******************************************************************************** Trades report report produced on 10/01/2023 21:35 from 09/01/2023 21:35 to 10/01/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 909 AUD caleb_strategy_v1 [20230300] 2023-01-10 15:00:05 [1] 0.69100 902 CAC caleb_strategy_v1 [20230100] 2023-01-10 08:00:06 [1] 6882.50000 910 CAD caleb_strategy_v1 [20230300] 2023-01-10 15:00:07 [1] 0.74640 905 COPPER caleb_strategy_v1 [20230300] 2023-01-10 14:00:03 [1] 4.02300 904 CRUDE_W caleb_strategy_v1 [20231200] 2023-01-10 14:00:02 [1] 74.58000 912 DOW caleb_strategy_v1 [20230300] 2023-01-10 15:00:16 [1] 33703.00000 901 EUROSTX caleb_strategy_v1 [20230300] 2023-01-10 08:00:05 [1] 4057.00000 903 GASOIL caleb_strategy_v1 [20230300] 2023-01-10 09:06:40 [-1] 835.50000 906 HEATOIL caleb_strategy_v1 [20230400] 2023-01-10 14:00:06 [1] 2.85060 917 LEANHOG caleb_strategy_v1 [20230400] 2023-01-10 15:30:26 [-1] 89.65000 913 RUSSELL caleb_strategy_v1 [20230300] 2023-01-10 15:00:18 [1] 1807.50000 914 RUSSELL caleb_strategy_v1 [20230300] 2023-01-10 15:00:20 [1] 1807.70000 907 RUSSELL caleb_strategy_v1 [20230300] 2023-01-10 15:00:01 [1] 1808.10000 915 RUSSELL caleb_strategy_v1 [20230300] 2023-01-10 15:01:13 [1] 1808.10000 918 SOYMEAL caleb_strategy_v1 [20230500] 2023-01-10 15:31:09 [1] 457.10000 908 US5 caleb_strategy_v1 [20230300] 2023-01-10 15:00:03 [1] 109.03125 911 VIX caleb_strategy_v1 [20230400] 2023-01-10 15:00:14 [-1] 24.10000 916 WHEAT caleb_strategy_v1 [20231200] 2023-01-10 15:30:01 [-1] 761.25000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 901 EUROSTX caleb_strategy_v1 2023-01-09 2023-01-10 08:00:02.754 2023-01-10 08:00:05 115203 2.246 902 CAC caleb_strategy_v1 2023-01-09 2023-01-10 08:00:06.458 2023-01-10 08:00:06 115206 NaN 903 GASOIL caleb_strategy_v1 2023-01-09 2023-01-10 09:06:29.610 2023-01-10 09:06:40 119190 10.39 904 CRUDE_W caleb_strategy_v1 2023-01-09 2023-01-10 14:00:00.982 2023-01-10 14:00:02 136801 1.018 905 COPPER caleb_strategy_v1 2023-01-09 2023-01-10 14:00:03.057 2023-01-10 14:00:03 136803 NaN 906 HEATOIL caleb_strategy_v1 2023-01-09 2023-01-10 14:00:04.789 2023-01-10 14:00:06 136805 1.211 908 US5 caleb_strategy_v1 2023-01-09 2023-01-10 15:00:01.885 2023-01-10 15:00:03 140402 1.115 909 AUD caleb_strategy_v1 2023-01-09 2023-01-10 15:00:03.902 2023-01-10 15:00:05 140404 1.098 910 CAD caleb_strategy_v1 2023-01-09 2023-01-10 15:00:05.710 2023-01-10 15:00:07 140406 1.29 911 VIX caleb_strategy_v1 2023-01-09 2023-01-10 15:00:08.540 2023-01-10 15:00:14 140409 5.46 912 DOW caleb_strategy_v1 2023-01-09 2023-01-10 15:00:16.513 2023-01-10 15:00:16 140417 NaN 913 RUSSELL caleb_strategy_v1 2023-01-09 2023-01-10 