******************************************************************************** Trades report report produced on 24/01/2023 21:35 from 23/01/2023 21:35 to 24/01/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 997 BOBL caleb_strategy_v1 [20230300] 2023-01-24 08:00:12 [-1] 117.680 1000 BUXL caleb_strategy_v1 [20230300] 2023-01-24 08:00:17 [-1] 146.420 998 CAC caleb_strategy_v1 [20230200] 2023-01-24 08:00:14 [1] 7060.500 1003 CRUDE_W caleb_strategy_v1 [20231200] 2023-01-24 14:00:05 [1] 79.460 999 DAX caleb_strategy_v1 [20230300] 2023-01-24 08:00:16 [1] 15185.000 1001 EUROSTX caleb_strategy_v1 [20230300] 2023-01-24 08:00:27 [1] 4169.000 1004 GOLD_micro caleb_strategy_v1 [20230200] 2023-01-24 14:00:06 [-1] 1933.000 1005 GOLD_micro caleb_strategy_v1 [20230200] 2023-01-24 14:00:08 [-1] 1933.200 1002 HEATOIL caleb_strategy_v1 [20230400] 2023-01-24 14:00:03 [1] 3.264 1007 LEANHOG caleb_strategy_v1 [20230400] 2023-01-24 15:30:03 [-1] 85.400 996 OAT caleb_strategy_v1 [20230300] 2023-01-24 08:00:03 [1] 132.900 1006 VIX caleb_strategy_v1 [20230400] 2023-01-24 15:00:20 [-1] 22.300 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 996 OAT caleb_strategy_v1 2023-01-23 2023-01-24 08:00:02.758 2023-01-24 08:00:03 115203 0.242 997 BOBL caleb_strategy_v1 2023-01-23 2023-01-24 08:00:05.016 2023-01-24 08:00:12 115205 6.984 998 CAC caleb_strategy_v1 2023-01-23 2023-01-24 08:00:13.633 2023-01-24 08:00:14 115214 0.367 999 DAX caleb_strategy_v1 2023-01-23 2023-01-24 08:00:15.469 2023-01-24 08:00:16 115215 0.531 1000 BUXL caleb_strategy_v1 2023-01-23 2023-01-24 08:00:17.151 2023-01-24 08:00:17 115217 NaN 1001 EUROSTX caleb_strategy_v1 2023-01-23 2023-01-24 08:00:18.150 2023-01-24 08:00:27 115218 8.85 1002 HEATOIL caleb_strategy_v1 2023-01-23 2023-01-24 14:00:01.772 2023-01-24 14:00:03 136802 1.228 1003 CRUDE_W caleb_strategy_v1 2023-01-23 2023-01-24 14:00:04.265 2023-01-24 14:00:05 136804 0.735 1004 GOLD_micro caleb_strategy_v1 2023-01-23 2023-01-24 14:00:06.116 2023-01-24 14:00:06 136806 NaN 1005 GOLD_micro caleb_strategy_v1 2023-01-23 2023-01-24 14:00:08.118 2023-01-24 14:00:08 136808 NaN 1006 VIX caleb_strategy_v1 2023-01-23 2023-01-24 15:00:01.313 2023-01-24 15:00:20 140401 18.687 1007 LEANHOG caleb_strategy_v1 2023-01-23 2023-01-24 15:30:01.228 2023-01-24 15:30:03 142201 1.772 ====================================================================================================================================================================================================================================== 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 996 OAT caleb_strategy_v1 [1] 132.54 None 132.89 132.9 132.88 132.88 132.9 -0.35 -0.01 0 -0.02 NaN -0.01 997 BOBL caleb_strategy_v1 [-1] 117.52 None 117.675 117.67 117.68 117.68 117.68 0.155 -0.005 0.01 -0 NaN 0.005 998 CAC caleb_strategy_v1 [1] 7042 None 7059.25 7059.5 7059 7059 7060.5 -17.25 -0.25 -1 -1.5 NaN -1.25 999 DAX caleb_strategy_v1 [1] 15155 None 15183.5 15184 15183 15183 15185 -28.5 -0.5 -1 -2 NaN -1.5 1000 BUXL caleb_strategy_v1 [-1] 145.94 None 146.46 146.44 146.48 NaN 146.42 0.52 -0.02 -0.02 NaN NaN -0.04 1001 EUROSTX caleb_strategy_v1 [1] 4158 None 4167.5 4168 4167 4167 4169 -9.5 -0.5 -1 -2 NaN -1.5 1002 HEATOIL caleb_strategy_v1 [1] 3.2541 None 3.26315 3.2637 3.2626 3.2626 3.264 -0.00905 -0.00055 -0.0003 -0.0014 NaN -0.00085 1003 CRUDE_W caleb_strategy_v1 [1] 79.3 None 79.485 79.5 79.47 79.47 79.46 -0.185 -0.015 0.04 0.01 NaN 0.025 1004 GOLD_micro caleb_strategy_v1 [-1] 1928.7 None 1933.2 1933.1 1933.3 1933.3 1933 4.5 -0.1 -0.1 -0.3 NaN -0.2 1005 GOLD_micro caleb_strategy_v1 [-1] 1928.7 None 1933.3 1933.2 1933.4 1933.4 1933.2 4.6 -0.1 -0 -0.2 NaN -0.1 1006 VIX caleb_strategy_v1 [-1] 22.55 None 22.375 22.35 22.4 22.4 22.3 -0.175 -0.025 -0.05 -0.1 NaN -0.075 1007 LEANHOG caleb_strategy_v1 [-1] 85.45 None 85.45 85.425 85.475 85.475 85.4 -1.42109e-14 -0.025 -0.025 -0.075 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 996 OAT caleb_strategy_v1 [1] 14.112 -248.016 -7.08616 0 -14.1723 NaN -7.08616 997 BOBL caleb_strategy_v1 [-1] 6.07597 255.103 -8.22914 16.4583 -0 NaN 8.22914 998 CAC caleb_strategy_v1 [1] 1088.63 -158.456 -2.29646 -9.18584 -13.7788 NaN -11.4823 999 DAX caleb_strategy_v1 [1] 2332.48 -122.187 -2.14364 -4.28728 -8.57455 NaN -6.43091 1000 BUXL caleb_strategy_v1 [-1] 35.5481 146.281 -5.62618 -5.62618 NaN NaN -11.2524 1001 EUROSTX caleb_strategy_v1 [1] 694.516 -136.786 -7.19926 -14.3985 -28.797 NaN -21.5978 1002 HEATOIL caleb_strategy_v1 [1] 1.11246 -81.3512 -4.94399 -2.69672 -12.5847 NaN -7.64072 1003 CRUDE_W caleb_strategy_v1 [1] 22.2259 -83.2363 -6.74889 17.997 4.49926 NaN 11.2481 1004 GOLD_micro caleb_strategy_v1 [-1] 258.962 173.771 -3.86157 -3.86157 -11.5847 NaN -7.72315 1005 GOLD_micro caleb_strategy_v1 [-1] 258.962 177.632 -3.86157 -0 -7.72315 NaN -3.86157 1006 VIX caleb_strategy_v1 [-1] 8.4627 -206.79 -29.5414 -59.0828 -118.166 NaN -88.6242 1007 LEANHOG caleb_strategy_v1 [-1] 22.7832 -6.23744e-12 -10.973 -10.973 -32.9191 NaN -21.946 ============================================================================================================================================================================= 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 996 OAT caleb_strategy_v1 [1] 1088.23 -380.88 -10.8823 0 -21.7646 NaN -10.8823 997 BOBL caleb_strategy_v1 [-1] 1088.23 168.676 -5.44115 10.8823 -0 NaN 5.44115 998 CAC caleb_strategy_v1 [1] 10.8823 -187.72 -2.72058 -10.8823 -16.3235 NaN -13.6029 999 DAX caleb_strategy_v1 [1] 1.08823 -31.0146 -0.544115 -1.08823 -2.17646 NaN -1.63234 1000 BUXL caleb_strategy_v1 [-1] 1088.23 565.88 -21.7646 -21.7646 NaN NaN -43.5292 1001 EUROSTX caleb_strategy_v1 [1] 10.8823 -103.382 -5.44115 -10.8823 -21.7646 NaN -16.3235 1002 HEATOIL caleb_strategy_v1 [1] 42000 -380.1 -23.1 -12.6 -58.8 NaN -35.7 1003 CRUDE_W caleb_strategy_v1 [1] 1000 -185 -15 40 10 NaN 25 1004 GOLD_micro caleb_strategy_v1 [-1] 10 45 -1 -1 -3 NaN -2 1005 GOLD_micro caleb_strategy_v1 [-1] 10 46 -1 -0 -2 NaN -1 1006 VIX caleb_strategy_v1 [-1] 1000 -175 -25 -50 -100 NaN -75 1007 LEANHOG caleb_strategy_v1 [-1] 400 -5.68434e-12 -10 -10 -30 NaN -20 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BOBL 1.686757e+02 BUXL 5.658796e+02 CAC -1.877197e+02 CRUDE_W -1.850000e+02 DAX -3.101456e+01 EUROSTX -1.033819e+02 GOLD_micro 9.100000e+01 HEATOIL -3.801000e+02 LEANHOG -5.684342e-12 OAT -3.808805e+02 VIX -1.750000e+02 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -617.54133 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BOBL -5.441150 BUXL -21.764600 CAC -2.720575 CRUDE_W -15.000000 DAX -0.544115 EUROSTX -5.441150 GOLD_micro -2.000000 HEATOIL -23.100000 LEANHOG -10.000000 OAT -10.882300 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -121.89389 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BOBL 10.88230 BUXL -21.76460 CAC -10.88230 CRUDE_W 40.00000 DAX -1.08823 EUROSTX -10.88230 GOLD_micro -1.00000 HEATOIL -12.60000 LEANHOG -10.00000 OAT 0.00000 VIX -50.00000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -67.33513 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL -0.00000 BUXL 0.00000 CAC -16.32345 CRUDE_W 10.00000 DAX -2.17646 EUROSTX -21.76460 GOLD_micro -5.00000 HEATOIL -58.80000 LEANHOG -30.00000 OAT -21.76460 VIX -100.00000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -245.82911 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0 BUXL 0 CAC 0 CRUDE_W 0 DAX 0 EUROSTX 0 GOLD_micro 0 HEATOIL 0 LEANHOG 0 OAT 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 BOBL 5.441150 BUXL -43.529200 CAC -13.602875 CRUDE_W 25.000000 DAX -1.632345 EUROSTX -16.323450 GOLD_micro -3.000000 HEATOIL -35.700000 LEANHOG -20.000000 OAT -10.882300 VIX -75.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -189.22902 ******************************************************************************** END OF REPORT ********************************************************************************