******************************************************************************** Trades report produced on 29/06/2023 21:38 from 28/06/2023 21:38 to 29/06/2023 21:38 ******************************************************************************** ================================================================================================ Broker orders ================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3410 BITCOIN caleb_strategy_v3 [20230700] 2023-06-29 15:00:15 [1] 31020.0 3409 BITCOIN caleb_strategy_v3 [20230700] 2023-06-29 15:00:14 [1] 31010.0 3407 EUROSTX caleb_strategy_v3 [20230900] 2023-06-29 08:00:03 [1] 4373.0 3391 NIKKEI caleb_strategy_v3 [20230900] 2023-06-29 03:00:21 [1] 33480.0 3406 NIKKEI caleb_strategy_v3 [20230900] 2023-06-29 03:01:47 [1] 33495.0 3405 NIKKEI caleb_strategy_v3 [20230900] 2023-06-29 03:01:44 [1] 33495.0 3404 NIKKEI caleb_strategy_v3 [20230900] 2023-06-29 03:01:31 [1] 33500.0 3403 NIKKEI caleb_strategy_v3 [20230900] 2023-06-29 03:01:28 [1] 33505.0 3402 NIKKEI caleb_strategy_v3 [20230900] 2023-06-29 03:01:26 [1] 33500.0 3392 NIKKEI caleb_strategy_v3 [20230900] 2023-06-29 03:00:34 [1] 33485.0 3399 NIKKEI caleb_strategy_v3 [20230900] 2023-06-29 03:01:06 [1] 33495.0 3398 NIKKEI caleb_strategy_v3 [20230900] 2023-06-29 03:01:00 [1] 33490.0 3397 NIKKEI caleb_strategy_v3 [20230900] 2023-06-29 03:00:50 [1] 33485.0 3396 NIKKEI caleb_strategy_v3 [20230900] 2023-06-29 03:00:46 [1] 33480.0 3395 NIKKEI caleb_strategy_v3 [20230900] 2023-06-29 03:00:43 [1] 33485.0 3394 NIKKEI caleb_strategy_v3 [20230900] 2023-06-29 03:00:41 [1] 33480.0 3393 NIKKEI caleb_strategy_v3 [20230900] 2023-06-29 03:00:39 [1] 33480.0 3400 NIKKEI caleb_strategy_v3 [20230900] 2023-06-29 03:01:19 [1] 33500.0 3401 NIKKEI caleb_strategy_v3 [20230900] 2023-06-29 03:01:23 [1] 33495.0 3408 SP400 caleb_strategy_v3 [20230900] 2023-06-29 15:00:11 [1] 2615.3 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3392 NIKKEI caleb_strategy_v3 2023-06-27 2023-06-29 03:00:34.517 2023-06-29 03:00:34 183635 NaN 3393 NIKKEI caleb_strategy_v3 2023-06-27 2023-06-29 03:00:36.843 2023-06-29 03:00:39 183637 2.157 3394 NIKKEI caleb_strategy_v3 2023-06-27 2023-06-29 03:00:40.798 2023-06-29 03:00:41 183641 0.202 3395 NIKKEI caleb_strategy_v3 2023-06-27 2023-06-29 03:00:43.148 2023-06-29 03:00:43 183643 NaN 3396 NIKKEI caleb_strategy_v3 2023-06-27 2023-06-29 03:00:45.399 2023-06-29 03:00:46 183645 0.601 3397 NIKKEI caleb_strategy_v3 2023-06-27 2023-06-29 03:00:47.935 2023-06-29 03:00:50 183648 2.065 3398 NIKKEI caleb_strategy_v3 2023-06-27 2023-06-29 03:00:52.718 2023-06-29 03:01:00 183653 7.282 3399 NIKKEI caleb_strategy_v3 2023-06-27 2023-06-29 03:01:02.637 2023-06-29 03:01:06 183663 3.363 3400 