******************************************************************************** Trades report report produced on 22/12/2022 21:35 from 21/12/2022 21:35 to 22/12/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 838 BOBL caleb_strategy_v1 [20230300] 2022-12-22 08:00:03 [-1] 116.840000 843 BUND caleb_strategy_v1 [20230300] 2022-12-22 08:00:12 [1] 135.890000 839 BUND caleb_strategy_v1 [20230300] 2022-12-22 08:00:05 [1] 135.840000 840 BUXL caleb_strategy_v1 [20230300] 2022-12-22 08:00:07 [-1] 145.040000 844 BUXL caleb_strategy_v1 [20230300] 2022-12-22 08:00:12 [-1] 145.080000 842 CAC caleb_strategy_v1 [20230100] 2022-12-22 08:00:09 [-1] 6587.500000 850 CAD caleb_strategy_v1 [20230300] 2022-12-22 15:00:04 [1] 0.733750 849 CHF caleb_strategy_v1 [20230300] 2022-12-22 15:00:03 [-1] 1.086650 847 COPPER caleb_strategy_v1 [20230300] 2022-12-22 14:00:27 [-1] 3.781000 855 CORN caleb_strategy_v1 [20231200] 2022-12-22 15:30:04 [1] 601.250000 841 DAX caleb_strategy_v1 [20230300] 2022-12-22 08:00:08 [-1] 14171.000000 851 GBP caleb_strategy_v1 [20230300] 2022-12-22 15:00:10 [-1] 1.204100 852 JPY caleb_strategy_v1 [20230300] 2022-12-22 15:00:11 [1] 0.007637 854 LEANHOG caleb_strategy_v1 [20230400] 2022-12-22 15:30:02 [-1] 95.650000 848 RUSSELL caleb_strategy_v1 [20230300] 2022-12-22 15:00:01 [-1] 1758.600000 845 SILVER-mini caleb_strategy_v1 [20230300] 2022-12-22 14:00:01 [1] 23.737500 846 SUGAR11 caleb_strategy_v1 [20230300] 2022-12-22 14:00:21 [-1] 0.206600 853 US5 caleb_strategy_v1 [20230300] 2022-12-22 15:00:17 [-1] 108.789063 856 WHEAT caleb_strategy_v1 [20231200] 2022-12-22 15:30:06 [1] 795.750000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 838 BOBL caleb_strategy_v1 2022-12-21 2022-12-22 08:00:02.677 2022-12-22 08:00:03 115203 0.323 841 DAX caleb_strategy_v1 2022-12-21 2022-12-22 08:00:07.927 2022-12-22 08:00:08 115208 0.073 842 CAC caleb_strategy_v1 2022-12-21 2022-12-22 08:00:09.454 2022-12-22 08:00:09 115209 NaN 843 BUND caleb_strategy_v1 2022-12-21 2022-12-22 08:00:11.297 2022-12-22 08:00:12 115211 0.703 839 BUND caleb_strategy_v1 2022-12-21 2022-12-22 08:00:04.325 2022-12-22 08:00:05 115204 0.675 840 BUXL caleb_strategy_v1 2022-12-21 2022-12-22 08:00:06.328 2022-12-22 08:00:07 115206 0.672 844 BUXL caleb_strategy_v1 2022-12-21 2022-12-22 08:00:12.589 2022-12-22 08:00:12 115213 NaN 845 SILVER-mini caleb_strategy_v1 2022-12-21 2022-12-22 14:00:01.075 2022-12-22 14:00:01 136801 NaN 846 SUGAR11 caleb_strategy_v1 2022-12-21 2022-12-22 14:00:03.246 2022-12-22 14:00:21 136803 17.754 847 COPPER caleb_strategy_v1 2022-12-21 2022-12-22 14:00:22.888 2022-12-22 14:00:27 136823 4.112 848 RUSSELL caleb_strategy_v1 2022-12-21 2022-12-22 15:00:01.458 2022-12-22 15:00:01 140401 NaN 849 CHF caleb_strategy_v1 2022-12-21 2022-12-22 15:00:02.405 2022-12-22 15:00:03 140402 0.595 850 CAD caleb_strategy_v1 2022-12-21 2022-12-22 15:00:04.098 