******************************************************************************** Trades report produced on 26/06/2023 21:38 from 25/06/2023 21:38 to 26/06/2023 21:38 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3318 BUND caleb_strategy_v1 [20230900] 2023-06-26 09:50:11 [-1] 134.870000 3321 COCOA caleb_strategy_v1 [20230900] 2023-06-26 14:00:41 [1] 3249.000000 3327 CORN caleb_strategy_v1 [20231200] 2023-06-26 15:30:19 [-1] 596.000000 3325 CORN caleb_strategy_v1 [20231200] 2023-06-26 15:30:07 [-1] 596.500000 3323 COTTON2 caleb_strategy_v1 [20231000] 2023-06-26 14:01:27 [-1] 78.700000 3319 EUROSTX caleb_strategy_v1 [20230900] 2023-06-26 09:50:12 [-1] 4264.000000 3320 EUROSTX caleb_strategy_v1 [20230900] 2023-06-26 09:50:24 [-1] 4265.000000 3322 GOLD_micro caleb_strategy_v1 [20230800] 2023-06-26 14:00:42 [-1] 1940.600000 3324 JPY caleb_strategy_v1 [20230900] 2023-06-26 15:00:01 [1] 0.007062 3308 NIKKEI caleb_strategy_v1 [20230900] 2023-06-26 03:00:22 [1] 32755.000000 3315 NIKKEI caleb_strategy_v1 [20230900] 2023-06-26 03:01:10 [1] 32760.000000 3314 NIKKEI caleb_strategy_v1 [20230900] 2023-06-26 03:01:08 [1] 32765.000000 3313 NIKKEI caleb_strategy_v1 [20230900] 2023-06-26 03:01:05 [1] 32765.000000 3312 NIKKEI caleb_strategy_v1 [20230900] 2023-06-26 03:00:52 [1] 32770.000000 3311 NIKKEI caleb_strategy_v1 [20230900] 2023-06-26 03:00:47 [1] 32770.000000 3310 NIKKEI caleb_strategy_v1 [20230900] 2023-06-26 03:00:42 [1] 32765.000000 3309 NIKKEI caleb_strategy_v1 [20230900] 2023-06-26 03:00:39 [1] 32750.000000 3316 NIKKEI caleb_strategy_v1 [20230900] 2023-06-26 03:01:12 [1] 32755.000000 3317 NIKKEI caleb_strategy_v1 [20230900] 2023-06-26 03:01:22 [1] 32760.000000 3326 WHEAT caleb_strategy_v1 [20231200] 2023-06-26 15:30:17 [1] 778.750000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3308 NIKKEI caleb_strategy_v1 2023-06-23 2023-06-26 03:00:19.837 2023-06-26 03:00:22 270020 2.163 3309 NIKKEI caleb_strategy_v1 2023-06-23 2023-06-26 03:00:36.300 2023-06-26 03:00:39 270036 2.7 3310 NIKKEI caleb_strategy_v1 2023-06-23 2023-06-26 03:00:41.768 2023-06-26 03:00:42 270042 0.232 3311 NIKKEI caleb_strategy_v1 2023-06-23 2023-06-26 03:00:44.606 2023-06-26 03:00:47 270045 2.394 3312 NIKKEI caleb_strategy_v1 2023-06-23 2023-06-26 03:00:49.283 2023-06-26 03:00:52 270049 2.717 3313 NIKKEI caleb_strategy_v1 2023-06-23 2023-06-26 03:00:54.371 2023-06-26 03:01:05 270054 10.629 3314 NIKKEI caleb_strategy_v1 2023-06-23 2023-06-26 03:01:07.861 2023-06-26 03:01:08 270068 0.139 3315 NIKKEI caleb_strategy_v1 2023-06-23 2023-06-26 03:01:09.890 2023-06-26 03:01:10 270070 0.11 3316 NIKKEI caleb_strategy_v1 2023-06-23 2023-06-26 03:01:11.981 2023-06-26 03:01:12 270072 0.019 3317 NIKKEI caleb_strategy_v1 2023-06-23 2023-06-26 03:01:13.958 2023-06-26 03:01:22 270074 8.042 3318 BUND caleb_strategy_v1 