******************************************************************************** Trades report produced on 16/06/2023 21:38 from 15/06/2023 21:38 to 16/06/2023 21:38 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3209 BTP caleb_strategy_v1 [20230900] 2023-06-16 09:09:14 [1] 115.570000 3212 BTP caleb_strategy_v1 [20230900] 2023-06-16 09:09:55 [1] 115.540000 3210 BUND caleb_strategy_v1 [20230900] 2023-06-16 09:09:18 [-1] 132.360000 3213 BUND caleb_strategy_v1 [20230900] 2023-06-16 09:10:00 [-1] 132.340000 3220 COCOA caleb_strategy_v1 [20230900] 2023-06-16 14:00:20 [1] 3226.000000 3216 COCOA caleb_strategy_v1 [20230900] 2023-06-16 14:00:11 [1] 3226.000000 3233 CORN caleb_strategy_v1 [20231200] 2023-06-16 15:30:04 [1] 591.250000 3234 CORN caleb_strategy_v1 [20231200] 2023-06-16 15:30:06 [1] 591.250000 3215 CRUDE_W caleb_strategy_v1 [20231200] 2023-06-16 14:00:01 [-1] 70.740000 3214 EUROSTX caleb_strategy_v1 [20230900] 2023-06-16 09:10:04 [1] 4403.000000 3211 EUROSTX caleb_strategy_v1 [20230900] 2023-06-16 09:09:40 [1] 4401.000000 3217 GAS_US caleb_strategy_v1 [20230800] 2023-06-16 14:00:15 [1] 2.651000 3218 GAS_US caleb_strategy_v1 [20230900] 2023-06-16 14:00:17 [1] 2.643000 3221 GAS_US caleb_strategy_v1 [20230800] 2023-06-16 14:00:20 [1] 2.651000 3232 LEANHOG caleb_strategy_v1 [20231000] 2023-06-16 15:30:04 [1] 79.925000 3231 SOYBEAN caleb_strategy_v1 [20231100] 2023-06-16 15:30:03 [1] 1334.250000 3225 SP400 caleb_strategy_v1 [20230900] 2023-06-16 15:00:04 [1] 2613.000000 3219 SUGAR11 caleb_strategy_v1 [20231000] 2023-06-16 14:00:18 [1] 25.720000 3222 SUGAR11 caleb_strategy_v1 [20231000] 2023-06-16 14:00:20 [1] 25.720000 3224 US20 caleb_strategy_v1 [20230900] 2023-06-16 15:00:03 [1] 127.500000 3227 US20 caleb_strategy_v1 [20230900] 2023-06-16 15:00:07 [1] 127.531250 3229 US20 caleb_strategy_v1 [20230900] 2023-06-16 15:00:12 [1] 127.593750 3230 US20 caleb_strategy_v1 [20230900] 2023-06-16 15:00:14 [1] 127.562500 3223 US30 caleb_strategy_v1 [20230900] 2023-06-16 15:00:02 [-1] 136.656250 3228 US5 caleb_strategy_v1 [20230900] 2023-06-16 15:00:08 [-1] 107.945313 3226 US5 caleb_strategy_v1 [20230900] 2023-06-16 15:00:05 [-1] 107.921875 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3209 BTP caleb_strategy_v1 2023-06-15 2023-06-16 09:09:06.686 2023-06-16 09:09:14 119347 7.314 3212 BTP caleb_strategy_v1 2023-06-15 2023-06-16 09:09:55.800 2023-06-16 09:09:55 119396 NaN 3210 BUND caleb_strategy_v1 2023-06-15 2023-06-16 09:09:14.878 2023-06-16 09:09:18 119355 3.122 3213 BUND caleb_strategy_v1 2023-06-15 2023-06-16 09:09:56.383 2023-06-16 09:10:00 119396 3.617 3211 EUROSTX caleb_strategy_v1 2023-06-15 2023-06-16 09:09:18.944 2023-06-16 09:09:40 119359 21.056 3214 EUROSTX caleb_strategy_v1 2023-06-15 2023-06-16 09:10:00.858 2023-06-16 09:10:04 119401 3.142 3215 CRUDE_W caleb_strategy_v1 