******************************************************************************** Trades report report produced on 18/01/2023 21:35 from 17/01/2023 21:35 to 18/01/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 963 BUND caleb_strategy_v1 [20230300] 2023-01-18 08:00:05 [1] 139.400000 964 CAC caleb_strategy_v1 [20230200] 2023-01-18 08:00:06 [1] 7084.000000 967 COCOA caleb_strategy_v1 [20230300] 2023-01-18 14:00:08 [-1] 2621.000000 966 CRUDE_W caleb_strategy_v1 [20231200] 2023-01-18 14:00:01 [1] 78.390000 965 GASOIL caleb_strategy_v1 [20230300] 2023-01-18 09:00:06 [1] 903.500000 972 GBP caleb_strategy_v1 [20230300] 2023-01-18 15:05:08 [1] 1.241600 974 LIVECOW caleb_strategy_v1 [20230400] 2023-01-18 15:30:01 [-1] 160.450000 962 OAT caleb_strategy_v1 [20230300] 2023-01-18 08:00:03 [1] 134.210000 968 SILVER-mini caleb_strategy_v1 [20230500] 2023-01-18 14:00:39 [-1] 24.487500 970 US10U caleb_strategy_v1 [20230300] 2023-01-18 15:00:05 [1] 122.593750 969 US5 caleb_strategy_v1 [20230300] 2023-01-18 15:00:01 [-1] 110.132813 973 US5 caleb_strategy_v1 [20230300] 2023-01-18 15:06:14 [-1] 110.117188 971 VIX caleb_strategy_v1 [20230400] 2023-01-18 15:05:06 [-1] 22.600000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 962 OAT caleb_strategy_v1 2023-01-17 2023-01-18 08:00:02.521 2023-01-18 08:00:03 115203 0.479 963 BUND caleb_strategy_v1 2023-01-17 2023-01-18 08:00:04.587 2023-01-18 08:00:05 115205 0.413 964 CAC caleb_strategy_v1 2023-01-17 2023-01-18 08:00:06.681 2023-01-18 08:00:06 115207 NaN 965 GASOIL caleb_strategy_v1 2023-01-17 2023-01-18 09:00:01.584 2023-01-18 09:00:06 118802 4.416 966 CRUDE_W caleb_strategy_v1 2023-01-17 2023-01-18 14:00:01.153 2023-01-18 14:00:01 136801 NaN 967 COCOA caleb_strategy_v1 2023-01-17 2023-01-18 14:00:02.625 2023-01-18 14:00:08 136803 5.375 968 SILVER-mini caleb_strategy_v1 2023-01-13 2023-01-18 14:00:09.804 2023-01-18 14:00:39 482410 29.196 970 US10U caleb_strategy_v1 2023-01-17 2023-01-18 15:00:02.763 2023-01-18 15:00:05 140403 2.237 971 VIX caleb_strategy_v1 2023-01-17 2023-01-18 15:00:06.804 2023-01-18 15:05:06 140407 299.196 972 GBP caleb_strategy_v1 2023-01-17 2023-01-18 15:05:08.202 2023-01-18 15:05:08 140708 NaN 969 US5 caleb_strategy_v1 2023-01-17 2023-01-18 15:00:01.123 2023-01-18 15:00:01 140401 NaN 973 US5 caleb_strategy_v1 2023-01-17 2023-01-18 15:06:13.509 2023-01-18 15:06:14 140774 0.491 974 LIVECOW caleb_strategy_v1 2023-01-17 2023-01-18 15:30:01.372 2023-01-18 15:30:01 142201 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 962 OAT caleb_strategy_v1 [1] 133.92 None 134.19 134.2 134.18 134.18 134.21 -0.27 -0.01 -0.01 -0.03 NaN -0.02 963 BUND caleb_strategy_v1 [1] 139.16 None 139.385 139.39 139.38 139.38 139.4 -0.225 -0.005 -0.01 -0.02 NaN -0.015 964 CAC caleb_strategy_v1 [1] 7090 None 7083.25 7084 7082.5 NaN 7084 6.75 -0.75 0 NaN NaN -0.75 965 GASOIL caleb_strategy_v1 [1] 913.75 None 903.75 904 903.5 903.5 903.5 10 -0.25 0.5 0 NaN 0.25 966 CRUDE_W caleb_strategy_v1 [1] 78.32 None 78.37 78.39 78.35 78.35 78.39 -0.05 -0.02 0 -0.04 NaN -0.02 967 COCOA caleb_strategy_v1 [-1] 2646 None 2622.5 2622 2623 2623 2621 -23.5 -0.5 -1 -2 NaN -1.5 968 SILVER-mini caleb_strategy_v1 [-1] 24.625 None 24.5125 24.5 24.525 24.525 24.4875 -0.1125 -0.0125 -0.0125 -0.0375 NaN -0.025 970 US10U caleb_strategy_v1 [1] 121.281 None 122.602 122.609 122.594 122.594 122.594 -1.32031 -0.0078125 0.015625 0 NaN 0.0078125 971 VIX caleb_strategy_v1 [-1] 22.65 None 22.625 22.6 22.65 22.65 22.6 -0.025 -0.025 -0 -0.05 NaN -0.025 972 GBP caleb_strategy_v1 [1] 1.2291 None 1.24145 1.2415 1.2414 1.2414 1.2416 -0.01235 -5e-05 -0.0001 -0.0002 NaN -0.00015 969 US5 caleb_strategy_v1 [-1] 109.531 None 110.137 110.133 110.141 110.141 110.133 0.605469 -0.00390625 5e-07 -0.007812 NaN -0.00390575 973 US5 caleb_strategy_v1 [-1] 109.531 None 110.137 110.133 110.141 110.141 110.117 0.605469 -0.00390625 -0.0156245 -0.023437 NaN -0.0195308 974 LIVECOW caleb_strategy_v1 [-1] 160.175 None 160.462 160.45 160.475 NaN 160.45 0.2875 -0.0125 -0 NaN 