******************************************************************************** Trades report report produced on 13/04/2023 21:37 from 12/04/2023 21:37 to 13/04/2023 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2141 BTP caleb_strategy_v1 [20230600] 2023-04-13 08:00:06 [1] 114.8400 2142 BUND caleb_strategy_v1 [20230600] 2023-04-13 08:00:07 [1] 135.3900 2143 CAC caleb_strategy_v1 [20230400] 2023-04-13 08:00:08 [1] 7451.5000 2151 COFFEE caleb_strategy_v1 [20230700] 2023-04-13 14:00:24 [1] 196.2000 2162 CORN caleb_strategy_v1 [20231200] 2023-04-13 15:30:19 [1] 555.0000 2150 COTTON2 caleb_strategy_v1 [20230700] 2023-04-13 14:00:12 [1] 82.8400 2148 CRUDE_W caleb_strategy_v1 [20231200] 2023-04-13 14:00:10 [-1] 78.6900 2156 DOW caleb_strategy_v1 [20230600] 2023-04-13 15:00:17 [1] 33809.0000 2144 EUROSTX caleb_strategy_v1 [20230600] 2023-04-13 08:00:09 [1] 4292.0000 2147 GASOILINE caleb_strategy_v1 [20230700] 2023-04-13 14:00:08 [1] 2.7268 2149 GOLD_micro caleb_strategy_v1 [20230600] 2023-04-13 14:00:10 [1] 2058.9000 2140 OAT caleb_strategy_v1 [20230600] 2023-04-13 08:00:04 [-1] 129.7600 2145 ROBUSTA caleb_strategy_v1 [20230700] 2023-04-13 10:00:31 [-1] 2335.0000 2152 RUSSELL caleb_strategy_v1 [20230600] 2023-04-13 15:00:02 [-1] 1792.4000 2158 RUSSELL caleb_strategy_v1 [20230600] 2023-04-13 15:00:23 [-1] 1792.1000 2159 RUSSELL caleb_strategy_v1 [20230600] 2023-04-13 15:00:25 [-1] 1791.9000 2160 RUSSELL caleb_strategy_v1 [20230600] 2023-04-13 15:00:27 [-1] 1792.0000 2161 RUSSELL caleb_strategy_v1 [20230600] 2023-04-13 15:00:29 [-1] 1791.4000 2163 SOYMEAL caleb_strategy_v1 [20230800] 2023-04-13 15:30:22 [-1] 454.6000 2153 SP400 caleb_strategy_v1 [20230600] 2023-04-13 15:00:04 [1] 2496.9000 2155 SP500 caleb_strategy_v1 [20230600] 2023-04-13 15:00:16 [-1] 4129.0000 2146 SUGAR11 caleb_strategy_v1 [20230700] 2023-04-13 14:00:04 [-1] 23.6900 2157 US10U caleb_strategy_v1 [20230600] 2023-04-13 15:00:20 [-1] 122.1875 2154 VIX caleb_strategy_v1 [20230600] 2023-04-13 15:00:15 [-1] 21.9000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2140 OAT caleb_strategy_v1 2023-04-12 2023-04-13 08:00:03.239 2023-04-13 08:00:04 115203 0.761 2141 BTP caleb_strategy_v1 2023-04-12 2023-04-13 08:00:04.922 2023-04-13 08:00:06 115205 1.078 2142 BUND caleb_strategy_v1 2023-04-12 2023-04-13 08:00:06.932 2023-04-13 08:00:07 115207 0.068 2143 CAC caleb_strategy_v1 2023-04-12 2023-04-13 08:00:07.879 2023-04-13 08:00:08 115208 0.121 2144 EUROSTX caleb_strategy_v1 2023-04-12 2023-04-13 08:00:09.504 2023-04-13 08:00:09 115210 NaN 2145 ROBUSTA caleb_strategy_v1 2023-04-12 2023-04-13 10:00:01.271 2023-04-13 10:00:31 122401 29.729 2146 SUGAR11 caleb_strategy_v1 2023-04-12 2023-04-13 14:00:01.240 2023-04-13 14:00:04 136801 2.76 2147 GASOILINE caleb_strategy_v1 2023-04-12 2023-04-13 14:00:06.995 2023-04-13 