******************************************************************************** Trades report report produced on 27/04/2023 21:37 from 26/04/2023 21:37 to 27/04/2023 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2420 DAX caleb_strategy_v1 [20230600] 2023-04-27 08:00:02 [1] 15897.000000 2425 GBP caleb_strategy_v1 [20230600] 2023-04-27 15:01:44 [1] 1.247700 2421 HEATOIL caleb_strategy_v1 [20230800] 2023-04-27 14:00:03 [-1] 2.373100 2443 LEANHOG caleb_strategy_v1 [20230700] 2023-04-27 15:30:02 [1] 92.550000 2440 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:03:19 [-1] 1747.500000 2430 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:02:57 [-1] 1746.500000 2429 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:02:55 [-1] 1746.500000 2428 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:02:52 [-1] 1746.200000 2427 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:02:50 [-1] 1746.400000 2426 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:02:48 [-1] 1746.500000 2422 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:00:02 [-1] 1746.400000 2442 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:03:24 [-1] 1747.500000 2441 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:03:21 [-1] 1747.400000 2438 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:03:14 [-1] 1747.500000 2439 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:03:16 [-1] 1747.400000 2431 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:02:59 [-1] 1746.500000 2437 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:03:11 [-1] 1747.300000 2436 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:03:09 [-1] 1747.300000 2435 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:03:07 [-1] 1747.300000 2434 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:03:05 [-1] 1747.000000 2433 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:03:03 [-1] 1746.800000 2432 RUSSELL caleb_strategy_v1 [20230600] 2023-04-27 15:03:01 [-1] 1746.800000 2423 US10U caleb_strategy_v1 [20230600] 2023-04-27 15:00:09 [-1] 120.953125 2424 VIX caleb_strategy_v1 [20230700] 2023-04-27 15:01:41 [-1] 23.100000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2420 DAX caleb_strategy_v1 2023-04-26 2023-04-27 08:00:02.013 2023-04-27 08:00:02 115202 NaN 2421 HEATOIL caleb_strategy_v1 2023-04-26 2023-04-27 14:00:01.908 2023-04-27 14:00:03 136802 1.092 2423 US10U caleb_strategy_v1 2023-04-26 2023-04-27 15:00:02.827 2023-04-27 15:00:09 140403 6.173 2424 VIX caleb_strategy_v1 2023-04-26 2023-04-27 15:00:10.043 2023-04-27 15:01:41 140410 90.957 2425 GBP caleb_strategy_v1 2023-04-26 2023-04-27 15:01:41.562 2023-04-27 15:01:44 140502 2.438 2432 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:03:01.589 2023-04-27 15:03:01 140582 NaN 2433 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:03:03.601 2023-04-27 15:03:03 140584 NaN 2434 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:03:05.676 2023-04-27 15:03:05 140586 NaN 2435 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:03:07.538 2023-04-27 15:03:07 140588 NaN 2436 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:03:09.278 2023-04-27 15:03:09 140589 NaN 2437 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:03:11.386 2023-04-27 15:03:11 140591 NaN 2438 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:03:13.285 