******************************************************************************** Trades report report produced on 02/03/2023 21:35 from 01/03/2023 21:35 to 02/03/2023 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1574 BTP _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-02 08:05:01 [-1, 1] 0.780 1576 BUND _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-02 08:05:07 [-1, 1] 0.950 1572 BUND _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-02 08:03:02 [-1, 1] 0.970 1571 CAC caleb_strategy_v1 [20230300] 2023-03-02 08:00:05 [1] 7194.500 1580 DAX caleb_strategy_v1 [20230300] 2023-03-02 08:10:16 [1] 15165.000 1579 DAX caleb_strategy_v1 [20230300] 2023-03-02 08:10:11 [1] 15165.000 1575 DAX caleb_strategy_v1 [20230300] 2023-03-02 08:05:06 [1] 15191.000 1578 DAX caleb_strategy_v1 [20230300] 2023-03-02 08:10:10 [1] 15165.000 1570 DAX caleb_strategy_v1 [20230300] 2023-03-02 08:00:03 [1] 15229.000 1588 DOW caleb_strategy_v1 [20230300] 2023-03-02 15:00:15 [-1] 32749.000 1593 DOW caleb_strategy_v1 [20230300] 2023-03-02 15:00:21 [-1] 32743.000 1594 DOW caleb_strategy_v1 [20230300] 2023-03-02 15:00:23 [-1] 32745.000 1592 DOW caleb_strategy_v1 [20230300] 2023-03-02 15:00:20 [-1] 32743.000 1591 DOW caleb_strategy_v1 [20230300] 2023-03-02 15:00:19 [-1] 32741.000 1590 DOW caleb_strategy_v1 [20230300] 2023-03-02 15:00:18 [-1] 32744.000 1589 DOW caleb_strategy_v1 [20230300] 2023-03-02 15:00:16 [-1] 32748.000 1587 DOW caleb_strategy_v1 [20230300] 2023-03-02 15:00:12 [-1] 32746.000 1583 DOW caleb_strategy_v1 [20230300] 2023-03-02 15:00:06 [-1] 32745.000 1585 DOW caleb_strategy_v1 [20230300] 2023-03-02 15:00:10 [-1] 32744.000 1584 DOW caleb_strategy_v1 [20230300] 2023-03-02 15:00:08 [-1] 32744.000 1595 DOW caleb_strategy_v1 [20230300] 2023-03-02 15:00:25 [-1] 32743.000 1582 DOW caleb_strategy_v1 [20230300] 2023-03-02 15:00:05 [-1] 32748.000 1586 DOW caleb_strategy_v1 [20230300] 2023-03-02 15:00:11 [-1] 32743.000 1596 DOW caleb_strategy_v1 [20230300] 2023-03-02 15:00:26 [-1] 32745.000 1573 OAT _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-02 08:04:32 [-1, 1] 0.850 1577 OAT _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-02 08:10:08 [-1, 1] 0.850 1581 US30 caleb_strategy_v1 [20230600] 2023-03-02 15:00:04 [-1] 133.125 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1571 CAC caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 08:00:04.543 2023-03-02 08:00:05 115205 0.457 1574 BTP _ROLL_PSEUDO_STRATEGY 2023-03-01 17:00:00 2023-03-02 08:04:33.592 2023-03-02 08:05:01 54273.6 27.408 1576 BUND _ROLL_PSEUDO_STRATEGY 2023-03-01 20:00:00 2023-03-02 08:05:07.546 2023-03-02 08:05:07 43507.5 NaN 1572 BUND _ROLL_PSEUDO_STRATEGY 2023-03-01 20:00:00 2023-03-02 08:00:06.601 2023-03-02 08:03:02 43206.6 175.399 1577 OAT _ROLL_PSEUDO_STRATEGY 2023-03-01 19:00:00 2023-03-02 08:05:08.593 2023-03-02 08:10:08 47108.6 299.407 1573 OAT _ROLL_PSEUDO_STRATEGY 2023-03-01 19:00:00 2023-03-02 08:03:04.144 2023-03-02 08:04:32 46984.1 87.856 1570 DAX caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 08:00:02.847 2023-03-02 08:00:03 115203 0.153 1575 DAX caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 08:05:06.254 2023-03-02 08:05:06 115506 NaN 1578 DAX caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 08:10:10.055 2023-03-02 08:10:10 115810 NaN 1579 DAX caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 08:10:11.720 2023-03-02 08:10:11 115812 NaN 1580 DAX caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 08:10:13.198 2023-03-02 08:10:16 115813 2.802 1581 US30 caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 15:00:01.070 2023-03-02 15:00:04 140401 2.93 1582 DOW caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 15:00:05.477 2023-03-02 15:00:05 140405 NaN 1583 DOW caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 15:00:06.798 2023-03-02 15:00:06 140407 NaN 1584 DOW caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 15:00:08.151 2023-03-02 15:00:08 140408 NaN 1585 DOW caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 15:00:09.516 2023-03-02 15:00:10 140410 0.484 1586 DOW caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 15:00:11.290 2023-03-02 15:00:11 140411 NaN 1587 DOW caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 15:00:12.730 2023-03-02 15:00:12 140413 NaN 1588 DOW caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 15:00:14.027 2023-03-02 15:00:15 140414 0.973 1589 DOW caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 15:00:16.239 2023-03-02 15:00:16 140416 NaN 1590 DOW caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 15:00:17.899 2023-03-02 15:00:18 140418 0.101 1591 DOW caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 15:00:19.192 2023-03-02 15:00:19 140419 NaN 1592 DOW caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 15:00:20.548 2023-03-02 15:00:20 140421 NaN 1593 DOW caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 15:00:21.815 2023-03-02 15:00:21 140422 NaN 1594 DOW caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 15:00:23.191 2023-03-02 15:00:23 140423 NaN 1595 DOW caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 15:00:24.737 2023-03-02 15:00:25 140425 0.263 1596 DOW caleb_strategy_v1 2023-03-01 00:00:00 2023-03-02 15:00:26.183 2023-03-02 15:00:26 140426 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 1571 CAC caleb_strategy_v1 [1] 7246.5 None 7194.5 7195 7194 7194 7194.5 52 -0.5 0.5 -0.5 NaN 0 1574 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 0.79 None 0.775 0.77 0.78 0.78 0.78 -0.015 -0.005 0.01 1.11022e-15 NaN 0.005 1576 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 0.97 None 0.965 0.96 0.97 0.97 0.95 -0.005 -0.005 -0.01 -0.02 NaN -0.015 1572 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 0.97 None 0.965 0.96 0.97 0.97 0.97 -0.005 -0.005 0.01 -1.11022e-15 NaN 0.005 1577 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 0.87 None 0.855 0.85 0.86 0.86 0.85 -0.015 -0.005 -5.66214e-15 -0.01 NaN -0.005 1573 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 0.87 None 0.865 0.86 0.87 0.87 0.85 -0.005 -0.005 -0.01 -0.02 NaN -0.015 1570 DAX caleb_strategy_v1 [1] 15324 None 15225.5 15227 15224 15224 15229 98.5 -1.5 -2 -5 NaN -3.5 1575 DAX caleb_strategy_v1 [1] 15324 None 15190.5 15191 15190 NaN 15191 133.5 -0.5 0 NaN NaN -0.5 1578 DAX caleb_strategy_v1 [1] 15324 None 15165.5 15166 15165 15165 15165 158.5 -0.5 1 0 NaN 0.5 1579 DAX caleb_strategy_v1 [1] 15324 None 15165 15165 15165 15165 15165 159 0 0 0 NaN 0 1580 DAX caleb_strategy_v1 [1] 15324 None 15165.5 15166 15165 15165 15165 158.5 -0.5 1 0 NaN 0.5 1581 US30 caleb_strategy_v1 [-1] 134.344 None 133.172 133.156 133.188 133.188 133.125 -1.17188 -0.015625 -0.03125 -0.0625 NaN -0.046875 1582 DOW caleb_strategy_v1 [-1] 32620 None 32746.5 32746 32747 32747 32748 126.5 -0.5 2 1 NaN 1.5 1583 DOW caleb_strategy_v1 [-1] 32620 None 32747 32746 32748 32748 32745 127 -1 -1 -3 NaN -2 1584 DOW caleb_strategy_v1 [-1] 32620 None 32743 32742 32744 32744 32744 123 -1 2 -0 NaN 1 1585 DOW caleb_strategy_v1 [-1] 32620 None 32743.5 32743 32744 32744 32744 123.5 -0.5 1 -0 NaN 0.5 1586 DOW caleb_strategy_v1 [-1] 32620 None 32745 32744 32746 32746 32743 125 -1 -1 -3 NaN -2 1587 DOW caleb_strategy_v1 [-1] 32620 None 32748 32747 32749 32749 32746 128 -1 -1 -3 NaN -2 1588 DOW caleb_strategy_v1 [-1] 32620 