2022-12-22 15:00:04 140404 NaN 851 GBP caleb_strategy_v1 2022-12-21 2022-12-22 15:00:05.597 2022-12-22 15:00:10 140406 4.403 852 JPY caleb_strategy_v1 2022-12-21 2022-12-22 15:00:11.275 2022-12-22 15:00:11 140411 NaN 853 US5 caleb_strategy_v1 2022-12-21 2022-12-22 15:00:12.325 2022-12-22 15:00:17 140412 4.675 854 LEANHOG caleb_strategy_v1 2022-12-21 2022-12-22 15:30:01.067 2022-12-22 15:30:02 142201 0.933 855 CORN caleb_strategy_v1 2022-12-21 2022-12-22 15:30:02.907 2022-12-22 15:30:04 142203 1.093 856 WHEAT caleb_strategy_v1 2022-12-21 2022-12-22 15:30:04.808 2022-12-22 15:30:06 142205 1.192 ========================================================================================================================================================================================================================================= 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 838 BOBL caleb_strategy_v1 [-1] 116.82 None 116.835 116.83 116.84 116.84 116.84 0.015 -0.005 0.01 -0 NaN 0.005 841 DAX caleb_strategy_v1 [-1] 14144 None 14170 14169 14171 14171 14171 26 -1 2 -0 NaN 1 842 CAC caleb_strategy_v1 [-1] 6580 None 6588 6587.5 6588.5 NaN 6587.5 8 -0.5 -0 NaN NaN -0.5 843 BUND caleb_strategy_v1 [1] 135.79 None 135.895 135.9 135.89 135.89 135.89 -0.105 -0.005 0.01 2.84217e-14 NaN 0.005 839 BUND caleb_strategy_v1 [1] 135.79 None 135.83 135.84 135.82 135.82 135.84 -0.04 -0.01 0 -0.02 NaN -0.01 840 BUXL caleb_strategy_v1 [-1] 144.92 None 145.02 145 145.04 145.04 145.04 0.1 -0.02 0.04 -0 NaN 0.02 844 BUXL caleb_strategy_v1 [-1] 144.92 None 145.1 145.08 145.12 NaN 145.08 0.18 -0.02 -0 NaN NaN -0.02 845 SILVER-mini caleb_strategy_v1 [1] 24.175 None 23.7437 23.75 23.7375 23.7375 23.7375 0.43125 -0.00625 0.0125 0 NaN 0.00625 846 SUGAR11 caleb_strategy_v1 [-1] 0.2074 None 0.20655 0.2065 0.2066 0.2066 0.2066 -0.00085 -5e-05 0.0001 -0 NaN 5e-05 847 COPPER caleb_strategy_v1 [-1] 3.818 None 3.7805 3.78 3.781 3.781 3.781 -0.0375 -0.0005 0.001 -0 NaN 0.0005 848 RUSSELL caleb_strategy_v1 [-1] 1788.1 None 1758.8 1758.7 1758.9 1758.9 1758.6 -29.3 -0.1 -0.1 -0.3 NaN -0.2 849 CHF caleb_strategy_v1 [-1] 1.08945 None 1.08668 1.0866 1.08675 1.08675 1.08665 -0.002775 -7.5e-05 5e-05 -0.0001 NaN -2.5e-05 850 CAD caleb_strategy_v1 [1] 0.7351 None 0.733775 0.7338 0.73375 0.73375 0.73375 0.001325 -2.5e-05 5e-05 0 NaN 2.5e-05 851 GBP caleb_strategy_v1 [-1] 1.2103 None 1.2042 1.2041 1.2043 1.2043 1.2041 -0.0061 -0.0001 -0 -0.0002 NaN -0.0001 852 JPY caleb_strategy_v1 [1] 0.007644 None 0.00763675 0.007637 0.0076365 NaN 0.007637 7.25e-06 -2.5e-07 0 NaN NaN -2.5e-07 853 US5 caleb_strategy_v1 [-1] 108.82 None 108.785 108.781 108.789 108.789 108.789 -0.0351562 -0.00390625 0.007813 5e-07 NaN 0.00390675 854 LEANHOG caleb_strategy_v1 [-1] 95.55 None 95.675 95.65 95.7 NaN 95.65 0.125 -0.025 -0 NaN NaN -0.025 855 CORN caleb_strategy_v1 [1] 602.75 None 600.875 601 600.75 