******************************************************************************** Trades report report produced on 02/12/2022 21:35 from 01/12/2022 21:35 to 02/12/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 437 BTP caleb_strategy_v1 [20230300] 2022-12-02 08:00:04 [1] 117.560000 438 BUND caleb_strategy_v1 [20230300] 2022-12-02 08:00:05 [1] 141.720000 440 CAC caleb_strategy_v1 [20221200] 2022-12-02 08:00:09 [-1] 6736.000000 439 CAC caleb_strategy_v1 [20221200] 2022-12-02 08:00:07 [-1] 6734.000000 455 DOW caleb_strategy_v1 [20221200] 2022-12-02 15:03:26 [-1] 34152.000000 453 DOW caleb_strategy_v1 [20221200] 2022-12-02 15:03:15 [-1] 34164.000000 451 DOW caleb_strategy_v1 [20221200] 2022-12-02 15:00:30 [-1] 34171.000000 441 GASOILINE caleb_strategy_v1 [20230300] 2022-12-02 14:00:04 [-1] 2.339700 448 GBP caleb_strategy_v1 [20221200] 2022-12-02 15:00:18 [1] 1.222400 445 JPY caleb_strategy_v1 [20221200] 2022-12-02 15:00:14 [1] 0.007399 463 LEANHOG caleb_strategy_v1 [20230200] 2022-12-02 15:30:02 [-1] 89.250000 443 NASDAQ caleb_strategy_v1 [20221200] 2022-12-02 15:00:12 [-1] 11885.000000 446 RUSSELL caleb_strategy_v1 [20221200] 2022-12-02 15:00:15 [-1] 1874.300000 461 RUSSELL caleb_strategy_v1 [20221200] 2022-12-02 15:03:50 [-1] 1871.600000 460 RUSSELL caleb_strategy_v1 [20221200] 2022-12-02 15:03:48 [-1] 1871.500000 459 RUSSELL caleb_strategy_v1 [20221200] 2022-12-02 15:03:46 [-1] 1871.800000 458 RUSSELL caleb_strategy_v1 [20221200] 2022-12-02 15:03:44 [-1] 1871.900000 457 RUSSELL caleb_strategy_v1 [20221200] 2022-12-02 15:03:38 [-1] 1872.200000 452 RUSSELL caleb_strategy_v1 [20221200] 2022-12-02 15:03:14 [-1] 1873.100000 454 RUSSELL caleb_strategy_v1 [20221200] 2022-12-02 15:03:20 [-1] 1872.400000 456 RUSSELL caleb_strategy_v1 [20221200] 2022-12-02 15:03:32 [-1] 1872.200000 462 SOYBEAN caleb_strategy_v1 [20231100] 2022-12-02 15:30:01 [1] 1376.500000 447 SP400 caleb_strategy_v1 [20221200] 2022-12-02 15:00:16 [1] 2561.500000 444 SP500 caleb_strategy_v1 [20221200] 2022-12-02 15:00:13 [1] 4041.000000 449 US20 caleb_strategy_v1 [20230300] 2022-12-02 15:00:22 [1] 128.468750 450 US30 caleb_strategy_v1 [20230300] 2022-12-02 15:00:29 [1] 140.093750 442 VIX caleb_strategy_v1 [20230200] 2022-12-02 15:00:11 [-1] 25.200000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 437 BTP caleb_strategy_v1 2022-11-30 2022-12-02 08:00:03.202 2022-12-02 08:00:04 201603 0.798 438 BUND caleb_strategy_v1 2022-11-30 2022-12-02 08:00:05.465 2022-12-02 08:00:05 201605 NaN 440 CAC caleb_strategy_v1 2022-11-30 2022-12-02 08:00:08.995 2022-12-02 08:00:09 201609 0.005 439 CAC caleb_strategy_v1 2022-11-30 2022-12-02 08:00:06.411 2022-12-02 08:00:07 201606 0.589 441 GASOILINE caleb_strategy_v1 2022-11-30 2022-12-02 14:00:01.157 2022-12-02 14:00:04 223201 2.843 442 VIX caleb_strategy_v1 2022-11-30 2022-12-02 15:00:01.154 2022-12-02 15:00:11 226801 9.846 443 NASDAQ caleb_strategy_v1 