******************************************************************************** Trades report report produced on 04/01/2023 21:35 from 03/01/2023 21:35 to 04/01/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 896 CORN caleb_strategy_v1 [20231200] 2023-01-04 15:30:00 [1] 598.5000 897 LIVECOW caleb_strategy_v1 [20230400] 2023-01-04 15:30:01 [1] 161.5750 895 US20 caleb_strategy_v1 [20230300] 2023-01-04 15:00:02 [-1] 127.8125 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 895 US20 caleb_strategy_v1 2023-01-03 2023-01-04 15:00:01.787 2023-01-04 15:00:02 140402 0.213 896 CORN caleb_strategy_v1 2023-01-03 2023-01-04 15:30:00.718 2023-01-04 15:30:00 142201 NaN 897 LIVECOW caleb_strategy_v1 2023-01-03 2023-01-04 15:30:01.579 2023-01-04 15:30:01 142202 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 895 US20 caleb_strategy_v1 [-1] 126.25 None 127.859 127.812 127.906 127.906 127.812 1.60938 -0.046875 -0 -0.09375 NaN -0.046875 896 CORN caleb_strategy_v1 [1] 607.25 None 598.375 598.5 598.25 598.25 598.5 8.875 -0.125 0 -0.25 NaN -0.125 897 LIVECOW caleb_strategy_v1 [1] 160.975 None 161.562 161.575 161.55 161.55 161.575 -0.5875 -0.0125 0 -0.025 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 895 US20 caleb_strategy_v1 [-1] 16.4686 977.24 -28.4633 -0 -56.9266 NaN -28.4633 896 CORN caleb_strategy_v1 [1] 90.8936 976.416 -13.7523 0 -27.5047 NaN -13.7523 897 LIVECOW caleb_strategy_v1 [1] 14.3344 -409.854 -8.7203 0 -17.4406 NaN -8.7203 =========================================================================================================================================================================== 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 895 US20 caleb_strategy_v1 [-1] 1000 1609.38 -46.875 -0 -93.75 NaN -46.875 896 CORN caleb_strategy_v1 [1] 50 443.75 -6.25 0 -12.5 NaN -6.25 897 LIVECOW caleb_strategy_v1 [1] 400 -235 -5 0 -10 NaN -5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 CORN 443.750 LIVECOW -235.000 US20 1609.375 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 1818.125 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 CORN -6.250 LIVECOW -5.000 US20 -46.875 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -58.125 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 CORN 0.0 LIVECOW 0.0 US20 -0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 0.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 CORN -12.50 LIVECOW -10.00 US20 -93.75 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -116.25 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 CORN 0 LIVECOW 0 US20 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 CORN -6.250 LIVECOW -5.000 US20 -46.875 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -58.125 ******************************************************************************** END OF REPORT ********************************************************************************