******************************************************************************** Trades report report produced on 18/10/2022 21:34 from 17/10/2022 21:34 to 18/10/2022 21:34 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 55 BOBL caleb_strategy_v1 [20221200] 2022-10-18 07:00:03 [1] 119.1200 64 LEANHOG _ROLL_PSEUDO_STRATEGY [20221200, 20230200] 2022-10-18 14:30:13 [-1, 1] -1.3500 60 LEANHOG _ROLL_PSEUDO_STRATEGY [20221200, 20230200] 2022-10-18 14:30:07 [-1, 1] -1.3250 62 LEANHOG _ROLL_PSEUDO_STRATEGY [20221200, 20230200] 2022-10-18 14:30:09 [-1, 1] -1.3250 57 RUSSELL caleb_strategy_v1 [20221200] 2022-10-18 14:00:03 [1] 1779.0000 58 RUSSELL caleb_strategy_v1 [20221200] 2022-10-18 14:00:04 [1] 1779.0000 65 SOYMEAL _ROLL_PSEUDO_STRATEGY [20230100, 20230300] 2022-10-18 14:30:15 [-1, 1] 5.5000 59 SOYMEAL _ROLL_PSEUDO_STRATEGY [20230100, 20230300] 2022-10-18 14:30:03 [-1, 1] 5.5000 61 SOYMEAL _ROLL_PSEUDO_STRATEGY [20230100, 20230300] 2022-10-18 14:30:08 [-1, 1] 5.5000 63 SOYMEAL _ROLL_PSEUDO_STRATEGY [20230100, 20230300] 2022-10-18 14:30:11 [-1, 1] 5.5000 56 US10U caleb_strategy_v1 [20221200] 2022-10-18 14:00:00 [-1] 116.8125 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 55 BOBL caleb_strategy_v1 2022-10-17 00:00:00 2022-10-18 08:00:02.730 2022-10-18 07:00:03 115203 NaN 56 US10U caleb_strategy_v1 2022-10-17 00:00:00 2022-10-18 15:00:00.894 2022-10-18 14:00:00 140401 NaN 57 RUSSELL caleb_strategy_v1 2022-10-17 00:00:00 2022-10-18 15:00:02.920 2022-10-18 14:00:03 140403 NaN 58 RUSSELL caleb_strategy_v1 2022-10-17 00:00:00 2022-10-18 15:00:04.805 2022-10-18 14:00:04 140405 NaN 64 LEANHOG _ROLL_PSEUDO_STRATEGY 2022-10-14 23:00:00 2022-10-18 15:30:13.397 2022-10-18 14:30:13 318613 NaN 60 LEANHOG _ROLL_PSEUDO_STRATEGY 2022-10-14 23:00:00 2022-10-18 15:30:04.987 2022-10-18 14:30:07 318605 NaN 62 LEANHOG _ROLL_PSEUDO_STRATEGY 2022-10-14 23:00:00 2022-10-18 15:30:09.829 2022-10-18 14:30:09 318610 NaN 65 SOYMEAL _ROLL_PSEUDO_STRATEGY 2022-10-17 19:00:00 2022-10-18 15:30:15.342 2022-10-18 14:30:15 73815.3 NaN 59 SOYMEAL _ROLL_PSEUDO_STRATEGY 2022-10-17 19:00:00 2022-10-18 15:30:01.315 2022-10-18 14:30:03 73801.3 NaN 61 SOYMEAL _ROLL_PSEUDO_STRATEGY 2022-10-17 19:00:00 2022-10-18 15:30:08.840 2022-10-18 14:30:08 73808.8 NaN 63 SOYMEAL _ROLL_PSEUDO_STRATEGY 2022-10-17 19:00:00 2022-10-18 15:30:11.795 2022-10-18 14:30:11 73811.8 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 55 BOBL caleb_strategy_v1 [1] 119.02 None 119.125 119.13 119.12 None 119.12 -0.105 -0.005 0.01 NaN NaN 0.005 56 US10U caleb_strategy_v1 [-1] 116.562 None 116.82 116.812 116.828 None 116.812 0.257812 -0.0078125 -0 NaN NaN -0.0078125 57 RUSSELL caleb_strategy_v1 [1] 1734.5 None 1779.2 1779.3 1779.1 None 1779 -44.7 -0.1 0.3 NaN NaN 0.2 58 RUSSELL caleb_strategy_v1 [1] 1734.5 None 1778.8 1778.9 1778.7 None 1779 -44.3 -0.1 -0.1 NaN NaN -0.2 64 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] -1.175 None -1.325 -1.35 -1.3 None -1.35 -0.15 -0.025 -8.43769e-15 NaN NaN -0.025 60 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] -1.175 None -1.3125 -1.325 -1.3 None -1.325 -0.1375 -0.0125 -2.88658e-15 NaN NaN -0.0125 62 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] -1.175 None -2.5 -2.5 -2.5 None -1.325 -1.325 -0 1.175 NaN NaN 1.175 65 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 7.5 None 5.55 5.5 5.6 None 5.5 -1.95 -0.05 -0 NaN NaN -0.05 59 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 7.5 None 5.55 5.5 5.6 None 5.5 -1.95 -0.05 -0 NaN NaN -0.05 61 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 7.5 None 5.55 5.5 5.6 None 5.5 -1.95 -0.05 -0 NaN NaN -0.05 63 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 7.5 None 5.55 5.5 5.6 None 5.5 -1.95 -0.05 -0 NaN NaN -0.05 ======================================================================================================================================================================= 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 55 BOBL caleb_strategy_v1 [1] 6.87172 -152.8 -7.2762 14.5524 NaN NaN 7.2762 56 US10U caleb_strategy_v1 [-1] 12.8711 200.303 -6.06978 -0 NaN NaN -6.06978 57 RUSSELL caleb_strategy_v1 [1] 530.49 -842.617 -1.88505 5.65515 NaN NaN 3.7701 58 RUSSELL caleb_strategy_v1 [1] 530.49 -835.077 -1.88505 -1.88505 NaN NaN -3.7701 64 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 26.6956 -56.189 -9.36483 -3.1607e-12 NaN NaN -9.36483 60 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 26.6956 -51.5066 -4.68242 -1.08129e-12 NaN NaN -4.68242 62 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 26.6956 -496.336 -0 440.147 NaN NaN 440.147 65 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 99.2174 -196.538 -5.03944 -0 NaN NaN -5.03944 59 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 99.2174 -196.538 -5.03944 -0 NaN NaN -5.03944 61 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 99.2174 -196.538 -5.03944 -0 NaN NaN -5.03944 63 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 99.2174 -196.538 -5.03944 -0 NaN NaN -5.03944 ================================================================================================================================================================================== 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 55 BOBL caleb_strategy_v1 [1] 984.185 -103.339 -4.92092 9.84185 NaN NaN 4.92092 56 US10U caleb_strategy_v1 [-1] 1000 257.812 -7.8125 -0 NaN NaN -7.8125 57 RUSSELL caleb_strategy_v1 [1] 5 -223.5 -0.5 1.5 NaN NaN 1 58 RUSSELL caleb_strategy_v1 [1] 5 -221.5 -0.5 -0.5 NaN NaN -1 64 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 400 -60 -10 -3.37508e-12 NaN NaN -10 60 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 400 -55 -5 -1.15463e-12 NaN NaN -5 62 LEANHOG _ROLL_PSEUDO_STRATEGY [-1, 1] 400 -530 -0 470 NaN NaN 470 65 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 100 -195 -5 -0 NaN NaN -5 59 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 100 -195 -5 -0 NaN NaN -5 61 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 100 -195 -5 -0 NaN NaN -5 63 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 100 -195 -5 -0 NaN NaN -5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -645.000000 SOYMEAL -780.000000 caleb_strategy_v1 BOBL -103.339425 RUSSELL -445.000000 US10U 257.812500 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -1425.000000 caleb_strategy_v1 -290.526925 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -15.000000 SOYMEAL -20.000000 caleb_strategy_v1 BOBL -4.920925 RUSSELL -1.000000 US10U -7.812500 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -35.000000 caleb_strategy_v1 -13.733425 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 470.00000 SOYMEAL -0.00000 caleb_strategy_v1 BOBL 9.84185 RUSSELL 1.00000 US10U -0.00000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 470.00000 caleb_strategy_v1 10.84185 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 0 SOYMEAL 0 caleb_strategy_v1 BOBL 0 RUSSELL 0 US10U 0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v1 0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 0 SOYMEAL 0 caleb_strategy_v1 BOBL 0 RUSSELL 0 US10U 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v1 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 455.000000 SOYMEAL -20.000000 caleb_strategy_v1 BOBL 4.920925 RUSSELL 0.000000 US10U -7.812500 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 435.000000 caleb_strategy_v1 -2.891575 ******************************************************************************** END OF REPORT ********************************************************************************