******************************************************************************** Trades report report produced on 06/04/2023 21:37 from 05/04/2023 21:37 to 06/04/2023 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2094 BOBL caleb_strategy_v1 [20230600] 2023-04-06 08:00:46 [1] 118.600000 2115 CORN caleb_strategy_v1 [20231200] 2023-04-06 15:30:02 [-1] 556.250000 2097 CRUDE_W caleb_strategy_v1 [20231200] 2023-04-06 14:03:57 [1] 77.000000 2117 LEANHOG caleb_strategy_v1 [20230700] 2023-04-06 15:30:06 [-1] 90.525000 2114 LIVECOW caleb_strategy_v1 [20230600] 2023-04-06 15:30:01 [1] 162.475000 2093 OAT caleb_strategy_v1 [20230600] 2023-04-06 08:00:44 [-1] 131.270000 2096 PLAT caleb_strategy_v1 [20230700] 2023-04-06 14:03:52 [-1] 1004.500000 2118 REDWHEAT caleb_strategy_v1 [20230700] 2023-04-06 15:30:07 [-1] 850.000000 2095 ROBUSTA caleb_strategy_v1 [20230700] 2023-04-06 10:00:10 [1] 2257.000000 2111 RUSSELL caleb_strategy_v1 [20230600] 2023-04-06 15:01:12 [-1] 1763.200000 2110 RUSSELL caleb_strategy_v1 [20230600] 2023-04-06 15:01:10 [-1] 1763.300000 2109 RUSSELL caleb_strategy_v1 [20230600] 2023-04-06 15:01:08 [-1] 1763.400000 2108 RUSSELL caleb_strategy_v1 [20230600] 2023-04-06 15:01:06 [-1] 1763.100000 2107 RUSSELL caleb_strategy_v1 [20230600] 2023-04-06 15:01:04 [-1] 1763.600000 2106 RUSSELL caleb_strategy_v1 [20230600] 2023-04-06 15:01:02 [-1] 1763.500000 2104 RUSSELL caleb_strategy_v1 [20230600] 2023-04-06 15:00:58 [-1] 1761.600000 2101 RUSSELL caleb_strategy_v1 [20230600] 2023-04-06 15:00:53 [-1] 1761.500000 2113 RUSSELL caleb_strategy_v1 [20230600] 2023-04-06 15:01:16 [-1] 1763.700000 2112 RUSSELL caleb_strategy_v1 [20230600] 2023-04-06 15:01:14 [-1] 1763.600000 2105 RUSSELL caleb_strategy_v1 [20230600] 2023-04-06 15:01:00 [-1] 1762.200000 2119 SOYMEAL caleb_strategy_v1 [20230700] 2023-04-06 15:30:11 [-1] 445.800000 2099 SP400 caleb_strategy_v1 [20230600] 2023-04-06 15:00:12 [1] 2457.400000 2103 SP500 caleb_strategy_v1 [20230600] 2023-04-06 15:00:55 [1] 4103.250000 2102 US10U caleb_strategy_v1 [20230600] 2023-04-06 15:00:54 [1] 123.078125 2098 US5 caleb_strategy_v1 [20230600] 2023-04-06 15:00:11 [1] 110.679688 2100 VIX caleb_strategy_v1 [20230600] 2023-04-06 15:00:52 [-1] 23.100000 2116 WHEAT caleb_strategy_v1 [20231200] 2023-04-06 15:30:04 [1] 719.750000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2093 OAT caleb_strategy_v1 2023-04-05 2023-04-06 08:00:43.825 2023-04-06 08:00:44 115244 0.175 2094 BOBL caleb_strategy_v1 2023-04-05 2023-04-06 08:00:46.231 2023-04-06 08:00:46 115246 NaN 2095 ROBUSTA caleb_strategy_v1 2023-04-05 2023-04-06 10:00:01.597 2023-04-06 10:00:10 122402 8.403 2096 PLAT caleb_strategy_v1 2023-04-04 2023-04-06 14:03:46.320 2023-04-06 14:03:52 223426 5.68 2097 CRUDE_W caleb_strategy_v1 2023-04-05 2023-04-06 14:03:53.299 2023-04-06 14:03:57 137033 3.701 2098 US5 caleb_strategy_v1 2023-04-05 2023-04-06 15:00:01.939 2023-04-06 15:00:11 140402 9.061 2099 SP400 caleb_strategy_v1 2023-04-05 2023-04-06 15:00:11.848 2023-04-06 