******************************************************************************** Trades report report produced on 20/03/2023 21:35 from 19/03/2023 21:35 to 20/03/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1926 BOBL caleb_strategy_v1 [20230600] 2023-03-20 08:00:03 [1] 120.240000 1927 CHF caleb_strategy_v1 [20230600] 2023-03-20 15:00:08 [-1] 1.092450 1936 DOW caleb_strategy_v1 [20230600] 2023-03-20 15:01:15 [-1] 32424.000000 1933 DOW caleb_strategy_v1 [20230600] 2023-03-20 15:01:12 [-1] 32420.000000 1930 GBP caleb_strategy_v1 [20230600] 2023-03-20 15:00:43 [1] 1.227900 1931 JPY caleb_strategy_v1 [20230600] 2023-03-20 15:01:09 [1] 0.007692 1932 RUSSELL caleb_strategy_v1 [20230600] 2023-03-20 15:01:10 [1] 1774.600000 1928 US10U caleb_strategy_v1 [20230600] 2023-03-20 15:00:09 [1] 121.671875 1934 US10U caleb_strategy_v1 [20230600] 2023-03-20 15:01:13 [1] 121.609375 1929 VIX caleb_strategy_v1 [20230600] 2023-03-20 15:00:36 [1] 25.550000 1935 VIX caleb_strategy_v1 [20230600] 2023-03-20 15:01:14 [1] 25.600000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1926 BOBL caleb_strategy_v1 2023-03-17 2023-03-20 08:00:02.351 2023-03-20 08:00:03 288002 0.649 1927 CHF caleb_strategy_v1 2023-03-17 2023-03-20 15:00:00.861 2023-03-20 15:00:08 313201 7.139 1930 GBP caleb_strategy_v1 2023-03-17 2023-03-20 15:00:36.886 2023-03-20 15:00:43 313237 6.114 1931 JPY caleb_strategy_v1 2023-03-17 2023-03-20 15:01:07.715 2023-03-20 15:01:09 313268 1.285 1932 RUSSELL caleb_strategy_v1 2023-03-17 2023-03-20 15:01:10.491 2023-03-20 15:01:10 313270 NaN 1928 US10U caleb_strategy_v1 2023-03-17 2023-03-20 15:00:09.361 2023-03-20 15:00:09 313209 NaN 1934 US10U caleb_strategy_v1 2023-03-17 2023-03-20 15:01:13.348 2023-03-20 15:01:13 313273 NaN 1929 VIX caleb_strategy_v1 2023-03-17 2023-03-20 15:00:10.601 2023-03-20 15:00:36 313211 25.399 1935 VIX caleb_strategy_v1 2023-03-17 2023-03-20 15:01:13.943 2023-03-20 15:01:14 313274 0.057 1936 DOW caleb_strategy_v1 2023-03-17 2023-03-20 15:01:15.146 2023-03-20 15:01:15 313275 NaN 1933 DOW caleb_strategy_v1 2023-03-17 2023-03-20 15:01:11.549 2023-03-20 15:01:12 313272 0.451 ======================================================================================================================================================================================================================================= 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 1926 BOBL caleb_strategy_v1 [1] 119.28 None 120.235 120.24 120.23 120.23 120.24 -0.955 -0.005 0 -0.01 NaN -0.005 1927 CHF caleb_strategy_v1 [-1] 1.09135 None 1.0926 1.0925 1.0927 1.0927 1.09245 0.00125 -0.0001 -5e-05 -0.00025 NaN -0.00015 1930 GBP caleb_strategy_v1 [1] 1.2199 None 1.22775 1.2278 1.2277 1.2277 1.2279 -0.00785 -5e-05 -0.0001 -0.0002 NaN -0.00015 1931 JPY caleb_strategy_v1 [1] 0.0076825 None 0.00769025 0.0076905 0.00769 0.00769 0.007692 -7.75e-06 -2.5e-07 -1.5e-06 -2e-06 NaN -1.75e-06 1932 RUSSELL caleb_strategy_v1 [1] 1742.7 None 1774.4 1774.5 1774.3 1774.3 1774.6 -31.7 -0.1 -0.1 -0.3 NaN -0.2 1928 US10U caleb_strategy_v1 [1] 121.938 None 121.664 121.672 121.656 NaN 121.672 0.273438 -0.0078125 0 NaN NaN -0.0078125 1934 US10U caleb_strategy_v1 [1] 121.938 None 121.617 121.625 121.609 121.609 121.609 0.320312 -0.0078125 0.015625 0 NaN 0.0078125 1929 VIX caleb_strategy_v1 [1] 25.85 None 25.525 25.55 25.5 25.5 25.55 0.325 -0.025 0 -0.05 NaN -0.025 1935 VIX caleb_strategy_v1 [1] 25.85 None 25.525 25.55 25.5 NaN 25.6 0.325 -0.025 -0.05 NaN NaN -0.075 1936 DOW caleb_strategy_v1 [-1] 32089 None 32423 32422 32424 32424 32424 334 -1 2 -0 NaN 1 1933 