600.75 601.25 1.875 -0.125 -0.25 -0.5 NaN -0.375 856 WHEAT caleb_strategy_v1 [1] 797 None 795.5 795.75 795.25 795.25 795.75 1.5 -0.25 0 -0.5 NaN -0.25 ================================================================================================================================================================ 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 838 BOBL caleb_strategy_v1 [-1] 6.65937 22.5247 -7.50822 15.0164 -0 NaN 7.50822 841 DAX caleb_strategy_v1 [-1] 2594.33 100.218 -3.85456 7.70911 -0 NaN 3.85456 842 CAC caleb_strategy_v1 [-1] 1122.38 71.2774 -4.45484 -0 NaN NaN -4.45484 843 BUND caleb_strategy_v1 [1] 13.5664 -77.3972 -3.68558 7.37117 2.09501e-11 NaN 3.68558 839 BUND caleb_strategy_v1 [1] 13.5664 -29.4847 -7.37117 0 -14.7423 NaN -7.37117 840 BUXL caleb_strategy_v1 [-1] 34.4873 28.9962 -5.79924 11.5985 -0 NaN 5.79924 844 BUXL caleb_strategy_v1 [-1] 34.4873 52.1932 -5.79924 -0 NaN NaN -5.79924 845 SILVER-mini caleb_strategy_v1 [1] 8.44283 510.788 -7.40273 14.8055 0 NaN 7.40273 846 SUGAR11 caleb_strategy_v1 [-1] 0.0392868 -216.358 -12.7269 25.4539 -0 NaN 12.7269 847 COPPER caleb_strategy_v1 [-1] 1.00921 -371.578 -4.95438 9.90875 -0 NaN 4.95438 848 RUSSELL caleb_strategy_v1 [-1] 489.686 -598.343 -2.04213 -2.04213 -6.12638 NaN -4.08425 849 CHF caleb_strategy_v1 [-1] 0.10179 -272.621 -7.36815 4.9121 -9.8242 NaN -2.45605 850 CAD caleb_strategy_v1 [1] 0.0610717 216.958 -4.09355 8.1871 0 NaN 4.09355 851 GBP caleb_strategy_v1 [-1] 0.154177 -395.649 -6.48605 -0 -12.9721 NaN -6.48605 852 JPY caleb_strategy_v1 [1] 0.00124608 58.1827 -2.0063 0 NaN NaN -2.0063 853 US5 caleb_strategy_v1 [-1] 5.53153 -63.5561 -7.06179 14.1245 0.000903909 NaN 7.06269 854 LEANHOG caleb_strategy_v1 [-1] 27.1821 45.9861 -9.19722 -0 NaN NaN -9.19722 855 CORN caleb_strategy_v1 [1] 81.1819 230.963 -15.3975 -30.795 -61.5901 NaN -46.1926 856 WHEAT caleb_strategy_v1 [1] 210.274 71.3355 -11.8893 0 -23.7785 NaN -11.8893 =========================================================================================================================================================================== 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 838 BOBL caleb_strategy_v1 [-1] 1059.35 15.8902 -5.29673 10.5935 -0 NaN 5.29672 841 DAX caleb_strategy_v1 [-1] 1.05934 27.543 -1.05934 2.11869 -0 NaN 1.05934 842 CAC caleb_strategy_v1 [-1] 10.5935 84.7476 -5.29673 -0 NaN NaN -5.29673 843 BUND caleb_strategy_v1 [1] 1059.35 -111.231 -5.29673 10.5935 3.01084e-11 NaN 5.29672 839 BUND caleb_strategy_v1 [1] 1059.35 -42.3738 -10.5935 0 -21.1869 NaN -10.5935 840 BUXL caleb_strategy_v1 [-1] 1059.35 105.934 -21.1869 42.3738 -0 NaN 21.1869 844 BUXL caleb_strategy_v1 [-1] 1059.35 190.682 -21.1869 -0 NaN NaN -21.1869 845 SILVER-mini caleb_strategy_v1 [1] 2500 1078.13 -15.625 31.25 0 NaN 15.625 846 SUGAR11 caleb_strategy_v1 [-1] 112000 -95.2 -5.6 11.2 -0 NaN 5.6 847 COPPER