2022-11-30 2022-12-02 15:00:12.605 2022-12-02 15:00:12 226813 NaN 444 SP500 caleb_strategy_v1 2022-11-30 2022-12-02 15:00:13.817 2022-12-02 15:00:13 226814 NaN 445 JPY caleb_strategy_v1 2022-11-30 2022-12-02 15:00:14.713 2022-12-02 15:00:14 226815 NaN 447 SP400 caleb_strategy_v1 2022-11-30 2022-12-02 15:00:16.723 2022-12-02 15:00:16 226817 NaN 448 GBP caleb_strategy_v1 2022-11-30 2022-12-02 15:00:17.619 2022-12-02 15:00:18 226818 0.381 449 US20 caleb_strategy_v1 2022-11-30 2022-12-02 15:00:19.109 2022-12-02 15:00:22 226819 2.891 450 US30 caleb_strategy_v1 2022-11-30 2022-12-02 15:00:23.011 2022-12-02 15:00:29 226823 5.989 451 DOW caleb_strategy_v1 2022-11-30 2022-12-02 15:00:30.492 2022-12-02 15:00:30 226830 NaN 453 DOW caleb_strategy_v1 2022-11-30 2022-12-02 15:03:15.479 2022-12-02 15:03:15 226995 NaN 455 DOW caleb_strategy_v1 2022-11-30 2022-12-02 15:03:26.226 2022-12-02 15:03:26 227006 NaN 452 RUSSELL caleb_strategy_v1 2022-11-30 2022-12-02 15:03:14.261 2022-12-02 15:03:14 226994 NaN 454 RUSSELL caleb_strategy_v1 2022-11-30 2022-12-02 15:03:20.179 2022-12-02 15:03:20 227000 NaN 456 RUSSELL caleb_strategy_v1 2022-11-30 2022-12-02 15:03:32.232 2022-12-02 15:03:32 227012 NaN 457 RUSSELL caleb_strategy_v1 2022-11-30 2022-12-02 15:03:38.282 2022-12-02 15:03:38 227018 NaN 458 RUSSELL caleb_strategy_v1 2022-11-30 2022-12-02 15:03:44.273 2022-12-02 15:03:44 227024 NaN 459 RUSSELL caleb_strategy_v1 2022-11-30 2022-12-02 15:03:45.986 2022-12-02 15:03:46 227026 0.014 460 RUSSELL caleb_strategy_v1 2022-11-30 2022-12-02 15:03:47.984 2022-12-02 15:03:48 227028 0.016 461 RUSSELL caleb_strategy_v1 2022-11-30 2022-12-02 15:03:50.045 2022-12-02 15:03:50 227030 NaN 446 RUSSELL caleb_strategy_v1 2022-11-30 2022-12-02 15:00:15.751 2022-12-02 15:00:15 226816 NaN 462 SOYBEAN caleb_strategy_v1 2022-11-30 2022-12-02 15:30:01.158 2022-12-02 15:30:01 228601 NaN 463 LEANHOG caleb_strategy_v1 2022-11-30 2022-12-02 15:30:01.959 2022-12-02 15:30:02 228602 0.041 ==================================================================================================================================================================================================================================== 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 437 BTP caleb_strategy_v1 [1] 115.88 None 117.55 117.56 117.54 117.54 117.56 -1.67 -0.01 0 -0.02 NaN -0.01 438 BUND caleb_strategy_v1 [1] 140.83 None 141.725 141.73 141.72 141.72 141.72 -0.895 -0.005 0.01 0 NaN 0.005 440 CAC caleb_strategy_v1 [-1] 6778.5 None 6735.5 6735 6736 NaN 6736 -43 -0.5 1 NaN NaN 0.5 439 CAC caleb_strategy_v1 [-1] 6778.5 None 6733.5 6733 6734 6734 6734 -45 -0.5 1 -0 NaN 0.5 441 GASOILINE caleb_strategy_v1 [-1] 2.3954 None 2.3417 2.3411 2.3423 2.3423 2.3397 -0.0537 -0.0006 -0.0014 -0.0026 NaN -0.002 442 VIX caleb_strategy_v1 [-1] 25.4 None 25.275 25.25 25.3 25.3 25.2 -0.125 -0.025 -0.05 -0.1 NaN -0.075 443 NASDAQ caleb_strategy_v1 [-1] 11981.2 None 11886.5 11886.2 11886.8 11886.8 11885 -94.75 -0.25 -1.25 -1.75 NaN -1.5 444 SP500 caleb_strategy_v1 [1] 4071.75 None 4041.12 4041.25 4041 4041 4041 30.625 -0.125 0.25 0 NaN 0.125 445 JPY caleb_strategy_v1 [1] 0.007274 None 0.007398 0.0073985 0.0073975 0.0073975 0.007399 -0.000124 -5e-07 -5e-07 -1.5e-06 NaN -1e-06 447 SP400 caleb_strategy_v1 [1] 2576 None 2561.2 2561.4 2561 2561 2561.5 14.8 -0.2 -0.1 -0.5 NaN -0.3 448 GBP caleb_strategy_v1 [1] 1.2081 None 1.22235 1.2224 1.2223 1.2223 1.2224 -0.01425 -5e-05 0 -0.0001 NaN -5e-05 449 US20 caleb_strategy_v1 [1] 127.188 None 128.484 128.5 128.469 128.469 128.469 -1.29688 -0.015625 0.03125 0 NaN 0.015625 450 US30 caleb_strategy_v1 [1] 136.594 None 140.109 140.125 140.094 140.094 140.094 -3.51562 -0.015625 0.03125 0 NaN 0.015625 451 DOW caleb_strategy_v1 [-1] 34520 None 34170.5 34170 34171 34171 34171 -349.5 -0.5 1 -0 NaN 0.5 453 DOW caleb_strategy_v1 [-1] 34520 None 34163.5 34163 34164 34164 34164 -356.5 -0.5 1 -0 NaN 0.5 455 DOW caleb_strategy_v1 [-1] 34520 None 34154.5 34154 34155 34155 34152 -365.5 -0.5 -2 -3 NaN -2.5 452 RUSSELL caleb_strategy_v1 [-1] 1883.6 None 1874.45 1874.4 1874.5 1874.5 1873.1 -9.15 -0.05 -1.3 -1.4 NaN -1.35 454 RUSSELL caleb_strategy_v1 [-1] 1883.6 None 1872.5 1872.4 1872.6 1872.6 1872.4 -11.1 -0.1 -0 -0.2 NaN -0.1 456 RUSSELL caleb_strategy_v1 [-1] 1883.6 None 1872.25 1872.2 1872.3 NaN 1872.2 -11.35 -0.05 -0 NaN NaN -0.05 457 RUSSELL caleb_strategy_v1 [-1] 1883.6 None 1872.45 1872.4 1872.5 1872.5 1872.2 -11.15 -0.05 -0.2 -0.3 NaN -0.25 458 RUSSELL caleb_strategy_v1 [-1] 1883.6 None 1871.8 1871.7 1871.9 1871.9 1871.9 -11.8 -0.1 0.2 -0 NaN 0.1 459 RUSSELL caleb_strategy_v1 [-1] 1883.6 None 1872 1871.9 1872.1 1872.1 1871.8 -11.6 -0.1 -0.1 -0.3 NaN -0.2 460 RUSSELL caleb_strategy_v1 [-1] 1883.6 None 1871.75 1871.7 1871.8 1871.8 1871.5 -11.85 -0.05 -0.2 -0.3 NaN -0.25 461 RUSSELL caleb_strategy_v1 [-1] 1883.6 None 1871.6 1871.5 1871.7 1871.7 1871.6 -12 -0.1 0.1 -0.1 NaN 0 446 RUSSELL caleb_strategy_v1 [-1] 1883.6 None 1874.1 1874 1874.2 1874.2 1874.3 -9.5 -0.1 0.3 0.1 NaN 0.2 462 SOYBEAN caleb_strategy_v1 [1] 1398.25 None 1376.25 1376.5 1376 NaN 1376.5 22 -0.25 0 NaN NaN -0.25 463 LEANHOG caleb_strategy_v1 [-1] 85.625 None 89.225 89.2 89.25 89.25 89.25 3.6 -0.025 0.05 -0 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 437 BTP caleb_strategy_v1 [1] 17.3244 -963.96 -5.77221 0 -11.5444 NaN -5.77221 438 BUND caleb_strategy_v1 [1] 14.4112 -621.047 -3.46953 6.93907 0 NaN 3.46953 440 CAC caleb_strategy_v1 [-1] 973.176 -441.852 -5.13782 10.2756 NaN NaN 5.13782 439 CAC caleb_strategy_v1 [-1] 973.176 -462.403 -5.13782 10.2756 -0 NaN 5.13782 441 GASOILINE caleb_strategy_v1 [-1] 0.885478 -606.452 -6.776 -15.8107 -29.3627 NaN -22.5867 442 VIX caleb_strategy_v1 [-1] 8.33109 -150.04 -30.0081 -60.0162 -120.032 NaN -90.0242 443 NASDAQ caleb_strategy_v1 [-1] 3839.91 -246.75 -0.651056 -3.25528 -4.55739 NaN -3.90634 444 SP500 caleb_strategy_v1 [1] 946.406 323.593 -1.32079 2.64157 0 NaN 1.32079 445 JPY caleb_strategy_v1 [1] 0.000961581 -1289.54 -5.19977 -5.19977 -15.5993 NaN -10.3995 447 SP400 caleb_strategy_v1 [1] 628.599 235.444 -3.18168 -1.59084 -7.95419 NaN -4.77252 448 GBP caleb_strategy_v1 [1] 0.176285 -808.349 -2.83631 0 -5.67262 NaN -2.83631 449 US20 caleb_strategy_v1 [1] 17.7757 -729.577 -8.79009 17.5802 0 NaN 8.79009 450 US30 caleb_strategy_v1 [1] 28.0047 -1255.37 -5.57941 11.1588 0 NaN 5.57941 451 DOW caleb_strategy_v1 [-1] 6187.33 -564.864 -0.808103 1.61621 -0 NaN 0.808103 453 DOW caleb_strategy_v1 [-1] 6187.33 -576.178 -0.808103 1.61621 -0 NaN 0.808103 455 DOW caleb_strategy_v1 [-1] 6187.33 -590.724 -0.808103 -3.23241 -4.84862 NaN -4.04052 452 RUSSELL caleb_strategy_v1 [-1] 522.699 -175.053 -0.956574 -24.8709 -26.7841 NaN -25.8275 454 RUSSELL caleb_strategy_v1 [-1] 522.699 -212.359 -1.91315 -0 -3.8263 NaN -1.91315 456 RUSSELL caleb_strategy_v1 [-1] 522.699 -217.142 -0.956574 -0 NaN NaN -0.956574 457 RUSSELL caleb_strategy_v1 [-1] 522.699 -213.316 -0.956574 -3.8263 -5.73944 NaN -4.78287 458 RUSSELL caleb_strategy_v1 [-1] 522.699 -225.751 -1.91315 3.8263 -0 NaN 1.91315 459 RUSSELL caleb_strategy_v1 [-1] 522.699 -221.925 -1.91315 -1.91315 -5.73944 NaN -3.8263 460 RUSSELL caleb_strategy_v1 [-1] 522.699 -226.708 -0.956574 -3.8263 -5.73944 NaN -4.78287 461 RUSSELL caleb_strategy_v1 [-1] 522.699 -229.578 -1.91315 1.91315 -1.91315 NaN 0 446 RUSSELL caleb_strategy_v1 [-1] 522.699 -181.749 -1.91315 5.73944 1.91315 NaN 3.8263 462 SOYBEAN caleb_strategy_v1 [1] 234.139 939.613 -10.6774 0 NaN NaN -10.6774 463 LEANHOG caleb_strategy_v1 [-1] 26.4406 1361.54 -9.45514 18.9103 -0 NaN 9.45514 =========================================================================================================================================================================== 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 437 BTP caleb_strategy_v1 [1] 1053.5 -1759.35 -10.535 0 -21.07 NaN -10.535 438 BUND caleb_strategy_v1 [1] 1053.5 -942.882 -5.2675 10.535 0 NaN 5.2675 440 CAC caleb_strategy_v1 [-1] 10.535 -453.005 -5.2675 10.535 NaN NaN 5.2675 439 CAC caleb_strategy_v1 [-1] 10.535 -474.075 -5.2675 10.535 -0 NaN 5.2675 441 GASOILINE caleb_strategy_v1 [-1] 42000 -2255.4 -25.2 -58.8 -109.2 NaN -84 442 VIX caleb_strategy_v1 [-1] 1000 -125 -25 -50 -100 NaN -75 443 NASDAQ caleb_strategy_v1 [-1] 20 -1895 -5 -25 -35 NaN -30 444 SP500 caleb_strategy_v1 [1] 50 1531.25 -6.25 12.5 0 NaN 6.25 445 JPY caleb_strategy_v1 [1] 1.25e+07 -1550 -6.25 -6.25 -18.75 NaN -12.5 447 SP400 caleb_strategy_v1 [1] 100 1480 -20 -10 -50 NaN -30 448 GBP caleb_strategy_v1 [1] 62500 -890.625 -3.125 0 -6.25 NaN -3.125 449 US20 caleb_strategy_v1 [1] 1000 -1296.88 -15.625 31.25 0 NaN 15.625 450 US30 caleb_strategy_v1 [1] 1000 -3515.62 -15.625 31.25 0 NaN 15.625 451 DOW