******************************************************************************** Trades report report produced on 29/11/2022 21:35 from 28/11/2022 21:35 to 29/11/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 356 BUND caleb_strategy_v1 [20221200] 2022-11-29 08:00:05 [1] 141.11 354 NIKKEI caleb_strategy_v1 [20221200] 2022-11-29 03:00:49 [1] 28005.00 355 NIKKEI caleb_strategy_v1 [20221200] 2022-11-29 03:03:11 [1] 28010.00 357 RUSSELL caleb_strategy_v1 [20221200] 2022-11-29 15:00:03 [-1] 1842.00 358 RUSSELL caleb_strategy_v1 [20221200] 2022-11-29 15:00:05 [-1] 1841.70 359 RUSSELL caleb_strategy_v1 [20221200] 2022-11-29 15:00:06 [-1] 1841.70 360 RUSSELL caleb_strategy_v1 [20221200] 2022-11-29 15:00:13 [-1] 1841.90 361 RUSSELL caleb_strategy_v1 [20221200] 2022-11-29 15:00:15 [-1] 1842.20 362 RUSSELL caleb_strategy_v1 [20221200] 2022-11-29 15:00:17 [-1] 1842.40 363 RUSSELL caleb_strategy_v1 [20221200] 2022-11-29 15:00:18 [-1] 1842.90 364 RUSSELL caleb_strategy_v1 [20221200] 2022-11-29 15:00:20 [-1] 1842.80 365 RUSSELL caleb_strategy_v1 [20221200] 2022-11-29 15:00:22 [-1] 1843.00 366 RUSSELL caleb_strategy_v1 [20221200] 2022-11-29 15:00:23 [-1] 1843.00 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 354 NIKKEI caleb_strategy_v1 2022-11-25 2022-11-29 03:00:16.762 2022-11-29 03:00:49 356417 32.238 355 NIKKEI caleb_strategy_v1 2022-11-25 2022-11-29 03:03:11.203 2022-11-29 03:03:11 356591 NaN 356 BUND caleb_strategy_v1 2022-11-25 2022-11-29 08:00:03.822 2022-11-29 08:00:05 374404 1.178 357 RUSSELL caleb_strategy_v1 2022-11-25 2022-11-29 15:00:01.221 2022-11-29 15:00:03 399601 1.779 358 RUSSELL caleb_strategy_v1 2022-11-25 2022-11-29 15:00:04.941 2022-11-29 15:00:05 399605 0.059 359 RUSSELL caleb_strategy_v1 2022-11-25 2022-11-29 15:00:06.714 2022-11-29 15:00:06 399607 NaN 360 RUSSELL caleb_strategy_v1 2022-11-25 2022-11-29 15:00:08.103 2022-11-29 15:00:13 399608 4.897 361 RUSSELL caleb_strategy_v1 2022-11-25 2022-11-29 15:00:14.748 2022-11-29 15:00:15 399615 0.252 362 RUSSELL caleb_strategy_v1 2022-11-25 2022-11-29 15:00:16.928 2022-11-29 15:00:17 399617 0.072 363 RUSSELL caleb_strategy_v1 2022-11-25 2022-11-29 15:00:18.538 2022-11-29 15:00:18 399619 NaN 364 RUSSELL caleb_strategy_v1 2022-11-25 2022-11-29 15:00:19.937 2022-11-29 15:00:20 399620 0.063 365 RUSSELL caleb_strategy_v1 2022-11-25 2022-11-29 15:00:21.416 2022-11-29 15:00:22 399621 0.584 366 RUSSELL caleb_strategy_v1 2022-11-25 2022-11-29 15:00:23.875 2022-11-29 15:00:23 399624 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 354 NIKKEI caleb_strategy_v1 [1] 28355 None 28007.5 28010 28005 28005 28005 347.5 -2.5 5 0 NaN 2.5 355 NIKKEI caleb_strategy_v1 [1] 28355 None 28002.5 28005 28000 28000 28010 352.5 -2.5 -5 -10 NaN -7.5 356 BUND caleb_strategy_v1 [1] 140.64 None 141.065 141.07 141.06 141.06 141.11 -0.425 -0.005 -0.04 -0.05 NaN -0.045 357 RUSSELL caleb_strategy_v1 [-1] 1872.6 None 1841.85 1841.7 1842 1842 1842 -30.75 -0.15 0.3 -0 NaN 0.15 358 RUSSELL caleb_strategy_v1 [-1] 1872.6 None 1842 1841.9 1842.1 1842.1 1841.7 -30.6 -0.1 -0.2 -0.4 NaN -0.3 359 RUSSELL caleb_strategy_v1 [-1] 1872.6 None 1841.75 1841.6 1841.9 NaN 1841.7 -30.85 -0.15 0.1 NaN NaN -0.05 360 RUSSELL caleb_strategy_v1 [-1] 1872.6 None 1841.8 1841.7 1841.9 1841.9 1841.9 -30.8 -0.1 0.2 -0 NaN 0.1 361 RUSSELL caleb_strategy_v1 [-1] 1872.6 None 1842.05 1841.9 1842.2 1842.2 1842.2 -30.55 -0.15 0.3 -0 NaN 0.15 362 RUSSELL caleb_strategy_v1 [-1] 1872.6 None 1842.7 1842.6 1842.8 1842.8 1842.4 -29.9 -0.1 -0.2 -0.4 NaN -0.3 363 RUSSELL caleb_strategy_v1 [-1] 1872.6 None 1842.7 1842.6 1842.8 1842.8 1842.9 -29.9 -0.1 0.3 0.1 NaN 0.2 364 RUSSELL caleb_strategy_v1 [-1] 1872.6 None 1843 1842.9 1843.1 1843.1 1842.8 -29.6 -0.1 -0.1 -0.3 NaN -0.2 