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 962 OAT caleb_strategy_v1 [1] 13.9535 -193.5 -7.16666 -7.16666 -21.5 NaN -14.3333 963 BUND caleb_strategy_v1 [1] 13.5193 -166.429 -3.69842 -7.39684 -14.7937 NaN -11.0953 964 CAC caleb_strategy_v1 [1] 1060.88 63.6263 -7.06959 0 NaN NaN -7.06959 965 GASOIL caleb_strategy_v1 [1] 370.143 270.166 -6.75414 13.5083 0 NaN 6.75414 966 CRUDE_W caleb_strategy_v1 [1] 23.1254 -21.6212 -8.64849 0 -17.297 NaN -8.64849 967 COCOA caleb_strategy_v1 [-1] 597.921 -393.029 -8.36231 -16.7246 -33.4493 NaN -25.0869 968 SILVER-mini caleb_strategy_v1 [-1] 7.29589 -154.196 -17.1329 -17.1329 -51.3988 NaN -34.2659 970 US10U caleb_strategy_v1 [1] 13.0892 -1008.7 -5.96864 11.9373 0 NaN 5.96864 971 VIX caleb_strategy_v1 [-1] 8.7312 -28.633 -28.633 -0 -57.2659 NaN -28.633 972 GBP caleb_strategy_v1 [1] 0.13199 -935.677 -3.78817 -7.57633 -15.1527 NaN -11.3645 969 US5 caleb_strategy_v1 [-1] 6.2825 963.738 -6.21767 0.000795861 -12.4345 NaN -6.21687 973 US5 caleb_strategy_v1 [-1] 6.2825 963.738 -6.21767 -24.8699 -37.3052 NaN -31.0875 974 LIVECOW caleb_strategy_v1 [-1] 12.71 226.2 -9.83478 -0 NaN NaN -9.83478 =========================================================================================================================================================================== 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 962 OAT caleb_strategy_v1 [1] 1079.04 -291.341 -10.7904 -10.7904 -32.3712 NaN -21.5808 963 BUND caleb_strategy_v1 [1] 1079.04 -242.784 -5.3952 -10.7904 -21.5808 NaN -16.1856 964 CAC caleb_strategy_v1 [1] 10.7904 72.8352 -8.0928 0 NaN NaN -8.0928 965 GASOIL caleb_strategy_v1 [1] 100 1000 -25 50 0 NaN 25 966 CRUDE_W caleb_strategy_v1 [1] 1000 -50 -20 0 -40 NaN -20 967 COCOA caleb_strategy_v1 [-1] 10 -235 -5 -10 -20 NaN -15 968 SILVER-mini caleb_strategy_v1 [-1] 2500 -281.25 -31.25 -31.25 -93.75 NaN -62.5 970 US10U caleb_strategy_v1 [1] 1000 -1320.31 -7.8125 15.625 0 NaN 7.8125 971 VIX caleb_strategy_v1 [-1] 1000 -25 -25 -0 -50 NaN -25 972 GBP caleb_strategy_v1 [1] 62500 -771.875 -3.125 -6.25 -12.5 NaN -9.375 969 US5 caleb_strategy_v1 [-1] 1000 605.469 -3.90625 0.0005 -7.812 NaN -3.90575 973 US5 caleb_strategy_v1 [-1] 1000 605.469 -3.90625 -15.6245 -23.437 NaN -19.5308 974 LIVECOW caleb_strategy_v1 [-1] 400 115 -5 -0 NaN NaN -5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BUND -242.7840 CAC 72.8352 COCOA -235.0000 CRUDE_W -50.0000 GASOIL 1000.0000 GBP -771.8750 LIVECOW 115.0000 OAT -291.3408 SILVER-mini -281.2500 US10U -1320.3125 US5 1210.9375 VIX -25.0000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -818.7896 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BUND -5.3952 CAC -8.0928 COCOA -5.0000 CRUDE_W -20.0000 GASOIL -25.0000 GBP -3.1250 LIVECOW -5.0000 OAT -10.7904 SILVER-mini -31.2500 US10U -7.8125 US5 -7.8125 VIX -25.0000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -154.2784 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BUND -10.7904 CAC 0.0000 COCOA -10.0000 CRUDE_W 0.0000 GASOIL 50.0000 GBP -6.2500 LIVECOW -0.0000 OAT -10.7904 SILVER-mini -31.2500 US10U 15.6250 US5 -15.6240 VIX -0.0000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -19.0798 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND -21.5808 CAC 0.0000 COCOA -20.0000 CRUDE_W -40.0000 GASOIL 0.0000 GBP -12.5000 LIVECOW 0.0000 OAT -32.3712 SILVER-mini -93.7500 US10U 0.0000 US5 -31.2490 VIX -50.0000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -301.451 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 0 CAC 0 COCOA 0 CRUDE_W 0 GASOIL 0 GBP 0 LIVECOW 0 OAT 0 SILVER-mini 0 US10U 0 US5 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 -16.1856 CAC -8.0928 COCOA -15.0000 CRUDE_W -20.0000 GASOIL 25.0000 GBP -9.3750 LIVECOW -5.0000 OAT -21.5808 SILVER-mini -62.5000 US10U 7.8125 US5 -23.4365 VIX -25.0000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -173.3582 ******************************************************************************** END OF REPORT ********************************************************************************