******************************************************************************** Trades report report produced on 13/01/2023 21:35 from 12/01/2023 21:35 to 13/01/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 924 BUND caleb_strategy_v1 [20230300] 2023-01-13 08:00:03 [1] 138.410000 925 CAC caleb_strategy_v1 [20230200] 2023-01-13 08:00:04 [1] 7003.500000 927 COPPER caleb_strategy_v1 [20230300] 2023-01-13 14:00:04 [1] 4.153000 928 CRUDE_W caleb_strategy_v1 [20231200] 2023-01-13 14:00:06 [1] 76.850000 929 GBP caleb_strategy_v1 [20230300] 2023-01-13 15:00:02 [1] 1.221000 926 GOLD_micro caleb_strategy_v1 [20230200] 2023-01-13 14:00:01 [1] 1903.200000 932 JPY caleb_strategy_v1 [20230300] 2023-01-13 15:00:06 [-1] 0.007891 936 LEANHOG caleb_strategy_v1 [20230400] 2023-01-13 15:30:01 [-1] 86.125000 931 RUSSELL caleb_strategy_v1 [20230300] 2023-01-13 15:00:05 [1] 1880.100000 930 US20 caleb_strategy_v1 [20230300] 2023-01-13 15:00:04 [1] 131.000000 934 US20 caleb_strategy_v1 [20230300] 2023-01-13 15:00:13 [1] 131.125000 933 VIX caleb_strategy_v1 [20230400] 2023-01-13 15:00:11 [-1] 22.850000 935 VIX caleb_strategy_v1 [20230400] 2023-01-13 15:00:25 [-1] 22.900000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 924 BUND caleb_strategy_v1 2023-01-12 2023-01-13 08:00:02.290 2023-01-13 08:00:03 115202 0.71 925 CAC caleb_strategy_v1 2023-01-12 2023-01-13 08:00:04.061 2023-01-13 08:00:04 115204 NaN 926 GOLD_micro caleb_strategy_v1 2023-01-12 2023-01-13 14:00:01.551 2023-01-13 14:00:01 136802 NaN 927 COPPER caleb_strategy_v1 2023-01-12 2023-01-13 14:00:02.408 2023-01-13 14:00:04 136802 1.592 928 CRUDE_W caleb_strategy_v1 2023-01-12 2023-01-13 14:00:05.186 2023-01-13 14:00:06 136805 0.814 929 GBP caleb_strategy_v1 2023-01-12 2023-01-13 15:00:00.977 2023-01-13 15:00:02 140401 1.023 931 RUSSELL caleb_strategy_v1 2023-01-12 2023-01-13 15:00:05.026 2023-01-13 15:00:05 140405 NaN 932 JPY caleb_strategy_v1 2023-01-12 2023-01-13 15:00:06.192 2023-01-13 15:00:06 140406 NaN 930 US20 caleb_strategy_v1 2023-01-12 2023-01-13 15:00:03.671 2023-01-13 15:00:04 140404 0.329 934 US20 caleb_strategy_v1 2023-01-12 2023-01-13 15:00:13.080 2023-01-13 15:00:13 140413 NaN 933 VIX caleb_strategy_v1 2023-01-12 2023-01-13 15:00:08.235 2023-01-13 15:00:11 140408 2.765 935 VIX caleb_strategy_v1 2023-01-12 2023-01-13 15:00:14.067 2023-01-13 15:00:25 140414 10.933 936 LEANHOG caleb_strategy_v1 2023-01-12 2023-01-13 15:30:01.613 2023-01-13 15:30:01 142202 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 924 BUND caleb_strategy_v1 [1] 138.49 None 138.415 138.42 138.41 138.41 138.41 0.075 -0.005 0.01 0 NaN 0.005 925 CAC caleb_strategy_v1 [1] 7014.5 None 7004.5 7005.5 7003.5 7003.5 7003.5 10 -1 2 0 NaN 1 926 GOLD_micro caleb_strategy_v1 [1] 1897.9 None 1903.3 1903.4 1903.2 1903.2 1903.2 -5.4 -0.1 0.2 0 NaN 0.1 927 COPPER caleb_strategy_v1 [1] 4.1685 None 4.15225 4.1525 4.152 4.152 4.153 0.01625 -0.00025 -0.0005 -0.001 NaN -0.00075 928 CRUDE_W caleb_strategy_v1 [1] 76.64 None 76.865 76.88 76.85 76.85 76.85 -0.225 -0.015 0.03 1.42109e-14 NaN 0.015 929 GBP caleb_strategy_v1 [1] 1.2228 None 1.22065 1.2209 1.2204 1.2204 1.221 0.00215 -0.00025 -0.0001 -0.0006 NaN -0.00035 931 RUSSELL caleb_strategy_v1 [1] 1880.4 None 1879.45 1879.9 1879 1879 1880.1 0.95 -0.45 -0.2 -1.1 NaN -0.65 932 JPY caleb_strategy_v1 [-1] 0.007786 None 0.0078905 0.00789 0.007891 0.007891 0.007891 0.0001045 -5e-07 1e-06 -0 NaN 5e-07 930 US20 caleb_strategy_v1 [1] 130.594 None 130.953 130.969 130.938 130.938 131 -0.359375 -0.015625 -0.03125 -0.0625 NaN -0.046875 934 US20 caleb_strategy_v1 [1] 130.594 None 131.078 131.094 131.062 131.062 131.125 -0.484375 -0.015625 -0.03125 -0.0625 NaN -0.046875 933 VIX caleb_strategy_v1 [-1] 23.2 None 22.925 22.9 22.95 22.95 22.85 -0.275 -0.025 -0.05 -0.1 NaN -0.075 935 VIX caleb_strategy_v1 [-1] 23.2 None 22.875 22.85 22.9 22.9 22.9 -0.325 -0.025 0.05 -3.55271e-15 NaN 0.025 936 LEANHOG caleb_strategy_v1 [-1] 87.275 None 86.1375 86.125 86.15 86.15 86.125 -1.1375 -0.0125 -0 -0.025 NaN -0.0125 ================================================================================================================================================================ 