******************************************************************************** Trades report report produced on 24/03/2023 21:36 from 23/03/2023 21:36 to 24/03/2023 21:36 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1952 BITCOIN _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-03-24 15:01:36 [1, -1] -205.000000 1953 BITCOIN _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-03-24 15:02:42 [1, -1] -195.000000 1954 BITCOIN _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-03-24 15:07:43 [1, -1] -195.000000 1955 BITCOIN _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-03-24 15:12:45 [1, -1] -210.000000 1956 BITCOIN _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-03-24 15:17:46 [1, -1] -210.000000 1957 BITCOIN _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-03-24 15:21:08 [1, -1] -210.000000 1958 BITCOIN _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-03-24 15:25:01 [1, -1] -210.000000 1959 BITCOIN _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2023-03-24 15:25:06 [1, -1] -210.000000 1945 BOBL caleb_strategy_v1 [20230600] 2023-03-24 08:00:03 [1] 119.070000 1950 DOW caleb_strategy_v1 [20230600] 2023-03-24 15:00:16 [-1] 32115.000000 1951 JPY caleb_strategy_v1 [20230600] 2023-03-24 15:00:17 [1] 0.007762 1946 PLAT _ROLL_PSEUDO_STRATEGY [20230400, 20230700] 2023-03-24 14:00:04 [-1, 1] -4.800000 1947 PLAT _ROLL_PSEUDO_STRATEGY [20230400, 20230700] 2023-03-24 14:00:51 [-1, 1] -5.200000 1948 PLAT _ROLL_PSEUDO_STRATEGY [20230400, 20230700] 2023-03-24 14:01:28 [-1, 1] -5.100000 1949 VIX caleb_strategy_v1 [20230600] 2023-03-24 15:00:14 [1] 25.650000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1945 BOBL caleb_strategy_v1 2023-03-23 00:00:00 2023-03-24 08:00:02.297 2023-03-24 08:00:03 115202 0.703 1946 PLAT _ROLL_PSEUDO_STRATEGY 2023-03-23 20:00:00 2023-03-24 14:00:01.917 2023-03-24 14:00:04 64801.9 2.083 1947 PLAT _ROLL_PSEUDO_STRATEGY 2023-03-23 20:00:00 2023-03-24 14:00:05.929 2023-03-24 14:00:51 64805.9 45.071 1948 PLAT _ROLL_PSEUDO_STRATEGY 2023-03-23 20:00:00 2023-03-24 14:00:59.178 2023-03-24 14:01:28 64859.2 28.822 1949 VIX caleb_strategy_v1 2023-03-23 00:00:00 2023-03-24 15:00:01.011 2023-03-24 15:00:14 140401 12.989 1950 DOW caleb_strategy_v1 2023-03-23 00:00:00 2023-03-24 15:00:16.685 2023-03-24 15:00:16 140417 NaN 1951 JPY caleb_strategy_v1 2023-03-23 00:00:00 2023-03-24 15:00:17.408 2023-03-24 15:00:17 140417 NaN 1952 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-03-23 20:00:00 2023-03-24 15:00:18.969 2023-03-24 15:01:36 68419 77.031 1953 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-03-23 20:00:00 2023-03-24 15:02:42.541 2023-03-24 15:02:42 68562.5 NaN 1954 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-03-23 20:00:00 2023-03-24 15:02:43.739 2023-03-24 15:07:43 68563.7 299.261 1955 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-03-23 20:00:00 2023-03-24 15:07:45.067 2023-03-24 15:12:45 68865.1 299.933 1956 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-03-23 20:00:00 2023-03-24 15:12:46.465 2023-03-24 15:17:46 69166.5 299.535 1957 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-03-23 20:00:00 2023-03-24 15:17:47.775 2023-03-24 15:21:08 69467.8 200.225 1958 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-03-23 20:00:00 2023-03-24 15:21:09.534 2023-03-24 15:25:01 69669.5 231.466 1959 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-03-23 20:00:00 2023-03-24 15:25:02.935 2023-03-24 15:25:06 69902.9 3.065 ========================================================================================================================================================================================================================================== 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 1945 BOBL caleb_strategy_v1 [1] 118.95 None 119.075 119.08 119.07 119.07 119.07 -0.125 -0.005 0.01 1.42109e-14 NaN 0.005 1946 PLAT _ROLL_PSEUDO_STRATEGY [-1, 1] -3.3 None -4.9 -5 -4.8 -4.8 -4.8 -1.6 -0.1 0.2 4.61853e-14 NaN 0.1 1947 PLAT _ROLL_PSEUDO_STRATEGY [-1, 1] -3.3 None -4.9 -5 -4.8 -4.8 -5.2 -1.6 -0.1 -0.2 -0.4 NaN -0.3 1948 PLAT _ROLL_PSEUDO_STRATEGY [-1, 1] -3.3 None -5.1 -5.2 -5 -5 -5.1 -1.8 -0.1 0.1 -0.1 NaN -2.30926e-14 1949 VIX caleb_strategy_v1 [1] 24.7 None 25.675 25.7 25.65 25.65 25.65 -0.975 -0.025 0.05 3.55271e-15 NaN 0.025 1950 DOW caleb_strategy_v1 [-1] 32306 None 32116 32115 32117 32117 32115 -190 -1 -0 -2 NaN -1 1951 JPY caleb_strategy_v1 [1] 0.007751 None 0.0077615 0.007762 0.007761 0.007761 0.007762 -1.05e-05 -5e-07 0 -1e-06 NaN -5e-07 1952 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] -230 None -210 -195 -225 -225 -205 -20 -15 10 -20 NaN -5 1953 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] -230 None -215 -205 -225 NaN -195 -15 -10 -10 NaN NaN -20 1954 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] -230 None -210 -195 -225 -225 -195 -20 -15 0 -30 NaN -15 1955 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] -230 None -210 -195 -225 -225 -210 -20 -15 15 -15 NaN 0 1956 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] -230 