******************************************************************************** Trades report report produced on 01/11/2022 21:35 from 31/10/2022 21:35 to 01/11/2022 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 182 AUD caleb_strategy_v1 [20221200] 2022-11-01 15:00:00 [-1] 0.639600 174 BTP caleb_strategy_v1 [20221200] 2022-11-01 08:00:03 [-1] 115.000000 173 BUXL caleb_strategy_v1 [20221200] 2022-11-01 08:00:02 [1] 145.200000 175 CAC caleb_strategy_v1 [20221100] 2022-11-01 08:00:04 [1] 6329.000000 177 CRUDE_W caleb_strategy_v1 [20231200] 2022-11-01 14:00:01 [1] 77.940000 184 DOW caleb_strategy_v1 [20221200] 2022-11-01 15:00:02 [1] 32556.000000 190 FEEDCOW caleb_strategy_v1 [20230300] 2022-11-01 15:30:03 [1] 181.025000 176 GASOIL caleb_strategy_v1 [20221200] 2022-11-01 09:00:02 [1] 1009.000000 187 GBP caleb_strategy_v1 [20221200] 2022-11-01 15:00:05 [1] 1.148300 179 GOLD_micro caleb_strategy_v1 [20221200] 2022-11-01 14:00:04 [-1] 1651.100000 181 GOLD_micro caleb_strategy_v1 [20221200] 2022-11-01 14:00:07 [-1] 1649.400000 178 HEATOIL _ROLL_PSEUDO_STRATEGY [20230100, 20230200] 2022-11-01 14:00:02 [-1, 1] 0.108100 180 HEATOIL _ROLL_PSEUDO_STRATEGY [20230100, 20230200] 2022-11-01 14:00:05 [-1, 1] 0.108000 188 LEANHOG caleb_strategy_v1 [20230200] 2022-11-01 15:30:01 [1] 88.950000 191 LIVECOW _ROLL_PSEUDO_STRATEGY [20221200, 20230200] 2022-11-01 15:30:04 [1, -1] -3.325000 192 LIVECOW _ROLL_PSEUDO_STRATEGY [20221200, 20230200] 2022-11-01 15:30:06 [1, -1] -3.325000 172 NIKKEI caleb_strategy_v1 [20221200] 2022-11-01 03:00:59 [1] 27635.000000 186 RUSSELL caleb_strategy_v1 [20221200] 2022-11-01 15:00:04 [-1] 1853.700000 189 SOYMEAL caleb_strategy_v1 [20230300] 2022-11-01 15:30:02 [-1] 409.900000 183 US10U caleb_strategy_v1 [20221200] 2022-11-01 15:00:01 [1] 116.171875 185 US30 caleb_strategy_v1 [20221200] 2022-11-01 15:00:03 [-1] 129.187500 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 172 NIKKEI caleb_strategy_v1 2022-09-30 00:00:00 2022-11-01 03:00:20.114 2022-11-01 03:00:59 2.77562e+06 38.886 173 BUXL caleb_strategy_v1 2022-10-31 00:00:00 2022-11-01 08:00:02.169 2022-11-01 08:00:02 115202 NaN 174 BTP caleb_strategy_v1 2022-10-31 00:00:00 2022-11-01 08:00:03.236 2022-11-01 08:00:03 115203 NaN 175 CAC caleb_strategy_v1 2022-10-31 00:00:00 2022-11-01 08:00:04.505 2022-11-01 08:00:04 115205 NaN 176 GASOIL caleb_strategy_v1 2022-10-31 00:00:00 2022-11-01 09:00:01.496 2022-11-01 09:00:02 118801 0.504 177 CRUDE_W caleb_strategy_v1 2022-10-31 00:00:00 2022-11-01 14:00:01.112 2022-11-01 14:00:01 136801 NaN 178 HEATOIL _ROLL_PSEUDO_STRATEGY 2022-10-31 19:00:00 2022-11-01 14:00:02.468 2022-11-01 14:00:02 68402.5 NaN 180 HEATOIL _ROLL_PSEUDO_STRATEGY 2022-10-31 19:00:00 2022-11-01 14:00:05.650 2022-11-01 14:00:05 68405.6 NaN 179 GOLD_micro caleb_strategy_v1 2022-10-31 00:00:00 2022-11-01 14:00:04.331 2022-11-01 14:00:04 136804 NaN 181 GOLD_micro caleb_strategy_v1 2022-10-31 00:00:00 2022-11-01 14:00:07.331 2022-11-01 14:00:07 136807 NaN 182 AUD caleb_strategy_v1 2022-10-31 00:00:00 2022-11-01 15:00:00.451 2022-11-01 15:00:00 140400 NaN 183 US10U caleb_strategy_v1 2022-10-31 00:00:00 2022-11-01 15:00:01.089 2022-11-01 15:00:01 140401 NaN 184 DOW caleb_strategy_v1 2022-10-31 00:00:00 