2023-06-23 2023-06-26 09:50:06.310 2023-06-26 09:50:11 294606 4.69 3320 EUROSTX caleb_strategy_v1 2023-06-23 2023-06-26 09:50:18.764 2023-06-26 09:50:24 294619 5.236 3319 EUROSTX caleb_strategy_v1 2023-06-23 2023-06-26 09:50:11.665 2023-06-26 09:50:12 294612 0.335 3321 COCOA caleb_strategy_v1 2023-06-23 2023-06-26 14:00:00.940 2023-06-26 14:00:41 309601 40.06 3322 GOLD_micro caleb_strategy_v1 2023-06-23 2023-06-26 14:00:42.606 2023-06-26 14:00:42 309643 NaN 3323 COTTON2 caleb_strategy_v1 2023-06-23 2023-06-26 14:00:43.301 2023-06-26 14:01:27 309643 43.699 3324 JPY caleb_strategy_v1 2023-06-23 2023-06-26 15:00:01.542 2023-06-26 15:00:01 313202 NaN 3326 WHEAT caleb_strategy_v1 2023-06-23 2023-06-26 15:30:07.483 2023-06-26 15:30:17 315007 9.517 3325 CORN caleb_strategy_v1 2023-06-23 2023-06-26 15:30:00.467 2023-06-26 15:30:07 315000 6.533 3327 CORN caleb_strategy_v1 2023-06-23 2023-06-26 15:30:19.217 2023-06-26 15:30:19 315019 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 3308 NIKKEI caleb_strategy_v1 [1] 32615 None 32747.5 32750 32745 32745 32755 -132.5 -2.5 -5 -10 NaN -7.5 3309 NIKKEI caleb_strategy_v1 [1] 32615 None 32752.5 32755 32750 32750 32750 -137.5 -2.5 5 0 NaN 2.5 3310 NIKKEI caleb_strategy_v1 [1] 32615 None 32747.5 32750 32745 32745 32765 -132.5 -2.5 -15 -20 NaN -17.5 3311 NIKKEI caleb_strategy_v1 [1] 32615 None 32762.5 32765 32760 32760 32770 -147.5 -2.5 -5 -10 NaN -7.5 3312 NIKKEI caleb_strategy_v1 [1] 32615 None 32767.5 32770 32765 32765 32770 -152.5 -2.5 0 -5 NaN -2.5 3313 NIKKEI caleb_strategy_v1 [1] 32615 None 32767.5 32770 32765 32765 32765 -152.5 -2.5 5 0 NaN 2.5 3314 NIKKEI caleb_strategy_v1 [1] 32615 None 32767.5 32770 32765 32765 32765 -152.5 -2.5 5 0 NaN 2.5 3315 NIKKEI caleb_strategy_v1 [1] 32615 None 32762.5 32765 32760 32760 32760 -147.5 -2.5 5 0 NaN 2.5 3316 NIKKEI caleb_strategy_v1 [1] 32615 None 32757.5 32760 32755 32755 32755 -142.5 -2.5 5 0 NaN 2.5 3317 NIKKEI caleb_strategy_v1 [1] 32615 None 32752.5 32755 32750 32750 32760 -137.5 -2.5 -5 -10 NaN -7.5 3318 BUND caleb_strategy_v1 [-1] 134.11 None 134.875 134.87 134.88 134.88 134.87 0.765 -0.005 -0 -0.01 NaN -0.005 3320 EUROSTX caleb_strategy_v1 [-1] 4294 None 4264 4263 4265 4265 4265 -30 -1 2 -0 NaN 1 3319 EUROSTX caleb_strategy_v1 [-1] 4294 None 4263.5 4263 4264 4264 4264 -30.5 -0.5 1 -0 NaN 0.5 3321 COCOA caleb_strategy_v1 [1] 3210 None 3248.5 3249 3248 3248 3249 -38.5 -0.5 0 -1 NaN -0.5 3322 GOLD_micro caleb_strategy_v1 [-1] 1930.8 None 1940.65 1940.6 1940.7 1940.7 1940.6 9.85 -0.05 -0 -0.1 NaN -0.05 3323 COTTON2 caleb_strategy_v1 [-1] 79.39 None 79.205 78.72 79.69 79.69 78.7 -0.185 -0.485 -0.02 -0.99 NaN -0.505 3324 JPY caleb_strategy_v1 [1] 0.007046 None 0.00706175 0.007062 0.0070615 NaN 0.007062 -1.575e-05 -2.5e-07 0 NaN NaN -2.5e-07 3326 WHEAT caleb_strategy_v1 [1] 758.75 None 