None -217.5 -210 -225 -225 -210 -12.5 -7.5 0 -15 NaN -7.5 1957 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] -230 None -217.5 -210 -225 -225 -210 -12.5 -7.5 0 -15 NaN -7.5 1958 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] -230 None -217.5 -210 -225 -225 -210 -12.5 -7.5 0 -15 NaN -7.5 1959 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] -230 None -217.5 -210 -225 -225 -210 -12.5 -7.5 0 -15 NaN -7.5 ======================================================================================================================================================================= 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 1945 BOBL caleb_strategy_v1 [1] 10.5142 -118.886 -4.75546 9.51092 1.35158e-11 NaN 4.75546 1946 PLAT _ROLL_PSEUDO_STRATEGY [-1, 1] 308.075 -51.9355 -3.24597 6.49193 1.49916e-12 NaN 3.24597 1947 PLAT _ROLL_PSEUDO_STRATEGY [-1, 1] 308.075 -51.9355 -3.24597 -6.49193 -12.9839 NaN -9.7379 1948 PLAT _ROLL_PSEUDO_STRATEGY [-1, 1] 308.075 -58.4274 -3.24597 3.24597 -3.24597 NaN -7.49579e-13 1949 VIX caleb_strategy_v1 [1] 14.4372 -675.338 -17.3164 34.6327 2.4608e-12 NaN 17.3164 1950 DOW caleb_strategy_v1 [-1] 5166.94 -367.723 -1.93538 -0 -3.87076 NaN -1.93538 1951 JPY caleb_strategy_v1 [1] 0.000839346 -125.097 -5.95702 0 -11.914 NaN -5.95702 1952 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 20972.6 -9.53625 -7.15219 4.76813 -9.53625 NaN -2.38406 1953 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 20972.6 -7.15219 -4.76813 -4.76813 NaN NaN -9.53625 1954 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 20972.6 -9.53625 -7.15219 0 -14.3044 NaN -7.15219 1955 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 20972.6 -9.53625 -7.15219 7.15219 -7.15219 NaN 0 1956 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 20972.6 -5.96016 -3.5761 0 -7.15219 NaN -3.5761 1957 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 20972.6 -5.96016 -3.5761 0 -7.15219 NaN -3.5761 1958 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 20972.6 -5.96016 -3.5761 0 -7.15219 NaN -3.5761 1959 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 20972.6 -5.96016 -3.5761 0 -7.15219 NaN -3.5761 ================================================================================================================================================================================== 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 1945 BOBL caleb_strategy_v1 [1] 1082.43 -135.304 -5.41218 10.8244 1.53823e-11 NaN 5.41217 1946 PLAT _ROLL_PSEUDO_STRATEGY [-1, 1] 50 -80 -5 10 2.30926e-12 NaN 5 1947 PLAT _ROLL_PSEUDO_STRATEGY [-1, 1] 50 -80 -5 -10 -20 NaN -15 1948 PLAT _ROLL_PSEUDO_STRATEGY [-1, 1] 50 -90 -5 5 -5 NaN -1.15463e-12 1949 VIX caleb_strategy_v1 [1] 1000 -975 -25 50 3.55271e-12 NaN 25 1950 DOW caleb_strategy_v1 [-1] 0.5 -95 -0.5 -0 -1 NaN -0.5 1951 JPY caleb_strategy_v1 [1] 1.25e+07 -131.25 -6.25 0 -12.5 NaN -6.25 1952 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 0.1 -2 -1.5 1 -2 NaN -0.5 1953 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 0.1 -1.5 -1 -1 NaN NaN -2 1954 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 0.1 -2 -1.5 0 -3 NaN -1.5 1955 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 0.1 -2 -1.5 1.5 -1.5 NaN 0 1956 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 0.1 -1.25 -0.75 0 -1.5 NaN -0.75 1957 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 0.1 -1.25 -0.75 0 -1.5 NaN -0.75 1958 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 0.1 -1.25 -0.75 0 -1.5 NaN -0.75 1959 BITCOIN _ROLL_PSEUDO_STRATEGY [1, -1] 0.1 -1.25 -0.75 0 -1.5 NaN -0.75 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN -12.500000 PLAT -250.000000 caleb_strategy_v1 BOBL -135.304375 DOW -95.000000 JPY -131.250000 VIX -975.000000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -262.500000 caleb_strategy_v1 -1336.554375 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN -8.500000 PLAT -15.000000 caleb_strategy_v1 BOBL -5.412175 DOW -0.500000 JPY -6.250000 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -23.500000 caleb_strategy_v1 -37.162175 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN 1.50000 PLAT 5.00000 caleb_strategy_v1 BOBL 10.82435 DOW -0.00000 JPY 0.00000 VIX 50.00000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 6.50000 caleb_strategy_v1 60.82435 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN -1.250000e+01 PLAT -2.500000e+01 caleb_strategy_v1 BOBL 1.538233e-11 DOW -1.000000e+00 JPY -1.250000e+01 VIX 3.552714e-12 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -37.5 caleb_strategy_v1 -13.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN 0 PLAT 0 caleb_strategy_v1 BOBL 0 DOW 0 JPY 0 VIX 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 BITCOIN -7.000000 PLAT -10.000000 caleb_strategy_v1 BOBL 5.412175 DOW -0.500000 JPY -6.250000 VIX 25.000000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -17.000000 caleb_strategy_v1 23.662175 ******************************************************************************** END OF REPORT 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