******************************************************************************** Trades report report produced on 06/03/2023 21:36 from 05/03/2023 21:36 to 06/03/2023 21:36 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1619 BUND caleb_strategy_v1 [20230600] 2023-03-06 13:48:56 [-1] 131.470000 1617 CAC caleb_strategy_v1 [20230300] 2023-03-06 08:00:03 [1] 7385.500000 1627 DOW caleb_strategy_v1 [20230300] 2023-03-06 15:00:20 [1] 33456.000000 1628 DOW caleb_strategy_v1 [20230300] 2023-03-06 15:01:09 [1] 33443.000000 1622 DOW caleb_strategy_v1 [20230300] 2023-03-06 15:00:00 [1] 33465.000000 1624 GBP caleb_strategy_v1 [20230600] 2023-03-06 15:00:15 [1] 1.204300 1621 GOLD_micro caleb_strategy_v1 [20230400] 2023-03-06 14:00:03 [-1] 1856.800000 1620 HEATOIL caleb_strategy_v1 [20230600] 2023-03-06 14:00:02 [1] 2.761900 1625 JPY caleb_strategy_v1 [20230600] 2023-03-06 15:00:16 [-1] 0.007469 1618 ROBUSTA caleb_strategy_v1 [20230500] 2023-03-06 10:00:06 [1] 2149.000000 1623 SP400 caleb_strategy_v1 [20230300] 2023-03-06 15:00:09 [1] 2645.100000 1626 US5 caleb_strategy_v1 [20230600] 2023-03-06 15:00:19 [-1] 106.687500 1629 WHEAT caleb_strategy_v1 [20231200] 2023-03-06 15:30:00 [-1] 732.750000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1617 CAC caleb_strategy_v1 2023-03-03 2023-03-06 08:00:02.827 2023-03-06 08:00:03 288003 0.173 1618 ROBUSTA caleb_strategy_v1 2023-03-03 2023-03-06 10:00:01.568 2023-03-06 10:00:06 295202 4.432 1619 BUND caleb_strategy_v1 2023-03-03 2023-03-06 13:48:53.711 2023-03-06 13:48:56 308934 2.289 1620 HEATOIL caleb_strategy_v1 2023-03-03 2023-03-06 14:00:00.892 2023-03-06 14:00:02 309601 1.108 1621 GOLD_micro caleb_strategy_v1 2023-03-03 2023-03-06 14:00:02.913 2023-03-06 14:00:03 309603 0.087 1623 SP400 caleb_strategy_v1 2023-03-03 2023-03-06 15:00:01.388 2023-03-06 15:00:09 313201 7.612 1624 GBP caleb_strategy_v1 2023-03-03 2023-03-06 15:00:10.137 2023-03-06 15:00:15 313210 4.863 1625 JPY caleb_strategy_v1 2023-03-03 2023-03-06 15:00:15.537 2023-03-06 15:00:16 313216 0.463 1626 US5 caleb_strategy_v1 2023-03-03 2023-03-06 15:00:16.737 2023-03-06 15:00:19 313217 2.263 1627 DOW caleb_strategy_v1 2023-03-03 2023-03-06 15:00:20.091 2023-03-06 15:00:20 313220 NaN 1628 DOW caleb_strategy_v1 2023-03-03 2023-03-06 15:01:08.605 2023-03-06 15:01:09 313269 0.395 1622 DOW caleb_strategy_v1 2023-03-03 2023-03-06 15:00:00.569 2023-03-06 15:00:00 313201 NaN 1629 WHEAT caleb_strategy_v1 2023-03-03 2023-03-06 15:30:00.777 2023-03-06 15:30:00 315001 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 1617 CAC caleb_strategy_v1 [1] 7389 None 7385.25 7385.5 7385 7385 7385.5 3.75 -0.25 0 -0.5 NaN -0.25 1618 ROBUSTA caleb_strategy_v1 [1] 2165 None 2148 2149 2147 2147 2149 17 -1 0 -2 NaN -1 1619 BUND caleb_strategy_v1 [-1] 131.21 None 131.485 131.48 131.49 131.49 131.47 0.275 -0.005 -0.01 -0.02 NaN -0.015 1620 HEATOIL caleb_strategy_v1 [1] 2.8042 None 2.7615 2.762 2.761 2.761 2.7619 0.0427 -0.0005 0.0001 -0.0009 NaN -0.0004 1621 GOLD_micro caleb_strategy_v1 [-1] 1861 None 1856.85 1856.8 1856.9 1856.9 1856.8 -4.15 -0.05 -0 -0.1 NaN -0.05 1623 SP400 caleb_strategy_v1 [1] 2653.4 None 2645.4 2645.7 2645.1 2645.1 2645.1 8 -0.3 0.6 4.54747e-13 NaN 0.3 1624 GBP caleb_strategy_v1 [1] 1.2074 None 1.2044 1.2045 1.2043 1.2043 1.2043 0.003 -0.0001 0.0002 2.22045e-16 NaN 0.0001 1625 JPY caleb_strategy_v1 [-1] 0.0074805 None 0.0074695 0.007469 0.00747 0.00747 0.007469 -1.1e-05 -5e-07 -0 -1e-06 NaN -5e-07 1626 US5 caleb_strategy_v1 [-1] 106.648 None 106.699 106.695 106.703 106.703 106.688 0.0507812 -0.00390625 -0.0078125 -0.015625 NaN -0.0117188 1627 DOW caleb_strategy_v1 [1] 33398 None 33457 33458 33456 33456 33456 -59 -1 2 0 NaN 1 1628 DOW caleb_strategy_v1 [1] 33398 None 33441.5 33442 33441 33441 33443 -43.5 -0.5 -1 -2 NaN -1.5 1622 DOW caleb_strategy_v1 [1] 33398 None 33466.5 33468 33465 33465 33465 -68.5 -1.5 3 0 NaN 1.5 1629 WHEAT caleb_strategy_v1 [-1] 743.5 None 733 732.75 733.25 NaN 732.75 -10.5 -0.25 -0 NaN NaN -0.25 ================================================================================================================================================================ 