******************************************************************************** Trades report report produced on 16/03/2023 21:35 from 15/03/2023 21:35 to 16/03/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1847 BOBL caleb_strategy_v1 [20230600] 2023-03-16 08:00:04 [1] 117.900000 1846 BUND caleb_strategy_v1 [20230600] 2023-03-16 08:00:03 [1] 136.030000 1862 CHF caleb_strategy_v1 [20230600] 2023-03-16 15:00:07 [1] 1.087250 1855 DAX caleb_strategy_v1 [20230600] 2023-03-16 08:00:35 [-1] 15114.000000 1854 DAX caleb_strategy_v1 [20230600] 2023-03-16 08:00:33 [-1] 15112.000000 1852 DAX caleb_strategy_v1 [20230600] 2023-03-16 08:00:28 [-1] 15116.000000 1851 DAX caleb_strategy_v1 [20230600] 2023-03-16 08:00:27 [-1] 15106.000000 1853 DAX caleb_strategy_v1 [20230600] 2023-03-16 08:00:32 [-1] 15112.000000 1849 DAX caleb_strategy_v1 [20230600] 2023-03-16 08:00:21 [-1] 15106.000000 1848 DAX caleb_strategy_v1 [20230600] 2023-03-16 08:00:06 [-1] 15104.000000 1857 DAX caleb_strategy_v1 [20230600] 2023-03-16 08:00:48 [-1] 15117.000000 1856 DAX caleb_strategy_v1 [20230600] 2023-03-16 08:00:37 [-1] 15112.000000 1850 DAX caleb_strategy_v1 [20230600] 2023-03-16 08:00:26 [-1] 15104.000000 1870 DOW caleb_strategy_v1 [20230600] 2023-03-16 15:00:19 [1] 32203.000000 1871 DOW caleb_strategy_v1 [20230600] 2023-03-16 15:00:21 [1] 32204.000000 1866 DOW caleb_strategy_v1 [20230600] 2023-03-16 15:00:13 [1] 32199.000000 1860 EUR caleb_strategy_v1 [20230600] 2023-03-16 15:00:02 [-1] 1.066300 1858 HEATOIL caleb_strategy_v1 [20230600] 2023-03-16 14:00:02 [-1] 2.423500 1861 JPY caleb_strategy_v1 [20230600] 2023-03-16 15:00:05 [1] 0.007648 1872 LEANHOG caleb_strategy_v1 [20230600] 2023-03-16 15:30:07 [1] 96.175000 1873 SOYMEAL caleb_strategy_v1 [20230700] 2023-03-16 15:30:08 [-1] 465.900000 1863 SP500 caleb_strategy_v1 [20230600] 2023-03-16 15:00:07 [1] 3952.250000 1867 SP500 caleb_strategy_v1 [20230600] 2023-03-16 15:00:14 [1] 3951.500000 1859 SUGAR11 caleb_strategy_v1 [20230500] 2023-03-16 14:00:03 [1] 20.570000 1864 US10U caleb_strategy_v1 [20230600] 2023-03-16 15:00:11 [1] 121.859375 1868 US10U caleb_strategy_v1 [20230600] 2023-03-16 15:00:15 [1] 121.875000 1865 US5 caleb_strategy_v1 [20230600] 2023-03-16 15:00:12 [1] 109.773438 1869 US5 caleb_strategy_v1 [20230600] 2023-03-16 15:00:19 [1] 109.781250 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1846 BUND caleb_strategy_v1 2023-03-15 2023-03-16 08:00:02.382 2023-03-16 08:00:03 115202 0.618 1847 BOBL caleb_strategy_v1 2023-03-15 2023-03-16 08:00:03.974 2023-03-16 08:00:04 115204 0.026 1856 DAX caleb_strategy_v1 2023-03-15 2023-03-16 08:00:36.897 2023-03-16 08:00:37 115237 0.103 1857 DAX caleb_strategy_v1 2023-03-15 2023-03-16 08:00:38.292 2023-03-16 08:00:48 115238 9.708 1848 DAX caleb_strategy_v1 2023-03-15 2023-03-16 08:00:05.400 2023-03-16 08:00:06 115205 0.6 1849 DAX caleb_strategy_v1 2023-03-15 2023-03-16 08:00:07.615 2023-03-16 08:00:21 115208 13.385 1850 DAX caleb_strategy_v1 2023-03-15 2023-03-16 08:00:25.962 2023-03-16 08:00:26 115226 0.038 1851 DAX caleb_strategy_v1 