15:00:12 140412 0.152 2100 VIX caleb_strategy_v1 2023-04-05 2023-04-06 15:00:14.040 2023-04-06 15:00:52 140414 37.96 2102 US10U caleb_strategy_v1 2023-04-05 2023-04-06 15:00:54.324 2023-04-06 15:00:54 140454 NaN 2103 SP500 caleb_strategy_v1 2023-04-05 2023-04-06 15:00:55.105 2023-04-06 15:00:55 140455 NaN 2112 RUSSELL caleb_strategy_v1 2023-04-05 2023-04-06 15:01:14.560 2023-04-06 15:01:14 140475 NaN 2113 RUSSELL caleb_strategy_v1 2023-04-05 2023-04-06 15:01:16.564 2023-04-06 15:01:16 140477 NaN 2101 RUSSELL caleb_strategy_v1 2023-04-05 2023-04-06 15:00:53.266 2023-04-06 15:00:53 140453 NaN 2104 RUSSELL caleb_strategy_v1 2023-04-05 2023-04-06 15:00:57.358 2023-04-06 15:00:58 140457 0.642 2105 RUSSELL caleb_strategy_v1 2023-04-05 2023-04-06 15:01:00.269 2023-04-06 15:01:00 140460 NaN 2106 RUSSELL caleb_strategy_v1 2023-04-05 2023-04-06 15:01:02.027 2023-04-06 15:01:02 140462 NaN 2107 RUSSELL caleb_strategy_v1 2023-04-05 2023-04-06 15:01:04.044 2023-04-06 15:01:04 140464 NaN 2108 RUSSELL caleb_strategy_v1 2023-04-05 2023-04-06 15:01:05.953 2023-04-06 15:01:06 140466 0.047 2109 RUSSELL caleb_strategy_v1 2023-04-05 2023-04-06 15:01:07.905 2023-04-06 15:01:08 140468 0.095 2110 RUSSELL caleb_strategy_v1 2023-04-05 2023-04-06 15:01:10.205 2023-04-06 15:01:10 140470 NaN 2111 RUSSELL caleb_strategy_v1 2023-04-05 2023-04-06 15:01:12.290 2023-04-06 15:01:12 140472 NaN 2114 LIVECOW caleb_strategy_v1 2023-04-05 2023-04-06 15:30:01.704 2023-04-06 15:30:01 142202 NaN 2115 CORN caleb_strategy_v1 2023-04-05 2023-04-06 15:30:02.452 2023-04-06 15:30:02 142202 NaN 2116 WHEAT caleb_strategy_v1 2023-04-05 2023-04-06 15:30:03.117 2023-04-06 15:30:04 142203 0.883 2117 LEANHOG caleb_strategy_v1 2023-04-05 2023-04-06 15:30:04.751 2023-04-06 15:30:06 142205 1.249 2118 REDWHEAT caleb_strategy_v1 2023-04-05 2023-04-06 15:30:06.494 2023-04-06 15:30:07 142206 0.506 2119 SOYMEAL caleb_strategy_v1 2023-04-05 2023-04-06 15:30:08.213 2023-04-06 15:30:11 142208 2.787 ======================================================================================================================================================================================================================================== 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 2093 OAT caleb_strategy_v1 [-1] 131.42 None 131.285 131.28 131.29 131.29 131.27 -0.135 -0.005 -0.01 -0.02 NaN -0.015 2094 BOBL caleb_strategy_v1 [1] 118.69 None 118.605 118.61 118.6 118.6 118.6 0.085 -0.005 0.01 1.42109e-14 NaN 0.005 2095 ROBUSTA caleb_strategy_v1 [1] 2277 None 2256 2257 2255 2255 2257 21 -1 0 -2 NaN -1 2096 PLAT caleb_strategy_v1 [-1] 1029.5 None 1004.65 1004.5 1004.8 1004.8 1004.5 -24.85 -0.15 -0 -0.3 NaN -0.15 2097 CRUDE_W caleb_strategy_v1 [1] 76.84 None 77.005 77.01 77 77 77 -0.165 -0.005 0.01 0 NaN 0.005 2098 US5 caleb_strategy_v1 [1] 110.664 None 110.668 110.672 110.664 110.664 110.68 -0.00390625 -0.00390625 -0.007813 -0.0156255 NaN -0.0117192 2099 SP400 caleb_strategy_v1 [1] 2458.1 None 2456.95 2457.3 2456.6 