******************************************************************************** Trades report report produced on 25/01/2023 21:35 from 24/01/2023 21:35 to 25/01/2023 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1008 BOBL caleb_strategy_v1 [20230300] 2023-01-25 08:00:06 [-1] 117.8900 1013 COCOA _ROLL_PSEUDO_STRATEGY [20230300, 20230500] 2023-01-25 14:10:57 [1, -1] -27.0000 1010 EUROSTX caleb_strategy_v1 [20230300] 2023-01-25 08:00:09 [-1] 4162.0000 1025 FEEDCOW _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-01-25 15:35:13 [1, -1] -4.0750 1024 FEEDCOW _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-01-25 15:35:04 [1, -1] -4.0750 1026 FEEDCOW _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-01-25 15:35:15 [1, -1] -4.0750 1023 FEEDCOW _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-01-25 15:35:02 [1, -1] -4.0750 1016 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230200, 20230400] 2023-01-25 14:17:13 [1, -1] -16.9000 1018 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230200, 20230400] 2023-01-25 14:22:16 [1, -1] -16.8000 1020 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230200, 20230400] 2023-01-25 14:25:36 [1, -1] -16.7000 1021 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230200, 20230400] 2023-01-25 14:27:40 [1, -1] -16.8000 1012 GOLD_micro _ROLL_PSEUDO_STRATEGY [20230200, 20230400] 2023-01-25 14:10:04 [1, -1] -16.8000 1019 HEATOIL _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-01-25 14:22:17 [-1, 1] 0.1161 1014 HEATOIL _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-01-25 14:11:01 [-1, 1] 0.1137 1017 HEATOIL _ROLL_PSEUDO_STRATEGY [20230400, 20230500] 2023-01-25 14:17:14 [-1, 1] 0.1144 1022 LIVECOW caleb_strategy_v1 [20230400] 2023-01-25 15:30:01 [1] 160.9000 1009 OAT caleb_strategy_v1 [20230300] 2023-01-25 08:00:08 [-1] 133.5500 1015 SUGAR11 _ROLL_PSEUDO_STRATEGY [20230300, 20230500] 2023-01-25 14:16:13 [-1, 1] 0.0127 1011 SUGAR11 _ROLL_PSEUDO_STRATEGY [20230300, 20230500] 2023-01-25 14:05:02 [-1, 1] 0.0127 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1008 BOBL caleb_strategy_v1 2023-01-24 00:00:00 2023-01-25 08:00:02.559 2023-01-25 08:00:06 115203 3.441 1009 OAT caleb_strategy_v1 2023-01-24 00:00:00 2023-01-25 08:00:07.528 2023-01-25 08:00:08 115208 0.472 1010 EUROSTX caleb_strategy_v1 2023-01-24 00:00:00 2023-01-25 08:00:08.853 2023-01-25 08:00:09 115209 0.147 1013 COCOA _ROLL_PSEUDO_STRATEGY 2023-01-24 18:00:00 2023-01-25 14:10:06.199 2023-01-25 14:10:57 72606.2 50.801 1011 SUGAR11 _ROLL_PSEUDO_STRATEGY 2023-01-24 17:00:00 2023-01-25 14:00:02.236 2023-01-25 14:05:02 75602.2 299.764 1015 SUGAR11 _ROLL_PSEUDO_STRATEGY 2023-01-24 17:00:00 2023-01-25 14:11:13.622 2023-01-25 14:16:13 76273.6 299.378 1017 HEATOIL _ROLL_PSEUDO_STRATEGY 2023-01-24 20:00:00 2023-01-25 14:17:14.273 2023-01-25 14:17:14 65834.3 NaN 1019 HEATOIL _ROLL_PSEUDO_STRATEGY 2023-01-24 20:00:00 2023-01-25 14:22:16.920 2023-01-25 14:22:17 66136.9 0.08 1014 HEATOIL _ROLL_PSEUDO_STRATEGY 2023-01-24 20:00:00 