779 779.25 778.75 778.75 778.75 -20.25 -0.25 0.5 0 NaN 0.25 3325 CORN caleb_strategy_v1 [-1] 584.25 None 596.375 596.25 596.5 596.5 596.5 12.125 -0.125 0.25 -0 NaN 0.125 3327 CORN caleb_strategy_v1 [-1] 584.25 None 598.125 596.25 600 600 596 13.875 -1.875 -0.25 -4 NaN -2.125 ================================================================================================================================================================ 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 3308 NIKKEI caleb_strategy_v1 [1] 5532.11 -239.511 -4.51907 -9.03814 -18.0763 NaN -13.5572 3309 NIKKEI caleb_strategy_v1 [1] 5532.11 -248.549 -4.51907 9.03814 0 NaN 4.51907 3310 NIKKEI caleb_strategy_v1 [1] 5532.11 -239.511 -4.51907 -27.1144 -36.1526 NaN -31.6335 3311 NIKKEI caleb_strategy_v1 [1] 5532.11 -266.625 -4.51907 -9.03814 -18.0763 NaN -13.5572 3312 NIKKEI caleb_strategy_v1 [1] 5532.11 -275.663 -4.51907 0 -9.03814 NaN -4.51907 3313 NIKKEI caleb_strategy_v1 [1] 5532.11 -275.663 -4.51907 9.03814 0 NaN 4.51907 3314 NIKKEI caleb_strategy_v1 [1] 5532.11 -275.663 -4.51907 9.03814 0 NaN 4.51907 3315 NIKKEI caleb_strategy_v1 [1] 5532.11 -266.625 -4.51907 9.03814 0 NaN 4.51907 3316 NIKKEI caleb_strategy_v1 [1] 5532.11 -257.587 -4.51907 9.03814 0 NaN 4.51907 3317 NIKKEI caleb_strategy_v1 [1] 5532.11 -248.549 -4.51907 -9.03814 -18.0763 NaN -13.5572 3318 BUND caleb_strategy_v1 [-1] 12.6059 606.858 -3.96639 -0 -7.93278 NaN -3.96639 3320 EUROSTX caleb_strategy_v1 [-1] 607.225 -494.051 -16.4684 32.9367 -0 NaN 16.4684 3319 EUROSTX caleb_strategy_v1 [-1] 607.225 -502.285 -8.23418 16.4684 -0 NaN 8.23418 3321 COCOA caleb_strategy_v1 [1] 537.178 -716.709 -9.30791 0 -18.6158 NaN -9.30791 3322 GOLD_micro caleb_strategy_v1 [-1] 250.304 393.521 -1.99757 -0 -3.99514 NaN -1.99757 3323 COTTON2 caleb_strategy_v1 [-1] 25.7085 -71.9606 -188.654 -7.77953 -385.087 NaN -196.433 3324 JPY caleb_strategy_v1 [1] 0.00065854 -239.166 -3.79628 0 NaN NaN -3.79628 3326 WHEAT caleb_strategy_v1 [1] 250.664 -807.856 -9.97353 19.9471 0 NaN 9.97353 3325 CORN caleb_strategy_v1 [-1] 199.172 608.772 -6.276 12.552 -0 NaN 6.276 3327 CORN caleb_strategy_v1 [-1] 199.172 696.636 -94.14 -12.552 -200.832 NaN -106.692 =========================================================================================================================================================================== 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 3308 NIKKEI caleb_strategy_v1 [1] 0.697554 -92.426 -1.74389 -3.48777 -6.97554 NaN -5.23166 3309 NIKKEI caleb_strategy_v1 [1] 0.697554 -95.9137 -1.74389 3.48777 0 NaN 1.74389 3310 NIKKEI caleb_strategy_v1 [1] 0.697554 -92.426 -1.74389 -10.4633 -13.9511 NaN -12.2072 3311 NIKKEI caleb_strategy_v1 [1] 0.697554 -102.889 -1.74389 -3.48777 -6.97554 NaN -5.23166 3312 NIKKEI caleb_strategy_v1 [1] 0.697554 -106.377 -1.74389 0 -3.48777 NaN -1.74389 3313 NIKKEI caleb_strategy_v1 [1] 0.697554 -106.377 -1.74389 3.48777 0 NaN 1.74389 3314 NIKKEI caleb_strategy_v1 [1] 0.697554 -106.377 -1.74389 3.48777 0 NaN 1.74389 3315 NIKKEI caleb_strategy_v1 [1] 0.697554 -102.889 -1.74389 3.48777 0 NaN 1.74389 3316 NIKKEI caleb_strategy_v1 [1] 0.697554 -99.4015 -1.74389 3.48777 0 NaN 1.74389 3317 NIKKEI caleb_strategy_v1 [1] 0.697554 -95.9137 -1.74389 -3.48777 -6.97554 NaN -5.23166 3318 BUND caleb_strategy_v1 [-1] 1090.6 834.309 -5.453 -0 -10.906 NaN -5.453 3320 EUROSTX caleb_strategy_v1 [-1] 10.906 -327.18 -10.906 21.812 -0 NaN 10.906 3319 EUROSTX caleb_strategy_v1 [-1] 10.906 -332.633 -5.453 10.906 -0 NaN 5.453 3321 COCOA caleb_strategy_v1 [1] 10 -385 -5 0 -10 NaN -5 3322 GOLD_micro caleb_strategy_v1 [-1] 10 98.5 -0.5 -0 -1 NaN -0.5 3323 COTTON2 caleb_strategy_v1 [-1] 500 -92.5 -242.5 -10 -495 NaN -252.5 3324 JPY caleb_strategy_v1 [1] 1.25e+07 -196.875 -3.125 0 NaN NaN -3.125 3326 WHEAT caleb_strategy_v1 [1] 50 -1012.5 -12.5 25 0 NaN 12.5 3325 CORN caleb_strategy_v1 [-1] 50 606.25 -6.25 12.5 -0 NaN 6.25 3327 CORN caleb_strategy_v1 [-1] 50 693.75 -93.75 -12.5 -200 NaN -106.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BUND 834.309000 COCOA -385.000000 CORN 1300.000000 COTTON2 -92.500000 EUROSTX -659.813000 GOLD_micro 98.500000 JPY -196.875000 NIKKEI -1000.990527 WHEAT -1012.500000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -1114.869527 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BUND -5.453000 COCOA -5.000000 CORN -100.000000 COTTON2 -242.500000 EUROSTX -16.359000 GOLD_micro -0.500000 JPY -3.125000 NIKKEI -17.438859 WHEAT -12.500000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -402.875859 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BUND -0.000000 COCOA 0.000000 CORN 0.000000 COTTON2 -10.000000 EUROSTX 32.718000 GOLD_micro -0.000000 JPY 0.000000 NIKKEI -3.487772 WHEAT 25.000000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 44.230228 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND -10.906000 COCOA -10.000000 CORN -200.000000 COTTON2 -495.000000 EUROSTX -0.000000 GOLD_micro -1.000000 JPY 0.000000 NIKKEI -38.365491 WHEAT 0.000000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -755.271491 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 0 COCOA 0 CORN 0 COTTON2 0 EUROSTX 0 GOLD_micro 0 JPY 0 NIKKEI 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 BUND -5.453000 COCOA -5.000000 CORN -100.000000 COTTON2 -252.500000 EUROSTX 16.359000 GOLD_micro -0.500000 JPY -3.125000 NIKKEI -20.926631 WHEAT 12.500000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -358.645631 ******************************************************************************** END OF REPORT ********************************************************************************