******************************************************************************** Trades report report produced on 20/02/2023 21:35 from 19/02/2023 21:35 to 20/02/2023 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1521 BITCOIN caleb_strategy_v1 [20230300] 2023-02-20 15:09:55 [-1] 25250.000000 1519 CHF caleb_strategy_v1 [20230300] 2023-02-20 15:03:49 [1] 1.085950 1514 CRUDE_W caleb_strategy_v1 [20231200] 2023-02-20 14:00:02 [1] 75.470000 1517 EUR caleb_strategy_v1 [20230300] 2023-02-20 15:00:04 [-1] 1.070250 1515 GASOILINE _ROLL_PSEUDO_STRATEGY [20230500, 20230600] 2023-02-20 14:01:02 [1, -1] 0.034100 1516 JPY caleb_strategy_v1 [20230300] 2023-02-20 15:00:04 [-1] 0.007486 1522 SP400 caleb_strategy_v1 [20230300] 2023-02-20 15:10:08 [1] 2662.100000 1520 US10U _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-02-20 15:08:50 [1, -1] 0.046875 1523 US10U _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-02-20 15:15:08 [1, -1] 0.046875 1524 US10U _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-02-20 15:20:10 [1, -1] 0.046875 1525 US10U _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-02-20 15:25:11 [1, -1] 0.046875 1526 US10U _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-02-20 15:30:13 [1, -1] 0.046875 1527 US10U _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-02-20 15:35:14 [1, -1] 0.046875 1528 US10U _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-02-20 15:40:15 [1, -1] 0.046875 1529 US10U _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-02-20 15:45:17 [1, -1] 0.046875 1518 US20 caleb_strategy_v1 [20230600] 2023-02-20 15:03:35 [-1] 126.812500 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1514 CRUDE_W caleb_strategy_v1 2023-02-16 00:00:00 2023-02-20 14:00:01.367 2023-02-20 14:00:02 396001 0.633 1515 GASOILINE _ROLL_PSEUDO_STRATEGY 2023-02-17 20:00:00 2023-02-20 14:00:04.360 2023-02-20 14:01:02 237604 57.64 1516 JPY caleb_strategy_v1 2023-02-16 00:00:00 2023-02-20 15:00:00.392 2023-02-20 15:00:04 399600 3.608 1517 EUR caleb_strategy_v1 2023-02-16 00:00:00 2023-02-20 15:00:04.874 2023-02-20 15:00:04 399605 NaN 1518 US20 caleb_strategy_v1 2023-02-16 00:00:00 2023-02-20 15:00:05.655 2023-02-20 15:03:35 399606 209.345 1519 CHF caleb_strategy_v1 2023-02-16 00:00:00 2023-02-20 15:03:36.368 2023-02-20 15:03:49 399816 12.632 1521 BITCOIN caleb_strategy_v1 2023-02-16 00:00:00 2023-02-20 15:09:52.214 2023-02-20 15:09:55 400192 2.786 1522 SP400 caleb_strategy_v1 2023-02-16 00:00:00 2023-02-20 15:09:55.459 2023-02-20 15:10:08 400195 12.541 1520 US10U _ROLL_PSEUDO_STRATEGY 2023-02-17 20:00:00 2023-02-20 15:03:50.219 2023-02-20 15:08:50 241430 299.781 1523 US10U _ROLL_PSEUDO_STRATEGY 2023-02-17 20:00:00 2023-02-20 15:10:08.566 2023-02-20 15:15:08 241809 299.434 1524 US10U _ROLL_PSEUDO_STRATEGY 2023-02-17 20:00:00 2023-02-20 15:15:09.969 2023-02-20 15:20:10 242110 300.031 1525 US10U _ROLL_PSEUDO_STRATEGY 2023-02-17 20:00:00 2023-02-20 15:20:11.401 2023-02-20 15:25:11 242411 299.599 1526 US10U _ROLL_PSEUDO_STRATEGY 2023-02-17 20:00:00 2023-02-20 15:25:12.930 2023-02-20 15:30:13 242713 300.07 1527 US10U _ROLL_PSEUDO_STRATEGY 2023-02-17 20:00:00 2023-02-20 15:30:14.352 2023-02-20 15:35:14 243014 299.648 1528 US10U _ROLL_PSEUDO_STRATEGY 2023-02-17 20:00:00 2023-02-20 15:35:15.762 2023-02-20 15:40:15 243316 299.238 1529 US10U _ROLL_PSEUDO_STRATEGY 2023-02-17 20:00:00 2023-02-20 15:40:17.131 2023-02-20 15:45:17 243617 299.869 ==================================================================================================================================================================================================================================================== 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 1514 CRUDE_W caleb_strategy_v1 [1] 76.26 None 