caleb_strategy_v1 [-1] 0.5 -174.75 -0.25 0.5 -0 NaN 0.25 453 DOW caleb_strategy_v1 [-1] 0.5 -178.25 -0.25 0.5 -0 NaN 0.25 455 DOW caleb_strategy_v1 [-1] 0.5 -182.75 -0.25 -1 -1.5 NaN -1.25 452 RUSSELL caleb_strategy_v1 [-1] 5 -45.75 -0.25 -6.5 -7 NaN -6.75 454 RUSSELL caleb_strategy_v1 [-1] 5 -55.5 -0.5 -0 -1 NaN -0.5 456 RUSSELL caleb_strategy_v1 [-1] 5 -56.75 -0.25 -0 NaN NaN -0.25 457 RUSSELL caleb_strategy_v1 [-1] 5 -55.75 -0.25 -1 -1.5 NaN -1.25 458 RUSSELL caleb_strategy_v1 [-1] 5 -59 -0.5 1 -0 NaN 0.5 459 RUSSELL caleb_strategy_v1 [-1] 5 -58 -0.5 -0.5 -1.5 NaN -1 460 RUSSELL caleb_strategy_v1 [-1] 5 -59.25 -0.25 -1 -1.5 NaN -1.25 461 RUSSELL caleb_strategy_v1 [-1] 5 -60 -0.5 0.5 -0.5 NaN 0 446 RUSSELL caleb_strategy_v1 [-1] 5 -47.5 -0.5 1.5 0.5 NaN 1 462 SOYBEAN caleb_strategy_v1 [1] 50 1100 -12.5 0 NaN NaN -12.5 463 LEANHOG caleb_strategy_v1 [-1] 400 1440 -10 20 -0 NaN 10 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BTP -1759.3450 BUND -942.8825 CAC -927.0800 DOW -535.7500 GASOILINE -2255.4000 GBP -890.6250 JPY -1550.0000 LEANHOG 1440.0000 NASDAQ -1895.0000 RUSSELL -497.5000 SOYBEAN 1100.0000 SP400 1480.0000 SP500 1531.2500 US20 -1296.8750 US30 -3515.6250 VIX -125.0000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -10639.8325 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BTP -10.5350 BUND -5.2675 CAC -10.5350 DOW -0.7500 GASOILINE -25.2000 GBP -3.1250 JPY -6.2500 LEANHOG -10.0000 NASDAQ -5.0000 RUSSELL -3.5000 SOYBEAN -12.5000 SP400 -20.0000 SP500 -6.2500 US20 -15.6250 US30 -15.6250 VIX -25.0000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -175.1625 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BTP 0.000 BUND 10.535 CAC 21.070 DOW 0.000 GASOILINE -58.800 GBP 0.000 JPY -6.250 LEANHOG 20.000 NASDAQ -25.000 RUSSELL -6.000 SOYBEAN 0.000 SP400 -10.000 SP500 12.500 US20 31.250 US30 31.250 VIX -50.000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -29.445 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BTP -21.07 BUND 0.00 CAC 0.00 DOW -1.50 GASOILINE -109.20 GBP -6.25 JPY -18.75 LEANHOG -0.00 NASDAQ -35.00 RUSSELL -12.50 SOYBEAN 0.00 SP400 -50.00 SP500 0.00 US20 0.00 US30 0.00 VIX -100.00 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -354.27 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BTP 0 BUND 0 CAC 0 DOW 0 GASOILINE 0 GBP 0 JPY 0 LEANHOG 0 NASDAQ 0 RUSSELL 0 SOYBEAN 0 SP400 0 SP500 0 US20 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 BTP -10.5350 BUND 5.2675 CAC 10.5350 DOW -0.7500 GASOILINE -84.0000 GBP -3.1250 JPY -12.5000 LEANHOG 10.0000 NASDAQ -30.0000 RUSSELL -9.5000 SOYBEAN -12.5000 SP400 -30.0000 SP500 6.2500 US20 15.6250 US30 15.6250 VIX -75.0000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -204.6075 ******************************************************************************** END OF REPORT ********************************************************************************