14:00:08 136807 1.005 2148 CRUDE_W caleb_strategy_v1 2023-04-12 2023-04-13 14:00:09.211 2023-04-13 14:00:10 136809 0.789 2149 GOLD_micro caleb_strategy_v1 2023-04-12 2023-04-13 14:00:10.869 2023-04-13 14:00:10 136811 NaN 2150 COTTON2 caleb_strategy_v1 2023-04-12 2023-04-13 14:00:11.559 2023-04-13 14:00:12 136812 0.441 2151 COFFEE caleb_strategy_v1 2023-04-12 2023-04-13 14:00:13.317 2023-04-13 14:00:24 136813 10.683 2153 SP400 caleb_strategy_v1 2023-04-12 2023-04-13 15:00:02.955 2023-04-13 15:00:04 140403 1.045 2154 VIX caleb_strategy_v1 2023-04-12 2023-04-13 15:00:05.077 2023-04-13 15:00:15 140405 9.923 2155 SP500 caleb_strategy_v1 2023-04-12 2023-04-13 15:00:16.563 2023-04-13 15:00:16 140417 NaN 2156 DOW caleb_strategy_v1 2023-04-12 2023-04-13 15:00:17.467 2023-04-13 15:00:17 140417 NaN 2157 US10U caleb_strategy_v1 2023-04-12 2023-04-13 15:00:18.395 2023-04-13 15:00:20 140418 1.605 2152 RUSSELL caleb_strategy_v1 2023-04-12 2023-04-13 15:00:01.759 2023-04-13 15:00:02 140402 0.241 2158 RUSSELL caleb_strategy_v1 2023-04-12 2023-04-13 15:00:22.677 2023-04-13 15:00:23 140423 0.323 2159 RUSSELL caleb_strategy_v1 2023-04-12 2023-04-13 15:00:24.880 2023-04-13 15:00:25 140425 0.12 2160 RUSSELL caleb_strategy_v1 2023-04-12 2023-04-13 15:00:27.189 2023-04-13 15:00:27 140427 NaN 2161 RUSSELL caleb_strategy_v1 2023-04-12 2023-04-13 15:00:29.485 2023-04-13 15:00:29 140429 NaN 2162 CORN caleb_strategy_v1 2023-04-12 2023-04-13 15:30:01.751 2023-04-13 15:30:19 142202 17.249 2163 SOYMEAL caleb_strategy_v1 2023-04-12 2023-04-13 15:30:20.036 2023-04-13 15:30:22 142220 1.964 ===================================================================================================================================================================================================================================== 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 2140 OAT caleb_strategy_v1 [-1] 129.66 None 129.765 129.76 129.77 129.77 129.76 0.105 -0.005 -0 -0.01 NaN -0.005 2141 BTP caleb_strategy_v1 [1] 114.53 None 114.825 114.83 114.82 114.82 114.84 -0.295 -0.005 -0.01 -0.02 NaN -0.015 2142 BUND caleb_strategy_v1 [1] 135.28 None 135.395 135.4 135.39 135.39 135.39 -0.115 -0.005 0.01 2.84217e-14 NaN 0.005 2143 CAC caleb_strategy_v1 [1] 7443 None 7450.5 7451 7450 7450 7451.5 -7.5 -0.5 -0.5 -1.5 NaN -1 2144 EUROSTX caleb_strategy_v1 [1] 4291 None 4292.5 4293 4292 4292 4292 -1.5 -0.5 1 0 NaN 0.5 2145 ROBUSTA caleb_strategy_v1 [-1] 2332 None 2335.5 2335 2336 2336 2335 3.5 -0.5 -0 -1 NaN -0.5 2146 SUGAR11 caleb_strategy_v1 [-1] 23.33 None 23.705 23.7 23.71 23.71 23.69 0.375 -0.005 -0.01 -0.02 NaN -0.015 2147 GASOILINE caleb_strategy_v1 [1] 2.754 None 2.72755 2.7283 2.7268 2.7268 2.7268 0.02645 -0.00075 0.0015 4.44089e-16 NaN 0.00075 2148 CRUDE_W caleb_strategy_v1 [-1] 78.95 None 78.71 78.7 78.72 NaN 78.69 -0.24 -0.01 -0.01 NaN NaN -0.02 2149 GOLD_micro caleb_strategy_v1 [1] 2031.2 None 2058.95 2059 2058.9 2058.9 2058.9 -27.75 -0.05 0.1 0 NaN 0.05 2150 COTTON2 caleb_strategy_v1 [1] 82.37 None 82.825 82.84 82.81 82.81 82.84 -0.455 -0.015 0 -0.03 NaN -0.015 2151 COFFEE caleb_strategy_v1 [1] 188.4 None 196.1 196.15 196.05 196.05 196.2 -7.7 -0.05 -0.05 -0.15 NaN -0.1 2153 SP400 caleb_strategy_v1 [1] 2501 None 2496.5 2496.9 2496.1 2496.1 2496.9 4.5 -0.4 0 -0.8 NaN -0.4 2154 VIX caleb_strategy_v1 [-1] 22.25 None 21.875 21.85 21.9 21.9 21.9 -0.375 -0.025 0.05 -3.55271e-15 NaN 0.025 2155 SP500 caleb_strategy_v1 [-1] 4117.25 None 4128.88 4128.75 4129 4129 4129 11.625 -0.125 0.25 -0 NaN 0.125 2156 DOW caleb_strategy_v1 [1] 33834 None 33806 33807 33805 33805 33809 28 -1 -2 -4 NaN -3 2157 US10U caleb_strategy_v1 [-1] 121.984 None 122.211 122.203 122.219 122.219 122.188 0.226562 -0.0078125 -0.015625 -0.03125 NaN -0.0234375 2152 RUSSELL caleb_strategy_v1 [-1] 1786.7 None 1792.55 1792.5 1792.6 1792.6 1792.4 5.85 -0.05 -0.1 -0.2 NaN -0.15 2158 RUSSELL caleb_strategy_v1 [-1] 1786.7 None 1792 1791.9 1792.1 1792.1 1792.1 5.3 -0.1 0.2 -2.27374e-13 NaN 0.1 2159 RUSSELL caleb_strategy_v1 [-1] 1786.7 None 1791.8 1791.7 1791.9 1791.9 1791.9 5.1 -0.1 0.2 -0 NaN 0.1 2160 RUSSELL caleb_strategy_v1 [-1] 1786.7 None 1791.95 1791.9 1792 1792 1792 5.25 -0.05 0.1 -0 NaN 0.05 2161 RUSSELL caleb_strategy_v1 [-1] 1786.7 None 1791.3 1791.2 1791.4 1791.4 1791.4 4.6 -0.1 0.2 -0 NaN 0.1 2162 CORN caleb_strategy_v1 [1] 555.75 None 554.625 554.75 554.5 554.5 555 1.125 -0.125 -0.25 -0.5 NaN -0.375 2163 SOYMEAL caleb_strategy_v1 [-1] 447.4 None 454.5 454.4 454.6 454.6 454.6 7.1 -0.1 0.2 -0 NaN 0.1 ================================================================================================================================================================ 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 2140 OAT caleb_strategy_v1 [-1] 14.5936 71.9493 -3.42616 -0 -6.85231 NaN -3.42616 2141 BTP caleb_strategy_v1 [1] 12.9388 -227.996 -3.86434 -7.72867 -15.4573 NaN -11.593 2142 BUND caleb_strategy_v1 [1] 15.9896 -71.9217 -3.12703 6.25406 1.77751e-11 NaN 3.12703 2143 CAC caleb_strategy_v1 [1] 1246.48 -60.1694 -4.01129 -4.01129 -12.0339 NaN -8.02258 2144 EUROSTX caleb_strategy_v1 [1] 770.931 -19.457 -6.48566 12.9713 0 NaN 6.48566 2145 ROBUSTA caleb_strategy_v1 [-1] 472.91 74.0098 -10.5728 -0 -21.1457 NaN -10.5728 2146 SUGAR11 caleb_strategy_v1 [-1] 4.97223 754.188 -10.0558 -20.1117 -40.2234 NaN -30.1675 2147 GASOILINE caleb_strategy_v1 [1] 0.791391 334.222 -9.47699 18.954 5.6115e-12 NaN 9.47699 2148 CRUDE_W caleb_strategy_v1 [-1] 23.4134 -102.506 -4.27106 -4.27106 NaN NaN -8.54213 2149 GOLD_micro caleb_strategy_v1 [1] 319.608 -868.252 -1.56442 3.12884 0 NaN 1.56442 2150 COTTON2 caleb_strategy_v1 [1] 25.7911 -176.417 -5.81596 0 -11.6319 NaN -5.81596 2151 COFFEE caleb_strategy_v1 [1] 66.3074 -1161.26 -7.54063 -7.54063 -22.6219 NaN -15.0813 2153 SP400 caleb_strategy_v1 [1] 520.444 86.4646 -7.68574 0 -15.3715 NaN -7.68574 2154 VIX caleb_strategy_v1 [-1] 11.6552 -321.745 -21.4497 42.8993 -3.04818e-12 NaN 21.4497 2155 SP500 caleb_strategy_v1 [-1] 653.198 177.97 -1.91366 3.82732 -0 NaN 1.91366 2156 DOW caleb_strategy_v1 [1] 4684.75 59.7684 -2.13459 -4.26917 -8.53834 NaN -6.40376 2157 US10U caleb_strategy_v1 [-1] 12.6693 178.828 -6.16649 -12.333 -24.6659 NaN -18.4995 2152 RUSSELL caleb_strategy_v1 [-1] 418.747 139.702 -1.19404 -2.38807 -4.77615 NaN -3.58211 2158 RUSSELL caleb_strategy_v1 [-1] 418.747 126.568 -2.38807 4.77615 -5.42985e-12 NaN 2.38807 2159 RUSSELL caleb_strategy_v1 [-1] 418.747 121.792 -2.38807 4.77615 -0 NaN 2.38807 2160 RUSSELL caleb_strategy_v1 [-1] 418.747 125.374 -1.19404 2.38807 -0 NaN 1.19404 2161 RUSSELL caleb_strategy_v1 [-1] 418.747 109.851 -2.38807 4.77615 -0 NaN 2.38807 2162 CORN caleb_strategy_v1 [1] 84.4391 133.232 -14.8036 -29.6071 -59.2143 NaN -44.4107 2163 SOYMEAL caleb_strategy_v1 [-1] 93.8655 756.402 -10.6535 21.3071 -0 NaN 10.6535 =========================================================================================================================================================================== 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 2140 OAT caleb_strategy_v1 [-1] 1098.5 115.342 -5.4925 -0 -10.985 NaN -5.4925 2141 BTP caleb_strategy_v1 [1] 1098.5 -324.057 -5.4925 -10.985 -21.97 NaN -16.4775 2142 BUND caleb_strategy_v1 [1] 1098.5 -126.327 -5.4925 10.985 3.12212e-11 NaN 5.4925 2143 CAC caleb_strategy_v1 [1] 10.985 -82.3875 -5.4925 -5.4925 -16.4775 NaN -10.985 2144 EUROSTX caleb_strategy_v1 [1] 10.985 -16.4775 -5.4925 10.985 0 NaN 5.4925 2145 ROBUSTA caleb_strategy_v1 [-1] 10 35 -5 -0 -10 NaN -5 2146 SUGAR11 caleb_strategy_v1 [-1] 1120 420 -5.6 -11.2 -22.4 NaN -16.8 2147 GASOILINE caleb_strategy_v1 [1] 42000 1110.9 -31.5 63 1.86517e-11 NaN 31.5 2148 CRUDE_W caleb_strategy_v1 [-1] 1000 -240 -10 -10 NaN NaN -20 2149 GOLD_micro caleb_strategy_v1 [1] 10 -277.5 -0.5 1 0 NaN 0.5 2150 COTTON2 caleb_strategy_v1 [1] 500 -227.5 -7.5 0 -15 NaN -7.5 2151 COFFEE caleb_strategy_v1 [1] 375 -2887.5 -18.75 -18.75 -56.25 NaN -37.5 2153 SP400 caleb_strategy_v1 [1] 100 450 -40 0 -80 NaN -40 2154 VIX caleb_strategy_v1 [-1] 1000 -375 -25 50 -3.55271e-12 NaN 25 2155 SP500 caleb_strategy_v1 [-1] 50 581.25 -6.25 12.5 -0 NaN 6.25 2156 DOW caleb_strategy_v1 [1] 0.5 14 -0.5 -1 -2 NaN -1.5 2157 US10U caleb_strategy_v1 [-1] 1000 226.562 -7.8125 -15.625 -31.25 NaN -23.4375 2152 RUSSELL caleb_strategy_v1 [-1] 5 29.25 -0.25 -0.5 -1 NaN -0.75 2158 RUSSELL caleb_strategy_v1 [-1] 5 26.5 -0.5 1 -1.13687e-12 NaN 0.5 2159 RUSSELL caleb_strategy_v1 [-1] 5 25.5 -0.5 1 -0 NaN 0.5 