2022-11-01 15:00:02.863 2022-11-01 15:00:02 140403 NaN 185 US30 caleb_strategy_v1 2022-10-31 00:00:00 2022-11-01 15:00:03.716 2022-11-01 15:00:03 140404 NaN 186 RUSSELL caleb_strategy_v1 2022-10-31 00:00:00 2022-11-01 15:00:04.698 2022-11-01 15:00:04 140405 NaN 187 GBP caleb_strategy_v1 2022-10-31 00:00:00 2022-11-01 15:00:05.400 2022-11-01 15:00:05 140405 NaN 188 LEANHOG caleb_strategy_v1 2022-10-31 00:00:00 2022-11-01 15:30:01.245 2022-11-01 15:30:01 142201 NaN 189 SOYMEAL caleb_strategy_v1 2022-10-31 00:00:00 2022-11-01 15:30:02.035 2022-11-01 15:30:02 142202 NaN 190 FEEDCOW caleb_strategy_v1 2022-10-31 00:00:00 2022-11-01 15:30:02.965 2022-11-01 15:30:03 142203 0.035 192 LIVECOW _ROLL_PSEUDO_STRATEGY 2022-10-31 18:00:00 2022-11-01 15:30:06.077 2022-11-01 15:30:06 77406.1 NaN 191 LIVECOW _ROLL_PSEUDO_STRATEGY 2022-10-31 18:00:00 2022-11-01 15:30:04.334 2022-11-01 15:30:04 77404.3 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 172 NIKKEI caleb_strategy_v1 [1] 25975 None 27637.5 27640 27635 27635 27635 -1662.5 -2.5 5 0 NaN 2.5 173 BUXL caleb_strategy_v1 [1] 144.48 None 145.16 145.18 145.14 NaN 145.2 -0.68 -0.02 -0.02 NaN NaN -0.04 174 BTP caleb_strategy_v1 [-1] 114.6 None 115.015 115.01 115.02 NaN 115 0.415 -0.005 -0.01 NaN NaN -0.015 175 CAC caleb_strategy_v1 [1] 6272 None 6327.75 6329 6326.5 NaN 6329 -55.75 -1.25 0 NaN NaN -1.25 176 GASOIL caleb_strategy_v1 [1] 1008 None 1008.62 1009 1008.25 NaN 1009 -0.625 -0.375 0 NaN NaN -0.375 177 CRUDE_W caleb_strategy_v1 [1] 76.41 None 77.915 77.93 77.9 NaN 77.94 -1.505 -0.015 -0.01 NaN NaN -0.025 178 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 0.1213 None 0.1085 0.1081 0.1089 NaN 0.1081 -0.0128 -0.0004 -1.38778e-16 NaN NaN -0.0004 180 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 0.1213 None 0.1085 0.1081 0.1089 NaN 0.108 -0.0128 -0.0004 -0.0001 NaN NaN -0.0005 179 GOLD_micro caleb_strategy_v1 [-1] 1636.7 None 1651.7 1651.4 1652 NaN 1651.1 15 -0.3 -0.3 NaN NaN -0.6 181 GOLD_micro caleb_strategy_v1 [-1] 1636.7 None 1651.3 1651 1651.6 NaN 1649.4 14.6 -0.3 -1.6 NaN NaN -1.9 182 AUD caleb_strategy_v1 [-1] 0.64055 None 0.63965 0.6396 0.6397 NaN 0.6396 -0.0009 -5e-05 -0 NaN NaN -5e-05 183 US10U caleb_strategy_v1 [1] 116.172 None 116.156 116.172 116.141 NaN 116.172 0.015625 -0.015625 0 NaN NaN -0.015625 184 DOW caleb_strategy_v1 [1] 32778 None 32555.5 32556 32555 NaN 32556 222.5 -0.5 0 NaN NaN -0.5 185 US30 caleb_strategy_v1 [-1] 128.656 None 129.203 129.188 129.219 NaN 129.188 0.546875 -0.015625 -0 NaN NaN -0.015625 186 RUSSELL caleb_strategy_v1 [-1] 1852 None 1853.85 1853.8 1853.9 NaN 1853.7 1.85 -0.05 -0.1 NaN NaN -0.15 187 GBP caleb_strategy_v1 [1] 1.1482 None 1.1482 1.1483 1.1481 NaN 1.1483 0 -0.0001 0 NaN NaN -0.0001 188 LEANHOG caleb_strategy_v1 [1] 88.3 None 88.9375 88.95 88.925 NaN 88.95 -0.6375 -0.0125 0 NaN NaN -0.0125 189 SOYMEAL caleb_strategy_v1 [-1] 408.6 None 410 409.9 410.1 NaN 409.9 1.4 -0.1 -0 NaN NaN -0.1 190 FEEDCOW caleb_strategy_v1 [1] 181.575 None 180.975 181 180.95 NaN 181.025 0.6 -0.025 -0.025 NaN NaN -0.05 192 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] -3.35 None -2.925 -2.5 -3.35 NaN -3.325 -0.425 -0.425 0.825 NaN NaN 0.4 191 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] -3.35 