None 32748 32747 32749 32749 32749 128 -1 2 -0 NaN 1 1589 DOW caleb_strategy_v1 [-1] 32620 None 32749 32748 32750 32750 32748 129 -1 -0 -2 NaN -1 1590 DOW caleb_strategy_v1 [-1] 32620 None 32745 32744 32746 32746 32744 125 -1 -0 -2 NaN -1 1591 DOW caleb_strategy_v1 [-1] 32620 None 32742 32741 32743 32743 32741 122 -1 -0 -2 NaN -1 1592 DOW caleb_strategy_v1 [-1] 32620 None 32744 32743 32745 32745 32743 124 -1 -0 -2 NaN -1 1593 DOW caleb_strategy_v1 [-1] 32620 None 32742.5 32742 32743 32743 32743 122.5 -0.5 1 -0 NaN 0.5 1594 DOW caleb_strategy_v1 [-1] 32620 None 32744.5 32744 32745 32745 32745 124.5 -0.5 1 -0 NaN 0.5 1595 DOW caleb_strategy_v1 [-1] 32620 None 32745 32744 32746 32746 32743 125 -1 -1 -3 NaN -2 1596 DOW caleb_strategy_v1 [-1] 32620 None 32744.5 32744 32745 32745 32745 124.5 -0.5 1 -0 NaN 0.5 ======================================================================================================================================================================= 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 1571 CAC caleb_strategy_v1 [1] 1050.09 495.194 -4.76148 4.76148 -4.76148 NaN 0 1574 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 14.5849 -10.2846 -3.42821 6.85642 7.61216e-13 NaN 3.42821 1576 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 12.2698 -4.07506 -4.07506 -8.15012 -16.3002 NaN -12.2252 1572 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 12.2698 -4.07506 -4.07506 8.15012 -9.04845e-13 NaN 4.07506 1577 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 12.7071 -11.8044 -3.93481 -4.45588e-12 -7.86961 NaN -3.93481 1573 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 12.7071 -3.93481 -3.93481 -7.86961 -15.7392 NaN -11.8044 1570 DAX caleb_strategy_v1 [1] 2142.81 459.678 -7.00017 -9.33356 -23.3339 NaN -16.3337 1575 DAX caleb_strategy_v1 [1] 2142.81 623.015 -2.33339 0 NaN NaN -2.33339 1578 DAX caleb_strategy_v1 [1] 2142.81 739.684 -2.33339 4.66678 0 NaN 2.33339 1579 DAX caleb_strategy_v1 [1] 2142.81 742.018 0 0 0 NaN 0 1580 DAX caleb_strategy_v1 [1] 2142.81 739.684 -2.33339 4.66678 0 NaN 2.33339 1581 US30 caleb_strategy_v1 [-1] 22.8174 -513.588 -6.84784 -13.6957 -27.3914 NaN -20.5435 1582 DOW caleb_strategy_v1 [-1] 4366.97 289.675 -1.14496 4.57984 2.28992 NaN 3.43488 1583 DOW caleb_strategy_v1 [-1] 4366.97 290.82 -2.28992 -2.28992 -6.86976 NaN -4.57984 1584 DOW caleb_strategy_v1 [-1] 4366.97 281.66 -2.28992 4.57984 -0 NaN 2.28992 1585 DOW caleb_strategy_v1 [-1] 4366.97 282.805 -1.14496 2.28992 -0 NaN 1.14496 1586 DOW caleb_strategy_v1 [-1] 4366.97 286.24 -2.28992 -2.28992 -6.86976 NaN -4.57984 1587 DOW caleb_strategy_v1 [-1] 4366.97 293.11 -2.28992 -2.28992 -6.86976 NaN -4.57984 1588 DOW caleb_strategy_v1 [-1] 4366.97 293.11 -2.28992 4.57984 -0 NaN 2.28992 1589 DOW caleb_strategy_v1 [-1] 4366.97 295.399 -2.28992 -0 -4.57984 NaN -2.28992 1590 DOW caleb_strategy_v1 [-1] 4366.97 286.24 -2.28992 -0 -4.57984 NaN -2.28992 1591 DOW caleb_strategy_v1 [-1] 4366.97 279.37 -2.28992 -0 -4.57984 NaN -2.28992 1592 DOW caleb_strategy_v1 [-1] 4366.97 283.95 -2.28992 -0 -4.57984 NaN -2.28992 1593 DOW caleb_strategy_v1 [-1] 4366.97 280.515 -1.14496 2.28992 -0 NaN 1.14496 1594 DOW caleb_strategy_v1 [-1] 4366.97 285.095 -1.14496 2.28992 -0 NaN 1.14496 1595 DOW caleb_strategy_v1 [-1] 4366.97 286.24 -2.28992 -2.28992 -6.86976 NaN -4.57984 1596 DOW caleb_strategy_v1 [-1] 4366.97 285.095 -1.14496 2.28992 -0 NaN 1.14496 ================================================================================================================================================================================== 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 1571 CAC caleb_strategy_v1 [1] 10.6409 553.324 -5.32043 5.32043 -5.32043 NaN 0 1574 BTP _ROLL_PSEUDO_STRATEGY [-1, 1] 1064.09 -15.9613 -5.32043 10.6409 1.18137e-12 NaN 5.32043 1576 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 1064.09 -5.32042 -5.32043 -10.6409 -21.2817 NaN -15.9613 1572 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 1064.09 -5.32042 -5.32043 10.6408 -1.18137e-12 NaN 5.32042 1577 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 1064.09 -15.9613 -5.32043 -6.025e-12 -10.6409 NaN -5.32043 1573 OAT _ROLL_PSEUDO_STRATEGY [-1, 1] 1064.09 -5.32042 -5.32043 -10.6409 -21.2817 NaN -15.9613 1570 DAX caleb_strategy_v1 [1] 1.06408 104.812 -1.59613 -2.12817 -5.32043 NaN -3.7243 1575 DAX caleb_strategy_v1 [1] 1.06408 142.055 -0.532042 0 NaN NaN -0.532042 1578 DAX caleb_strategy_v1 [1] 1.06408 168.657 -0.532042 1.06408 0 NaN 0.532042 1579 DAX caleb_strategy_v1 [1] 1.06408 169.19 0 0 0 NaN 0 1580 DAX caleb_strategy_v1 [1] 1.06408 168.657 -0.532042 1.06408 0 NaN 0.532042 1581 US30 caleb_strategy_v1 [-1] 1000 -1171.88 -15.625 -31.25 -62.5 NaN -46.875 1582 DOW caleb_strategy_v1 [-1] 0.5 63.25 -0.25 1 0.5 NaN 0.75 1583 DOW caleb_strategy_v1 [-1] 0.5 63.5 -0.5 -0.5 -1.5 NaN -1 1584 DOW caleb_strategy_v1 [-1] 0.5 61.5 -0.5 1 -0 NaN 0.5 1585 DOW caleb_strategy_v1 [-1] 0.5 61.75 -0.25 0.5 -0 NaN 0.25 1586 DOW caleb_strategy_v1 [-1] 0.5 62.5 -0.5 -0.5 -1.5 NaN -1 1587 DOW caleb_strategy_v1 [-1] 0.5 64 -0.5 -0.5 -1.5 NaN -1 1588 DOW caleb_strategy_v1 [-1] 0.5 64 -0.5 1 -0 NaN 0.5 1589 DOW caleb_strategy_v1 [-1] 0.5 64.5 -0.5 -0 -1 NaN -0.5 1590 DOW caleb_strategy_v1 [-1] 0.5 62.5 -0.5 -0 -1 NaN -0.5 1591 DOW caleb_strategy_v1 [-1] 0.5 61 -0.5 -0 -1 NaN -0.5 1592 DOW caleb_strategy_v1 [-1] 0.5 62 -0.5 -0 -1 NaN -0.5 1593 DOW caleb_strategy_v1 [-1] 0.5 61.25 -0.25 0.5 -0 NaN 0.25 1594 DOW caleb_strategy_v1 [-1] 0.5 62.25 -0.25 0.5 -0 NaN 0.25 1595 DOW caleb_strategy_v1 [-1] 0.5 62.5 -0.5 -0.5 -1.5 NaN -1 1596 DOW caleb_strategy_v1 [-1] 0.5 62.25 -0.25 0.5 -0 NaN 0.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BTP -15.961275 BUND -10.640850 OAT -21.281700 caleb_strategy_v1 CAC 553.324200 DAX 753.372180 DOW 938.750000 US30 -1171.875000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -47.883825 caleb_strategy_v1 1073.571380 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BTP -5.320425 BUND -10.640850 OAT -10.640850 caleb_strategy_v1 CAC -5.320425 DAX -3.192255 DOW -6.250000 US30 -15.625000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -26.602125 caleb_strategy_v1 -30.387680 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BTP 1.064085e+01 BUND -1.323208e-11 OAT -1.064085e+01 caleb_strategy_v1 CAC 5.320425e+00 DAX 0.000000e+00 DOW 3.000000e+00 US30 -3.125000e+01 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -2.410161e-11 caleb_strategy_v1 -2.292957e+01 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BTP 1.181372e-12 BUND -2.128170e+01 OAT -3.192255e+01 caleb_strategy_v1 CAC -5.320425e+00 DAX -5.320425e+00 DOW -9.500000e+00 US30 -6.250000e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -53.20425 caleb_strategy_v1 -82.64085 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BTP 0 BUND 0 OAT 0 caleb_strategy_v1 CAC 0 DAX 0 DOW 0 US30 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 BTP 5.320425 BUND -10.640850 OAT -21.281700 caleb_strategy_v1 CAC 0.000000 DAX -3.192255 DOW -3.250000 US30 -46.875000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -26.602125 caleb_strategy_v1 -53.317255 ******************************************************************************** END OF REPORT ********************************************************************************