75.495 75.51 75.48 75.48 75.47 0.765 -0.015 0.04 0.01 NaN 0.025 1515 GASOILINE _ROLL_PSEUDO_STRATEGY [1, -1] 0.0321 None 0.034 0.0341 0.0339 0.0339 0.0341 -0.0019 -0.0001 -2.08167e-17 -0.0002 NaN -0.0001 1516 JPY caleb_strategy_v1 [-1] 0.007495 None 0.00748575 0.0074855 0.007486 0.007486 0.007486 -9.25e-06 -2.5e-07 5e-07 -0 NaN 2.5e-07 1517 EUR caleb_strategy_v1 [-1] 1.06985 None 1.07022 1.0702 1.07025 1.07025 1.07025 0.000375 -2.5e-05 5e-05 -2.22045e-16 NaN 2.5e-05 1518 US20 caleb_strategy_v1 [-1] 126.656 None 126.859 126.844 126.875 126.875 126.812 0.203125 -0.015625 -0.03125 -0.0625 NaN -0.046875 1519 CHF caleb_strategy_v1 [1] 1.0836 None 1.08603 1.0861 1.08595 1.08595 1.08595 -0.002425 -7.5e-05 0.00015 0 NaN 7.5e-05 1521 BITCOIN caleb_strategy_v1 [-1] 25025 None 25277.5 25250 25305 25305 25250 252.5 -27.5 -0 -55 NaN -27.5 1522 SP400 caleb_strategy_v1 [1] 2695.2 None 2661.55 2662.1 2661 2661 2662.1 33.65 -0.55 0 -1.1 NaN -0.55 1520 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 0.046875 None 0.0429688 0.046875 0.0390625 0.03125 0.046875 0.00390625 -0.00390625 0 -0.015625 NaN -0.00390625 1523 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 0.046875 None 0.0429688 0.046875 0.0390625 0.03125 0.046875 0.00390625 -0.00390625 0 -0.015625 NaN -0.00390625 1524 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 0.046875 None 0.0429688 0.046875 0.0390625 0.03125 0.046875 0.00390625 -0.00390625 0 -0.015625 NaN -0.00390625 1525 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 0.046875 None 0.0429688 0.046875 0.0390625 0.03125 0.046875 0.00390625 -0.00390625 0 -0.015625 NaN -0.00390625 1526 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 0.046875 None 0.0429688 0.046875 0.0390625 0.03125 0.046875 0.00390625 -0.00390625 0 -0.015625 NaN -0.00390625 1527 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 0.046875 None 0.0429688 0.046875 0.0390625 0.03125 0.046875 0.00390625 -0.00390625 0 -0.015625 NaN -0.00390625 1528 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 0.046875 None 0.0429688 0.046875 0.0390625 0.03125 0.046875 0.00390625 -0.00390625 0 -0.015625 NaN -0.00390625 1529 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 0.046875 None 0.0429688 0.046875 0.0390625 0.03125 0.046875 0.00390625 -0.00390625 0 -0.015625 NaN -0.00390625 ======================================================================================================================================================================= 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 1514 CRUDE_W caleb_strategy_v1 [1] 22.2526 343.781 -6.74079 17.9755 4.49386 NaN 11.2347 1515 GASOILINE _ROLL_PSEUDO_STRATEGY [1, -1] 0.864419 -21.9801 -1.15685 -2.40817e-13 -2.31369 NaN -1.15685 1516 JPY caleb_strategy_v1 [-1] 0.000922398 -100.282 -2.71033 5.42065 -0 NaN 2.71033 1517 EUR caleb_strategy_v1 [-1] 0.0834551 44.9343 -2.99562 5.99124 -2.66065e-11 NaN 2.99562 1518 US20 caleb_strategy_v1 [-1] 15.5533 130.599 -10.0461 -20.0922 -40.1844 NaN -30.1383 1519 CHF caleb_strategy_v1 [1] 0.089417 -271.201 -8.38767 16.7753 0 NaN 8.38767 1521 BITCOIN caleb_strategy_v1 [-1] 14982.1 168.534 -18.3552 -0 -36.7104 NaN -18.3552 1522 SP400 caleb_strategy_v1 [1] 474.392 709.328 -11.5938 0 -23.1876 NaN -11.5938 1520 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 11.0625 3.53107 -3.53107 0 -14.1243 NaN -3.53107 1523 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 11.0625 3.53107 -3.53107 0 -14.1243 NaN -3.53107 1524 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 11.0625 3.53107 -3.53107 0 -14.1243 NaN -3.53107 1525 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 11.0625 3.53107 -3.53107 0 -14.1243 NaN -3.53107 1526 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 11.0625 3.53107 -3.53107 0 -14.1243 NaN -3.53107 