******************************************************************************** Trades report report produced on 25/05/2023 21:37 from 24/05/2023 21:37 to 25/05/2023 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2931 BUND caleb_strategy_v1 [20230600] 2023-05-25 08:00:03 [1] 133.680000 2933 CRUDE_W caleb_strategy_v1 [20231200] 2023-05-25 14:00:02 [-1] 71.770000 2930 DAX caleb_strategy_v1 [20230600] 2023-05-25 08:00:02 [1] 15907.000000 2932 DAX caleb_strategy_v1 [20230600] 2023-05-25 08:00:06 [1] 15897.000000 2957 DOW caleb_strategy_v1 [20230600] 2023-05-25 15:01:42 [-1] 32809.000000 2956 DOW caleb_strategy_v1 [20230600] 2023-05-25 15:01:36 [-1] 32809.000000 2955 DOW caleb_strategy_v1 [20230600] 2023-05-25 15:01:34 [-1] 32811.000000 2954 DOW caleb_strategy_v1 [20230600] 2023-05-25 15:01:32 [-1] 32818.000000 2953 DOW caleb_strategy_v1 [20230600] 2023-05-25 15:01:30 [-1] 32823.000000 2952 DOW caleb_strategy_v1 [20230600] 2023-05-25 15:01:28 [-1] 32826.000000 2951 DOW caleb_strategy_v1 [20230600] 2023-05-25 15:01:25 [-1] 32827.000000 2950 DOW caleb_strategy_v1 [20230600] 2023-05-25 15:01:23 [-1] 32833.000000 2949 DOW caleb_strategy_v1 [20230600] 2023-05-25 15:01:21 [-1] 32828.000000 2948 DOW caleb_strategy_v1 [20230600] 2023-05-25 15:01:18 [-1] 32831.000000 2947 DOW caleb_strategy_v1 [20230600] 2023-05-25 15:01:16 [-1] 32827.000000 2945 DOW caleb_strategy_v1 [20230600] 2023-05-25 15:00:40 [-1] 32829.000000 2958 DOW caleb_strategy_v1 [20230600] 2023-05-25 15:01:48 [-1] 32803.000000 2946 DOW caleb_strategy_v1 [20230600] 2023-05-25 15:01:14 [-1] 32827.000000 2941 DOW caleb_strategy_v1 [20230600] 2023-05-25 15:00:11 [-1] 32803.000000 2940 EUR caleb_strategy_v1 [20230600] 2023-05-25 15:00:10 [-1] 1.072800 2943 GBP caleb_strategy_v1 [20230600] 2023-05-25 15:00:19 [1] 1.233800 2935 GOLD_micro caleb_strategy_v1 [20230800] 2023-05-25 14:00:06 [-1] 1962.700000 2934 GOLD_micro caleb_strategy_v1 [20230800] 2023-05-25 14:00:02 [-1] 1962.400000 2939 RUSSELL caleb_strategy_v1 [20230600] 2023-05-25 15:00:08 [1] 1766.200000 2938 US20 caleb_strategy_v1 [20230900] 2023-05-25 15:00:08 [-1] 126.218750 2942 US30 caleb_strategy_v1 [20230900] 2023-05-25 15:00:16 [-1] 133.968750 2936 US5 caleb_strategy_v1 [20230600] 2023-05-25 15:00:01 [-1] 108.054688 2937 VIX caleb_strategy_v1 [20230800] 2023-05-25 15:00:06 [-1] 22.400000 2944 VIX caleb_strategy_v1 [20230800] 2023-05-25 15:00:40 [-1] 22.350000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2931 BUND caleb_strategy_v1 2023-05-24 2023-05-25 08:00:03.620 2023-05-25 08:00:03 115204 NaN 2930 DAX caleb_strategy_v1 2023-05-24 2023-05-25 08:00:02.239 2023-05-25 08:00:02 115202 NaN 2932 DAX caleb_strategy_v1 2023-05-24 2023-05-25 08:00:06.245 2023-05-25 08:00:06 115206 NaN 2933 CRUDE_W caleb_strategy_v1 2023-05-24 2023-05-25 14:00:00.980 2023-05-25 14:00:02 136801 1.02 2934 GOLD_micro caleb_strategy_v1 2023-05-24 2023-05-25 14:00:02.770 2023-05-25 14:00:02 136803 NaN 2935 GOLD_micro