2456.6 2457.4 1.15 -0.35 -0.1 -0.8 NaN -0.45 2100 VIX caleb_strategy_v1 [-1] 23.05 None 23.175 23.15 23.2 23.2 23.1 0.125 -0.025 -0.05 -0.1 NaN -0.075 2102 US10U caleb_strategy_v1 [1] 123.078 None 123.078 123.094 123.062 123.062 123.078 0 -0.015625 0.015625 -0.015625 NaN 0 2103 SP500 caleb_strategy_v1 [1] 4110.5 None 4102.88 4103 4102.75 4102.75 4103.25 7.625 -0.125 -0.25 -0.5 NaN -0.375 2112 RUSSELL caleb_strategy_v1 [-1] 1756.2 None 1763.5 1763.4 1763.6 1763.6 1763.6 7.3 -0.1 0.2 -2.27374e-13 NaN 0.1 2113 RUSSELL caleb_strategy_v1 [-1] 1756.2 None 1763.8 1763.7 1763.9 1763.9 1763.7 7.6 -0.1 -0 -0.2 NaN -0.1 2101 RUSSELL caleb_strategy_v1 [-1] 1756.2 None 1761.6 1761.5 1761.7 1761.7 1761.5 5.4 -0.1 -0 -0.2 NaN -0.1 2104 RUSSELL caleb_strategy_v1 [-1] 1756.2 None 1761.75 1761.7 1761.8 1761.8 1761.6 5.55 -0.05 -0.1 -0.2 NaN -0.15 2105 RUSSELL caleb_strategy_v1 [-1] 1756.2 None 1761.95 1761.9 1762 1762 1762.2 5.75 -0.05 0.3 0.2 NaN 0.25 2106 RUSSELL caleb_strategy_v1 [-1] 1756.2 None 1763.4 1763.3 1763.5 1763.5 1763.5 7.2 -0.1 0.2 -0 NaN 0.1 2107 RUSSELL caleb_strategy_v1 [-1] 1756.2 None 1763.55 1763.5 1763.6 1763.6 1763.6 7.35 -0.05 0.1 -2.27374e-13 NaN 0.05 2108 RUSSELL caleb_strategy_v1 [-1] 1756.2 None 1763.2 1763.1 1763.3 1763.3 1763.1 7 -0.1 -0 -0.2 NaN -0.1 2109 RUSSELL caleb_strategy_v1 [-1] 1756.2 None 1763.65 1763.6 1763.7 1763.7 1763.4 7.45 -0.05 -0.2 -0.3 NaN -0.25 2110 RUSSELL caleb_strategy_v1 [-1] 1756.2 None 1763.25 1763.2 1763.3 1763.3 1763.3 7.05 -0.05 0.1 -2.27374e-13 NaN 0.05 2111 RUSSELL caleb_strategy_v1 [-1] 1756.2 None 1763.3 1763.2 1763.4 1763.4 1763.2 7.1 -0.1 -0 -0.2 NaN -0.1 2114 LIVECOW caleb_strategy_v1 [1] 160.375 None 162.462 162.475 162.45 162.45 162.475 -2.0875 -0.0125 0 -0.025 NaN -0.0125 2115 CORN caleb_strategy_v1 [-1] 559.5 None 556.375 556.25 556.5 556.5 556.25 -3.125 -0.125 -0 -0.25 NaN -0.125 2116 WHEAT caleb_strategy_v1 [1] 724.75 None 719.5 719.75 719.25 NaN 719.75 5.25 -0.25 0 NaN NaN -0.25 2117 LEANHOG caleb_strategy_v1 [-1] 91.45 None 90.55 90.525 90.575 90.575 90.525 -0.9 -0.025 -0 -0.05 NaN -0.025 2118 REDWHEAT caleb_strategy_v1 [-1] 841.5 None 850.25 850 850.5 850.5 850 8.75 -0.25 -0 -0.5 NaN -0.25 2119 SOYMEAL caleb_strategy_v1 [-1] 446.9 None 445.75 445.7 445.8 445.8 445.8 -1.15 -0.05 0.1 -0 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 2093 OAT caleb_strategy_v1 [-1] 15.1139 -89.3216 -3.30821 -6.61642 -13.2328 NaN -9.92463 2094 BOBL caleb_strategy_v1 [1] 9.16112 92.7834 -5.45785 10.9157 1.55121e-11 NaN 5.45785 2095 ROBUSTA caleb_strategy_v1 [1] 470.68 446.163 -21.2459 0 -42.4917 NaN -21.2459 2096 PLAT caleb_strategy_v1 [-1] 292.588 -849.317 -5.12666 -0 -10.2533 NaN -5.12666 2097 CRUDE_W caleb_strategy_v1 [1] 24.1379 -68.3571 -2.07143 4.14285 0 NaN 2.07143 2098 US5 caleb_strategy_v1 [1] 7.89863 -4.94548 -4.94548 -9.89159 -19.7825 NaN -14.8371 2099 SP400 caleb_strategy_v1 [1] 542.021 21.2169 -6.45731 -1.84495 -14.7596 NaN -8.30226 2100 VIX caleb_strategy_v1 [-1] 12.352 101.198 -20.2396 -40.4793 -80.9586 NaN -60.7189 2102 US10U caleb_strategy_v1 [1] 13.3011 0 -11.7472 11.7472 -11.7472 NaN 0 2103 SP500 caleb_strategy_v1 [1] 660.38 115.464 -1.89285 -3.7857 -7.5714 NaN -5.67855 2112 RUSSELL caleb_strategy_v1 [-1] 427.679 170.689 -2.3382 4.6764 -5.31645e-12 NaN 2.3382 2113 RUSSELL caleb_strategy_v1 [-1] 427.679 177.703 -2.3382 -0 -4.6764 NaN -2.3382 2101 RUSSELL caleb_strategy_v1 [-1] 427.679 126.263 -2.3382 -0 -4.6764 NaN -2.3382 2104 RUSSELL caleb_strategy_v1 [-1] 427.679 129.77 -1.1691 -2.3382 -4.6764 NaN -3.5073 2105 RUSSELL caleb_strategy_v1 [-1] 427.679 134.446 -1.1691 7.0146 4.6764 NaN 5.8455 2106 RUSSELL caleb_strategy_v1 [-1] 427.679 168.35 -2.3382 4.6764 -0 NaN 2.3382 2107 RUSSELL caleb_strategy_v1 [-1] 427.679 171.858 -1.1691 2.3382 -5.31645e-12 NaN 1.1691 2108 RUSSELL caleb_strategy_v1 [-1] 427.679 163.674 -2.3382 -0 -4.6764 NaN -2.3382 2109 RUSSELL caleb_strategy_v1 [-1] 427.679 174.196 -1.1691 -4.6764 -7.0146 NaN -5.8455 2110 RUSSELL caleb_strategy_v1 [-1] 427.679 164.843 -1.1691 2.3382 -5.31645e-12 NaN 1.1691 2111 RUSSELL caleb_strategy_v1 [-1] 427.679 166.012 -2.3382 -0 -4.6764 NaN -2.3382 2114 LIVECOW caleb_strategy_v1 [1] 17.0115 -1227.11 -7.34798 0 -14.696 NaN -7.34798 2115 CORN caleb_strategy_v1 [-1] 88.2431 -354.135 -14.1654 -0 -28.3308 NaN -14.1654 2116 WHEAT caleb_strategy_v1 [1] 191.919 273.552 -13.0263 0 NaN NaN -13.0263 2117 LEANHOG caleb_strategy_v1 [-1] 23.364 -385.208 -10.7002 -0 -21.4005 NaN -10.7002 2118 REDWHEAT caleb_strategy_v1 [-1] 220.072 397.596 -11.3599 -0 -22.7198 NaN -11.3599 2119 SOYMEAL caleb_strategy_v1 [-1] 95.9576 -119.845 -5.21064 10.4213 -0 NaN 5.21064 =========================================================================================================================================================================== 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 2093 OAT caleb_strategy_v1 [-1] 1090.75 -147.251 -5.45375 -10.9075 -21.815 NaN -16.3612 2094 BOBL caleb_strategy_v1 [1] 1090.75 92.7138 -5.45375 10.9075 1.55005e-11 NaN 5.45375 2095 ROBUSTA caleb_strategy_v1 [1] 10 210 -10 0 -20 NaN -10 2096 PLAT caleb_strategy_v1 [-1] 50 -1242.5 -7.5 -0 -15 NaN -7.5 2097 CRUDE_W caleb_strategy_v1 [1] 1000 -165 -5 10 0 NaN 5 2098 US5 caleb_strategy_v1 [1] 1000 -3.90625 -3.90625 -7.813 -15.6255 NaN -11.7192 2099 SP400 caleb_strategy_v1 [1] 100 115 -35 -10 -80 NaN -45 2100 VIX caleb_strategy_v1 [-1] 1000 125 -25 -50 -100 NaN -75 2102 US10U caleb_strategy_v1 [1] 1000 0 -15.625 15.625 -15.625 NaN 0 2103 SP500 caleb_strategy_v1 [1] 50 381.25 -6.25 -12.5 -25 NaN -18.75 2112 RUSSELL caleb_strategy_v1 [-1] 5 36.5 -0.5 1 -1.13687e-12 NaN 0.5 2113 RUSSELL caleb_strategy_v1 [-1] 5 38 -0.5 -0 -1 NaN -0.5 2101 RUSSELL caleb_strategy_v1 [-1] 5 27 -0.5 -0 -1 NaN -0.5 2104 RUSSELL caleb_strategy_v1 [-1] 5 27.75 -0.25 -0.5 -1 NaN -0.75 2105 RUSSELL caleb_strategy_v1 [-1] 5 28.75 -0.25 1.5 1 NaN 1.25 2106 RUSSELL caleb_strategy_v1 [-1] 5 36 -0.5 1 -0 NaN 0.5 2107 RUSSELL caleb_strategy_v1 [-1] 5 36.75 -0.25 