******************************************************************************** Trades report report produced on 28/02/2023 21:35 from 27/02/2023 21:35 to 28/02/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1561 BOBL caleb_strategy_v1 [20230300] 2023-02-28 08:00:04 [-1] 115.00000 1560 CAC caleb_strategy_v1 [20230300] 2023-02-28 08:00:03 [-1] 7264.50000 1564 EUR caleb_strategy_v1 [20230300] 2023-02-28 15:00:00 [-1] 1.06450 1562 GOLD_micro caleb_strategy_v1 [20230400] 2023-02-28 14:00:01 [-1] 1821.10000 1563 GOLD_micro caleb_strategy_v1 [20230400] 2023-02-28 14:00:02 [-1] 1821.10000 1566 SP400 caleb_strategy_v1 [20230300] 2023-02-28 15:00:05 [1] 2615.80000 1565 US30 caleb_strategy_v1 [20230600] 2023-02-28 15:00:02 [-1] 134.15625 1567 WHEAT caleb_strategy_v1 [20231200] 2023-02-28 15:30:02 [-1] 746.25000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1560 CAC caleb_strategy_v1 2023-02-27 2023-02-28 08:00:02.674 2023-02-28 08:00:03 115203 0.326 1561 BOBL caleb_strategy_v1 2023-02-27 2023-02-28 08:00:04.517 2023-02-28 08:00:04 115205 NaN 1562 GOLD_micro caleb_strategy_v1 2023-02-27 2023-02-28 14:00:01.139 2023-02-28 14:00:01 136801 NaN 1563 GOLD_micro caleb_strategy_v1 2023-02-27 2023-02-28 14:00:02.401 2023-02-28 14:00:02 136802 NaN 1564 EUR caleb_strategy_v1 2023-02-27 2023-02-28 15:00:00.556 2023-02-28 15:00:00 140401 NaN 1565 US30 caleb_strategy_v1 2023-02-27 2023-02-28 15:00:01.492 2023-02-28 15:00:02 140401 0.508 1566 SP400 caleb_strategy_v1 2023-02-27 2023-02-28 15:00:02.912 2023-02-28 15:00:05 140403 2.088 1567 WHEAT caleb_strategy_v1 2023-02-27 2023-02-28 15:30:01.077 2023-02-28 15:30:02 142201 0.923 =================================================================================================================================================================================================================================== 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 1560 CAC caleb_strategy_v1 [-1] 7308 None 7267.25 7267 7267.5 7267.5 7264.5 -40.75 -0.25 -2.5 -3 NaN -2.75 1561 BOBL caleb_strategy_v1 [-1] 115.47 None 114.995 114.99 115 115 115 -0.475 -0.005 0.01 -0 NaN 0.005 1562 GOLD_micro caleb_strategy_v1 [-1] 1824.2 None 1820.95 1820.9 1821 1821 1821.1 -3.25 -0.05 0.2 0.1 NaN 0.15 1563 GOLD_micro caleb_strategy_v1 [-1] 1824.2 None 1821.2 1821.1 1821.3 1821.3 1821.1 -3 -0.1 -0 -0.2 NaN -0.1 1564 EUR caleb_strategy_v1 [-1] 1.06155 None 1.06462 1.06455 1.0647 1.0647 1.0645 0.003075 -7.5e-05 -5e-05 -0.0002 NaN -0.000125 1565 US30 caleb_strategy_v1 [-1] 135.062 None 134.125 134.094 134.156 134.156 134.156 -0.9375 -0.03125 0.0625 -0 NaN 0.03125 1566 SP400 caleb_strategy_v1 [1] 2607.5 None 2615.6 2616.2 2615 2615 2615.8 -8.1 -0.6 0.4 -0.8 NaN -0.2 1567 WHEAT caleb_strategy_v1 [-1] 744.25 None 746.125 746 746.25 746.25 746.25 1.875 -0.125 0.25 -0 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 1560 CAC caleb_strategy_v1 [-1] 1065.61 -382.409 -2.34606 -23.4606 -28.1528 NaN -25.8067 1561 BOBL caleb_strategy_v1 [-1] 5.74769 -826.419 -8.69915 17.3983 -0 NaN 8.69915 1562 GOLD_micro caleb_strategy_v1 [-1] 250.027 -129.986 -1.99978 7.99913 3.99956 NaN 5.99935 1563 GOLD_micro caleb_strategy_v1 [-1] 250.027 -119.987 -3.99956 -0 -7.99913 NaN -3.99956 1564 EUR caleb_strategy_v1 [-1] 0.0791447 388.529 -9.47631 -6.31754 -25.2702 NaN -15.7939 1565 US30 caleb_strategy_v1 [-1] 23.0471 -406.776 -13.5592 27.1184 -0 NaN 13.5592 1566 SP400 caleb_strategy_v1 [1] 431.969 -187.513 -13.8899 9.25992 -18.5198 NaN -4.62996 1567 WHEAT caleb_strategy_v1 [-1] 197.895 94.7474 -6.3165 12.633 -0 NaN 6.3165 =========================================================================================================================================================================== 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 1560 CAC caleb_strategy_v1 [-1] 10.588 -431.463 -2.64701 -26.4701 -31.7641 NaN -29.1171 1561 BOBL caleb_strategy_v1 [-1] 1058.81 -502.932 -5.29403 10.5881 -0 NaN 5.29402 1562 GOLD_micro caleb_strategy_v1 [-1] 10 -32.5 -0.5 2 1 NaN 1.5 1563 GOLD_micro caleb_strategy_v1 [-1] 10 -30 -1 -0 -2 NaN -1 1564 EUR caleb_strategy_v1 [-1] 125000 384.375 -9.375 -6.25 -25 NaN -15.625 1565 US30 caleb_strategy_v1 [-1] 1000 -937.5 -31.25 62.5 -0 NaN 31.25 1566 SP400 caleb_strategy_v1 [1] 100 -810 -60 40 -80 NaN -20 1567 WHEAT caleb_strategy_v1 [-1] 50 93.75 -6.25 12.5 -0 NaN 6.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BOBL -502.932375 CAC -431.463037 EUR 384.375000 GOLD_micro -62.500000 SP400 -810.000000 US30 -937.500000 WHEAT 93.750000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -2266.270412 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BOBL -5.294025 CAC -2.647012 EUR -9.375000 GOLD_micro -1.500000 SP400 -60.000000 US30 -31.250000 WHEAT -6.250000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -116.316037 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BOBL 10.588050 CAC -26.470125 EUR -6.250000 GOLD_micro 2.000000 SP400 40.000000 US30 62.500000 WHEAT 12.500000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 94.867925 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL -0.00000 CAC -31.76415 EUR -25.00000 GOLD_micro -1.00000 SP400 -80.00000 US30 -0.00000 WHEAT -0.00000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -137.76415 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0 CAC 0 EUR 0 GOLD_micro 0 SP400 0 US30 0 WHEAT 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 5.294025 CAC -29.117137 EUR -15.625000 GOLD_micro 0.500000 SP400 -20.000000 US30 31.250000 WHEAT 6.250000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -21.448113 ******************************************************************************** END OF REPORT ********************************************************************************