******************************************************************************** Trades report report produced on 27/12/2022 21:35 from 26/12/2022 21:35 to 27/12/2022 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 865 CORN caleb_strategy_v1 [20231200] 2022-12-27 15:30:01 [-1] 605.0000 863 DOW caleb_strategy_v1 [20230300] 2022-12-27 15:00:01 [-1] 33300.0000 867 FEEDCOW _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2022-12-27 15:30:06 [1, -1] -3.6500 869 FEEDCOW _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2022-12-27 15:30:09 [1, -1] -3.6500 871 FEEDCOW _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2022-12-27 15:30:11 [1, -1] -3.6500 862 HEATOIL _ROLL_PSEUDO_STRATEGY [20230300, 20230400] 2022-12-27 14:00:05 [-1, 1] 0.1115 866 LIVECOW _ROLL_PSEUDO_STRATEGY [20230200, 20230400] 2022-12-27 15:30:04 [1, -1] -3.9000 868 LIVECOW _ROLL_PSEUDO_STRATEGY [20230200, 20230400] 2022-12-27 15:30:08 [1, -1] -3.9000 870 LIVECOW _ROLL_PSEUDO_STRATEGY [20230200, 20230400] 2022-12-27 15:30:11 [1, -1] -3.9000 872 LIVECOW _ROLL_PSEUDO_STRATEGY [20230200, 20230400] 2022-12-27 15:30:13 [1, -1] -3.9000 873 LIVECOW _ROLL_PSEUDO_STRATEGY [20230200, 20230400] 2022-12-27 15:30:15 [1, -1] -3.9000 864 RUSSELL caleb_strategy_v1 [20230300] 2022-12-27 15:00:01 [-1] 1759.5000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 862 HEATOIL _ROLL_PSEUDO_STRATEGY 2022-12-23 23:00:00 2022-12-27 14:00:01.830 2022-12-27 14:00:05 313202 3.17 863 DOW caleb_strategy_v1 2022-12-23 00:00:00 2022-12-27 15:00:00.650 2022-12-27 15:00:01 399601 0.35 864 RUSSELL caleb_strategy_v1 2022-12-23 00:00:00 2022-12-27 15:00:01.791 2022-12-27 15:00:01 399602 NaN 865 CORN caleb_strategy_v1 2022-12-23 00:00:00 2022-12-27 15:30:01.034 2022-12-27 15:30:01 401401 NaN 867 FEEDCOW _ROLL_PSEUDO_STRATEGY 2022-12-23 23:00:00 2022-12-27 15:30:05.986 2022-12-27 15:30:06 318606 0.014 869 FEEDCOW _ROLL_PSEUDO_STRATEGY 2022-12-23 23:00:00 2022-12-27 15:30:08.915 2022-12-27 15:30:09 318609 0.085 871 FEEDCOW _ROLL_PSEUDO_STRATEGY 2022-12-23 23:00:00 2022-12-27 15:30:11.850 2022-12-27 15:30:11 318612 NaN 866 LIVECOW _ROLL_PSEUDO_STRATEGY 2022-12-23 23:00:00 2022-12-27 15:30:02.716 2022-12-27 15:30:04 318603 1.284 868 LIVECOW _ROLL_PSEUDO_STRATEGY 2022-12-23 23:00:00 2022-12-27 15:30:07.974 2022-12-27 15:30:08 318608 0.026 870 LIVECOW _ROLL_PSEUDO_STRATEGY 2022-12-23 23:00:00 2022-12-27 15:30:10.812 2022-12-27 15:30:11 318611 0.188 872 LIVECOW _ROLL_PSEUDO_STRATEGY 2022-12-23 23:00:00 2022-12-27 15:30:13.787 2022-12-27 15:30:13 318614 NaN 873 LIVECOW _ROLL_PSEUDO_STRATEGY 2022-12-23 23:00:00 2022-12-27 15:30:15.620 2022-12-27 15:30:15 318616 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 862 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 0.117 None 0.1117 0.1116 0.1118 0.1118 0.1115 -0.0053 -0.0001 -0.0001 -0.0003 NaN -0.0002 863 DOW caleb_strategy_v1 [-1] 33360 None 33301.5 33301 33302 33302 33300 -58.5 -0.5 -1 -2 NaN -1.5 864 RUSSELL caleb_strategy_v1 [-1] 1770.9 None 1759.45 1759.4 1759.5 1759.5 1759.5 -11.45 -0.05 0.1 -0 NaN 0.05 865 CORN caleb_strategy_v1 [-1] 601.75 None 605.125 605 605.25 605.25 605 3.375 -0.125 -0 -0.25 NaN -0.125 867 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] -3.5 None -3.675 -3.65 -3.7 -3.7 -3.65 0.175 -0.025 5.77316e-15 -0.05 NaN -0.025 869 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] -3.5 None -2.5 -2.5 -2.5 -2.5 -3.65 -1 0 1.15 1.15 NaN 1.15 871 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] -3.5 None -2.5 -2.5 -2.5 -2.5 -3.65 -1 0 1.15 1.15 NaN 1.15 866 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] -4.075 None -3.925 -3.9 -3.95 -3.95 -3.9 -0.15 -0.025 5.77316e-15 -0.05 NaN -0.025 868 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] -4.075 None -5 -5 -5 -5 -3.9 0.925 0 -1.1 -1.1 NaN -1.1 870 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] -4.075 None -5 -5 -5 -5 -3.9 0.925 0 -1.1 -1.1 NaN -1.1 872 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] -4.075 None -5 -5 -5 -5 -3.9 0.925 0 -1.1 -1.1 NaN -1.1 873 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] -4.075 None -5 -5 -5 -5 -3.9 0.925 0 -1.1 -1.1 NaN -1.1 ======================================================================================================================================================================= 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 862 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 1.30307 -40.6732 -0.767418 -0.767418 -2.30226 NaN -1.53484 863 DOW caleb_strategy_v1 [-1] 6085.02 -96.1377 -0.821689 -1.64338 -3.28676 NaN -2.46507 864 RUSSELL caleb_strategy_v1 [-1] 475.849 -240.622 -1.05075 2.10151 -0 NaN 1.05075 865 CORN caleb_strategy_v1 [-1] 79.899 422.408 -15.6448 -0 -31.2895 NaN -15.6448 867 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 20.0642 87.2199 -12.46 2.87734e-12 -24.92 NaN -12.46 869 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 20.0642 -498.399 0 573.159 573.159 NaN 573.159 871 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 20.0642 -498.399 0 573.159 573.159 NaN 573.159 866 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 15.1193 -99.2113 -16.5352 3.81842e-12 -33.0704 NaN -16.5352 868 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 15.1193 611.803 0 -727.549 -727.549 NaN -727.549 870 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 15.1193 611.803 0 -727.549 -727.549 NaN -727.549 872 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 15.1193 611.803 0 -727.549 -727.549 NaN -727.549 873 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 15.1193 611.803 0 -727.549 -727.549 NaN -727.549 ================================================================================================================================================================================== 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 862 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 42000 -222.6 -4.2 -4.2 -12.6 NaN -8.4 863 DOW caleb_strategy_v1 [-1] 0.5 -29.25 -0.25 -0.5 -1 NaN -0.75 864 RUSSELL caleb_strategy_v1 [-1] 5 -57.25 -0.25 0.5 -0 NaN 0.25 865 CORN caleb_strategy_v1 [-1] 50 168.75 -6.25 -0 -12.5 NaN -6.25 867 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 500 87.5 -12.5 2.88658e-12 -25 NaN -12.5 869 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 500 -500 0 575 575 NaN 575 871 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 500 -500 0 575 575 NaN 575 866 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 400 -60 -10 2.30926e-12 -20 NaN -10 868 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 400 370 0 -440 -440 NaN -440 870 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 400 370 0 -440 -440 NaN -440 872 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 400 370 0 -440 -440 NaN -440 873 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 400 370 0 -440 -440 NaN -440 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -912.50 HEATOIL -222.60 LIVECOW 1420.00 caleb_strategy_v1 CORN 168.75 DOW -29.25 RUSSELL -57.25 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 284.90 caleb_strategy_v1 82.25 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -12.50 HEATOIL -4.20 LIVECOW -10.00 caleb_strategy_v1 CORN -6.25 DOW -0.25 RUSSELL -0.25 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -26.70 caleb_strategy_v1 -6.75 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 1150.0 HEATOIL -4.2 LIVECOW -1760.0 caleb_strategy_v1 CORN -0.0 DOW -0.5 RUSSELL 0.5 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -6.142000e+02 caleb_strategy_v1 -4.547474e-13 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 1125.0 HEATOIL -12.6 LIVECOW -1780.0 caleb_strategy_v1 CORN -12.5 DOW -1.0 RUSSELL -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -667.6 caleb_strategy_v1 -13.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 0 HEATOIL 0 LIVECOW 0 caleb_strategy_v1 CORN 0 DOW 0 RUSSELL 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 FEEDCOW 1137.50 HEATOIL -8.40 LIVECOW -1770.00 caleb_strategy_v1 CORN -6.25 DOW -0.75 RUSSELL 0.25 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -640.90 caleb_strategy_v1 -6.75 ******************************************************************************** END OF REPORT ********************************************************************************