2023-03-15 2023-03-16 08:00:27.133 2023-03-16 08:00:27 115227 NaN 1852 DAX caleb_strategy_v1 2023-03-15 2023-03-16 08:00:28.543 2023-03-16 08:00:28 115229 NaN 1853 DAX caleb_strategy_v1 2023-03-15 2023-03-16 08:00:30.072 2023-03-16 08:00:32 115230 1.928 1854 DAX caleb_strategy_v1 2023-03-15 2023-03-16 08:00:33.446 2023-03-16 08:00:33 115233 NaN 1855 DAX caleb_strategy_v1 2023-03-15 2023-03-16 08:00:34.834 2023-03-16 08:00:35 115235 0.166 1858 HEATOIL caleb_strategy_v1 2023-03-15 2023-03-16 14:00:01.162 2023-03-16 14:00:02 136801 0.838 1859 SUGAR11 caleb_strategy_v1 2023-03-15 2023-03-16 14:00:03.373 2023-03-16 14:00:03 136803 NaN 1860 EUR caleb_strategy_v1 2023-03-15 2023-03-16 15:00:01.252 2023-03-16 15:00:02 140401 0.748 1861 JPY caleb_strategy_v1 2023-03-15 2023-03-16 15:00:03.503 2023-03-16 15:00:05 140404 1.497 1862 CHF caleb_strategy_v1 2023-03-15 2023-03-16 15:00:06.025 2023-03-16 15:00:07 140406 0.975 1867 SP500 caleb_strategy_v1 2023-03-15 2023-03-16 15:00:14.846 2023-03-16 15:00:14 140415 NaN 1863 SP500 caleb_strategy_v1 2023-03-15 2023-03-16 15:00:07.580 2023-03-16 15:00:07 140408 NaN 1864 US10U caleb_strategy_v1 2023-03-15 2023-03-16 15:00:08.757 2023-03-16 15:00:11 140409 2.243 1868 US10U caleb_strategy_v1 2023-03-15 2023-03-16 15:00:15.320 2023-03-16 15:00:15 140415 NaN 1865 US5 caleb_strategy_v1 2023-03-15 2023-03-16 15:00:11.726 2023-03-16 15:00:12 140412 0.274 1869 US5 caleb_strategy_v1 2023-03-15 2023-03-16 15:00:15.875 2023-03-16 15:00:19 140416 3.125 1866 DOW caleb_strategy_v1 2023-03-15 2023-03-16 15:00:12.989 2023-03-16 15:00:13 140413 0.011 1870 DOW caleb_strategy_v1 2023-03-15 2023-03-16 15:00:19.437 2023-03-16 15:00:19 140419 NaN 1871 DOW caleb_strategy_v1 2023-03-15 2023-03-16 15:00:20.948 2023-03-16 15:00:21 140421 0.052 1872 LEANHOG caleb_strategy_v1 2023-03-15 2023-03-16 15:30:00.721 2023-03-16 15:30:07 142201 6.279 1873 SOYMEAL caleb_strategy_v1 2023-03-15 2023-03-16 15:30:07.615 2023-03-16 15:30:08 142208 0.385 ========================================================================================================================================================================================================================================== 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 1846 BUND caleb_strategy_v1 [1] 136.86 None 136.015 136.02 136.01 136.01 136.03 0.845 -0.005 -0.01 -0.02 NaN -0.015 1847 BOBL caleb_strategy_v1 [1] 118.36 None 117.905 117.91 117.9 117.9 117.9 0.455 -0.005 0.01 0 NaN 0.005 1856 DAX caleb_strategy_v1 [-1] 15042 None 15121.5 15116 15127 NaN 15112 79.5 -5.5 -4 NaN NaN -9.5 1857 DAX caleb_strategy_v1 [-1] 15042 None 15124 15120 15128 15128 15117 82 -4 -3 -11 NaN -7 1848 DAX caleb_strategy_v1 [-1] 15042 None 15120 15112 15128 15128 15104 78 -8 -8 -24 NaN -16 1849 DAX caleb_strategy_v1 [-1] 15042 None 15110 15100 15120 15120 15106 68 -10 6 -14 NaN -4 1850 DAX caleb_strategy_v1 [-1] 15042 None 15115.5 15108 15123 NaN 15104 73.5 -7.5 -4 NaN NaN -11.5 1851 DAX caleb_strategy_v1 [-1] 15042 None 15116.5 15110 15123 NaN 15106 74.5 -6.5 -4 NaN NaN -10.5 1852 DAX caleb_strategy_v1 [-1] 15042 None 15121.5 15116 15127 15127 15116 79.5 -5.5 -0 -11 NaN -5.5 1853 DAX caleb_strategy_v1 [-1] 15042 None 15119.5 15112 15127 15127 15112 77.5 -7.5 -0 -15 NaN -7.5 1854 DAX caleb_strategy_v1 [-1] 15042 None 15120.5 15114 15127 NaN 15112 78.5 -6.5 -2 NaN NaN -8.5 1855 DAX caleb_strategy_v1 [-1] 15042 None 15119.5 15112 15127 15127 15114 77.5 -7.5 2 -13 NaN -5.5 1858 HEATOIL caleb_strategy_v1 [-1] 2.472 None 2.4242 2.4234 2.425 2.425 2.4235 -0.0478 -0.0008 0.0001 -0.0015 NaN -0.0007 1859 SUGAR11 caleb_strategy_v1 [1] 20.52 None 20.565 20.57 20.56 20.56 20.57 -0.045 -0.005 0 -0.01 NaN -0.005 1860 EUR caleb_strategy_v1 [-1] 1.06455 None 1.06628 1.06625 1.0663 1.0663 1.0663 0.001725 -2.5e-05 5e-05 -0 NaN 2.5e-05 1861 JPY caleb_strategy_v1 [1] 0.0076135 None 0.00764725 0.0076475 0.007647 0.007647 0.007648 -3.375e-05 -2.5e-07 -5e-07 -1e-06 NaN -7.5e-07 1862 CHF caleb_strategy_v1 [1] 1.08575 None 1.08712 1.0872 1.08705 1.08705 1.08725 -0.001375 -7.5e-05 -5e-05 -0.0002 NaN -0.000125 1867 SP500 caleb_strategy_v1 [1] 3923 None 3952.12 3952.25 3952 3952 3951.5 -29.125 -0.125 0.75 0.5 NaN 0.625 1863 SP500 caleb_strategy_v1 [1] 3923 None 3951.88 3952 3951.75 3951.75 3952.25 -28.875 -0.125 -0.25 -0.5 NaN -0.375 1864 US10U caleb_strategy_v1 [1] 121.469 None 121.867 121.875 121.859 121.859 121.859 -0.398438 -0.0078125 0.015625 0 NaN 0.0078125 1868 US10U caleb_strategy_v1 [1] 121.469 None 121.859 121.875 121.844 121.844 121.875 -0.390625 -0.015625 0 -0.03125 NaN -0.015625 1865 US5 caleb_strategy_v1 [1] 109.805 None 109.777 109.781 109.773 109.773 109.773 0.0273438 -0.00390625 0.007812 -5e-07 NaN 0.00390575 1869 US5 caleb_strategy_v1 [1] 109.805 None 109.785 109.789 109.781 109.781 109.781 0.0195312 -0.00390625 0.0078125 0 NaN 0.00390625 1866 DOW caleb_strategy_v1 [1] 32095 None 32196.5 32197 32196 32196 32199 -101.5 -0.5 -2 -3 NaN -2.5 1870 DOW caleb_strategy_v1 [1] 32095 None 32202.5 32203 32202 32202 32203 -107.5 -0.5 0 -1 NaN -0.5 1871 DOW caleb_strategy_v1 [1] 32095 None 32202 32203 32201 32201 32204 -107 -1 -1 -3 NaN -2 1872 LEANHOG caleb_strategy_v1 [1] 98 None 96.1875 96.2 96.175 96.175 96.175 1.8125 -0.0125 0.025 0 NaN 0.0125 1873 SOYMEAL caleb_strategy_v1 [-1] 469.2 None 465.95 465.9 466 466 465.9 -3.25 -0.05 -0 -0.1 NaN -0.05 ================================================================================================================================================================ 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 1846 BUND caleb_strategy_v1 [1] 19.5253 432.772 -2.56078 -5.12157 -10.2431 NaN -7.68235 1847 BOBL caleb_strategy_v1 [1] 10.6988 425.281 -4.67342 9.34684 0 NaN 4.67342 1856 DAX caleb_strategy_v1 [-1] 3172.4 250.599 -17.337 -12.6087 NaN NaN -29.9458 1857 DAX caleb_strategy_v1 [-1] 3172.4 258.479 -12.6087 -9.45656 -34.674 NaN -22.0653 1848 DAX caleb_strategy_v1 [-1] 3172.4 245.871 -25.2175 -25.2175 -75.6525 NaN -50.435 1849 DAX caleb_strategy_v1 [-1] 3172.4 214.349 -31.5219 18.9131 -44.1306 NaN -12.6087 1850 DAX caleb_strategy_v1 [-1] 3172.4 