NIKKEI caleb_strategy_v3 2023-06-27 2023-06-29 03:01:08.433 2023-06-29 03:01:19 183668 10.567 3401 NIKKEI caleb_strategy_v3 2023-06-27 2023-06-29 03:01:21.406 2023-06-29 03:01:23 183681 1.594 3402 NIKKEI caleb_strategy_v3 2023-06-27 2023-06-29 03:01:24.788 2023-06-29 03:01:26 183685 1.212 3403 NIKKEI caleb_strategy_v3 2023-06-27 2023-06-29 03:01:28.251 2023-06-29 03:01:28 183688 NaN 3404 NIKKEI caleb_strategy_v3 2023-06-27 2023-06-29 03:01:30.208 2023-06-29 03:01:31 183690 0.792 3405 NIKKEI caleb_strategy_v3 2023-06-27 2023-06-29 03:01:33.737 2023-06-29 03:01:44 183694 10.263 3406 NIKKEI caleb_strategy_v3 2023-06-27 2023-06-29 03:01:46.783 2023-06-29 03:01:47 183707 0.217 3391 NIKKEI caleb_strategy_v3 2023-06-27 2023-06-29 03:00:17.234 2023-06-29 03:00:21 183617 3.766 3407 EUROSTX caleb_strategy_v3 2023-06-28 2023-06-29 08:00:02.175 2023-06-29 08:00:03 115202 0.825 3408 SP400 caleb_strategy_v3 2023-06-28 2023-06-29 15:00:01.326 2023-06-29 15:00:11 140401 9.674 3409 BITCOIN caleb_strategy_v3 2023-06-28 2023-06-29 15:00:12.408 2023-06-29 15:00:14 140412 1.592 3410 BITCOIN caleb_strategy_v3 2023-06-28 2023-06-29 15:00:15.686 2023-06-29 15:00:15 140416 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 3392 NIKKEI caleb_strategy_v3 [1] 32820 None 33477.5 33480 33475 33475 33485 -657.5 -2.5 -5 -10 NaN -7.5 3393 NIKKEI caleb_strategy_v3 [1] 32820 None 33482.5 33485 33480 33480 33480 -662.5 -2.5 5 0 NaN 2.5 3394 NIKKEI caleb_strategy_v3 [1] 32820 None 33482.5 33485 33480 33480 33480 -662.5 -2.5 5 0 NaN 2.5 3395 NIKKEI caleb_strategy_v3 [1] 32820 None 33477.5 33480 33475 33475 33485 -657.5 -2.5 -5 -10 NaN -7.5 3396 NIKKEI caleb_strategy_v3 [1] 32820 None 33482.5 33485 33480 33480 33480 -662.5 -2.5 5 0 NaN 2.5 3397 NIKKEI caleb_strategy_v3 [1] 32820 None 33480 33485 33475 33475 33485 -660 -5 0 -10 NaN -5 3398 NIKKEI caleb_strategy_v3 [1] 32820 None 33482.5 33485 33480 33480 33490 -662.5 -2.5 -5 -10 NaN -7.5 3399 NIKKEI caleb_strategy_v3 [1] 32820 None 33487.5 33490 33485 33485 33495 -667.5 -2.5 -5 -10 NaN -7.5 3400 NIKKEI caleb_strategy_v3 [1] 32820 None 33492.5 33495 33490 33490 33500 -672.5 -2.5 -5 -10 NaN -7.5 3401 NIKKEI caleb_strategy_v3 [1] 32820 None 33497.5 33500 33495 33495 33495 -677.5 -2.5 5 0 NaN 2.5 3402 NIKKEI caleb_strategy_v3 [1] 32820 None 33497.5 33500 33495 33495 33500 -677.5 -2.5 0 -5 NaN -2.5 3403 NIKKEI caleb_strategy_v3 [1] 32820 None 33497.5 33500 33495 NaN 33505 -677.5 -2.5 -5 NaN NaN -7.5 3404 NIKKEI caleb_strategy_v3 [1] 32820 None 33502.5 33505 33500 33500 33500 -682.5 -2.5 5 0 NaN 2.5 3405 NIKKEI caleb_strategy_v3 [1] 32820 None 33497.5 33500 33495 33495 33495 -677.5 -2.5 5 0 NaN 2.5 3406 NIKKEI caleb_strategy_v3 [1] 32820 None 33497.5 33500 33495 