DOW caleb_strategy_v1 [-1] 32089 None 32419 32418 32420 32420 32420 330 -1 2 -0 NaN 1 ================================================================================================================================================================ 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 1926 BOBL caleb_strategy_v1 [1] 10.5026 -909.301 -4.76074 0 -9.52148 NaN -4.76074 1927 CHF caleb_strategy_v1 [-1] 0.113227 110.398 -8.83182 -4.41591 -22.0796 NaN -13.2477 1930 GBP caleb_strategy_v1 [1] 0.131844 -595.402 -3.79237 -7.58473 -15.1695 NaN -11.3771 1931 JPY caleb_strategy_v1 [1] 0.000845676 -91.6426 -2.95621 -17.7373 -23.6497 NaN -20.6935 1932 RUSSELL caleb_strategy_v1 [1] 451.676 -701.83 -2.21398 -2.21398 -6.64193 NaN -4.42795 1928 US10U caleb_strategy_v1 [1] 14.7858 184.932 -5.28378 0 NaN NaN -5.28378 1934 US10U caleb_strategy_v1 [1] 14.7858 216.635 -5.28378 10.5676 0 NaN 5.28378 1929 VIX caleb_strategy_v1 [1] 14.8421 218.972 -16.844 0 -33.688 NaN -16.844 1935 VIX caleb_strategy_v1 [1] 14.8421 218.972 -16.844 -33.688 NaN NaN -50.532 1936 DOW caleb_strategy_v1 [-1] 5214.2 640.559 -1.91784 3.83568 -0 NaN 1.91784 1933 DOW caleb_strategy_v1 [-1] 5214.2 632.887 -1.91784 3.83568 -0 NaN 1.91784 =========================================================================================================================================================================== 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 1926 BOBL caleb_strategy_v1 [1] 1064.55 -1016.65 -5.32275 0 -10.6455 NaN -5.32275 1927 CHF caleb_strategy_v1 [-1] 125000 156.25 -12.5 -6.25 -31.25 NaN -18.75 1930 GBP caleb_strategy_v1 [1] 62500 -490.625 -3.125 -6.25 -12.5 NaN -9.375 1931 JPY caleb_strategy_v1 [1] 1.25e+07 -96.875 -3.125 -18.75 -25 NaN -21.875 1932 RUSSELL caleb_strategy_v1 [1] 5 -158.5 -0.5 -0.5 -1.5 NaN -1 1928 US10U caleb_strategy_v1 [1] 1000 273.438 -7.8125 0 NaN NaN -7.8125 1934 US10U caleb_strategy_v1 [1] 1000 320.312 -7.8125 15.625 0 NaN 7.8125 1929 VIX caleb_strategy_v1 [1] 1000 325 -25 0 -50 NaN -25 1935 VIX caleb_strategy_v1 [1] 1000 325 -25 -50 NaN NaN -75 1936 DOW caleb_strategy_v1 [-1] 0.5 167 -0.5 1 -0 NaN 0.5 1933 DOW caleb_strategy_v1 [-1] 0.5 165 -0.5 1 -0 NaN 0.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BOBL -1016.64525 CHF 156.25000 DOW 332.00000 GBP -490.62500 JPY -96.87500 RUSSELL -158.50000 US10U 593.75000 VIX 650.00000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -30.64525 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BOBL -5.32275 CHF -12.50000 DOW -1.00000 GBP -3.12500 JPY -3.12500 RUSSELL -0.50000 US10U -15.62500 VIX -50.00000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -91.19775 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0.000 CHF -6.250 DOW 2.000 GBP -6.250 JPY -18.750 RUSSELL -0.500 US10U 15.625 VIX -50.000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -64.125 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL -10.6455 CHF -31.2500 DOW -0.0000 GBP -12.5000 JPY -25.0000 RUSSELL -1.5000 US10U 0.0000 VIX -50.0000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -130.8955 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0 CHF 0 DOW 0 GBP 0 JPY 0 RUSSELL 0 US10U 0 VIX 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 -5.32275 CHF -18.75000 DOW 1.00000 GBP -9.37500 JPY -21.87500 RUSSELL -1.00000 US10U 0.00000 VIX -100.00000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -155.32275 ******************************************************************************** END OF REPORT ********************************************************************************