******************************************************************************** Trades report report produced on 20/01/2023 21:35 from 19/01/2023 21:35 to 20/01/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 981 BTP caleb_strategy_v1 [20230300] 2023-01-20 08:00:11 [-1] 117.14000 984 BUND caleb_strategy_v1 [20230300] 2023-01-20 08:00:16 [-1] 139.19000 979 BUND caleb_strategy_v1 [20230300] 2023-01-20 08:00:05 [-1] 139.19000 978 BUXL caleb_strategy_v1 [20230300] 2023-01-20 08:00:04 [1] 150.90000 983 BUXL caleb_strategy_v1 [20230300] 2023-01-20 08:00:15 [1] 150.88000 982 DAX caleb_strategy_v1 [20230300] 2023-01-20 08:00:12 [1] 15069.00000 980 EUROSTX caleb_strategy_v1 [20230300] 2023-01-20 08:00:09 [1] 4126.00000 986 GOLD_micro caleb_strategy_v1 [20230200] 2023-01-20 14:00:02 [-1] 1925.90000 989 LEANHOG caleb_strategy_v1 [20230400] 2023-01-20 15:30:01 [-1] 85.77500 985 ROBUSTA caleb_strategy_v1 [20230300] 2023-01-20 10:00:10 [1] 1922.00000 988 US10U caleb_strategy_v1 [20230300] 2023-01-20 15:00:29 [1] 121.96875 987 US20 caleb_strategy_v1 [20230300] 2023-01-20 15:00:25 [1] 130.84375 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 980 EUROSTX caleb_strategy_v1 2023-01-19 2023-01-20 08:00:06.192 2023-01-20 08:00:09 115206 2.808 981 BTP caleb_strategy_v1 2023-01-19 2023-01-20 08:00:10.181 2023-01-20 08:00:11 115210 0.819 982 DAX caleb_strategy_v1 2023-01-19 2023-01-20 08:00:12.392 2023-01-20 08:00:12 115212 NaN 978 BUXL caleb_strategy_v1 2023-01-19 2023-01-20 08:00:03.133 2023-01-20 08:00:04 115203 0.867 983 BUXL caleb_strategy_v1 2023-01-19 2023-01-20 08:00:14.391 2023-01-20 08:00:15 115214 0.609 984 BUND caleb_strategy_v1 2023-01-19 2023-01-20 08:00:16.514 2023-01-20 08:00:16 115217 NaN 979 BUND caleb_strategy_v1 2023-01-19 2023-01-20 08:00:05.133 2023-01-20 08:00:05 115205 NaN 985 ROBUSTA caleb_strategy_v1 2023-01-19 2023-01-20 10:00:01.626 2023-01-20 10:00:10 122402 8.374 986 GOLD_micro caleb_strategy_v1 2023-01-19 2023-01-20 14:00:00.993 2023-01-20 14:00:02 136801 1.007 987 US20 caleb_strategy_v1 2023-01-19 2023-01-20 15:00:01.365 2023-01-20 15:00:25 140401 23.635 988 US10U caleb_strategy_v1 2023-01-19 2023-01-20 15:00:25.661 2023-01-20 15:00:29 140426 3.339 989 LEANHOG caleb_strategy_v1 2023-01-19 2023-01-20 15:30:00.969 2023-01-20 15:30:01 142201 0.031 ==================================================================================================================================================================================================================================== 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 980 EUROSTX caleb_strategy_v1 [1] 4117 None 4126.5 4127 4126 4126 4126 -9.5 -0.5 1 0 NaN 0.5 981 BTP caleb_strategy_v1 [-1] 117.42 None 117.135 117.13 117.14 117.14 117.14 -0.285 -0.005 0.01 -0 NaN 0.005 982 DAX caleb_strategy_v1 [1] 15051 None 15069.5 15070 15069 15069 15069 -18.5 -0.5 1 0 NaN 0.5 978 BUXL caleb_strategy_v1 [1] 151.18 None 150.84 150.86 150.82 150.82 150.9 0.34 -0.02 -0.04 -0.08 NaN -0.06 983 BUXL caleb_strategy_v1 [1] 151.18 None 150.9 150.92 150.88 150.88 150.88 0.28 -0.02 0.04 0 NaN 0.02 984 BUND caleb_strategy_v1 [-1] 139.41 None 139.185 139.18 139.19 139.19 139.19 -0.225 -0.005 0.01 -0 NaN 0.005 979 BUND caleb_strategy_v1 [-1] 139.41 None 139.205 139.2 139.21 139.21 139.19 -0.205 -0.005 -0.01 -0.02 NaN -0.015 985 ROBUSTA caleb_strategy_v1 [1] 1916 None 1921.5 1922 1921 1921 1922 -5.5 -0.5 0 -1 NaN -0.5 986 GOLD_micro caleb_strategy_v1 [-1] 1934.2 None 1925.8 1925.7 1925.9 1925.9 1925.9 -8.4 -0.1 0.2 -0 NaN 0.1 987 US20 caleb_strategy_v1 [1] 131.812 None 130.859 130.875 130.844 130.844 130.844 0.953125 -0.015625 0.03125 0 NaN 0.015625 988 US10U caleb_strategy_v1 [1] 122.609 None 121.984 122 121.969 121.969 121.969 0.625 -0.015625 0.03125 0 NaN 0.015625 989 LEANHOG caleb_strategy_v1 [-1] 84.3 None 85.7875 85.775 85.8 85.8 85.775 