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 1617 CAC caleb_strategy_v1 [1] 1017.79 36.8446 -2.45631 0 -4.91262 NaN -2.45631 1618 ROBUSTA caleb_strategy_v1 [1] 446.979 380.331 -22.3724 0 -44.7448 NaN -22.3724 1619 BUND caleb_strategy_v1 [-1] 11.7797 233.452 -4.24457 -8.48915 -16.9783 NaN -12.7337 1620 HEATOIL caleb_strategy_v1 [1] 0.935405 456.487 -5.34528 1.06906 -9.6215 NaN -4.27622 1621 GOLD_micro caleb_strategy_v1 [-1] 244.367 -169.826 -2.0461 -0 -4.0922 NaN -2.0461 1623 SP400 caleb_strategy_v1 [1] 436.935 183.094 -6.86601 13.732 1.04077e-11 NaN 6.86601 1624 GBP caleb_strategy_v1 [1] 0.117723 254.835 -8.49451 16.989 1.88616e-11 NaN 8.49451 1625 JPY caleb_strategy_v1 [-1] 0.000806468 -136.397 -6.19988 -0 -12.3998 NaN -6.19988 1626 US5 caleb_strategy_v1 [-1] 4.87654 104.134 -8.01029 -16.0206 -32.0412 NaN -24.0309 1627 DOW caleb_strategy_v1 [1] 4443.37 -132.782 -2.25054 4.50108 0 NaN 2.25054 1628 DOW caleb_strategy_v1 [1] 4443.37 -97.8986 -1.12527 -2.25054 -4.50108 NaN -3.37581 1622 DOW caleb_strategy_v1 [1] 4443.37 -154.162 -3.37581 6.75163 0 NaN 3.37581 1629 WHEAT caleb_strategy_v1 [-1] 189.257 -554.801 -13.2096 -0 NaN NaN -13.2096 =========================================================================================================================================================================== 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 1617 CAC caleb_strategy_v1 [1] 10.6442 39.9159 -2.66106 0 -5.32212 NaN -2.66106 1618 ROBUSTA caleb_strategy_v1 [1] 10 170 -10 0 -20 NaN -10 1619 BUND caleb_strategy_v1 [-1] 1064.42 292.717 -5.32213 -10.6442 -21.2885 NaN -15.9664 1620 HEATOIL caleb_strategy_v1 [1] 42000 1793.4 -21 4.2 -37.8 NaN -16.8 1621 GOLD_micro caleb_strategy_v1 [-1] 10 -41.5 -0.5 -0 -1 NaN -0.5 1623 SP400 caleb_strategy_v1 [1] 100 800 -30 60 4.54747e-11 NaN 30 1624 GBP caleb_strategy_v1 [1] 62500 187.5 -6.25 12.5 1.38778e-11 NaN 6.25 1625 JPY caleb_strategy_v1 [-1] 1.25e+07 -137.5 -6.25 -0 -12.5 NaN -6.25 1626 US5 caleb_strategy_v1 [-1] 1000 50.7812 -3.90625 -7.8125 -15.625 NaN -11.7188 1627 DOW caleb_strategy_v1 [1] 0.5 -29.5 -0.5 1 0 NaN 0.5 1628 DOW caleb_strategy_v1 [1] 0.5 -21.75 -0.25 -0.5 -1 NaN -0.75 1622 DOW caleb_strategy_v1 [1] 0.5 -34.25 -0.75 1.5 0 NaN 0.75 1629 WHEAT caleb_strategy_v1 [-1] 50 -525 -12.5 -0 NaN NaN -12.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BUND 292.716875 CAC 39.915937 DOW -85.500000 GBP 187.500000 GOLD_micro -41.500000 HEATOIL 1793.400000 JPY -137.500000 ROBUSTA 170.000000 SP400 800.000000 US5 50.781250 WHEAT -525.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 2544.814063 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BUND -5.322125 CAC -2.661062 DOW -1.500000 GBP -6.250000 GOLD_micro -0.500000 HEATOIL -21.000000 JPY -6.250000 ROBUSTA -10.000000 SP400 -30.000000 US5 -3.906250 WHEAT -12.500000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -99.889438 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BUND -10.64425 CAC 0.00000 DOW 2.00000 GBP 12.50000 GOLD_micro -0.00000 HEATOIL 4.20000 JPY -0.00000 ROBUSTA 0.00000 SP400 60.00000 US5 -7.81250 WHEAT -0.00000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 60.24325 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND -2.128850e+01 CAC -5.322125e+00 DOW -1.000000e+00 GBP 1.387779e-11 GOLD_micro -1.000000e+00 HEATOIL -3.780000e+01 JPY -1.250000e+01 ROBUSTA -2.000000e+01 SP400 4.547474e-11 US5 -1.562500e+01 WHEAT 0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -114.535625 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 0 CAC 0 DOW 0 GBP 0 GOLD_micro 0 HEATOIL 0 JPY 0 ROBUSTA 0 SP400 0 US5 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 BUND -15.966375 CAC -2.661062 DOW 0.500000 GBP 6.250000 GOLD_micro -0.500000 HEATOIL -16.800000 JPY -6.250000 ROBUSTA -10.000000 SP400 30.000000 US5 -11.718750 WHEAT -12.500000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -39.646188 ******************************************************************************** END OF REPORT ********************************************************************************