2023-06-15 2023-06-16 14:00:01.693 2023-06-16 14:00:01 136802 NaN 3216 COCOA caleb_strategy_v1 2023-06-15 2023-06-16 14:00:02.751 2023-06-16 14:00:11 136803 8.249 3220 COCOA caleb_strategy_v1 2023-06-15 2023-06-16 14:00:20.132 2023-06-16 14:00:20 136820 NaN 3217 GAS_US caleb_strategy_v1 2023-06-15 2023-06-16 14:00:12.434 2023-06-16 14:00:15 136812 2.566 3218 GAS_US caleb_strategy_v1 2023-06-15 2023-06-16 14:00:15.818 2023-06-16 14:00:17 136816 1.182 3221 GAS_US caleb_strategy_v1 2023-06-15 2023-06-16 14:00:20.450 2023-06-16 14:00:20 136820 NaN 3219 SUGAR11 caleb_strategy_v1 2023-06-15 2023-06-16 14:00:18.149 2023-06-16 14:00:18 136818 NaN 3222 SUGAR11 caleb_strategy_v1 2023-06-15 2023-06-16 14:00:20.852 2023-06-16 14:00:20 136821 NaN 3223 US30 caleb_strategy_v1 2023-06-15 2023-06-16 15:00:01.222 2023-06-16 15:00:02 140401 0.778 3225 SP400 caleb_strategy_v1 2023-06-15 2023-06-16 15:00:03.858 2023-06-16 15:00:04 140404 0.142 3226 US5 caleb_strategy_v1 2023-06-15 2023-06-16 15:00:05.699 2023-06-16 15:00:05 140406 NaN 3228 US5 caleb_strategy_v1 2023-06-15 2023-06-16 15:00:08.216 2023-06-16 15:00:08 140408 NaN 3224 US20 caleb_strategy_v1 2023-06-15 2023-06-16 15:00:02.819 2023-06-16 15:00:03 140403 0.181 3227 US20 caleb_strategy_v1 2023-06-15 2023-06-16 15:00:07.683 2023-06-16 15:00:07 140408 NaN 3229 US20 caleb_strategy_v1 2023-06-15 2023-06-16 15:00:09.999 2023-06-16 15:00:12 140410 2.001 3230 US20 caleb_strategy_v1 2023-06-15 2023-06-16 15:00:14.228 2023-06-16 15:00:14 140414 NaN 3231 SOYBEAN caleb_strategy_v1 2023-06-15 2023-06-16 15:30:01.716 2023-06-16 15:30:03 142202 1.284 3232 LEANHOG caleb_strategy_v1 2023-06-15 2023-06-16 15:30:03.887 2023-06-16 15:30:04 142204 0.113 3233 CORN caleb_strategy_v1 2023-06-15 2023-06-16 15:30:04.552 2023-06-16 15:30:04 142205 NaN 3234 CORN caleb_strategy_v1 2023-06-15 2023-06-16 15:30:06.568 2023-06-16 15:30:06 142207 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 3209 BTP caleb_strategy_v1 [1] 115.84 None 115.575 115.58 115.57 115.57 115.57 0.265 -0.005 0.01 1.42109e-14 NaN 0.005 3212 BTP caleb_strategy_v1 [1] 115.84 None 115.575 115.58 115.57 115.57 115.54 0.265 -0.005 0.04 0.03 NaN 0.035 3210 BUND caleb_strategy_v1 [-1] 132.69 None 132.365 132.36 132.37 132.37 132.36 -0.325 -0.005 -0 -0.01 NaN -0.005 3213 BUND caleb_strategy_v1 [-1] 132.69 None 132.355 132.35 132.36 132.36 132.34 -0.335 -0.005 -0.01 -0.02 NaN -0.015 3211 EUROSTX caleb_strategy_v1 [1] 4401 None 4401.5 4402 4401 4401 4401 -0.5 -0.5 1 0 NaN 0.5 3214 EUROSTX caleb_strategy_v1 [1] 4401 None 4401.5 4402 4401 4401 4403 -0.5 -0.5 -1 -2 NaN -1.5 3215 CRUDE_W caleb_strategy_v1 [-1] 70.24 None 70.75 70.74 70.76 70.76 70.74 0.51 -0.01 -0 -0.02 NaN -0.01 3216 COCOA caleb_strategy_v1 [1] 3254 None 3226.5 3227 3226 3226 3226 27.5 -0.5 1 0 NaN 0.5 3220 COCOA caleb_strategy_v1 [1] 3254 None 3226.5 3227 3226 3226 3226 27.5 -0.5 1 0 NaN 0.5 3217 GAS_US caleb_strategy_v1 [1] 2.621 None 2.6495 2.65 2.649 2.649 2.651 -0.0285 -0.0005 -0.001 -0.002 NaN -0.0015 3218 GAS_US caleb_strategy_v1 [1] 2.615 None 2.644 2.645 2.643 2.643 2.643 -0.029 -0.001 0.002 4.44089e-16 NaN 0.001 3221 GAS_US caleb_strategy_v1 [1] 2.621 None 2.65 2.651 2.649 NaN 2.651 -0.029 -0.001 0 NaN NaN -0.001 3219 SUGAR11 caleb_strategy_v1 [1] 25.63 None 25.715 25.72 25.71 25.71 25.72 -0.085 -0.005 0 -0.01 NaN -0.005 3222 SUGAR11 caleb_strategy_v1 [1] 25.63 None 25.86 25.72 26 26 25.72 -0.23 0.14 0 0.28 NaN 0.14 3223 US30 caleb_strategy_v1 [-1] 136.906 None 136.625 136.594 136.656 136.656 136.656 -0.28125 -0.03125 0.0625 -0 NaN 0.03125 3225 SP400 caleb_strategy_v1 [1] 2614.7 None 2611.05 2611.9 2610.2 2610.2 2613 3.65 -0.85 -1.1 -2.8 NaN -1.95 3226 US5 caleb_strategy_v1 [-1] 108.164 None 107.918 107.914 107.922 107.922 107.922 -0.246094 -0.00390625 0.0078125 -0 NaN 0.00390625 3228 US5 caleb_strategy_v1 [-1] 108.164 None 107.926 107.922 107.93 107.93 107.945 -0.238281 -0.00390625 0.023438 0.0156255 NaN 0.0195317 3224 US20 caleb_strategy_v1 [1] 127.844 None 127.516 127.531 127.5 127.5 127.5 0.328125 -0.015625 0.03125 0 NaN 0.015625 3227 US20 caleb_strategy_v1 [1] 127.844 None 127.484 127.5 127.469 127.469 127.531 0.359375 -0.015625 -0.03125 -0.0625 NaN -0.046875 3229 US20 caleb_strategy_v1 [1] 127.844 None 127.531 127.562 127.5 127.5 127.594 0.3125 -0.03125 -0.03125 -0.09375 NaN -0.0625 3230 US20 caleb_strategy_v1 [1] 127.844 None 127.578 127.594 127.562 127.562 127.562 0.265625 -0.015625 0.03125 0 NaN 0.015625 3231 SOYBEAN caleb_strategy_v1 [1] 1292.25 None 1334.38 1334.5 1334.25 1334.25 1334.25 -42.125 -0.125 0.25 0 NaN 0.125 3232 LEANHOG caleb_strategy_v1 [1] 80.15 None 79.875 79.925 79.825 79.825 79.925 0.275 -0.05 0 -0.1 NaN -0.05 3233 CORN caleb_strategy_v1 [1] 573.5 None 591.125 591.25 591 591 591.25 -17.625 -0.125 0 -0.25 NaN -0.125 3234 CORN caleb_strategy_v1 [1] 573.5 None 595.625 591.25 600 600 591.25 -22.125 4.375 0 8.75 NaN 4.375 ================================================================================================================================================================ 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 3209 BTP caleb_strategy_v1 [1] 11.5138 230.159 -4.34262 8.68524 1.23425e-11 NaN 4.34262 3212 BTP caleb_strategy_v1 [1] 11.5138 230.159 -4.34262 34.7409 26.0557 NaN 30.3983 3210 BUND caleb_strategy_v1 [-1] 11.2295 -289.416 -4.45256 -0 -8.90511 NaN -4.45256 3213 BUND caleb_strategy_v1 [-1] 11.2295 -298.321 -4.45256 -8.90511 -17.8102 NaN -13.3577 3211 EUROSTX caleb_strategy_v1 [1] 619.774 -8.06746 -8.06746 16.1349 0 NaN 8.06746 3214 EUROSTX caleb_strategy_v1 [1] 619.774 -8.06746 -8.06746 -16.1349 -32.2698 NaN -24.2024 3215 CRUDE_W caleb_strategy_v1 [-1] 24.714 206.361 -4.04629 -0 -8.09258 NaN -4.04629 3216 COCOA caleb_strategy_v1 [1] 531.045 517.847 -9.41539 18.8308 0 NaN 9.41539 3220 COCOA caleb_strategy_v1 [1] 531.045 517.847 -9.41539 18.8308 0 NaN 9.41539 3217 GAS_US caleb_strategy_v1 [1] 2.10903 -135.133 -2.37076 -4.74153 -9.48305 NaN -7.11229 3218 GAS_US caleb_strategy_v1 [1] 2.10903 -137.504 -4.74153 9.48305 2.10566e-12 NaN 4.74153 3221 GAS_US caleb_strategy_v1 [1] 2.10903 -137.504 -4.74153 0 NaN NaN -4.74153 3219 SUGAR11 caleb_strategy_v1 [1] 5.69316 -149.302 -8.78247 0 -17.5649 NaN -8.78247 3222 SUGAR11 caleb_strategy_v1 [1] 5.69316 -403.994 245.909 0 491.818 NaN 245.909 3223 US30 caleb_strategy_v1 [-1] 20.9929 -133.974 -14.886 29.7719 -0 NaN 14.886 3225 SP400 caleb_strategy_v1 [1] 492.58 74.0996 -17.2561 -22.3314 -56.8435 NaN -39.5874 3226 US5 caleb_strategy_v1 [-1] 5.73022 -429.467 -6.81693 13.6339 -0 NaN 6.81693 3228 US5 caleb_strategy_v1 [-1] 5.73022 -415.833 -6.81693 40.9025 27.2686 NaN 34.0855 3224 US20 caleb_strategy_v1 [1] 15.1801 216.154 -10.2931 20.5861 0 NaN 10.2931 3227 US20 caleb_strategy_v1 [1] 15.1801 236.74 -10.2931 -20.5861 -41.1722 NaN -30.8792 3229 US20 caleb_strategy_v1 [1] 15.1801 205.861 -20.5861 -20.5861 -61.7583 NaN -41.1722 3230 US20 caleb_strategy_v1 [1] 15.1801 174.982 -10.2931 20.5861 0 NaN 10.2931 3231 SOYBEAN caleb_strategy_v1 [1] 294.853 -1428.68 -4.2394 8.4788 0 NaN 4.2394 3232 LEANHOG caleb_strategy_v1 [1] 27.6506 99.4554 -18.0828 0 -36.1656 NaN -18.0828 3233 CORN caleb_strategy_v1 [1] 151.919 -1160.16 -8.22806 0 -16.4561 NaN -8.22806 3234 CORN caleb_strategy_v1 [1] 151.919 -1456.37 287.982 0 575.964 NaN 287.982 =========================================================================================================================================================================== 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 3209 BTP caleb_strategy_v1 [1] 1094.3 289.99 -5.4715 10.943 1.55509e-11 NaN 5.4715 3212 BTP caleb_strategy_v1 [1] 1094.3 289.99 -5.4715 43.772 32.829 NaN 38.3005 3210 BUND caleb_strategy_v1 [-1] 1094.3 -355.647 -5.4715 -0 -10.943 NaN -5.4715 3213 BUND caleb_strategy_v1 [-1] 1094.3 -366.59 -5.4715 -10.943 -21.886 NaN -16.4145 3211 EUROSTX caleb_strategy_v1 [1] 10.943 -5.4715 -5.4715 10.943 0 NaN 5.4715 3214 EUROSTX caleb_strategy_v1 [1] 10.943 -5.4715 -5.4715 -10.943 -21.886 NaN -16.4145 3215 CRUDE_W caleb_strategy_v1 [-1] 1000 510 -10 -0 -20 NaN -10 3216 COCOA caleb_strategy_v1 [1] 10 275 -5 10 0 NaN 5 3220 COCOA caleb_strategy_v1 [1] 10 275 -5 10 0 NaN 5 3217 GAS_US caleb_strategy_v1 [1] 10000 -285 -5 -10 -20 NaN -15 3218 GAS_US caleb_strategy_v1 [1] 10000 -290 -10 20 4.44089e-12 NaN 10 3221 GAS_US caleb_strategy_v1 [1] 10000 -290 -10 0 NaN NaN -10 3219 SUGAR11 caleb_strategy_v1 [1] 1120 -95.2 -5.6 0 -11.2 NaN -5.6 3222 SUGAR11 caleb_strategy_v1 [1] 1120 -257.6 156.8 0 313.6 NaN 156.8 3223 US30 caleb_strategy_v1 [-1] 1000 -281.25 -31.25 62.5 -0 NaN 31.25 3225 SP400 caleb_strategy_v1 [1] 100 365 -85 -110 -280 NaN -195 3226 US5 caleb_strategy_v1 [-1] 1000 -246.094 -3.90625 7.8125 -0 NaN 3.90625 3228 US5 caleb_strategy_v1 [-1] 1000 -238.281 -3.90625 23.438 15.6255 NaN 19.5317 3224 US20 caleb_strategy_v1 [1] 1000 328.125 -15.625 31.25 0 NaN 15.625 3227 US20 caleb_strategy_v1 [1] 1000 359.375 -15.625 -31.25 -62.5 NaN -46.875 3229 US20 caleb_strategy_v1 [1] 1000 312.5 -31.25 -31.25 -93.75 NaN -62.5 3230 US20 caleb_strategy_v1 [1] 1000 265.625 -15.625 31.25 0 NaN 15.625 3231 SOYBEAN caleb_strategy_v1 [1] 50 -2106.25 -6.25 12.5 0 NaN 6.25 3232 LEANHOG caleb_strategy_v1 [1] 400 110 -20 0 -40 NaN -20 3233 CORN caleb_strategy_v1 [1] 50 -881.25 -6.25 0 -12.5 NaN -6.25 3234 CORN caleb_strategy_v1 [1] 50 -1106.25 218.75 0 437.5 NaN 218.75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BTP 579.979 BUND -722.238 COCOA 550.000 CORN -1987.500 CRUDE_W 510.000 EUROSTX -10.943 GAS_US -865.000 LEANHOG 110.000 SOYBEAN -2106.250 SP400 365.000 SUGAR11 -352.800 US20 1265.625 US30 -281.250 US5 -484.375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -3429.752 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BTP -10.9430 BUND -10.9430 COCOA -10.0000 CORN 212.5000 CRUDE_W -10.0000 EUROSTX -10.9430 GAS_US -25.0000 LEANHOG -20.0000 SOYBEAN -6.2500 SP400 -85.0000 SUGAR11 151.2000 US20 -78.1250 US30 -31.2500 US5 -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 57.4335 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BTP 54.7150 BUND -10.9430 COCOA 20.0000 CORN 0.0000 CRUDE_W -0.0000 EUROSTX 0.0000 GAS_US 10.0000 LEANHOG 0.0000 SOYBEAN 12.5000 SP400 -110.0000 SUGAR11 0.0000 US20 0.0000 US30 62.5000 US5 31.2505 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 70.0225 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BTP 32.8290 BUND -32.8290 COCOA 0.0000 CORN 425.0000 CRUDE_W -20.0000 EUROSTX -21.8860 GAS_US -20.0000 LEANHOG -40.0000 SOYBEAN 0.0000 SP400 -280.0000 SUGAR11 302.4000 US20 -156.2500 US30 -0.0000 US5 15.6255 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 204.8895 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BTP 0 BUND 0 COCOA 0 CORN 0 CRUDE_W 0 EUROSTX 0 GAS_US 0 LEANHOG 0 SOYBEAN 0 SP400 0 SUGAR11 0 US20 0 US30 0 US5 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 43.772 BUND -21.886 COCOA 10.000 CORN 212.500 CRUDE_W -10.000 EUROSTX -10.943 GAS_US -15.000 LEANHOG -20.000 SOYBEAN 6.250 SP400 -195.000 SUGAR11 151.200 US20 -78.125 US30 31.250 US5 23.438 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 127.456 ******************************************************************************** END OF REPORT ********************************************************************************