231.686 -23.6414 -12.6087 NaN NaN -36.2501 1851 DAX caleb_strategy_v1 [-1] 3172.4 234.838 -20.4892 -12.6087 NaN NaN -33.098 1852 DAX caleb_strategy_v1 [-1] 3172.4 250.599 -17.337 -0 -34.674 NaN -17.337 1853 DAX caleb_strategy_v1 [-1] 3172.4 244.294 -23.6414 -0 -47.2828 NaN -23.6414 1854 DAX caleb_strategy_v1 [-1] 3172.4 247.447 -20.4892 -6.30437 NaN NaN -26.7936 1855 DAX caleb_strategy_v1 [-1] 3172.4 244.294 -23.6414 6.30437 -40.9784 NaN -17.337 1858 HEATOIL caleb_strategy_v1 [-1] 1.00851 -473.967 -7.9325 0.991563 -14.8734 NaN -6.94094 1859 SUGAR11 caleb_strategy_v1 [1] 4.77324 -94.2756 -10.4751 0 -20.9501 NaN -10.4751 1860 EUR caleb_strategy_v1 [-1] 0.0978726 176.249 -2.55434 5.10868 -0 NaN 2.55434 1861 JPY caleb_strategy_v1 [1] 0.000819764 -411.704 -3.04966 -6.09932 -12.1986 NaN -9.14897 1862 CHF caleb_strategy_v1 [1] 0.116298 -118.231 -6.44896 -4.29931 -17.1972 NaN -10.7483 1867 SP500 caleb_strategy_v1 [1] 718.309 -405.466 -1.7402 10.4412 6.9608 NaN 8.701 1863 SP500 caleb_strategy_v1 [1] 718.309 -401.986 -1.7402 -3.4804 -6.9608 NaN -5.2206 1864 US10U caleb_strategy_v1 [1] 14.6794 -271.427 -5.32209 10.6442 0 NaN 5.32209 1868 US10U caleb_strategy_v1 [1] 14.6794 -266.105 -10.6442 0 -21.2884 NaN -10.6442 1865 US5 caleb_strategy_v1 [1] 8.62218 31.7133 -4.53047 9.06035 -0.0005799 NaN 4.52989 1869 US5 caleb_strategy_v1 [1] 8.62218 22.6523 -4.53047 9.06093 0 NaN 4.53047 1866 DOW caleb_strategy_v1 [1] 4977.05 -203.936 -1.00461 -4.01844 -6.02766 NaN -5.02305 1870 DOW caleb_strategy_v1 [1] 4977.05 -215.991 -1.00461 0 -2.00922 NaN -1.00461 1871 DOW caleb_strategy_v1 [1] 4977.05 -214.987 -2.00922 -2.00922 -6.02766 NaN -4.01844 1872 LEANHOG caleb_strategy_v1 [1] 26.5774 681.969 -4.70324 9.40647 0 NaN 4.70324 1873 SOYMEAL caleb_strategy_v1 [-1] 89.5352 -362.986 -5.58439 -0 -11.1688 NaN -5.58439 =========================================================================================================================================================================== 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 1846 BUND caleb_strategy_v1 [1] 1059.78 895.514 -5.2989 -10.5978 -21.1956 NaN -15.8967 1847 BOBL caleb_strategy_v1 [1] 1059.78 482.2 -5.2989 10.5978 0 NaN 5.2989 1856 DAX caleb_strategy_v1 [-1] 1.05978 84.2525 -5.82879 -4.23912 NaN NaN -10.0679 1857 DAX caleb_strategy_v1 [-1] 1.05978 86.902 -4.23912 -3.17934 -11.6576 NaN -7.41846 1848 DAX caleb_strategy_v1 [-1] 1.05978 82.6628 -8.47824 -8.47824 -25.4347 NaN -16.9565 1849 DAX caleb_strategy_v1 [-1] 1.05978 72.065 -10.5978 6.35868 -14.8369 NaN -4.23912 1850 DAX caleb_strategy_v1 [-1] 1.05978 77.8938 -7.94835 -4.23912 NaN NaN -12.1875 1851 DAX caleb_strategy_v1 [-1] 1.05978 78.9536 -6.88857 -4.23912 NaN NaN -11.1277 1852 DAX caleb_strategy_v1 [-1] 1.05978 84.2525 -5.82879 -0 -11.6576 NaN -5.82879 1853 DAX caleb_strategy_v1 [-1] 1.05978 82.1329 -7.94835 -0 -15.8967 NaN -7.94835 1854 DAX caleb_strategy_v1 [-1] 1.05978 83.1927 -6.88857 -2.11956 NaN NaN -9.00813 1855 DAX caleb_strategy_v1 [-1] 1.05978 82.1329 -7.94835 2.11956 -13.7771 NaN -5.82879 1858 HEATOIL