******************************************************************************** Trades report report produced on 28/12/2022 21:35 from 27/12/2022 21:35 to 28/12/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 874 BUXL caleb_strategy_v1 [20230300] 2022-12-28 08:00:03 [-1] 138.060000 881 DOW caleb_strategy_v1 [20230300] 2022-12-28 15:00:24 [-1] 33470.000000 878 DOW caleb_strategy_v1 [20230300] 2022-12-28 15:00:08 [-1] 33455.000000 884 FEEDCOW caleb_strategy_v1 [20230400] 2022-12-28 15:31:01 [-1] 189.150000 875 GASOIL caleb_strategy_v1 [20230200] 2022-12-28 09:00:32 [1] 930.500000 876 GOLD_micro caleb_strategy_v1 [20230200] 2022-12-28 14:00:02 [-1] 1810.900000 883 LIVECOW caleb_strategy_v1 [20230400] 2022-12-28 15:30:51 [-1] 161.825000 879 RUSSELL caleb_strategy_v1 [20230300] 2022-12-28 15:00:09 [-1] 1759.600000 882 SOYBEAN caleb_strategy_v1 [20231100] 2022-12-28 15:30:09 [1] 1403.000000 877 US10U caleb_strategy_v1 [20230300] 2022-12-28 15:00:06 [-1] 118.281250 880 US5 caleb_strategy_v1 [20230300] 2022-12-28 15:00:23 [-1] 108.085938 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 874 BUXL caleb_strategy_v1 2022-12-27 2022-12-28 08:00:03.042 2022-12-28 08:00:03 115203 NaN 875 GASOIL caleb_strategy_v1 2022-12-27 2022-12-28 09:00:01.794 2022-12-28 09:00:32 118802 30.206 876 GOLD_micro caleb_strategy_v1 2022-12-23 2022-12-28 14:00:01.039 2022-12-28 14:00:02 482401 0.961 877 US10U caleb_strategy_v1 2022-12-27 2022-12-28 15:00:00.582 2022-12-28 15:00:06 140401 5.418 879 RUSSELL caleb_strategy_v1 2022-12-27 2022-12-28 15:00:09.537 2022-12-28 15:00:09 140410 NaN 880 US5 caleb_strategy_v1 2022-12-27 2022-12-28 15:00:10.787 2022-12-28 15:00:23 140411 12.213 881 DOW caleb_strategy_v1 2022-12-27 2022-12-28 15:00:24.403 2022-12-28 15:00:24 140424 NaN 878 DOW caleb_strategy_v1 2022-12-27 2022-12-28 15:00:07.428 2022-12-28 15:00:08 140407 0.572 882 SOYBEAN caleb_strategy_v1 2022-12-27 2022-12-28 15:30:01.338 2022-12-28 15:30:09 142201 7.662 883 LIVECOW caleb_strategy_v1 2022-12-27 2022-12-28 15:30:10.185 2022-12-28 15:30:51 142210 40.815 884 FEEDCOW caleb_strategy_v1 2022-12-27 2022-12-28 15:30:52.092 2022-12-28 15:31:01 142252 8.908 ======================================================================================================================================================================================================================================= 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 874 BUXL caleb_strategy_v1 [-1] 138.06 None 138.05 138.04 138.06 138.06 138.06 -0.01 -0.01 0.02 -0 NaN 0.01 875 GASOIL caleb_strategy_v1 [1] 949 None 929.75 930 929.5 929.5 930.5 19.25 -0.25 -0.5 -1 NaN -0.75 876 GOLD_micro caleb_strategy_v1 [-1] 1805.9 None 1811.05 1811 1811.1 1811.1 1810.9 5.15 -0.05 -0.1 -0.2 NaN -0.15 877 US10U caleb_strategy_v1 [-1] 118.172 None 118.305 118.297 118.312 118.312 118.281 0.132812 -0.0078125 -0.015625 -0.03125 NaN -0.0234375 879 RUSSELL caleb_strategy_v1 [-1] 1759.5 None 1759.95 1759.8 1760.1 1760.1 1759.6 0.45 -0.15 -0.2 -0.5 NaN -0.35 880 US5 caleb_strategy_v1 [-1] 108.039 None 108.082 108.078 108.086 108.086 108.086 0.0429688 -0.00390625 0.007813 5e-07 NaN 0.00390675 881 DOW caleb_strategy_v1 [-1] 33444 None 33471.5 33470 33473 33473 33470 27.5 -1.5 -0 -3 NaN -1.5 878 DOW caleb_strategy_v1 [-1] 33444 None 33454 33453 33455 33455 33455 10 -1 2 -0 NaN 1 882 SOYBEAN caleb_strategy_v1 [1] 1392.25 None 1403.12 1403.25 1403 1403 1403 -10.875 -0.125 0.25 0 NaN 0.125 883 LIVECOW caleb_strategy_v1 [-1] 161.725 None 161.85 161.825 161.875 161.875 161.825 0.125 -0.025 -0 -0.05 NaN -0.025 884 FEEDCOW caleb_strategy_v1 [-1] 189.025 None 189.137 189.125 189.15 189.15 