None -3.3375 -3.325 -3.35 NaN -3.325 -0.0125 -0.0125 1.68754e-14 NaN NaN -0.0125 ======================================================================================================================================================================= 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 172 NIKKEI caleb_strategy_v1 [1] 4870.94 -3413.1 -5.13248 10.265 0 NaN 5.13248 173 BUXL caleb_strategy_v1 [1] 39.5921 -171.751 -5.05151 -5.05151 NaN NaN -10.103 174 BTP caleb_strategy_v1 [-1] 18.2359 227.573 -2.74184 -5.48369 NaN NaN -8.22553 175 CAC caleb_strategy_v1 [1] 1157.45 -481.661 -10.7996 0 NaN NaN -10.7996 176 GASOIL caleb_strategy_v1 [1] 412.023 -15.1691 -9.10143 0 NaN NaN -9.10143 177 CRUDE_W caleb_strategy_v1 [1] 27.1929 -553.454 -5.51615 -3.67743 NaN NaN -9.19358 178 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 1.22245 -104.707 -3.2721 -1.13524e-12 NaN NaN -3.2721 180 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 1.22245 -104.707 -3.2721 -0.818026 NaN NaN -4.09013 179 GOLD_micro caleb_strategy_v1 [-1] 260.192 576.497 -11.5299 -11.5299 NaN NaN -23.0599 181 GOLD_micro caleb_strategy_v1 [-1] 260.192 561.123 -11.5299 -61.493 NaN NaN -73.0229 182 AUD caleb_strategy_v1 [-1] 0.0914532 -98.411 -5.46728 -0 NaN NaN -5.46728 183 US10U caleb_strategy_v1 [1] 12.4733 12.5268 -12.5268 0 NaN NaN -12.5268 184 DOW caleb_strategy_v1 [1] 6465.62 344.128 -0.773321 0 NaN NaN -0.773321 185 US30 caleb_strategy_v1 [-1] 26.4059 207.103 -5.91723 -0 NaN NaN -5.91723 186 RUSSELL caleb_strategy_v1 [-1] 504.045 36.7031 -0.991975 -1.98395 NaN NaN -2.97592 187 GBP caleb_strategy_v1 [1] 0.167704 0 -5.96288 0 NaN NaN -5.96288 188 LEANHOG caleb_strategy_v1 [1] 24.1716 -263.74 -5.17136 0 NaN NaN -5.17136 189 SOYMEAL caleb_strategy_v1 [-1] 93.3593 149.958 -10.7113 -0 NaN NaN -10.7113 190 FEEDCOW caleb_strategy_v1 [1] 22.7295 263.974 -10.9989 -10.9989 NaN NaN -21.9978 192 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 14.4615 -293.885 -293.885 570.482 NaN NaN 276.597 191 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 14.4615 -8.64366 -8.64366 1.16692e-11 NaN NaN -8.64366 ================================================================================================================================================================================== 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 172 NIKKEI caleb_strategy_v1 [1] 0.674755 -1121.78 -1.68689 3.37377 0 NaN 1.68689 173 BUXL caleb_strategy_v1 [1] 987.45 -671.466 -19.749 -19.749 NaN NaN -39.498 174 BTP caleb_strategy_v1 [-1] 987.45 409.792 -4.93725 -9.8745 NaN NaN -14.8118 175 CAC caleb_strategy_v1 [1] 9.8745 -550.503 -12.3431 0 NaN NaN -12.3431 176 GASOIL caleb_strategy_v1 [1] 100 -62.5 -37.5 0 NaN NaN -37.5 177 CRUDE_W caleb_strategy_v1 [1] 1000 -1505 -15 -10 NaN NaN -25 178 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 42000 -537.6 -16.8 -5.82867e-12 NaN NaN -16.8 180 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 42000 -537.6 -16.8 -4.2 NaN NaN -21 179 GOLD_micro caleb_strategy_v1 [-1] 10 150 -3 -3 NaN NaN -6 181 GOLD_micro caleb_strategy_v1 [-1] 10 146 -3 -16 NaN NaN -19 182 AUD caleb_strategy_v1 [-1] 100000 -90 -5 -0 NaN NaN -5 183 US10U caleb_strategy_v1 [1] 1000 15.625 -15.625 0 NaN