0.5 -1.13687e-12 NaN 0.25 2108 RUSSELL caleb_strategy_v1 [-1] 5 35 -0.5 -0 -1 NaN -0.5 2109 RUSSELL caleb_strategy_v1 [-1] 5 37.25 -0.25 -1 -1.5 NaN -1.25 2110 RUSSELL caleb_strategy_v1 [-1] 5 35.25 -0.25 0.5 -1.13687e-12 NaN 0.25 2111 RUSSELL caleb_strategy_v1 [-1] 5 35.5 -0.5 -0 -1 NaN -0.5 2114 LIVECOW caleb_strategy_v1 [1] 400 -835 -5 0 -10 NaN -5 2115 CORN caleb_strategy_v1 [-1] 50 -156.25 -6.25 -0 -12.5 NaN -6.25 2116 WHEAT caleb_strategy_v1 [1] 50 262.5 -12.5 0 NaN NaN -12.5 2117 LEANHOG caleb_strategy_v1 [-1] 400 -360 -10 -0 -20 NaN -10 2118 REDWHEAT caleb_strategy_v1 [-1] 50 437.5 -12.5 -0 -25 NaN -12.5 2119 SOYMEAL caleb_strategy_v1 [-1] 100 -115 -5 10 -0 NaN 5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BOBL 92.71375 CORN -156.25000 CRUDE_W -165.00000 LEANHOG -360.00000 LIVECOW -835.00000 OAT -147.25125 PLAT -1242.50000 REDWHEAT 437.50000 ROBUSTA 210.00000 RUSSELL 373.75000 SOYMEAL -115.00000 SP400 115.00000 SP500 381.25000 US10U 0.00000 US5 -3.90625 VIX 125.00000 WHEAT 262.50000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -1027.19375 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BOBL -5.45375 CORN -6.25000 CRUDE_W -5.00000 LEANHOG -10.00000 LIVECOW -5.00000 OAT -5.45375 PLAT -7.50000 REDWHEAT -12.50000 ROBUSTA -10.00000 RUSSELL -4.25000 SOYMEAL -5.00000 SP400 -35.00000 SP500 -6.25000 US10U -15.62500 US5 -3.90625 VIX -25.00000 WHEAT -12.50000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -174.68875 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BOBL 10.9075 CORN -0.0000 CRUDE_W 10.0000 LEANHOG -0.0000 LIVECOW 0.0000 OAT -10.9075 PLAT -0.0000 REDWHEAT -0.0000 ROBUSTA 0.0000 RUSSELL 3.0000 SOYMEAL 10.0000 SP400 -10.0000 SP500 -12.5000 US10U 15.6250 US5 -7.8130 VIX -50.0000 WHEAT 0.0000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -41.688 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 1.550049e-11 CORN -1.250000e+01 CRUDE_W 0.000000e+00 LEANHOG -2.000000e+01 LIVECOW -1.000000e+01 OAT -2.181500e+01 PLAT -1.500000e+01 REDWHEAT -2.500000e+01 ROBUSTA -2.000000e+01 RUSSELL -5.500000e+00 SOYMEAL -0.000000e+00 SP400 -8.000000e+01 SP500 -2.500000e+01 US10U -1.562500e+01 US5 -1.562550e+01 VIX -1.000000e+02 WHEAT 0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -366.0655 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0 CORN 0 CRUDE_W 0 LEANHOG 0 LIVECOW 0 OAT 0 PLAT 0 REDWHEAT 0 ROBUSTA 0 RUSSELL 0 SOYMEAL 0 SP400 0 SP500 0 US10U 0 US5 0 VIX 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 BOBL 5.45375 CORN -6.25000 CRUDE_W 5.00000 LEANHOG -10.00000 LIVECOW -5.00000 OAT -16.36125 PLAT -7.50000 REDWHEAT -12.50000 ROBUSTA -10.00000 RUSSELL -1.25000 SOYMEAL 5.00000 SP400 -45.00000 SP500 -18.75000 US10U 0.00000 US5 -11.71925 VIX -75.00000 WHEAT -12.50000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -216.37675 ******************************************************************************** END OF REPORT ********************************************************************************