15:00:18.249 2023-01-10 15:00:18 140418 NaN 914 RUSSELL caleb_strategy_v1 2023-01-09 2023-01-10 15:00:20.064 2023-01-10 15:00:20 140420 NaN 907 RUSSELL caleb_strategy_v1 2023-01-09 2023-01-10 15:00:00.988 2023-01-10 15:00:01 140401 0.012 915 RUSSELL caleb_strategy_v1 2023-01-09 2023-01-10 15:01:12.732 2023-01-10 15:01:13 140473 0.268 916 WHEAT caleb_strategy_v1 2023-01-09 2023-01-10 15:30:01.107 2023-01-10 15:30:01 142201 NaN 917 LEANHOG caleb_strategy_v1 2023-01-09 2023-01-10 15:30:02.315 2023-01-10 15:30:26 142202 23.685 918 SOYMEAL caleb_strategy_v1 2023-01-09 2023-01-10 15:30:26.777 2023-01-10 15:31:09 142227 42.223 ======================================================================================================================================================================================================================================= 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 901 EUROSTX caleb_strategy_v1 [1] 4061 None 4057.5 4058 4057 4057 4057 3.5 -0.5 1 0 NaN 0.5 902 CAC caleb_strategy_v1 [1] 6887.5 None 6883 6883.5 6882.5 6882.5 6882.5 4.5 -0.5 1 0 NaN 0.5 903 GASOIL caleb_strategy_v1 [-1] 837.5 None 835.875 835.5 836.25 836.25 835.5 -1.625 -0.375 -0 -0.75 NaN -0.375 904 CRUDE_W caleb_strategy_v1 [1] 74.21 None 74.56 74.57 74.55 74.55 74.58 -0.35 -0.01 -0.01 -0.03 NaN -0.02 905 COPPER caleb_strategy_v1 [1] 4.0085 None 4.023 4.0235 4.0225 4.0225 4.023 -0.0145 -0.0005 0.0005 -0.0005 NaN 0 906 HEATOIL caleb_strategy_v1 [1] 2.8321 None 2.84975 2.8506 2.8489 2.8489 2.8506 -0.01765 -0.00085 0 -0.0017 NaN -0.00085 908 US5 caleb_strategy_v1 [1] 109.266 None 109.035 109.039 109.031 109.031 109.031 0.230469 -0.00390625 0.0078125 0 NaN 0.00390625 909 AUD caleb_strategy_v1 [1] 0.69445 None 0.690925 0.69095 0.6909 0.6909 0.691 0.003525 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 910 CAD caleb_strategy_v1 [1] 0.7482 None 0.746325 0.74635 0.7463 0.7463 0.7464 0.001875 -2.5e-05 -5e-05 -0.0001 NaN -7.5e-05 911 VIX caleb_strategy_v1 [-1] 24.25 None 24.075 24.05 24.1 24.1 24.1 -0.175 -0.025 0.05 -0 NaN 0.025 912 DOW caleb_strategy_v1 [1] 33705 None 33704 33705 33703 33703 33703 1 -1 2 0 NaN 1 913 RUSSELL caleb_strategy_v1 [1] 1808.7 None 1807.6 1807.7 1807.5 1807.5 1807.5 1.1 -0.1 0.2 0 NaN 0.1 914 RUSSELL caleb_strategy_v1 [1] 1808.7 None 1807.45 1807.5 1807.4 1807.4 1807.7 1.25 -0.05 -0.2 -0.3 NaN -0.25 907 RUSSELL caleb_strategy_v1 [1] 1808.7 None 1808.2 1808.3 1808.1 1808.1 1808.1 0.5 -0.1 0.2 2.27374e-13 NaN 0.1 915 RUSSELL caleb_strategy_v1 [1] 1808.7 None 1808.2 1808.3 1808.1 1808.1 1808.1 0.5 -0.1 0.2 2.27374e-13 NaN 0.1 916 WHEAT caleb_strategy_v1 [-1] 777 None 761.625 761.25 762 762 761.25 -15.375 -0.375 -0 -0.75 NaN -0.375 917 LEANHOG caleb_strategy_v1 [-1] 90.85 None 89.7 89.675 89.725 89.725 89.65 -1.15 -0.025 -0.025 -0.075 NaN -0.05 918 SOYMEAL caleb_strategy_v1 [1] 455.6 None 457.15 457.2 457.1 457.1 457.1 -1.55 -0.05 0.1 0 NaN 0.05 ================================================================================================================================================================ 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 901 EUROSTX caleb_strategy_v1 [1] 762.923 45.8762 -6.55374 13.1075 0 NaN 6.55374 902 CAC caleb_strategy_v1 [1] 1171.38 38.4161 -4.26846 8.53692 0 NaN 4.26846 903 GASOIL caleb_strategy_v1 [-1] 402.891 -40.3335 -9.30772 -0 -18.6154 NaN -9.30772 904 CRUDE_W caleb_strategy_v1 [1] 22.7122 -154.102 -4.40291 -4.40291 -13.2087 NaN -8.80582 905 COPPER caleb_strategy_v1 [1] 0.988365 -146.707 -5.05886 5.05886 -5.05886 NaN 0 906 HEATOIL caleb_strategy_v1 [1] 1.13777 -155.128 -7.47075 0 -14.9415 NaN -7.47075 908 US5 caleb_strategy_v1 [1] 5.77882 398.816 -6.7596 13.5192 0 NaN 6.7596 909 AUD caleb_strategy_v1 [1] 0.101646 346.792 -2.45952 -4.91904 -9.83807 NaN -7.37855 910 CAD caleb_strategy_v1 [1] 0.0683508 274.32 -3.6576 -7.3152 -14.6304 NaN -10.9728 911 VIX caleb_strategy_v1 [-1] 8.67021 -201.841 -28.8344 57.6688 -0 NaN 28.8344 912 DOW caleb_strategy_v1 [1] 5762.75 1.73528 -1.73528 3.47056 0 NaN 1.73528 913 RUSSELL caleb_strategy_v1 [1] 458.027 24.016 -2.18328 4.36655 0 NaN 2.18328 914 RUSSELL caleb_strategy_v1 [1] 458.027 27.291 -1.09164 -4.36655 -6.54983 NaN -5.45819 907 RUSSELL caleb_strategy_v1 [1] 458.027 10.9164 -2.18328 4.36655 4.9642e-12 NaN 2.18328 915 RUSSELL caleb_strategy_v1 [1] 458.027 10.9164 -2.18328 4.36655 4.9642e-12 NaN 2.18328 916 WHEAT caleb_strategy_v1 [-1] 215.405 -713.771 -17.409 -0 -34.8181 NaN -17.409 917 LEANHOG caleb_strategy_v1 [-1] 24.4541 -470.269 -10.2232 -10.2232 -30.6697 NaN -20.4465 918 SOYMEAL caleb_strategy_v1 [1] 109.285 -141.832 -4.57521 9.15043 0 NaN 4.57521 =========================================================================================================================================================================== 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 901 EUROSTX caleb_strategy_v1 [1] 10.7402 37.5907 -5.3701 10.7402 0 NaN 5.3701 902 CAC caleb_strategy_v1 [1] 10.7402 48.3309 -5.3701 10.7402 0 NaN 5.3701 903 GASOIL caleb_strategy_v1 [-1] 100 -162.5 -37.5 -0 -75 NaN -37.5 904 CRUDE_W caleb_strategy_v1 [1] 1000 -350 -10 -10 -30 NaN -20 905 COPPER caleb_strategy_v1 [1] 25000 -362.5 -12.5 12.5 -12.5 NaN 0 906 HEATOIL caleb_strategy_v1 [1] 42000 -741.3 -35.7 0 -71.4 NaN -35.7 908 US5 caleb_strategy_v1 [1] 1000 230.469 -3.90625 7.8125 0 NaN 3.90625 909 