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 924 BUND caleb_strategy_v1 [1] 13.8119 54.3011 -3.62008 7.24015 0 NaN 3.62008 925 CAC caleb_strategy_v1 [1] 1128.59 88.6058 -8.86058 17.7212 0 NaN 8.86058 926 GOLD_micro caleb_strategy_v1 [1] 275.392 -196.084 -3.63119 7.26239 0 NaN 3.63119 927 COPPER caleb_strategy_v1 [1] 0.967922 167.885 -2.58285 -5.1657 -10.3314 NaN -7.74855 928 CRUDE_W caleb_strategy_v1 [1] 23.0342 -97.681 -6.51207 13.0241 6.16947e-12 NaN 6.51207 929 GBP caleb_strategy_v1 [1] 0.140216 153.335 -17.8297 -7.13188 -42.7913 NaN -24.9616 931 RUSSELL caleb_strategy_v1 [1] 445.054 21.3457 -10.1111 -4.49383 -24.7161 NaN -14.605 932 JPY caleb_strategy_v1 [-1] 0.0011914 877.119 -4.19674 8.39348 -0 NaN 4.19674 930 US20 caleb_strategy_v1 [1] 16.8489 -213.292 -9.27358 -18.5472 -37.0943 NaN -27.8207 934 US20 caleb_strategy_v1 [1] 16.8489 -287.481 -9.27358 -18.5472 -37.0943 NaN -27.8207 933 VIX caleb_strategy_v1 [-1] 8.59501 -319.953 -29.0866 -58.1733 -116.347 NaN -87.2599 935 VIX caleb_strategy_v1 [-1] 8.59501 -378.126 -29.0866 58.1733 -4.13346e-12 NaN 29.0866 936 LEANHOG caleb_strategy_v1 [-1] 23.3778 -486.572 -5.34695 -0 -10.6939 NaN -5.34695 =========================================================================================================================================================================== 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 924 BUND caleb_strategy_v1 [1] 1082.99 81.2239 -5.41492 10.8298 0 NaN 5.41492 925 CAC caleb_strategy_v1 [1] 10.8299 108.299 -10.8299 21.6597 0 NaN 10.8299 926 GOLD_micro caleb_strategy_v1 [1] 10 -54 -1 2 0 NaN 1 927 COPPER caleb_strategy_v1 [1] 25000 406.25 -6.25 -12.5 -25 NaN -18.75 928 CRUDE_W caleb_strategy_v1 [1] 1000 -225 -15 30 1.42109e-11 NaN 15 929 GBP caleb_strategy_v1 [1] 62500 134.375 -15.625 -6.25 -37.5 NaN -21.875 931 RUSSELL caleb_strategy_v1 [1] 5 4.75 -2.25 -1 -5.5 NaN -3.25 932 JPY caleb_strategy_v1 [-1] 1.25e+07 1306.25 -6.25 12.5 -0 NaN 6.25 930 US20 caleb_strategy_v1 [1] 1000 -359.375 -15.625 -31.25 -62.5 NaN -46.875 934 US20 caleb_strategy_v1 [1] 1000 -484.375 -15.625 -31.25 -62.5 NaN -46.875 933 VIX caleb_strategy_v1 [-1] 1000 -275 -25 -50 -100 NaN -75 935 VIX caleb_strategy_v1 [-1] 1000 -325 -25 50 -3.55271e-12 NaN 25 936 LEANHOG caleb_strategy_v1 [-1] 400 -455 -5 -0 -10 NaN -5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BUND 81.223875 CAC 108.298500 COPPER 406.250000 CRUDE_W -225.000000 GBP 134.375000 GOLD_micro -54.000000 JPY 1306.250000 LEANHOG -455.000000 RUSSELL 4.750000 US20 -843.750000 VIX -600.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -136.602625 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BUND -5.414925 CAC -10.829850 COPPER -6.250000 CRUDE_W -15.000000 GBP -15.625000 GOLD_micro -1.000000 JPY -6.250000 LEANHOG -5.000000 RUSSELL -2.250000 US20 -31.250000 VIX -50.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -148.869775 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BUND 10.82985 CAC 21.65970 COPPER -12.50000 CRUDE_W 30.00000 GBP -6.25000 GOLD_micro 2.00000 JPY 12.50000 LEANHOG -0.00000 RUSSELL -1.00000 US20 -62.50000 VIX 0.00000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -5.26045 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 0.000000e+00 CAC 0.000000e+00 COPPER -2.500000e+01 CRUDE_W 1.421085e-11 GBP -3.750000e+01 GOLD_micro 0.000000e+00 JPY -0.000000e+00 LEANHOG -1.000000e+01 RUSSELL -5.500000e+00 US20 -1.250000e+02 VIX -1.000000e+02 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -303.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 0 CAC 0 COPPER 0 CRUDE_W 0 GBP 0 GOLD_micro 0 JPY 0 LEANHOG 0 RUSSELL 0 US20 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 5.414925 CAC 10.829850 COPPER -18.750000 CRUDE_W 15.000000 GBP -21.875000 GOLD_micro 1.000000 JPY 6.250000 LEANHOG -5.000000 RUSSELL -3.250000 US20 -93.750000 VIX -50.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -154.130225 ******************************************************************************** END OF REPORT ********************************************************************************