caleb_strategy_v1 [-1] 42000 -2007.6 -33.6 4.2 -63 NaN -29.4 1859 SUGAR11 caleb_strategy_v1 [1] 1120 -50.4 -5.6 0 -11.2 NaN -5.6 1860 EUR caleb_strategy_v1 [-1] 125000 215.625 -3.125 6.25 -0 NaN 3.125 1861 JPY caleb_strategy_v1 [1] 1.25e+07 -421.875 -3.125 -6.25 -12.5 NaN -9.375 1862 CHF caleb_strategy_v1 [1] 125000 -171.875 -9.375 -6.25 -25 NaN -15.625 1867 SP500 caleb_strategy_v1 [1] 50 -1456.25 -6.25 37.5 25 NaN 31.25 1863 SP500 caleb_strategy_v1 [1] 50 -1443.75 -6.25 -12.5 -25 NaN -18.75 1864 US10U caleb_strategy_v1 [1] 1000 -398.438 -7.8125 15.625 0 NaN 7.8125 1868 US10U caleb_strategy_v1 [1] 1000 -390.625 -15.625 0 -31.25 NaN -15.625 1865 US5 caleb_strategy_v1 [1] 1000 27.3438 -3.90625 7.812 -0.0005 NaN 3.90575 1869 US5 caleb_strategy_v1 [1] 1000 19.5312 -3.90625 7.8125 0 NaN 3.90625 1866 DOW caleb_strategy_v1 [1] 0.5 -50.75 -0.25 -1 -1.5 NaN -1.25 1870 DOW caleb_strategy_v1 [1] 0.5 -53.75 -0.25 0 -0.5 NaN -0.25 1871 DOW caleb_strategy_v1 [1] 0.5 -53.5 -0.5 -0.5 -1.5 NaN -1 1872 LEANHOG caleb_strategy_v1 [1] 400 725 -5 10 0 NaN 5 1873 SOYMEAL caleb_strategy_v1 [-1] 100 -325 -5 -0 -10 NaN -5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BOBL 482.19990 BUND 895.51410 CHF -171.87500 DAX 814.44093 DOW -158.00000 EUR 215.62500 HEATOIL -2007.60000 JPY -421.87500 LEANHOG 725.00000 SOYMEAL -325.00000 SP500 -2900.00000 SUGAR11 -50.40000 US10U -789.06250 US5 46.87500 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -3644.15757 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BOBL -5.29890 BUND -5.29890 CHF -9.37500 DAX -72.59493 DOW -1.00000 EUR -3.12500 HEATOIL -33.60000 JPY -3.12500 LEANHOG -5.00000 SOYMEAL -5.00000 SP500 -12.50000 SUGAR11 -5.60000 US10U -23.43750 US5 -7.81250 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -192.76773 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BOBL 10.59780 BUND -10.59780 CHF -6.25000 DAX -18.01626 DOW -1.50000 EUR 6.25000 HEATOIL 4.20000 JPY -6.25000 LEANHOG 10.00000 SOYMEAL -0.00000 SP500 25.00000 SUGAR11 0.00000 US10U 15.62500 US5 15.62450 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 44.68324 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0.00000 BUND -21.19560 CHF -25.00000 DAX -93.26064 DOW -3.50000 EUR -0.00000 HEATOIL -63.00000 JPY -12.50000 LEANHOG 0.00000 SOYMEAL -10.00000 SP500 0.00000 SUGAR11 -11.20000 US10U -31.25000 US5 -0.00050 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -270.90674 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0 BUND 0 CHF 0 DAX 0 DOW 0 EUR 0 HEATOIL 0 JPY 0 LEANHOG 0 SOYMEAL 0 SP500 0 SUGAR11 0 US10U 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 5.29890 BUND -15.89670 CHF -15.62500 DAX -90.61119 DOW -2.50000 EUR 3.12500 HEATOIL -29.40000 JPY -9.37500 LEANHOG 5.00000 SOYMEAL -5.00000 SP500 12.50000 SUGAR11 -5.60000 US10U -7.81250 US5 7.81200 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -148.08449 ******************************************************************************** END OF REPORT ********************************************************************************