSEUDO_STRATEGY [1, -1] 27.371 -15.6986 -1.42715 -2.85429 -8.56288 NaN -4.28144 298 US30 _ROLL_PSEUDO_STRATEGY [1, -1] 27.371 -18.5529 -1.42715 8.56288 0 NaN 7.13574 300 US30 _ROLL_PSEUDO_STRATEGY [1, -1] 27.371 -12.8443 -1.42715 -2.85429 -5.70859 NaN -4.28144 ================================================================================================================================================================================== 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 291 CAC caleb_strategy_v1 [1] 10.397 -223.534 -5.19848 -15.5954 -25.9924 NaN -20.7939 292 VIX caleb_strategy_v1 [-1] 1000 -775 -25 50 -0 NaN 25 293 RUSSELL caleb_strategy_v1 [1] 5 -140.25 -2.25 4.5 1.13687e-12 NaN 2.25 294 DOW caleb_strategy_v1 [-1] 0.5 244 -1.5 -5.5 -8.5 NaN -7 295 CAD caleb_strategy_v1 [-1] 100000 345 -10 -0 -20 NaN -10 297 US20 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -3.90625 -3.90625 7.8125 0 NaN 3.90625 299 US20 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -3.90625 -3.90625 7.8125 0 NaN 3.90625 296 US30 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -42.9688 -3.90625 -7.8125 -23.4375 NaN -11.7188 298 US30 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -50.7812 -3.90625 23.4375 0 NaN 19.5312 300 US30 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 -35.1562 -3.90625 -7.8125 -15.625 NaN -11.7188 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY US20 -7.812500 US30 -128.906250 caleb_strategy_v1 CAC -223.534425 CAD 345.000000 DOW 244.000000 RUSSELL -140.250000 VIX -775.000000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -136.718750 caleb_strategy_v1 -549.784425 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY US20 -7.812500 US30 -11.718750 caleb_strategy_v1 CAC -5.198475 CAD -10.000000 DOW -1.500000 RUSSELL -2.250000 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -19.531250 caleb_strategy_v1 -43.948475 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY US20 15.625000 US30 7.812500 caleb_strategy_v1 CAC -15.595425 CAD -0.000000 DOW -5.500000 RUSSELL 4.500000 VIX 50.000000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 23.437500 caleb_strategy_v1 33.404575 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY US20 0.000000e+00 US30 -3.906250e+01 caleb_strategy_v1 CAC -2.599238e+01 CAD -2.000000e+01 DOW -8.500000e+00 RUSSELL 1.136868e-12 VIX -0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -39.062500 caleb_strategy_v1 -54.492375 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY US20 0 US30 0 caleb_strategy_v1 CAC 0 CAD 0 DOW 0 RUSSELL 0 VIX 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 US20 7.81250 US30 -3.90625 caleb_strategy_v1 CAC -20.79390 CAD -10.00000 DOW -7.00000 RUSSELL 2.25000 VIX 25.00000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 3.90625 caleb_strategy_v1 -10.54390 ******************************************************************************** END OF REPORT ********************************************************************************