1.4875 -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 980 EUROSTX caleb_strategy_v1 [1] 721.671 -131.639 -6.92837 13.8567 0 NaN 6.92837 981 BTP caleb_strategy_v1 [-1] 16.278 -175.083 -3.07163 6.14326 -0 NaN 3.07163 982 DAX caleb_strategy_v1 [1] 2442.01 -75.7572 -2.04749 4.09498 0 NaN 2.04749 978 BUXL caleb_strategy_v1 [1] 36.6575 92.7505 -5.45591 -10.9118 -21.8236 NaN -16.3677 983 BUXL caleb_strategy_v1 [1] 36.6575 76.3828 -5.45591 10.9118 0 NaN 5.45591 984 BUND caleb_strategy_v1 [-1] 13.9755 -160.996 -3.5777 7.1554 -0 NaN 3.5777 979 BUND caleb_strategy_v1 [-1] 13.9755 -146.686 -3.5777 -7.1554 -14.3108 NaN -10.7331 985 ROBUSTA caleb_strategy_v1 [1] 422.212 -130.266 -11.8424 0 -23.6848 NaN -11.8424 986 GOLD_micro caleb_strategy_v1 [-1] 270.329 -310.732 -3.69919 7.39838 -0 NaN 3.69919 987 US20 caleb_strategy_v1 [1] 18.372 518.791 -8.50477 17.0095 0 NaN 8.50477 988 US10U caleb_strategy_v1 [1] 13.0071 480.505 -12.0126 24.0253 0 NaN 12.0126 989 LEANHOG caleb_strategy_v1 [-1] 23.9941 619.945 -5.20962 -0 -10.4192 NaN -5.20962 =========================================================================================================================================================================== 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 980 EUROSTX caleb_strategy_v1 [1] 10.853 -103.104 -5.42652 10.853 0 NaN 5.42652 981 BTP caleb_strategy_v1 [-1] 1085.31 -309.312 -5.42652 10.8531 -0 NaN 5.42653 982 DAX caleb_strategy_v1 [1] 1.0853 -20.0781 -0.542652 1.0853 0 NaN 0.542652 978 BUXL caleb_strategy_v1 [1] 1085.31 369.004 -21.7061 -43.4122 -86.8244 NaN -65.1183 983 BUXL caleb_strategy_v1 [1] 1085.31 303.885 -21.7061 43.4122 0 NaN 21.7061 984 BUND caleb_strategy_v1 [-1] 1085.31 -244.194 -5.42652 10.853 -0 NaN 5.42652 979 BUND caleb_strategy_v1 [-1] 1085.31 -222.488 -5.42652 -10.853 -21.7061 NaN -16.2796 985 ROBUSTA caleb_strategy_v1 [1] 10 -55 -5 0 -10 NaN -5 986 GOLD_micro caleb_strategy_v1 [-1] 10 -84 -1 2 -0 NaN 1 987 US20 caleb_strategy_v1 [1] 1000 953.125 -15.625 31.25 0 NaN 15.625 988 US10U caleb_strategy_v1 [1] 1000 625 -15.625 31.25 0 NaN 15.625 989 LEANHOG caleb_strategy_v1 [-1] 400 595 -5 -0 -10 NaN -5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BTP -309.311925 BUND -466.681150 BUXL 672.889100 DAX -20.078142 EUROSTX -103.103975 GOLD_micro -84.000000 LEANHOG 595.000000 ROBUSTA -55.000000 US10U 625.000000 US20 953.125000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 1807.838908 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BTP -5.426525 BUND -10.853050 BUXL -43.412200 DAX -0.542652 EUROSTX -5.426525 GOLD_micro -1.000000 LEANHOG -5.000000 ROBUSTA -5.000000 US10U -15.625000 US20 -15.625000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -107.910953 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BTP 10.853050 BUND 0.000000 BUXL 0.000000 DAX 1.085305 EUROSTX 10.853050 GOLD_micro 2.000000 LEANHOG -0.000000 ROBUSTA 0.000000 US10U 31.250000 US20 31.250000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 87.291405 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BTP -0.0000 BUND -21.7061 BUXL -86.8244 DAX 0.0000 EUROSTX 0.0000 GOLD_micro -0.0000 LEANHOG -10.0000 ROBUSTA -10.0000 US10U 0.0000 US20 0.0000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -128.5305 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BTP 0 BUND 0 BUXL 0 DAX 0 EUROSTX 0 GOLD_micro 0 LEANHOG 0 ROBUSTA 0 US10U 0 US20 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 5.426525 BUND -10.853050 BUXL -43.412200 DAX 0.542652 EUROSTX 5.426525 GOLD_micro 1.000000 LEANHOG -5.000000 ROBUSTA -5.000000 US10U 15.625000 US20 15.625000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -20.619547 ******************************************************************************** END OF REPORT ********************************************************************************