365 RUSSELL caleb_strategy_v1 [-1] 1872.6 None 1842.9 1842.8 1843 1843 1843 -29.7 -0.1 0.2 -0 NaN 0.1 366 RUSSELL caleb_strategy_v1 [-1] 1872.6 None 1843.1 1843 1843.2 NaN 1843 -29.5 -0.1 -0 NaN NaN -0.1 ================================================================================================================================================================ 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 354 NIKKEI caleb_strategy_v1 [1] 4402.35 789.351 -5.67878 11.3576 0 NaN 5.67878 355 NIKKEI caleb_strategy_v1 [1] 4402.35 800.709 -5.67878 -11.3576 -22.7151 NaN -17.0364 356 BUND caleb_strategy_v1 [1] 14.4294 -294.538 -3.46515 -27.7212 -34.6515 NaN -31.1864 357 RUSSELL caleb_strategy_v1 [-1] 519.673 -591.718 -2.88643 5.77286 -0 NaN 2.88643 358 RUSSELL caleb_strategy_v1 [-1] 519.673 -588.832 -1.92429 -3.84858 -7.69715 NaN -5.77286 359 RUSSELL caleb_strategy_v1 [-1] 519.673 -593.643 -2.88643 1.92429 NaN NaN -0.962144 360 RUSSELL caleb_strategy_v1 [-1] 519.673 -592.681 -1.92429 3.84858 -0 NaN 1.92429 361 RUSSELL caleb_strategy_v1 [-1] 519.673 -587.87 -2.88643 5.77286 -0 NaN 2.88643 362 RUSSELL caleb_strategy_v1 [-1] 519.673 -575.362 -1.92429 -3.84858 -7.69715 NaN -5.77286 363 RUSSELL caleb_strategy_v1 [-1] 519.673 -575.362 -1.92429 5.77286 1.92429 NaN 3.84858 364 RUSSELL caleb_strategy_v1 [-1] 519.673 -569.589 -1.92429 -1.92429 -5.77286 NaN -3.84858 365 RUSSELL caleb_strategy_v1 [-1] 519.673 -571.513 -1.92429 3.84858 -0 NaN 1.92429 366 RUSSELL caleb_strategy_v1 [-1] 519.673 -567.665 -1.92429 -0 NaN NaN -1.92429 =========================================================================================================================================================================== 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 354 NIKKEI caleb_strategy_v1 [1] 0.7211 250.582 -1.80275 3.6055 0 NaN 1.80275 355 NIKKEI caleb_strategy_v1 [1] 0.7211 254.188 -1.80275 -3.6055 -7.211 NaN -5.40825 356 BUND caleb_strategy_v1 [1] 1032.44 -438.787 -5.1622 -41.2976 -51.622 NaN -46.4598 357 RUSSELL caleb_strategy_v1 [-1] 5 -153.75 -0.75 1.5 -0 NaN 0.75 358 RUSSELL caleb_strategy_v1 [-1] 5 -153 -0.5 -1 -2 NaN -1.5 359 RUSSELL caleb_strategy_v1 [-1] 5 -154.25 -0.75 0.5 NaN NaN -0.25 360 RUSSELL caleb_strategy_v1 [-1] 5 -154 -0.5 1 -0 NaN 0.5 361 RUSSELL caleb_strategy_v1 [-1] 5 -152.75 -0.75 1.5 -0 NaN 0.75 362 RUSSELL caleb_strategy_v1 [-1] 5 -149.5 -0.5 -1 -2 NaN -1.5 363 RUSSELL caleb_strategy_v1 [-1] 5 -149.5 -0.5 1.5 0.5 NaN 1 364 RUSSELL caleb_strategy_v1 [-1] 5 -148 -0.5 -0.5 -1.5 NaN -1 365 RUSSELL caleb_strategy_v1 [-1] 5 -148.5 -0.5 1 -0 NaN 0.5 366 RUSSELL caleb_strategy_v1 [-1] 5 -147.5 -0.5 -0 NaN NaN -0.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BUND -438.787000 NIKKEI 504.770077 RUSSELL -1510.750000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -1444.766923 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BUND -5.162200 NIKKEI -3.605501 RUSSELL -5.750000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -14.517701 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BUND -41.2976 NIKKEI 0.0000 RUSSELL 4.5000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -36.7976 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND -51.622000 NIKKEI -7.211001 RUSSELL -5.000000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -63.833001 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 0 NIKKEI 0 RUSSELL 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 -46.459800 NIKKEI -3.605501 RUSSELL -1.250000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -51.315301 ******************************************************************************** END OF REPORT ********************************************************************************