NaN -15.625 184 DOW caleb_strategy_v1 [1] 0.5 111.25 -0.25 0 NaN NaN -0.25 185 US30 caleb_strategy_v1 [-1] 1000 546.875 -15.625 -0 NaN NaN -15.625 186 RUSSELL caleb_strategy_v1 [-1] 5 9.25 -0.25 -0.5 NaN NaN -0.75 187 GBP caleb_strategy_v1 [1] 62500 0 -6.25 0 NaN NaN -6.25 188 LEANHOG caleb_strategy_v1 [1] 400 -255 -5 0 NaN NaN -5 189 SOYMEAL caleb_strategy_v1 [-1] 100 140 -10 -0 NaN NaN -10 190 FEEDCOW caleb_strategy_v1 [1] 500 300 -12.5 -12.5 NaN NaN -25 192 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 400 -170 -170 330 NaN NaN 160 191 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 400 -5 -5 6.75016e-12 NaN NaN -5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -1075.200000 LIVECOW -175.000000 caleb_strategy_v1 AUD -90.000000 BTP 409.791750 BUXL -671.466000 CAC -550.503375 CRUDE_W -1505.000000 DOW 111.250000 FEEDCOW 300.000000 GASOIL -62.500000 GBP 0.000000 GOLD_micro 296.000000 LEANHOG -255.000000 NIKKEI -1121.779733 RUSSELL 9.250000 SOYMEAL 140.000000 US10U 15.625000 US30 546.875000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -1250.200000 caleb_strategy_v1 -2427.457358 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -33.600000 LIVECOW -175.000000 caleb_strategy_v1 AUD -5.000000 BTP -4.937250 BUXL -19.749000 CAC -12.343125 CRUDE_W -15.000000 DOW -0.250000 FEEDCOW -12.500000 GASOIL -37.500000 GBP -6.250000 GOLD_micro -6.000000 LEANHOG -5.000000 NIKKEI -1.686887 RUSSELL -0.250000 SOYMEAL -10.000000 US10U -15.625000 US30 -15.625000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -208.600000 caleb_strategy_v1 -167.716262 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL -4.200000 LIVECOW 330.000000 caleb_strategy_v1 AUD -0.000000 BTP -9.874500 BUXL -19.749000 CAC 0.000000 CRUDE_W -10.000000 DOW 0.000000 FEEDCOW -12.500000 GASOIL 0.000000 GBP 0.000000 GOLD_micro -19.000000 LEANHOG 0.000000 NIKKEI 3.373774 RUSSELL -0.500000 SOYMEAL -0.000000 US10U 0.000000 US30 -0.000000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 325.800000 caleb_strategy_v1 -68.249726 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL 0.0 LIVECOW 0.0 caleb_strategy_v1 AUD 0.0 BTP 0.0 BUXL 0.0 CAC 0.0 CRUDE_W 0.0 DOW 0.0 FEEDCOW 0.0 GASOIL 0.0 GBP 0.0 GOLD_micro 0.0 LEANHOG 0.0 NIKKEI 0.0 RUSSELL 0.0 SOYMEAL 0.0 US10U 0.0 US30 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.0 caleb_strategy_v1 0.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY HEATOIL 0 LIVECOW 0 caleb_strategy_v1 AUD 0 BTP 0 BUXL 0 CAC 0 CRUDE_W 0 DOW 0 FEEDCOW 0 GASOIL 0 GBP 0 GOLD_micro 0 LEANHOG 0 NIKKEI 0 RUSSELL 0 SOYMEAL 0 US10U 0 US30 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 HEATOIL -37.800000 LIVECOW 155.000000 caleb_strategy_v1 AUD -5.000000 BTP -14.811750 BUXL -39.498000 CAC -12.343125 CRUDE_W -25.000000 DOW -0.250000 FEEDCOW -25.000000 GASOIL -37.500000 GBP -6.250000 GOLD_micro -25.000000 LEANHOG -5.000000 NIKKEI 1.686887 RUSSELL -0.750000 SOYMEAL -10.000000 US10U -15.625000 US30 -15.625000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 117.200000 caleb_strategy_v1 -235.965988 ******************************************************************************** END OF REPORT ********************************************************************************