1527 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 11.0625 3.53107 -3.53107 0 -14.1243 NaN -3.53107 1528 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 11.0625 3.53107 -3.53107 0 -14.1243 NaN -3.53107 1529 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 11.0625 3.53107 -3.53107 0 -14.1243 NaN -3.53107 ================================================================================================================================================================================== 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 1514 CRUDE_W caleb_strategy_v1 [1] 1000 765 -15 40 10 NaN 25 1515 GASOILINE _ROLL_PSEUDO_STRATEGY [1, -1] 42000 -79.8 -4.2 -8.74301e-13 -8.4 NaN -4.2 1516 JPY caleb_strategy_v1 [-1] 1.25e+07 -115.625 -3.125 6.25 -0 NaN 3.125 1517 EUR caleb_strategy_v1 [-1] 125000 46.875 -3.125 6.25 -2.77556e-11 NaN 3.125 1518 US20 caleb_strategy_v1 [-1] 1000 203.125 -15.625 -31.25 -62.5 NaN -46.875 1519 CHF caleb_strategy_v1 [1] 125000 -303.125 -9.375 18.75 0 NaN 9.375 1521 BITCOIN caleb_strategy_v1 [-1] 0.1 25.25 -2.75 -0 -5.5 NaN -2.75 1522 SP400 caleb_strategy_v1 [1] 100 3365 -55 0 -110 NaN -55 1520 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 1000 3.90625 -3.90625 0 -15.625 NaN -3.90625 1523 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 1000 3.90625 -3.90625 0 -15.625 NaN -3.90625 1524 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 1000 3.90625 -3.90625 0 -15.625 NaN -3.90625 1525 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 1000 3.90625 -3.90625 0 -15.625 NaN -3.90625 1526 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 1000 3.90625 -3.90625 0 -15.625 NaN -3.90625 1527 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 1000 3.90625 -3.90625 0 -15.625 NaN -3.90625 1528 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 1000 3.90625 -3.90625 0 -15.625 NaN -3.90625 1529 US10U _ROLL_PSEUDO_STRATEGY [1, -1] 1000 3.90625 -3.90625 0 -15.625 NaN -3.90625 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOILINE -79.800 US10U 31.250 caleb_strategy_v1 BITCOIN 25.250 CHF -303.125 CRUDE_W 765.000 EUR 46.875 JPY -115.625 SP400 3365.000 US20 203.125 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -48.55 caleb_strategy_v1 3986.50 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOILINE -4.200 US10U -31.250 caleb_strategy_v1 BITCOIN -2.750 CHF -9.375 CRUDE_W -15.000 EUR -3.125 JPY -3.125 SP400 -55.000 US20 -15.625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -35.45 caleb_strategy_v1 -104.00 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOILINE -8.743006e-13 US10U 0.000000e+00 caleb_strategy_v1 BITCOIN -0.000000e+00 CHF 1.875000e+01 CRUDE_W 4.000000e+01 EUR 6.250000e+00 JPY 6.250000e+00 SP400 0.000000e+00 US20 -3.125000e+01 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -8.743006e-13 caleb_strategy_v1 4.000000e+01 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOILINE -8.400000e+00 US10U -1.250000e+02 caleb_strategy_v1 BITCOIN -5.500000e+00 CHF 0.000000e+00 CRUDE_W 1.000000e+01 EUR -2.775558e-11 JPY -0.000000e+00 SP400 -1.100000e+02 US20 -6.250000e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -133.4 caleb_strategy_v1 -168.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOILINE 0 US10U 0 caleb_strategy_v1 BITCOIN 0 CHF 0 CRUDE_W 0 EUR 0 JPY 0 SP400 0 US20 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 GASOILINE -4.200 US10U -31.250 caleb_strategy_v1 BITCOIN -2.750 CHF 9.375 CRUDE_W 25.000 EUR 3.125 JPY 3.125 SP400 -55.000 US20 -46.875 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -35.45 caleb_strategy_v1 -64.00 ******************************************************************************** END OF REPORT ********************************************************************************