caleb_strategy_v1 [-1] 25000 -937.5 -12.5 25 -0 NaN 12.5 848 RUSSELL caleb_strategy_v1 [-1] 5 -146.5 -0.5 -0.5 -1.5 NaN -1 849 CHF caleb_strategy_v1 [-1] 125000 -346.875 -9.375 6.25 -12.5 NaN -3.125 850 CAD caleb_strategy_v1 [1] 100000 132.5 -2.5 5 0 NaN 2.5 851 GBP caleb_strategy_v1 [-1] 62500 -381.25 -6.25 -0 -12.5 NaN -6.25 852 JPY caleb_strategy_v1 [1] 1.25e+07 90.625 -3.125 0 NaN NaN -3.125 853 US5 caleb_strategy_v1 [-1] 1000 -35.1562 -3.90625 7.813 0.0005 NaN 3.90675 854 LEANHOG caleb_strategy_v1 [-1] 400 50 -10 -0 NaN NaN -10 855 CORN caleb_strategy_v1 [1] 50 93.75 -6.25 -12.5 -25 NaN -18.75 856 WHEAT caleb_strategy_v1 [1] 50 75 -12.5 0 -25 NaN -12.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BOBL 15.890175 BUND -153.605025 BUXL 296.616600 CAC 84.747600 CAD 132.500000 CHF -346.875000 COPPER -937.500000 CORN 93.750000 DAX 27.542970 GBP -381.250000 JPY 90.625000 LEANHOG 50.000000 RUSSELL -146.500000 SILVER-mini 1078.125000 SUGAR11 -95.200000 US5 -35.156250 WHEAT 75.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -151.28893 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BOBL -5.296725 BUND -15.890175 BUXL -42.373800 CAC -5.296725 CAD -2.500000 CHF -9.375000 COPPER -12.500000 CORN -6.250000 DAX -1.059345 GBP -6.250000 JPY -3.125000 LEANHOG -10.000000 RUSSELL -0.500000 SILVER-mini -15.625000 SUGAR11 -5.600000 US5 -3.906250 WHEAT -12.500000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -158.04802 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BOBL 10.59345 BUND 10.59345 BUXL 42.37380 CAC -0.00000 CAD 5.00000 CHF 6.25000 COPPER 25.00000 CORN -12.50000 DAX 2.11869 GBP -0.00000 JPY 0.00000 LEANHOG -0.00000 RUSSELL -0.50000 SILVER-mini 31.25000 SUGAR11 11.20000 US5 7.81300 WHEAT 0.00000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 139.19239 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL -0.0000 BUND -21.1869 BUXL 0.0000 CAC 0.0000 CAD 0.0000 CHF -12.5000 COPPER -0.0000 CORN -25.0000 DAX -0.0000 GBP -12.5000 JPY 0.0000 LEANHOG 0.0000 RUSSELL -1.5000 SILVER-mini 0.0000 SUGAR11 -0.0000 US5 0.0005 WHEAT -25.0000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -97.6864 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0 BUND 0 BUXL 0 CAC 0 CAD 0 CHF 0 COPPER 0 CORN 0 DAX 0 GBP 0 JPY 0 LEANHOG 0 RUSSELL 0 SILVER-mini 0 SUGAR11 0 US5 0 WHEAT 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 5.296725 BUND -5.296725 BUXL 0.000000 CAC -5.296725 CAD 2.500000 CHF -3.125000 COPPER 12.500000 CORN -18.750000 DAX 1.059345 GBP -6.250000 JPY -3.125000 LEANHOG -10.000000 RUSSELL -1.000000 SILVER-mini 15.625000 SUGAR11 5.600000 US5 3.906750 WHEAT -12.500000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -18.85563 ******************************************************************************** END OF REPORT ********************************************************************************