AUD caleb_strategy_v1 [1] 100000 352.5 -2.5 -5 -10 NaN -7.5 910 CAD caleb_strategy_v1 [1] 100000 187.5 -2.5 -5 -10 NaN -7.5 911 VIX caleb_strategy_v1 [-1] 1000 -175 -25 50 -0 NaN 25 912 DOW caleb_strategy_v1 [1] 0.5 0.5 -0.5 1 0 NaN 0.5 913 RUSSELL caleb_strategy_v1 [1] 5 5.5 -0.5 1 0 NaN 0.5 914 RUSSELL caleb_strategy_v1 [1] 5 6.25 -0.25 -1 -1.5 NaN -1.25 907 RUSSELL caleb_strategy_v1 [1] 5 2.5 -0.5 1 1.13687e-12 NaN 0.5 915 RUSSELL caleb_strategy_v1 [1] 5 2.5 -0.5 1 1.13687e-12 NaN 0.5 916 WHEAT caleb_strategy_v1 [-1] 50 -768.75 -18.75 -0 -37.5 NaN -18.75 917 LEANHOG caleb_strategy_v1 [-1] 400 -460 -10 -10 -30 NaN -20 918 SOYMEAL caleb_strategy_v1 [1] 100 -155 -5 10 0 NaN 5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 AUD 352.50000 CAC 48.33090 CAD 187.50000 COPPER -362.50000 CRUDE_W -350.00000 DOW 0.50000 EUROSTX 37.59070 GASOIL -162.50000 HEATOIL -741.30000 LEANHOG -460.00000 RUSSELL 16.75000 SOYMEAL -155.00000 US5 230.46875 VIX -175.00000 WHEAT -768.75000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -2301.40965 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 AUD -2.50000 CAC -5.37010 CAD -2.50000 COPPER -12.50000 CRUDE_W -10.00000 DOW -0.50000 EUROSTX -5.37010 GASOIL -37.50000 HEATOIL -35.70000 LEANHOG -10.00000 RUSSELL -1.75000 SOYMEAL -5.00000 US5 -3.90625 VIX -25.00000 WHEAT -18.75000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -176.34645 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 AUD -5.0000 CAC 10.7402 CAD -5.0000 COPPER 12.5000 CRUDE_W -10.0000 DOW 1.0000 EUROSTX 10.7402 GASOIL -0.0000 HEATOIL 0.0000 LEANHOG -10.0000 RUSSELL 2.0000 SOYMEAL 10.0000 US5 7.8125 VIX 50.0000 WHEAT -0.0000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 74.7929 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 AUD -10.0 CAC 0.0 CAD -10.0 COPPER -12.5 CRUDE_W -30.0 DOW 0.0 EUROSTX 0.0 GASOIL -75.0 HEATOIL -71.4 LEANHOG -30.0 RUSSELL -1.5 SOYMEAL 0.0 US5 0.0 VIX -0.0 WHEAT -37.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -277.9 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 AUD 0 CAC 0 CAD 0 COPPER 0 CRUDE_W 0 DOW 0 EUROSTX 0 GASOIL 0 HEATOIL 0 LEANHOG 0 RUSSELL 0 SOYMEAL 0 US5 0 VIX 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 AUD -7.50000 CAC 5.37010 CAD -7.50000 COPPER 0.00000 CRUDE_W -20.00000 DOW 0.50000 EUROSTX 5.37010 GASOIL -37.50000 HEATOIL -35.70000 LEANHOG -20.00000 RUSSELL 0.25000 SOYMEAL 5.00000 US5 3.90625 VIX 25.00000 WHEAT -18.75000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -101.55355 ******************************************************************************** END OF REPORT ********************************************************************************