2023-04-27 15:03:14 140593 0.715 2439 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:03:15.949 2023-04-27 15:03:16 140596 0.051 2440 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:03:18.779 2023-04-27 15:03:19 140599 0.221 2441 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:03:21.324 2023-04-27 15:03:21 140601 NaN 2442 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:03:23.846 2023-04-27 15:03:24 140604 0.154 2422 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:00:02.104 2023-04-27 15:00:02 140402 NaN 2426 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:02:47.558 2023-04-27 15:02:48 140568 0.442 2427 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:02:50.219 2023-04-27 15:02:50 140570 NaN 2428 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:02:52.222 2023-04-27 15:02:52 140572 NaN 2429 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:02:54.052 2023-04-27 15:02:55 140574 0.948 2430 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:02:57.463 2023-04-27 15:02:57 140577 NaN 2431 RUSSELL caleb_strategy_v1 2023-04-26 2023-04-27 15:02:59.377 2023-04-27 15:02:59 140579 NaN 2443 LEANHOG caleb_strategy_v1 2023-04-26 2023-04-27 15:30:02.032 2023-04-27 15:30:02 142202 NaN ===================================================================================================================================================================================================================================== 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 2420 DAX caleb_strategy_v1 [1] 15851 None 15895 15896 15894 15894 15897 -44 -1 -1 -3 NaN -2 2421 HEATOIL caleb_strategy_v1 [-1] 2.3773 None 2.3732 2.3728 2.3736 2.3736 2.3731 -0.0041 -0.0004 0.0003 -0.0005 NaN -0.0001 2423 US10U caleb_strategy_v1 [-1] 121.719 None 120.945 120.938 120.953 120.953 120.953 -0.773438 -0.0078125 0.015625 -0 NaN 0.0078125 2424 VIX caleb_strategy_v1 [-1] 23.7 None 23.075 23.05 23.1 23.1 23.1 -0.625 -0.025 0.05 -0 NaN 0.025 2425 GBP caleb_strategy_v1 [1] 1.2473 None 1.24755 1.2476 1.2475 1.2475 1.2477 -0.00025 -5e-05 -0.0001 -0.0002 NaN -0.00015 2432 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1746.6 1746.5 1746.7 1746.7 1746.8 7.3 -0.1 0.3 0.1 NaN 0.2 2433 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1746.95 1746.9 1747 1747 1746.8 7.65 -0.05 -0.1 -0.2 NaN -0.15 2434 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1746.95 1746.9 1747 1747 1747 7.65 -0.05 0.1 -0 NaN 0.05 2435 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1747.25 1747.2 1747.3 1747.3 1747.3 7.95 -0.05 0.1 -2.27374e-13 NaN 0.05 2436 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1747.4 1747.3 1747.5 1747.5 1747.3 8.1 -0.1 -0 -0.2 NaN -0.1 2437 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1747.45 1747.4 1747.5 1747.5 1747.3 8.15 -0.05 -0.1 -0.2 NaN -0.15 2438 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1747.45 1747.4 1747.5 1747.5 1747.5 8.15 -0.05 0.1 -0 NaN 0.05 2439 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1747.55 1747.5 1747.6 1747.6 1747.4 8.25 -0.05 -0.1 -0.2 NaN -0.15 2440 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1747.6 1747.5 1747.7 1747.7 1747.5 8.3 -0.1 -0 -0.2 NaN -0.1 2441 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1747.5 1747.4 1747.6 1747.6 1747.4 8.2 -0.1 -0 -0.2 