******************************************************************************** Trades report report produced on 24/11/2022 21:35 from 23/11/2022 21:35 to 24/11/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 304 BUND caleb_strategy_v1 [20221200] 2022-11-24 08:01:05 [1] 141.730000 306 CRUDE_W caleb_strategy_v1 [20231200] 2022-11-24 14:02:25 [-1] 74.830000 305 GASOILINE caleb_strategy_v1 [20230200] 2022-11-24 14:02:21 [1] 2.337000 307 HEATOIL caleb_strategy_v1 [20230200] 2022-11-24 14:02:39 [-1] 3.176600 309 JPY caleb_strategy_v1 [20221200] 2022-11-24 15:02:28 [1] 0.007255 301 NIKKEI caleb_strategy_v1 [20221200] 2022-11-24 03:06:04 [1] 28445.000000 302 NIKKEI caleb_strategy_v1 [20221200] 2022-11-24 03:10:37 [1] 28440.000000 303 NIKKEI caleb_strategy_v1 [20221200] 2022-11-24 03:17:50 [1] 28440.000000 308 US5 caleb_strategy_v1 [20221200] 2022-11-24 15:02:26 [1] 108.117188 312 VIX caleb_strategy_v1 [20230200] 2022-11-24 15:06:51 [-1] 25.600000 310 VIX caleb_strategy_v1 [20230200] 2022-11-24 15:02:29 [-1] 25.600000 311 VIX caleb_strategy_v1 [20230200] 2022-11-24 15:04:40 [-1] 25.600000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 301 NIKKEI caleb_strategy_v1 2022-11-22 2022-11-24 03:02:26.687 2022-11-24 03:06:04 183747 217.313 302 NIKKEI caleb_strategy_v1 2022-11-22 2022-11-24 03:10:36.797 2022-11-24 03:10:37 184237 0.203 303 NIKKEI caleb_strategy_v1 2022-11-22 2022-11-24 03:12:49.931 2022-11-24 03:17:50 184370 300.069 304 BUND caleb_strategy_v1 2022-11-22 2022-11-24 08:01:05.376 2022-11-24 08:01:05 201665 NaN 305 GASOILINE caleb_strategy_v1 2022-11-22 2022-11-24 14:01:59.233 2022-11-24 14:02:21 223319 21.767 306 CRUDE_W caleb_strategy_v1 2022-11-21 2022-11-24 14:02:22.494 2022-11-24 14:02:25 309742 2.506 307 HEATOIL caleb_strategy_v1 2022-11-22 2022-11-24 14:02:26.693 2022-11-24 14:02:39 223347 12.307 308 US5 caleb_strategy_v1 2022-11-22 2022-11-24 15:01:45.235 2022-11-24 15:02:26 226905 40.765 309 JPY caleb_strategy_v1 2022-11-22 2022-11-24 15:02:27.054 2022-11-24 15:02:28 226947 0.946 312 VIX caleb_strategy_v1 2022-11-22 2022-11-24 15:06:51.860 2022-11-24 15:06:51 227212 NaN 310 VIX caleb_strategy_v1 2022-11-22 2022-11-24 15:02:29.422 2022-11-24 15:02:29 226949 NaN 311 VIX caleb_strategy_v1 2022-11-22 2022-11-24 15:04:40.772 2022-11-24 15:04:40 227081 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 301 NIKKEI caleb_strategy_v1 [1] 28325 None 28447.5 28450 28445 28445 28445 -122.5 -2.5 5 0 NaN 2.5 302 NIKKEI caleb_strategy_v1 [1] 28325 None 28442.5 28445 28440 28440 28440 -117.5 -2.5 5 0 NaN 2.5 303 NIKKEI caleb_strategy_v1 [1] 28325 None 28437.5 28440 28435 28435 28440 -112.5 -2.5 0 -5 NaN -2.5 304 BUND caleb_strategy_v1 [1] 140.43 None 141.725 141.73 141.72 NaN 141.73 -1.295 -0.005 0 NaN NaN -0.005 305 GASOILINE caleb_strategy_v1 [1] 2.4176 None 2.33555 2.3369 2.3342 2.3342 2.337 0.08205 -0.00135 -0.0001 -0.0028 NaN -0.00145 306 CRUDE_W caleb_strategy_v1 [-1] 76.12 None 74.815 74.8 74.83 74.83 74.83 -1.305 -0.015 0.03 -0 NaN 0.015 307 HEATOIL caleb_strategy_v1 [-1] 3.2795 None 3.1808 3.1795 3.1821 3.1821 3.1766 -0.0987 -0.0013 -0.0029 -0.0055 NaN -0.0042 308 US5 caleb_strategy_v1 [1] 107.672 None 108.121 108.125 108.117 108.117 108.117 -0.449219 -0.00390625 0.007812 -5e-07 NaN 0.00390575 309 JPY caleb_strategy_v1 [1] 0.007105 None 0.00725525 0.0072555 0.007255 0.007255 0.007255 -0.00015025 -2.5e-07 5e-07 -8.67362e-19 NaN 2.5e-07 312 VIX caleb_strategy_v1 [-1] 25.95 None 25.625 25.6 25.65 NaN 25.6 -0.325 -0.025 -0 NaN NaN -0.025 310 VIX caleb_strategy_v1 [-1] 25.95 None 25.625 25.6 25.65 NaN 25.6 -0.325 -0.025 -0 NaN NaN -0.025 311 VIX caleb_strategy_v1 [-1] 25.95 None 25.625 25.6 25.65 NaN 25.6 -0.325 -0.025 -0 NaN NaN -0.025 ================================================================================================================================================================ 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 301 NIKKEI caleb_strategy_v1 [1] 4528.38 -270.516 -5.52074 11.0415 0 NaN 5.52074 302 NIKKEI caleb_strategy_v1 [1] 4528.38 -259.475 -5.52074 11.0415 0 NaN 5.52074 303 NIKKEI caleb_strategy_v1 [1] 4528.38 -248.433 -5.52074 0 -11.0415 NaN -5.52074 304 BUND caleb_strategy_v1 [1] 14.2617 -908.028 -3.5059 0 NaN NaN -3.5059 305 GASOILINE caleb_strategy_v1 [1] 0.869701 943.428 -15.5226 -1.14982 -32.195 NaN -16.6724 306 CRUDE_W caleb_strategy_v1 [-1] 25.1667 -518.543 -5.96026 11.9205 -0 NaN 5.96026 307 HEATOIL caleb_strategy_v1 [-1] 1.08735 -907.711 -11.9557 -26.6703 -50.5817 NaN -38.626 308 US5 caleb_strategy_v1 [1] 5.98486 -750.591 -6.52688 13.0529 -0.000835441 NaN 6.52605 309 JPY caleb_strategy_v1 [1] 0.00101037 -1487.07 -2.47433 4.94867 -8.58457e-12 NaN 2.47433 312 VIX caleb_strategy_v1 [-1] 8.53542 -380.766 -29.2897 -0 NaN NaN -29.2897 310 VIX caleb_strategy_v1 [-1] 8.53542 -380.766 -29.2897 -0 NaN NaN -29.2897 311 VIX caleb_strategy_v1 [-1] 8.53542 -380.766 -29.2897 -0 NaN NaN -29.2897 =========================================================================================================================================================================== 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 301 NIKKEI caleb_strategy_v1 [1] 0.722269 -88.478 -1.80567 3.61135 0 NaN 1.80567 302 NIKKEI caleb_strategy_v1 [1] 0.722269 -84.8667 -1.80567 3.61135 0 NaN 1.80567 303 NIKKEI caleb_strategy_v1 [1] 0.722269 -81.2553 -1.80567 0 -3.61135 NaN -1.80567 304 BUND caleb_strategy_v1 [1] 1041.32 -1348.51 -5.2066 0 NaN NaN -5.2066 305 GASOILINE caleb_strategy_v1 [1] 42000 3446.1 -56.7 -4.2 -117.6 NaN -60.9 306 CRUDE_W caleb_strategy_v1 [-1] 1000 -1305 -15 30 -0 NaN 15 307 HEATOIL caleb_strategy_v1 [-1] 42000 -4145.4 -54.6 -121.8 -231 NaN -176.4 308 US5 caleb_strategy_v1 [1] 1000 -449.219 -3.90625 7.812 -0.0005 NaN 3.90575 309 JPY caleb_strategy_v1 [1] 1.25e+07 -1878.12 -3.125 6.25 -1.0842e-11 NaN 3.125 312 VIX caleb_strategy_v1 [-1] 1000 -325 -25 -0 NaN NaN -25 310 VIX caleb_strategy_v1 [-1] 1000 -325 -25 -0 NaN NaN -25 311 VIX caleb_strategy_v1 [-1] 1000 -325 -25 -0 NaN NaN -25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BUND -1348.509400 CRUDE_W -1305.000000 GASOILINE 3446.100000 HEATOIL -4145.400000 JPY -1878.125000 NIKKEI -254.599953 US5 -449.218750 VIX -975.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -6909.753103 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BUND -5.20660 CRUDE_W -15.00000 GASOILINE -56.70000 HEATOIL -54.60000 JPY -3.12500 NIKKEI -5.41702 US5 -3.90625 VIX -75.00000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -218.95487 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BUND 0.000000 CRUDE_W 30.000000 GASOILINE -4.200000 HEATOIL -121.800000 JPY 6.250000 NIKKEI 7.222694 US5 7.812000 VIX -0.000000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -74.715306 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 0.000000e+00 CRUDE_W -0.000000e+00 GASOILINE -1.176000e+02 HEATOIL -2.310000e+02 JPY -1.084202e-11 NIKKEI -3.611347e+00 US5 -5.000000e-04 VIX 0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -352.211847 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 0 CRUDE_W 0 GASOILINE 0 HEATOIL 0 JPY 0 NIKKEI 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 BUND -5.206600 CRUDE_W 15.000000 GASOILINE -60.900000 HEATOIL -176.400000 JPY 3.125000 NIKKEI 1.805673 US5 3.905750 VIX -75.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -293.670177 ******************************************************************************** END OF REPORT ********************************************************************************