2160 RUSSELL caleb_strategy_v1 [-1] 5 26.25 -0.25 0.5 -0 NaN 0.25 2161 RUSSELL caleb_strategy_v1 [-1] 5 23 -0.5 1 -0 NaN 0.5 2162 CORN caleb_strategy_v1 [1] 50 56.25 -6.25 -12.5 -25 NaN -18.75 2163 SOYMEAL caleb_strategy_v1 [-1] 100 710 -10 20 -0 NaN 10 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BTP -324.0575 BUND -126.3275 CAC -82.3875 COFFEE -2887.5000 CORN 56.2500 COTTON2 -227.5000 CRUDE_W -240.0000 DOW 14.0000 EUROSTX -16.4775 GASOILINE 1110.9000 GOLD_micro -277.5000 OAT 115.3425 ROBUSTA 35.0000 RUSSELL 130.5000 SOYMEAL 710.0000 SP400 450.0000 SP500 581.2500 SUGAR11 420.0000 US10U 226.5625 VIX -375.0000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -706.945 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BTP -5.4925 BUND -5.4925 CAC -5.4925 COFFEE -18.7500 CORN -6.2500 COTTON2 -7.5000 CRUDE_W -10.0000 DOW -0.5000 EUROSTX -5.4925 GASOILINE -31.5000 GOLD_micro -0.5000 OAT -5.4925 ROBUSTA -5.0000 RUSSELL -2.0000 SOYMEAL -10.0000 SP400 -40.0000 SP500 -6.2500 SUGAR11 -5.6000 US10U -7.8125 VIX -25.0000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -204.125 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BTP -10.9850 BUND 10.9850 CAC -5.4925 COFFEE -18.7500 CORN -12.5000 COTTON2 0.0000 CRUDE_W -10.0000 DOW -1.0000 EUROSTX 10.9850 GASOILINE 63.0000 GOLD_micro 1.0000 OAT -0.0000 ROBUSTA -0.0000 RUSSELL 3.0000 SOYMEAL 20.0000 SP400 0.0000 SP500 12.5000 SUGAR11 -11.2000 US10U -15.6250 VIX 50.0000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 85.9175 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BTP -2.197000e+01 BUND 3.122125e-11 CAC -1.647750e+01 COFFEE -5.625000e+01 CORN -2.500000e+01 COTTON2 -1.500000e+01 CRUDE_W 0.000000e+00 DOW -2.000000e+00 EUROSTX 0.000000e+00 GASOILINE 1.865175e-11 GOLD_micro 0.000000e+00 OAT -1.098500e+01 ROBUSTA -1.000000e+01 RUSSELL -1.000000e+00 SOYMEAL -0.000000e+00 SP400 -8.000000e+01 SP500 -0.000000e+00 SUGAR11 -2.240000e+01 US10U -3.125000e+01 VIX -3.552714e-12 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -292.3325 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BTP 0 BUND 0 CAC 0 COFFEE 0 CORN 0 COTTON2 0 CRUDE_W 0 DOW 0 EUROSTX 0 GASOILINE 0 GOLD_micro 0 OAT 0 ROBUSTA 0 RUSSELL 0 SOYMEAL 0 SP400 0 SP500 0 SUGAR11 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 BTP -16.4775 BUND 5.4925 CAC -10.9850 COFFEE -37.5000 CORN -18.7500 COTTON2 -7.5000 CRUDE_W -20.0000 DOW -1.5000 EUROSTX 5.4925 GASOILINE 31.5000 GOLD_micro 0.5000 OAT -5.4925 ROBUSTA -5.0000 RUSSELL 1.0000 SOYMEAL 10.0000 SP400 -40.0000 SP500 6.2500 SUGAR11 -16.8000 US10U -23.4375 VIX 25.0000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -118.2075 ******************************************************************************** END OF REPORT ********************************************************************************