33495 33495 -677.5 -2.5 5 0 NaN 2.5 3391 NIKKEI caleb_strategy_v3 [1] 32820 None 33472.5 33475 33470 33470 33480 -652.5 -2.5 -5 -10 NaN -7.5 3407 EUROSTX caleb_strategy_v3 [1] 4371 None 4373.5 4374 4373 4373 4373 -2.5 -0.5 1 0 NaN 0.5 3408 SP400 caleb_strategy_v3 [1] 2593.3 None 2614.85 2615.3 2614.4 2614.4 2615.3 -21.55 -0.45 0 -0.9 NaN -0.45 3409 BITCOIN caleb_strategy_v3 [1] 30570 None 30992.5 31010 30975 30975 31010 -422.5 -17.5 0 -35 NaN -17.5 3410 BITCOIN caleb_strategy_v3 [1] 30570 None 30995 31010 30980 30980 31020 -425 -15 -10 -40 NaN -25 ================================================================================================================================================================ 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 3392 NIKKEI caleb_strategy_v3 [1] 5446 -1207.31 -4.59053 -9.18105 -18.3621 NaN -13.7716 3393 NIKKEI caleb_strategy_v3 [1] 5446 -1216.49 -4.59053 9.18105 0 NaN 4.59053 3394 NIKKEI caleb_strategy_v3 [1] 5446 -1216.49 -4.59053 9.18105 0 NaN 4.59053 3395 NIKKEI caleb_strategy_v3 [1] 5446 -1207.31 -4.59053 -9.18105 -18.3621 NaN -13.7716 3396 NIKKEI caleb_strategy_v3 [1] 5446 -1216.49 -4.59053 9.18105 0 NaN 4.59053 3397 NIKKEI caleb_strategy_v3 [1] 5446 -1211.9 -9.18105 0 -18.3621 NaN -9.18105 3398 NIKKEI caleb_strategy_v3 [1] 5446 -1216.49 -4.59053 -9.18105 -18.3621 NaN -13.7716 3399 NIKKEI caleb_strategy_v3 [1] 5446 -1225.67 -4.59053 -9.18105 -18.3621 NaN -13.7716 3400 NIKKEI caleb_strategy_v3 [1] 5446 -1234.85 -4.59053 -9.18105 -18.3621 NaN -13.7716 3401 NIKKEI caleb_strategy_v3 [1] 5446 -1244.03 -4.59053 9.18105 0 NaN 4.59053 3402 NIKKEI caleb_strategy_v3 [1] 5446 -1244.03 -4.59053 0 -9.18105 NaN -4.59053 3403 NIKKEI caleb_strategy_v3 [1] 5446 -1244.03 -4.59053 -9.18105 NaN NaN -13.7716 3404 NIKKEI caleb_strategy_v3 [1] 5446 -1253.21 -4.59053 9.18105 0 NaN 4.59053 3405 NIKKEI caleb_strategy_v3 [1] 5446 -1244.03 -4.59053 9.18105 0 NaN 4.59053 3406 NIKKEI caleb_strategy_v3 [1] 5446 -1244.03 -4.59053 9.18105 0 NaN 4.59053 3391 NIKKEI caleb_strategy_v3 [1] 5446 -1198.13 -4.59053 -9.18105 -18.3621 NaN -13.7716 3407 EUROSTX caleb_strategy_v3 [1] 595.251 -41.9991 -8.39981 16.7996 0 NaN 8.39981 3408 SP400 caleb_strategy_v3 [1] 463.03 -465.413 -9.7186 0 -19.4372 NaN -9.7186 3409 BITCOIN caleb_strategy_v3 [1] 15697.6 -269.149 -11.1482 0 -22.2964 NaN -11.1482 3410 BITCOIN caleb_strategy_v3 [1] 15697.6 -270.742 -9.55558 -6.37039 -25.4816 NaN -15.926 =========================================================================================================================================================================== 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 3392 NIKKEI caleb_strategy_v3 [1] 0.691733 -454.814 -1.72933 -3.45866 -6.91733 NaN -5.188 3393 NIKKEI caleb_strategy_v3 [1] 0.691733 -458.273 -1.72933 3.45866 0 NaN 1.72933 3394 NIKKEI caleb_strategy_v3 [1] 0.691733 -458.273 -1.72933 3.45866 0 NaN 1.72933 3395 NIKKEI caleb_strategy_v3 [1] 0.691733 -454.814 -1.72933 -3.45866 -6.91733 NaN -5.188 3396 NIKKEI caleb_strategy_v3 [1] 0.691733 -458.273 -1.72933 3.45866 0 NaN 1.72933 3397 NIKKEI caleb_strategy_v3 [1] 0.691733 -456.544 -3.45866 0 -6.91733 NaN -3.45866 3398 NIKKEI caleb_strategy_v3 [1] 0.691733 -458.273 -1.72933 -3.45866 -6.91733 NaN -5.188 3399 NIKKEI caleb_strategy_v3 [1] 0.691733 -461.732 -1.72933 -3.45866 -6.91733 NaN -5.188 3400 NIKKEI caleb_strategy_v3 [1] 0.691733 -465.19 -1.72933 -3.45866 -6.91733 NaN -5.188 3401 NIKKEI caleb_strategy_v3 [1] 0.691733 -468.649 -1.72933 3.45866 0 NaN 1.72933 3402 NIKKEI caleb_strategy_v3 [1] 0.691733 -468.649 -1.72933 0 -3.45866 NaN -1.72933 3403 NIKKEI caleb_strategy_v3 [1] 0.691733 -468.649 -1.72933 -3.45866 NaN NaN -5.188 3404 NIKKEI caleb_strategy_v3 [1] 0.691733 -472.108 -1.72933 3.45866 0 NaN 1.72933 3405 NIKKEI caleb_strategy_v3 [1] 0.691733 -468.649 -1.72933 3.45866 0 NaN 1.72933 3406 NIKKEI caleb_strategy_v3 [1] 0.691733 -468.649 -1.72933 3.45866 0 NaN 1.72933 3391 NIKKEI caleb_strategy_v3 [1] 0.691733 -451.356 -1.72933 -3.45866 -6.91733 NaN -5.188 3407 EUROSTX caleb_strategy_v3 [1] 10.8945 -27.2363 -5.44725 10.8945 0 NaN 5.44725 3408 SP400 caleb_strategy_v3 [1] 100 -2155 -45 0 -90 NaN -45 3409 BITCOIN caleb_strategy_v3 [1] 0.1 -42.25 -1.75 0 -3.5 NaN -1.75 3410 BITCOIN caleb_strategy_v3 [1] 0.1 -42.5 -1.5 -1 -4 NaN -2.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -84.750000 EUROSTX -27.236250 NIKKEI -7392.893829 SP400 -2155.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 -9659.880079 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -3.250000 EUROSTX -5.447250 NIKKEI -29.398642 SP400 -45.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -83.095892 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -1.0000 EUROSTX 10.8945 NIKKEI 0.0000 SP400 0.0000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 9.8945 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -7.500000 EUROSTX 0.000000 NIKKEI -51.879957 SP400 -90.000000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -149.379957 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN 0 EUROSTX 0 NIKKEI 0 SP400 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v3 BITCOIN -4.250000 EUROSTX 5.447250 NIKKEI -29.398642 SP400 -45.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -73.201392 ******************************************************************************** END OF REPORT ********************************************************************************