******************************************************************************** Trades report report produced on 15/02/2023 21:35 from 14/02/2023 21:35 to 15/02/2023 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1508 BITCOIN _ROLL_PSEUDO_STRATEGY [20230200, 20230300] 2023-02-15 15:02:46 [1, -1] -45.000000 1509 BITCOIN _ROLL_PSEUDO_STRATEGY [20230200, 20230300] 2023-02-15 15:03:52 [1, -1] -40.000000 1501 CAC caleb_strategy_v1 [20230300] 2023-02-15 08:00:03 [1] 7221.000000 1502 CRUDE_W caleb_strategy_v1 [20231200] 2023-02-15 14:00:01 [1] 76.110000 1503 GAS_US _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-02-15 14:00:27 [1, -1] -0.155000 1504 JPY caleb_strategy_v1 [20230300] 2023-02-15 15:00:01 [-1] 0.007481 1506 SP400 caleb_strategy_v1 [20230300] 2023-02-15 15:00:15 [1] 2660.100000 1507 US10U caleb_strategy_v1 [20230600] 2023-02-15 15:00:24 [-1] 118.640625 1505 US5 caleb_strategy_v1 [20230300] 2023-02-15 15:00:10 [-1] 107.437500 1510 WHEAT caleb_strategy_v1 [20231200] 2023-02-15 15:30:01 [-1] 811.500000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1501 CAC caleb_strategy_v1 2023-02-13 00:00:00 2023-02-15 08:00:02.762 2023-02-15 08:00:03 201603 0.238 1502 CRUDE_W caleb_strategy_v1 2023-02-13 00:00:00 2023-02-15 14:00:01.483 2023-02-15 14:00:01 223201 NaN 1503 GAS_US _ROLL_PSEUDO_STRATEGY 2023-02-14 20:00:00 2023-02-15 14:00:02.885 2023-02-15 14:00:27 64802.9 24.115 1504 JPY caleb_strategy_v1 2023-02-13 00:00:00 2023-02-15 15:00:00.754 2023-02-15 15:00:01 226801 0.246 1505 US5 caleb_strategy_v1 2023-02-13 00:00:00 2023-02-15 15:00:01.654 2023-02-15 15:00:10 226802 8.346 1506 SP400 caleb_strategy_v1 2023-02-13 00:00:00 2023-02-15 15:00:11.307 2023-02-15 15:00:15 226811 3.693 1507 US10U caleb_strategy_v1 2023-02-13 00:00:00 2023-02-15 15:00:16.840 2023-02-15 15:00:24 226817 7.16 1508 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-02-14 20:00:00 2023-02-15 15:00:26.051 2023-02-15 15:02:46 68426.1 139.949 1509 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-02-14 20:00:00 2023-02-15 15:03:52.588 2023-02-15 15:03:52 68632.6 NaN 1510 WHEAT caleb_strategy_v1 2023-02-13 00:00:00 2023-02-15 15:30:01.069 2023-02-15 15:30:01 228601 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 1501 CAC caleb_strategy_v1 [1] 7240 None 7221.5 7222 7221 7221 7221 18.5 -0.5 1 0 NaN 0.5 1502 CRUDE_W caleb_strategy_v1 [1] 77.22 None 76.125 76.14 76.11 76.11 76.11 1.095 -0.015 0.03 0 NaN 0.015 1503 GAS_US _ROLL_PSEUDO_STRATEGY [1, -1] -0.147 None -0.1545 -0.154 -0.155 -0.155 -0.155 0.0075 -0.0005 0.001 2.498e-16 NaN 0.0005 1504 JPY caleb_strategy_v1 [-1] 0.007581 None 0.00748025 0.00748 0.0074805 0.0074805 0.007481 -0.00010075 -2.5e-07 1e-06 5e-07 NaN 7.5e-07 1505 US5 caleb_strategy_v1 [-1] 107.867 None 107.434 107.43 107.438 107.438 107.438 -0.433594 -0.00390625 0.0078125 -0 NaN 0.00390625 1506 SP400 caleb_strategy_v1 [1] 2671.1 None 2659.15 2659.7 2658.6 2658.6 2660.1 11.95 -0.55 -0.4 -1.5 NaN -0.95 1507 US10U caleb_strategy_v1 [-1] 119.125 None 118.625 118.609 118.641 118.641 118.641 -0.5 -0.015625 0.03125 -0 NaN 0.015625 1508 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] -35 None -57.5 -40 -75 -75 -45 22.5 -17.5 5 -30 NaN -12.5 1509 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] -35 None -60 -45 -75 NaN -40 25 -15 -5 NaN NaN -20 1510 WHEAT caleb_strategy_v1 [-1] 819.75 None 811.625 811.5 811.75 811.75 811.5 -8.125 -0.125 -0 -0.25 NaN -0.125 ======================================================================================================================================================================= 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 1501 CAC caleb_strategy_v1 [1] 1012.38 182.738 -4.93887 9.87775 0 NaN 4.93887 1502 CRUDE_W caleb_strategy_v1 [1] 23.0341 475.383 -6.51209 13.0242 0 NaN 6.51209 1503 GAS_US _ROLL_PSEUDO_STRATEGY [1, -1] 3.02567 24.7879 -1.65253 3.30505 8.25602e-13 NaN 1.65253 1504 JPY caleb_strategy_v1 [-1] 0.000968589 -1040.17 -2.58107 10.3243 5.16215 NaN 7.74322 1505 US5 caleb_strategy_v1 [-1] 5.76166 -752.55 -6.77973 13.5595 -0 NaN 6.77973 1506 SP400 caleb_strategy_v1 [1] 490.203 243.777 -11.2199 -8.15989 -30.5996 NaN -19.3797 1507 US10U caleb_strategy_v1 [-1] 11.5205 -434.011 -13.5628 27.1257 -0 NaN 13.5628 1508 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 13925.1 16.1578 -12.5672 3.59063 -21.5438 NaN -8.97658 1509 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 13925.1 17.9532 -10.7719 -3.59063 NaN NaN -14.3625 1510 WHEAT caleb_strategy_v1 [-1] 189.863 -427.941 -6.58371 -0 -13.1674 NaN -6.58371 ================================================================================================================================================================================== 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 1501 CAC caleb_strategy_v1 [1] 10.7099 198.134 -5.35497 10.7099 0 NaN 5.35497 1502 CRUDE_W caleb_strategy_v1 [1] 1000 1095 -15 30 0 NaN 15 1503 GAS_US _ROLL_PSEUDO_STRATEGY [1, -1] 10000 75 -5 10 2.498e-12 NaN 5 1504 JPY caleb_strategy_v1 [-1] 1.25e+07 -1259.38 -3.125 12.5 6.25 NaN 9.375 1505 US5 caleb_strategy_v1 [-1] 1000 -433.594 -3.90625 7.8125 -0 NaN 3.90625 1506 SP400 caleb_strategy_v1 [1] 100 1195 -55 -40 -150 NaN -95 1507 US10U caleb_strategy_v1 [-1] 1000 -500 -15.625 31.25 -0 NaN 15.625 1508 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 0.1 2.25 -1.75 0.5 -3 NaN -1.25 1509 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 0.1 2.5 -1.5 -0.5 NaN NaN -2 1510 WHEAT caleb_strategy_v1 [-1] 50 -406.25 -6.25 -0 -12.5 NaN -6.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN 4.750000 GAS_US 75.000000 caleb_strategy_v1 CAC 198.134075 CRUDE_W 1095.000000 JPY -1259.375000 SP400 1195.000000 US10U -500.000000 US5 -433.593750 WHEAT -406.250000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 79.750000 caleb_strategy_v1 -111.084675 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN -3.250000 GAS_US -5.000000 caleb_strategy_v1 CAC -5.354975 CRUDE_W -15.000000 JPY -3.125000 SP400 -55.000000 US10U -15.625000 US5 -3.906250 WHEAT -6.250000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -8.250000 caleb_strategy_v1 -104.261225 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN 0.00000 GAS_US 10.00000 caleb_strategy_v1 CAC 10.70995 CRUDE_W 30.00000 JPY 12.50000 SP400 -40.00000 US10U 31.25000 US5 7.81250 WHEAT -0.00000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 10.00000 caleb_strategy_v1 52.27245 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN -3.000000e+00 GAS_US 2.498002e-12 caleb_strategy_v1 CAC 0.000000e+00 CRUDE_W 0.000000e+00 JPY 6.250000e+00 SP400 -1.500000e+02 US10U -0.000000e+00 US5 -0.000000e+00 WHEAT -1.250000e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -3.00 caleb_strategy_v1 -156.25 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN 0 GAS_US 0 caleb_strategy_v1 CAC 0 CRUDE_W 0 JPY 0 SP400 0 US10U 0 US5 0 WHEAT 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v1 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN -3.250000 GAS_US 5.000000 caleb_strategy_v1 CAC 5.354975 CRUDE_W 15.000000 JPY 9.375000 SP400 -95.000000 US10U 15.625000 US5 3.906250 WHEAT -6.250000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 1.750000 caleb_strategy_v1 -51.988775 ******************************************************************************** END OF REPORT 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