caleb_strategy_v1 2023-05-24 2023-05-25 14:00:04.917 2023-05-25 14:00:06 136805 1.083 2936 US5 caleb_strategy_v1 2023-05-24 2023-05-25 15:00:01.008 2023-05-25 15:00:01 140401 NaN 2938 US20 caleb_strategy_v1 2023-05-24 2023-05-25 15:00:06.679 2023-05-25 15:00:08 140407 1.321 2939 RUSSELL caleb_strategy_v1 2023-05-24 2023-05-25 15:00:08.651 2023-05-25 15:00:08 140409 NaN 2940 EUR caleb_strategy_v1 2023-05-24 2023-05-25 15:00:09.575 2023-05-25 15:00:10 140410 0.425 2942 US30 caleb_strategy_v1 2023-05-24 2023-05-25 15:00:12.221 2023-05-25 15:00:16 140412 3.779 2943 GBP caleb_strategy_v1 2023-05-24 2023-05-25 15:00:17.082 2023-05-25 15:00:19 140417 1.918 2944 VIX caleb_strategy_v1 2023-05-24 2023-05-25 15:00:21.169 2023-05-25 15:00:40 140421 18.831 2937 VIX caleb_strategy_v1 2023-05-24 2023-05-25 15:00:02.404 2023-05-25 15:00:06 140402 3.596 2945 DOW caleb_strategy_v1 2023-05-24 2023-05-25 15:00:40.576 2023-05-25 15:00:40 140441 NaN 2946 DOW caleb_strategy_v1 2023-05-24 2023-05-25 15:01:14.380 2023-05-25 15:01:14 140474 NaN 2947 DOW caleb_strategy_v1 2023-05-24 2023-05-25 15:01:16.031 2023-05-25 15:01:16 140476 NaN 2948 DOW caleb_strategy_v1 2023-05-24 2023-05-25 15:01:18.443 2023-05-25 15:01:18 140478 NaN 2949 DOW caleb_strategy_v1 2023-05-24 2023-05-25 15:01:20.753 2023-05-25 15:01:21 140481 0.247 2950 DOW caleb_strategy_v1 2023-05-24 2023-05-25 15:01:23.007 2023-05-25 15:01:23 140483 NaN 2951 DOW caleb_strategy_v1 2023-05-24 2023-05-25 15:01:25.366 2023-05-25 15:01:25 140485 NaN 2952 DOW caleb_strategy_v1 2023-05-24 2023-05-25 15:01:27.290 2023-05-25 15:01:28 140487 0.71 2953 DOW caleb_strategy_v1 2023-05-24 2023-05-25 15:01:30.578 2023-05-25 15:01:30 140491 NaN 2954 DOW caleb_strategy_v1 2023-05-24 2023-05-25 15:01:32.410 2023-05-25 15:01:32 140492 NaN 2955 DOW caleb_strategy_v1 2023-05-24 2023-05-25 15:01:34.605 2023-05-25 15:01:34 140495 NaN 2956 DOW caleb_strategy_v1 2023-05-24 2023-05-25 15:01:36.364 2023-05-25 15:01:36 140496 NaN 2957 DOW caleb_strategy_v1 2023-05-24 2023-05-25 15:01:42.486 2023-05-25 15:01:42 140502 NaN 2958 DOW caleb_strategy_v1 2023-05-24 2023-05-25 15:01:48.447 2023-05-25 15:01:48 140508 NaN 2941 DOW caleb_strategy_v1 2023-05-24 2023-05-25 15:00:11.060 2023-05-25 15:00:11 140411 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 2931 BUND caleb_strategy_v1 [1] 133.86 None 133.685 133.69 133.68 133.68 133.68 0.175 -0.005 0.01 0 NaN 0.005 2930 DAX caleb_strategy_v1 [1] 15864 None 15905 15906 15904 15904 15907 -41 -1 -1 -3 NaN -2 2932 DAX caleb_strategy_v1 [1] 15864 None 15898 15899 15897 15897 15897 -34 -1 2 0 NaN 1 2933 CRUDE_W caleb_strategy_v1 [-1] 72.11 None 71.785 71.78 71.79 71.79 71.77 -0.325 -0.005 -0.01 -0.02 NaN -0.015 2934 GOLD_micro caleb_strategy_v1 [-1] 1979.9 None 1962.3 1962.2 1962.4 1962.4 1962.4 -17.6 -0.1 0.2 -0 NaN 0.1 2935 GOLD_micro caleb_strategy_v1 [-1] 1979.9 None 1962.95 1962.8 1963.1 1963.1 1962.7 -16.95 -0.15 -0.1 -0.4 NaN -0.25 2936 US5 caleb_strategy_v1 [-1] 108.484 None 108.055 108.047 108.062 108.062 108.055 -0.429688 -0.0078125 0.007813 -0.007812 NaN 5e-07 2938 US20 caleb_strategy_v1 [-1] 126.75 None 126.203 126.188 126.219 126.219 126.219 -0.546875 -0.015625 0.03125 -0 NaN 0.015625 2939 RUSSELL caleb_strategy_v1 [1] 1768.2 None 1766 1766.1 1765.9 1765.9 1766.2 2.2 -0.1 -0.1 -0.3 NaN -0.2 2940 EUR caleb_strategy_v1 [-1] 1.0769 None 1.07278 1.07275 1.0728 1.0728 1.0728 -0.004125 -2.5e-05 5e-05 -0 NaN 2.5e-05 2942 US30 caleb_strategy_v1 [-1] 134.531 None 133.984 133.969 134 134 133.969 -0.546875 -0.015625 -0 -0.03125 NaN -0.015625 2943 GBP caleb_strategy_v1 [1] 1.237 None 1.23365 1.2337 1.2336 1.2336 1.2338 0.00335 -5e-05 -0.0001 -0.0002 NaN -0.00015 2944 VIX caleb_strategy_v1 [-1] 22.7 None 22.425 22.4 22.45 22.45 22.35 -0.275 -0.025 -0.05 -0.1 NaN -0.075 2937 VIX caleb_strategy_v1 [-1] 22.7 None 22.475 22.45 22.5 22.5 22.4 -0.225 -0.025 -0.05 -0.1 NaN -0.075 2945 DOW caleb_strategy_v1 [-1] 32842 None 32827.5 32827 32828 32828 32829 -14.5 -0.5 2 1 NaN 1.5 2946 DOW caleb_strategy_v1 [-1] 32842 None 32826.5 32826 32827 32827 32827 -15.5 -0.5 1 -0 NaN 0.5 2947 DOW caleb_strategy_v1 [-1] 32842 None 32828.5 32828 32829 32829 32827 -13.5 -0.5 -1 -2 NaN -1.5 2948 DOW caleb_strategy_v1 [-1] 32842 None 32832.5 32832 32833 32833 32831 -9.5 -0.5 -1 -2 NaN -1.5 2949 DOW caleb_strategy_v1 [-1] 32842 None 32829.5 32829 32830 32830 32828 -12.5 -0.5 -1 -2 NaN -1.5 2950 DOW caleb_strategy_v1 [-1] 32842 None 32832.5 32832 32833 32833 32833 -9.5 -0.5 1 -0 NaN 0.5 2951 DOW caleb_strategy_v1 [-1] 32842 None 32830 32829 32831 32831 32827 -12 -1 -2 -4 NaN -3 2952 DOW caleb_strategy_v1 [-1] 32842 None 32825 32824 32826 32826 32826 -17 -1 2 -0 NaN 1 2953 DOW caleb_strategy_v1 [-1] 32842 None 32823.5 32823 32824 32824 32823 -18.5 -0.5 -0 -1 NaN -0.5 2954 DOW caleb_strategy_v1 [-1] 32842 None 32819.5 32819 32820 32820 32818 -22.5 -0.5 -1 -2 NaN -1.5 2955 DOW caleb_strategy_v1 [-1] 32842 None 32810.5 32810 32811 32811 32811 -31.5 -0.5 1 -0 NaN 0.5 2956 DOW caleb_strategy_v1 [-1] 32842 None 32811.5 32811 32812 NaN 32809 -30.5 -0.5 -2 NaN NaN -2.5 2957 DOW caleb_strategy_v1 [-1] 32842 None 32808.5 32808 32809 32809 32809 -33.5 -0.5 1 -0 NaN 0.5 2958 DOW caleb_strategy_v1 [-1] 32842 None 32805.5 32805 32806 32806 32803 -36.5 -0.5 -2 -3 NaN -2.5 2941 DOW caleb_strategy_v1 [-1] 32842 None 32802 32801 32803 32803 32803 -40 -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 2931 BUND caleb_strategy_v1 [1] 12.4056 141.065 -4.03042 8.06085 0 NaN 4.03042 2930 DAX caleb_strategy_v1 [1] 2284.95 -179.435 -4.37645 -4.37645 -13.1294 NaN -8.75291 2932 DAX caleb_strategy_v1 [1] 2284.95 -148.799 -4.37645 8.75291 0 NaN 4.37645 2933 CRUDE_W caleb_strategy_v1 [-1] 24.5084 -132.608 -2.04012 -4.08024 -8.16048 NaN -6.12036 2934 GOLD_micro caleb_strategy_v1 [-1] 282.433 -623.156 -3.54066 7.08132 -0 NaN 3.54066 2935 GOLD_micro caleb_strategy_v1 [-1] 282.433 -600.142 -5.31099 -3.54066 -14.1626 NaN -8.85165 