NaN -0.1 2442 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1747.65 1747.6 1747.7 1747.7 1747.5 8.35 -0.05 -0.1 -0.2 NaN -0.15 2422 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1746.6 1746.5 1746.7 1746.7 1746.4 7.3 -0.1 -0.1 -0.3 NaN -0.2 2426 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1746.45 1746.4 1746.5 1746.5 1746.5 7.15 -0.05 0.1 -0 NaN 0.05 2427 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1746.55 1746.5 1746.6 1746.6 1746.4 7.25 -0.05 -0.1 -0.2 NaN -0.15 2428 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1746.4 1746.3 1746.5 1746.5 1746.2 7.1 -0.1 -0.1 -0.3 NaN -0.2 2429 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1746.75 1746.7 1746.8 1746.8 1746.5 7.45 -0.05 -0.2 -0.3 NaN -0.25 2430 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1746.65 1746.6 1746.7 1746.7 1746.5 7.35 -0.05 -0.1 -0.2 NaN -0.15 2431 RUSSELL caleb_strategy_v1 [-1] 1739.3 None 1746.6 1746.5 1746.7 1746.7 1746.5 7.3 -0.1 -0 -0.2 NaN -0.1 2443 LEANHOG caleb_strategy_v1 [1] 92.4 None 92.5125 92.55 92.475 92.475 92.55 -0.1125 -0.0375 0 -0.075 NaN -0.0375 ================================================================================================================================================================ 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 2420 DAX caleb_strategy_v1 [1] 2266.18 -194.159 -4.41271 -4.41271 -13.2381 NaN -8.82543 2421 HEATOIL caleb_strategy_v1 [-1] 0.809836 -50.6276 -4.93927 3.70446 -6.17409 NaN -1.23482 2423 US10U caleb_strategy_v1 [-1] 11.8922 -650.373 -6.56943 13.1389 -0 NaN 6.56943 2424 VIX caleb_strategy_v1 [-1] 10.0723 -620.517 -24.8207 49.6413 -0 NaN 24.8207 2425 GBP caleb_strategy_v1 [1] 0.104691 -23.8797 -4.77594 -9.55188 -19.1038 NaN -14.3278 2432 RUSSELL caleb_strategy_v1 [-1] 387.165 188.55 -2.58288 7.74863 2.58288 NaN 5.16576 2433 RUSSELL caleb_strategy_v1 [-1] 387.165 197.59 -1.29144 -2.58288 -5.16576 NaN -3.87432 2434 RUSSELL caleb_strategy_v1 [-1] 387.165 197.59 -1.29144 2.58288 -0 NaN 1.29144 2435 RUSSELL caleb_strategy_v1 [-1] 387.165 205.339 -1.29144 2.58288 -5.87279e-12 NaN 1.29144 2436 RUSSELL caleb_strategy_v1 [-1] 387.165 209.213 -2.58288 -0 -5.16576 NaN -2.58288 2437 RUSSELL caleb_strategy_v1 [-1] 387.165 210.505 -1.29144 -2.58288 -5.16576 NaN -3.87432 2438 RUSSELL caleb_strategy_v1 [-1] 387.165 210.505 -1.29144 2.58288 -0 NaN 1.29144 2439 RUSSELL caleb_strategy_v1 [-1] 387.165 213.087 -1.29144 -2.58288 -5.16576 NaN -3.87432 2440 RUSSELL caleb_strategy_v1 [-1] 387.165 214.379 -2.58288 -0 -5.16576 NaN -2.58288 2441 RUSSELL caleb_strategy_v1 [-1] 387.165 211.796 -2.58288 -0 -5.16576 NaN -2.58288 2442 RUSSELL caleb_strategy_v1 [-1] 387.165 215.67 -1.29144 -2.58288 -5.16576 NaN -3.87432 2422 RUSSELL caleb_strategy_v1 [-1] 387.165 188.55 -2.58288 -2.58288 -7.74863 NaN -5.16576 2426 RUSSELL caleb_strategy_v1 [-1] 387.165 184.676 -1.29144 2.58288 -0 NaN 1.29144 2427 RUSSELL caleb_strategy_v1 [-1] 387.165 187.259 -1.29144 -2.58288 -5.16576 NaN -3.87432 2428 RUSSELL caleb_strategy_v1 [-1] 387.165 183.384 -2.58288 -2.58288 -7.74863 NaN -5.16576 2429 RUSSELL caleb_strategy_v1 [-1] 387.165 192.424 -1.29144 -5.16576 -7.74863 NaN -6.4572 2430 RUSSELL caleb_strategy_v1 [-1] 387.165 189.842 -1.29144 -2.58288 -5.16576 NaN -3.87432 2431 RUSSELL caleb_strategy_v1 [-1] 387.165 188.55 -2.58288 -0 -5.16576 NaN -2.58288 2443 LEANHOG caleb_strategy_v1 [1] 23.1099 -48.6804 -16.2268 0 -32.4536 NaN -16.2268 =========================================================================================================================================================================== 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 2420 DAX caleb_strategy_v1 [1] 1.10565 -48.6486 -1.10565 -1.10565 -3.31695 NaN -2.2113 2421 HEATOIL caleb_strategy_v1 [-1] 42000 -172.2 -16.8 12.6 -21 NaN -4.2 2423 US10U caleb_strategy_v1 [-1] 1000 -773.438 -7.8125 15.625 -0 NaN 7.8125 2424 VIX caleb_strategy_v1 [-1] 1000 -625 -25 50 -0 NaN 25 2425 GBP caleb_strategy_v1 [1] 62500 -15.625 -3.125 -6.25 -12.5 NaN -9.375 2432 RUSSELL caleb_strategy_v1 [-1] 5 36.5 -0.5 1.5 0.5 NaN 1 2433 RUSSELL caleb_strategy_v1 [-1] 5 38.25 -0.25 -0.5 -1 NaN -0.75 2434 RUSSELL caleb_strategy_v1 [-1] 5 38.25 -0.25 0.5 -0 NaN 0.25 2435 RUSSELL caleb_strategy_v1 [-1] 5 39.75 -0.25 0.5 -1.13687e-12 NaN 0.25 2436 RUSSELL caleb_strategy_v1 [-1] 5 40.5 -0.5 -0 -1 NaN -0.5 2437 RUSSELL caleb_strategy_v1 [-1] 5 40.75 -0.25 -0.5 -1 NaN -0.75 2438 RUSSELL caleb_strategy_v1 [-1] 5 40.75 -0.25 0.5 -0 NaN 0.25 2439 RUSSELL caleb_strategy_v1 [-1] 5 41.25 -0.25 -0.5 -1 NaN -0.75 2440 RUSSELL caleb_strategy_v1 [-1] 5 41.5 -0.5 -0 -1 NaN -0.5 2441 RUSSELL caleb_strategy_v1 [-1] 5 41 -0.5 -0 -1 NaN -0.5 2442 RUSSELL caleb_strategy_v1 [-1] 5 41.75 -0.25 -0.5 -1 NaN -0.75 2422 RUSSELL caleb_strategy_v1 [-1] 5 36.5 -0.5 -0.5 -1.5 NaN -1 2426 RUSSELL caleb_strategy_v1 [-1] 5 35.75 -0.25 0.5 -0 NaN 0.25 2427 RUSSELL caleb_strategy_v1 [-1] 5 36.25 -0.25 -0.5 -1 NaN -0.75 2428 RUSSELL caleb_strategy_v1 [-1] 5 35.5 -0.5 -0.5 -1.5 NaN -1 2429 RUSSELL caleb_strategy_v1 [-1] 5 37.25 -0.25 -1 -1.5 NaN -1.25 2430 RUSSELL caleb_strategy_v1 [-1] 5 36.75 -0.25 -0.5 -1 NaN -0.75 2431 RUSSELL caleb_strategy_v1 [-1] 5 36.5 -0.5 -0 -1 NaN -0.5 2443 LEANHOG caleb_strategy_v1 [1] 400 -45 -15 0 -30 NaN -15 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 DAX -48.6486 GBP -15.6250 HEATOIL -172.2000 LEANHOG -45.0000 RUSSELL 694.7500 US10U -773.4375 VIX -625.0000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -985.1611 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 DAX -1.10565 GBP -3.12500 HEATOIL -16.80000 LEANHOG -15.00000 RUSSELL -6.25000 US10U -7.81250 VIX -25.00000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -75.09315 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 DAX -1.10565 GBP -6.25000 HEATOIL 12.60000 LEANHOG 0.00000 RUSSELL -1.50000 US10U 15.62500 VIX 50.00000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 69.36935 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 DAX -3.31695 GBP -12.50000 HEATOIL -21.00000 LEANHOG -30.00000 RUSSELL -14.00000 US10U -0.00000 VIX -0.00000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -80.81695 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 DAX 0 GBP 0 HEATOIL 0 LEANHOG 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 DAX -2.2113 GBP -9.3750 HEATOIL -4.2000 LEANHOG -15.0000 RUSSELL -7.7500 US10U 7.8125 VIX 25.0000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -5.7238 ******************************************************************************** END OF REPORT ********************************************************************************