******************************************************************************** Trades report report produced on 22/02/2023 21:35 from 21/02/2023 21:35 to 22/02/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1545 BOBL caleb_strategy_v1 [20230300] 2023-02-22 08:00:03 [-1] 115.820000 1547 CRUDE_W caleb_strategy_v1 [20231200] 2023-02-22 14:00:04 [1] 74.310000 1546 GOLD_micro caleb_strategy_v1 [20230400] 2023-02-22 14:00:01 [-1] 1847.400000 1552 JPY caleb_strategy_v1 [20230300] 2023-02-22 15:00:25 [-1] 0.007450 1555 LEANHOG caleb_strategy_v1 [20230600] 2023-02-22 15:30:03 [1] 103.750000 1549 NASDAQ caleb_strategy_v1 [20230300] 2023-02-22 15:00:03 [-1] 12124.000000 1554 SOYMEAL caleb_strategy_v1 [20230700] 2023-02-22 15:30:02 [1] 469.900000 1548 SP400 caleb_strategy_v1 [20230300] 2023-02-22 15:00:02 [-1] 2621.300000 1550 US30 caleb_strategy_v1 [20230600] 2023-02-22 15:00:16 [-1] 135.625000 1553 US5 caleb_strategy_v1 [20230300] 2023-02-22 15:01:20 [-1] 106.992188 1551 US5 caleb_strategy_v1 [20230300] 2023-02-22 15:00:22 [-1] 106.976563 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1545 BOBL caleb_strategy_v1 2023-02-21 2023-02-22 08:00:02.566 2023-02-22 08:00:03 115203 0.434 1546 GOLD_micro caleb_strategy_v1 2023-02-21 2023-02-22 14:00:01.307 2023-02-22 14:00:01 136801 NaN 1547 CRUDE_W caleb_strategy_v1 2023-02-21 2023-02-22 14:00:02.096 2023-02-22 14:00:04 136802 1.904 1548 SP400 caleb_strategy_v1 2023-02-21 2023-02-22 15:00:00.719 2023-02-22 15:00:02 140401 1.281 1549 NASDAQ caleb_strategy_v1 2023-02-21 2023-02-22 15:00:03.497 2023-02-22 15:00:03 140403 NaN 1550 US30 caleb_strategy_v1 2023-02-21 2023-02-22 15:00:04.228 2023-02-22 15:00:16 140404 11.772 1552 JPY caleb_strategy_v1 2023-02-21 2023-02-22 15:00:23.175 2023-02-22 15:00:25 140423 1.825 1553 US5 caleb_strategy_v1 2023-02-21 2023-02-22 15:01:08.402 2023-02-22 15:01:20 140468 11.598 1551 US5 caleb_strategy_v1 2023-02-21 2023-02-22 15:00:17.314 2023-02-22 15:00:22 140417 4.686 1554 SOYMEAL caleb_strategy_v1 2023-02-21 2023-02-22 15:30:01.019 2023-02-22 15:30:02 142201 0.981 1555 LEANHOG caleb_strategy_v1 2023-02-21 2023-02-22 15:30:02.819 2023-02-22 15:30:03 142203 0.181 ========================================================================================================================================================================================================================================= 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 1545 BOBL caleb_strategy_v1 [-1] 115.7 None 115.815 115.81 115.82 115.82 115.82 0.115 -0.005 0.01 -1.42109e-14 NaN 0.005 1546 GOLD_micro caleb_strategy_v1 [-1] 1844 None 1847.35 1847.3 1847.4 1847.4 1847.4 3.35 -0.05 0.1 -0 NaN 0.05 1547 CRUDE_W caleb_strategy_v1 [1] 74.52 None 74.3 74.31 74.29 74.29 74.31 0.22 -0.01 0 -0.02 NaN -0.01 1548 SP400 caleb_strategy_v1 [-1] 2608.7 None 2620.85 2620.4 2621.3 2621.3 2621.3 12.15 -0.45 0.9 -0 NaN 0.45 1549 NASDAQ caleb_strategy_v1 [-1] 12112.2 None 12123.8 12123.5 12124 12124 12124 11.5 -0.25 0.5 -0 NaN 0.25 1550 US30 caleb_strategy_v1 [-1] 134.375 None 135.672 135.656 135.688 135.688 135.625 1.29688 -0.015625 -0.03125 -0.0625 NaN -0.046875 1552 JPY caleb_strategy_v1 [-1] 0.00743 None 0.00744975 0.0074495 0.00745 0.00745 0.00745 1.975e-05 -2.5e-07 5e-07 -0 NaN 2.5e-07 1553 US5 caleb_strategy_v1 [-1] 106.805 None 106.988 106.984 106.992 106.992 106.992 0.183594 -0.00390625 0.007813 5e-07 NaN 0.00390675 1551 US5 caleb_strategy_v1 [-1] 106.805 None 106.973 106.969 106.977 106.977 106.977 0.167969 -0.00390625 0.007813 5e-07 NaN 0.00390675 1554 SOYMEAL caleb_strategy_v1 [1] 471.4 None 470 470.1 469.9 469.9 469.9 1.4 -0.1 0.2 5.68434e-14 NaN 0.1 1555 LEANHOG caleb_strategy_v1 [1] 105.225 None 103.725 103.75 103.7 NaN 103.75 1.5 -0.025 0 NaN NaN -0.025 ================================================================================================================================================================ 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 1545 BOBL caleb_strategy_v1 [-1] 5.98074 192.284 -8.36017 16.7203 -2.3761e-11 NaN 8.36017 1546 GOLD_micro caleb_strategy_v1 [-1] 263.755 127.012 -1.8957 3.7914 -0 NaN 1.8957 1547 CRUDE_W caleb_strategy_v1 [1] 22.6215 97.2526 -4.42057 0 -8.84114 NaN -4.42057 1548 SP400 caleb_strategy_v1 [-1] 464.47 261.589 -9.68847 19.3769 -0 NaN 9.68847 1549 NASDAQ caleb_strategy_v1 [-1] 2963.88 38.8005 -0.843488 1.68698 -0 NaN 0.843488 1550 US30 caleb_strategy_v1 [-1] 24.4712 529.96 -6.38505 -12.7701 -25.5402 NaN -19.1552 1552 JPY caleb_strategy_v1 [-1] 0.000872397 226.388 -2.86567 5.73134 -0 NaN 2.86567 1553 US5 caleb_strategy_v1 [-1] 5.34472 343.505 -7.30862 14.6182 0.000935503 NaN 7.30955 1551 US5 caleb_strategy_v1 [-1] 5.34472 314.271 -7.30862 14.6182 0.000935503 NaN 7.30955 1554 SOYMEAL caleb_strategy_v1 [1] 92.9234 150.662 -10.7616 21.5231 6.11723e-12 NaN 10.7616 1555 LEANHOG caleb_strategy_v1 [1] 23.6256 634.905 -10.5818 0 NaN NaN -10.5818 =========================================================================================================================================================================== 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 1545 BOBL caleb_strategy_v1 [-1] 1065.91 122.579 -5.32952 10.659 -1.51474e-11 NaN 5.32952 1546 GOLD_micro caleb_strategy_v1 [-1] 10 33.5 -0.5 1 -0 NaN 0.5 1547 CRUDE_W caleb_strategy_v1 [1] 1000 220 -10 0 -20 NaN -10 1548 SP400 caleb_strategy_v1 [-1] 100 1215 -45 90 -0 NaN 45 1549 NASDAQ caleb_strategy_v1 [-1] 20 230 -5 10 -0 NaN 5 1550 US30 caleb_strategy_v1 [-1] 1000 1296.88 -15.625 -31.25 -62.5 NaN -46.875 1552 JPY caleb_strategy_v1 [-1] 1.25e+07 246.875 -3.125 6.25 -0 NaN 3.125 1553 US5 caleb_strategy_v1 [-1] 1000 183.594 -3.90625 7.813 0.0005 NaN 3.90675 1551 US5 caleb_strategy_v1 [-1] 1000 167.969 -3.90625 7.813 0.0005 NaN 3.90675 1554 SOYMEAL caleb_strategy_v1 [1] 100 140 -10 20 5.68434e-12 NaN 10 1555 LEANHOG caleb_strategy_v1 [1] 400 600 -10 0 NaN NaN -10 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BOBL 122.579075 CRUDE_W 220.000000 GOLD_micro 33.500000 JPY 246.875000 LEANHOG 600.000000 NASDAQ 230.000000 SOYMEAL 140.000000 SP400 1215.000000 US30 1296.875000 US5 351.562500 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 4456.391575 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BOBL -5.329525 CRUDE_W -10.000000 GOLD_micro -0.500000 JPY -3.125000 LEANHOG -10.000000 NASDAQ -5.000000 SOYMEAL -10.000000 SP400 -45.000000 US30 -15.625000 US5 -7.812500 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -112.392025 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BOBL 10.65905 CRUDE_W 0.00000 GOLD_micro 1.00000 JPY 6.25000 LEANHOG 0.00000 NASDAQ 10.00000 SOYMEAL 20.00000 SP400 90.00000 US30 -31.25000 US5 15.62600 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 122.28505 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL -1.514742e-11 CRUDE_W -2.000000e+01 GOLD_micro -0.000000e+00 JPY -0.000000e+00 LEANHOG 0.000000e+00 NASDAQ -0.000000e+00 SOYMEAL 5.684342e-12 SP400 -0.000000e+00 US30 -6.250000e+01 US5 1.000000e-03 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -82.499 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0 CRUDE_W 0 GOLD_micro 0 JPY 0 LEANHOG 0 NASDAQ 0 SOYMEAL 0 SP400 0 US30 0 US5 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 5.329525 CRUDE_W -10.000000 GOLD_micro 0.500000 JPY 3.125000 LEANHOG -10.000000 NASDAQ 5.000000 SOYMEAL 10.000000 SP400 45.000000 US30 -46.875000 US5 7.813500 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 9.893025 ******************************************************************************** END OF REPORT ********************************************************************************