2936 US5 caleb_strategy_v1 [-1] 6.2361 -689.032 -12.5279 12.5287 -12.5271 NaN 0.000801783 2938 US20 caleb_strategy_v1 [-1] 15.4488 -353.992 -10.1141 20.2281 -0 NaN 10.1141 2939 RUSSELL caleb_strategy_v1 [1] 373.774 58.859 -2.67541 -2.67541 -8.02623 NaN -5.35082 2940 EUR caleb_strategy_v1 [-1] 0.0758084 -544.135 -3.29779 6.59558 -0 NaN 3.29779 2942 US30 caleb_strategy_v1 [-1] 21.5102 -254.24 -7.26399 -0 -14.528 NaN -7.26399 2943 GBP caleb_strategy_v1 [1] 0.0997204 335.939 -5.01402 -10.028 -20.0561 NaN -15.0421 2944 VIX caleb_strategy_v1 [-1] 9.08724 -302.622 -27.5111 -55.0222 -110.044 NaN -82.5333 2937 VIX caleb_strategy_v1 [-1] 9.08724 -247.6 -27.5111 -55.0222 -110.044 NaN -82.5333 2945 DOW caleb_strategy_v1 [-1] 4294.03 -33.7678 -1.16441 4.65763 2.32882 NaN 3.49322 2946 DOW caleb_strategy_v1 [-1] 4294.03 -36.0966 -1.16441 2.32882 -0 NaN 1.16441 2947 DOW caleb_strategy_v1 [-1] 4294.03 -31.439 -1.16441 -2.32882 -4.65763 NaN -3.49322 2948 DOW caleb_strategy_v1 [-1] 4294.03 -22.1237 -1.16441 -2.32882 -4.65763 NaN -3.49322 2949 DOW caleb_strategy_v1 [-1] 4294.03 -29.1102 -1.16441 -2.32882 -4.65763 NaN -3.49322 2950 DOW caleb_strategy_v1 [-1] 4294.03 -22.1237 -1.16441 2.32882 -0 NaN 1.16441 2951 DOW caleb_strategy_v1 [-1] 4294.03 -27.9458 -2.32882 -4.65763 -9.31526 NaN -6.98645 2952 DOW caleb_strategy_v1 [-1] 4294.03 -39.5899 -2.32882 4.65763 -0 NaN 2.32882 2953 DOW caleb_strategy_v1 [-1] 4294.03 -43.0831 -1.16441 -0 -2.32882 NaN -1.16441 2954 DOW caleb_strategy_v1 [-1] 4294.03 -52.3983 -1.16441 -2.32882 -4.65763 NaN -3.49322 2955 DOW caleb_strategy_v1 [-1] 4294.03 -73.3577 -1.16441 2.32882 -0 NaN 1.16441 2956 DOW caleb_strategy_v1 [-1] 4294.03 -71.0289 -1.16441 -4.65763 NaN NaN -5.82204 2957 DOW caleb_strategy_v1 [-1] 4294.03 -78.0153 -1.16441 2.32882 -0 NaN 1.16441 2958 DOW caleb_strategy_v1 [-1] 4294.03 -85.0018 -1.16441 -4.65763 -6.98645 NaN -5.82204 2941 DOW caleb_strategy_v1 [-1] 4294.03 -93.1526 -2.32882 4.65763 -0 NaN 2.32882 =========================================================================================================================================================================== 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 2931 BUND caleb_strategy_v1 [1] 1073.05 187.784 -5.36525 10.7305 0 NaN 5.36525 2930 DAX caleb_strategy_v1 [1] 1.07305 -43.995 -1.07305 -1.07305 -3.21915 NaN -2.1461 2932 DAX caleb_strategy_v1 [1] 1.07305 -36.4837 -1.07305 2.1461 0 NaN 1.07305 2933 CRUDE_W caleb_strategy_v1 [-1] 1000 -325 -5 -10 -20 NaN -15 2934 GOLD_micro caleb_strategy_v1 [-1] 10 -176 -1 2 -0 NaN 1 2935 GOLD_micro caleb_strategy_v1 [-1] 10 -169.5 -1.5 -1 -4 NaN -2.5 2936 US5 caleb_strategy_v1 [-1] 1000 -429.688 -7.8125 7.813 -7.812 NaN 0.0005 2938 US20 caleb_strategy_v1 [-1] 1000 -546.875 -15.625 31.25 -0 NaN 15.625 2939 RUSSELL caleb_strategy_v1 [1] 5 11 -0.5 -0.5 -1.5 NaN -1 2940 EUR caleb_strategy_v1 [-1] 125000 -515.625 -3.125 6.25 -0 NaN 3.125 2942 US30 caleb_strategy_v1 [-1] 1000 -546.875 -15.625 -0 -31.25 NaN -15.625 2943 GBP caleb_strategy_v1 [1] 62500 209.375 -3.125 -6.25 -12.5 NaN -9.375 2944 VIX caleb_strategy_v1 [-1] 1000 -275 -25 -50 -100 NaN -75 2937 VIX caleb_strategy_v1 [-1] 1000 -225 -25 -50 -100 NaN -75 2945 DOW caleb_strategy_v1 [-1] 0.5 -7.25 -0.25 1 0.5 NaN 0.75 2946 DOW caleb_strategy_v1 [-1] 0.5 -7.75 -0.25 0.5 -0 NaN 0.25 2947 DOW caleb_strategy_v1 [-1] 0.5 -6.75 -0.25 -0.5 -1 NaN -0.75 2948 DOW caleb_strategy_v1 [-1] 0.5 -4.75 -0.25 -0.5 -1 NaN -0.75 2949 DOW caleb_strategy_v1 [-1] 0.5 -6.25 -0.25 -0.5 -1 NaN -0.75 2950 DOW caleb_strategy_v1 [-1] 0.5 -4.75 -0.25 0.5 -0 NaN 0.25 2951 DOW caleb_strategy_v1 [-1] 0.5 -6 -0.5 -1 -2 NaN -1.5 2952 DOW caleb_strategy_v1 [-1] 0.5 -8.5 -0.5 1 -0 NaN 0.5 2953 DOW caleb_strategy_v1 [-1] 0.5 -9.25 -0.25 -0 -0.5 NaN -0.25 2954 DOW caleb_strategy_v1 [-1] 0.5 -11.25 -0.25 -0.5 -1 NaN -0.75 2955 DOW caleb_strategy_v1 [-1] 0.5 -15.75 -0.25 0.5 -0 NaN 0.25 2956 DOW caleb_strategy_v1 [-1] 0.5 -15.25 -0.25 -1 NaN NaN -1.25 2957 DOW caleb_strategy_v1 [-1] 0.5 -16.75 -0.25 0.5 -0 NaN 0.25 2958 DOW caleb_strategy_v1 [-1] 0.5 -18.25 -0.25 -1 -1.5 NaN -1.25 2941 DOW caleb_strategy_v1 [-1] 0.5 -20 -0.5 1 -0 NaN 0.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BUND 187.78375 CRUDE_W -325.00000 DAX -80.47875 DOW -158.50000 EUR -515.62500 GBP 209.37500 GOLD_micro -345.50000 RUSSELL 11.00000 US20 -546.87500 US30 -546.87500 US5 -429.68750 VIX -500.00000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -3040.3825 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BUND -5.36525 CRUDE_W -5.00000 DAX -2.14610 DOW -4.50000 EUR -3.12500 GBP -3.12500 GOLD_micro -2.50000 RUSSELL -0.50000 US20 -15.62500 US30 -15.62500 US5 -7.81250 VIX -50.00000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -115.32385 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BUND 10.73050 CRUDE_W -10.00000 DAX 1.07305 DOW 0.00000 EUR 6.25000 GBP -6.25000 GOLD_micro 1.00000 RUSSELL -0.50000 US20 31.25000 US30 -0.00000 US5 7.81300 VIX -100.00000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -58.63345 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 0.00000 CRUDE_W -20.00000 DAX -3.21915 DOW -7.50000 EUR -0.00000 GBP -12.50000 GOLD_micro -4.00000 RUSSELL -1.50000 US20 -0.00000 US30 -31.25000 US5 -7.81200 VIX -200.00000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -287.78115 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 0 CRUDE_W 0 DAX 0 DOW 0 EUR 0 GBP 0 GOLD_micro 0 RUSSELL 0 US20 0 US30 0 US5 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 BUND 5.36525 CRUDE_W -15.00000 DAX -1.07305 DOW -4.50000 EUR 3.12500 GBP -9.37500 GOLD_micro -1.50000 RUSSELL -1.00000 US20 15.62500 US30 -15.62500 US5 0.00050 VIX -150.00000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -173.9573 ******************************************************************************** END OF REPORT ********************************************************************************