189.15 0.1125 -0.0125 0.025 -0 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 874 BUXL caleb_strategy_v1 [-1] 33.0606 -3.02474 -3.02474 6.04949 -0 NaN 3.02474 875 GASOIL caleb_strategy_v1 [1] 389.836 493.797 -6.41295 -12.8259 -25.6518 NaN -19.2389 876 GOLD_micro caleb_strategy_v1 [-1] 287.239 179.293 -1.74071 -3.48142 -6.96283 NaN -5.22212 877 US10U caleb_strategy_v1 [-1] 11.6829 113.682 -6.68715 -13.3743 -26.7486 NaN -20.0614 879 RUSSELL caleb_strategy_v1 [-1] 473.496 9.50377 -3.16792 -4.2239 -10.5597 NaN -7.39182 880 US5 caleb_strategy_v1 [-1] 5.36801 80.0459 -7.2769 14.5547 0.000931443 NaN 7.27783 881 DOW caleb_strategy_v1 [-1] 6005.4 45.7921 -2.49775 -0 -4.9955 NaN -2.49775 878 DOW caleb_strategy_v1 [-1] 6005.4 16.6517 -1.66517 3.33034 -0 NaN 1.66517 882 SOYBEAN caleb_strategy_v1 [1] 209.23 -519.762 -5.97428 11.9486 0 NaN 5.97428 883 LIVECOW caleb_strategy_v1 [-1] 14.8185 84.3539 -16.8708 -0 -33.7416 NaN -16.8708 884 FEEDCOW caleb_strategy_v1 [-1] 19.631 57.3074 -6.36749 12.735 -0 NaN 6.36749 =========================================================================================================================================================================== 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 874 BUXL caleb_strategy_v1 [-1] 1061.46 -10.6146 -10.6146 21.2292 -0 NaN 10.6146 875 GASOIL caleb_strategy_v1 [1] 100 1925 -25 -50 -100 NaN -75 876 GOLD_micro caleb_strategy_v1 [-1] 10 51.5 -0.5 -1 -2 NaN -1.5 877 US10U caleb_strategy_v1 [-1] 1000 132.812 -7.8125 -15.625 -31.25 NaN -23.4375 879 RUSSELL caleb_strategy_v1 [-1] 5 2.25 -0.75 -1 -2.5 NaN -1.75 880 US5 caleb_strategy_v1 [-1] 1000 42.9688 -3.90625 7.813 0.0005 NaN 3.90675 881 DOW caleb_strategy_v1 [-1] 0.5 13.75 -0.75 -0 -1.5 NaN -0.75 878 DOW caleb_strategy_v1 [-1] 0.5 5 -0.5 1 -0 NaN 0.5 882 SOYBEAN caleb_strategy_v1 [1] 50 -543.75 -6.25 12.5 0 NaN 6.25 883 LIVECOW caleb_strategy_v1 [-1] 400 50 -10 -0 -20 NaN -10 884 FEEDCOW caleb_strategy_v1 [-1] 500 56.25 -6.25 12.5 -0 NaN 6.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BUXL -10.61460 DOW 18.75000 FEEDCOW 56.25000 GASOIL 1925.00000 GOLD_micro 51.50000 LIVECOW 50.00000 RUSSELL 2.25000 SOYBEAN -543.75000 US10U 132.81250 US5 42.96875 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 1725.16665 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BUXL -10.61460 DOW -1.25000 FEEDCOW -6.25000 GASOIL -25.00000 GOLD_micro -0.50000 LIVECOW -10.00000 RUSSELL -0.75000 SOYBEAN -6.25000 US10U -7.81250 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -72.33335 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BUXL 21.2292 DOW 1.0000 FEEDCOW 12.5000 GASOIL -50.0000 GOLD_micro -1.0000 LIVECOW -0.0000 RUSSELL -1.0000 SOYBEAN 12.5000 US10U -15.6250 US5 7.8130 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -12.5828 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BUXL -0.0000 DOW -1.5000 FEEDCOW -0.0000 GASOIL -100.0000 GOLD_micro -2.0000 LIVECOW -20.0000 RUSSELL -2.5000 SOYBEAN 0.0000 US10U -31.2500 US5 0.0005 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -157.2495 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BUXL 0 DOW 0 FEEDCOW 0 GASOIL 0 GOLD_micro 0 LIVECOW 0 RUSSELL 0 SOYBEAN 0 US10U 0 US5 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 BUXL 10.61460 DOW -0.25000 FEEDCOW 6.25000 GASOIL -75.00000 GOLD_micro -1.50000 LIVECOW -10.00000 RUSSELL -1.75000 SOYBEAN 6.25000 US10U -23.43750 US5 3.90675 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -84.91615 ******************************************************************************** END OF REPORT ********************************************************************************