2023-01-25 14:10:59.082 2023-01-25 14:11:01 65459.1 1.918 1012 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-01-24 20:00:00 2023-01-25 14:05:04.473 2023-01-25 14:10:04 65104.5 299.527 1016 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-01-24 20:00:00 2023-01-25 14:16:14.552 2023-01-25 14:17:13 65774.6 58.448 1018 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-01-24 20:00:00 2023-01-25 14:17:15.943 2023-01-25 14:22:16 65835.9 300.057 1020 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-01-24 20:00:00 2023-01-25 14:22:18.802 2023-01-25 14:25:36 66138.8 197.198 1021 GOLD_micro _ROLL_PSEUDO_STRATEGY 2023-01-24 20:00:00 2023-01-25 14:25:38.217 2023-01-25 14:27:40 66338.2 121.783 1022 LIVECOW caleb_strategy_v1 2023-01-24 00:00:00 2023-01-25 15:30:01.011 2023-01-25 15:30:01 142201 NaN 1024 FEEDCOW _ROLL_PSEUDO_STRATEGY 2023-01-24 19:00:00 2023-01-25 15:35:04.122 2023-01-25 15:35:04 74104.1 NaN 1025 FEEDCOW _ROLL_PSEUDO_STRATEGY 2023-01-24 19:00:00 2023-01-25 15:35:05.936 2023-01-25 15:35:13 74105.9 7.064 1026 FEEDCOW _ROLL_PSEUDO_STRATEGY 2023-01-24 19:00:00 2023-01-25 15:35:15.270 2023-01-25 15:35:15 74115.3 NaN 1023 FEEDCOW _ROLL_PSEUDO_STRATEGY 2023-01-24 19:00:00 2023-01-25 15:30:02.263 2023-01-25 15:35:02 73802.3 299.737 =========================================================================================================================================================================================================================================== 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 1008 BOBL caleb_strategy_v1 [-1] 117.86 None 117.885 117.88 117.89 117.89 117.89 0.025 -0.005 0.01 -0 NaN 0.005 1009 OAT caleb_strategy_v1 [-1] 133.4 None 133.56 133.55 133.57 133.57 133.55 0.16 -0.01 -0 -0.02 NaN -0.01 1010 EUROSTX caleb_strategy_v1 [-1] 4166 None 4161.5 4161 4162 4162 4162 -4.5 -0.5 1 -0 NaN 0.5 1013 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] -27 None -28 -27 -29 -29 -27 1 -1 0 -2 NaN -1 1011 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1, 1] 0.0125 None 0.01275 0.0127 0.0128 0.0128 0.0127 0.00025 -5e-05 -1.04083e-17 -0.0001 NaN -5e-05 1015 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1, 1] 0.0125 None 0.01275 0.0127 0.0128 0.0128 0.0127 0.00025 -5e-05 -1.04083e-17 -0.0001 NaN -5e-05 1017 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 0.112 None 0.11375 0.1137 0.1138 0.1138 0.1144 0.00175 -5e-05 0.0007 0.0006 NaN 0.00065 1019 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 0.112 None 0.1145 0.1144 0.1146 0.1146 0.1161 0.0025 -0.0001 0.0017 0.0015 NaN 0.0016 1014 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 0.112 None 0.1138 0.1137 0.1139 0.1139 0.1137 0.0018 -0.0001 -3.05311e-16 -0.0002 NaN -0.0001 1012 GOLD_micro _ROLL_PSEUDO_STRATEGY [1, -1] -16.8 None -16.85 -16.8 -16.9 -16.9 -16.8 0.05 -0.05 -4.61853e-14 -0.1 NaN -0.05 1016 GOLD_micro _ROLL_PSEUDO_STRATEGY [1, -1] -16.8 None -16.85 -16.8 -16.9 -16.9 -16.9 0.05 -0.05 0.1 -1.38556e-13 NaN 0.05 1018 GOLD_micro _ROLL_PSEUDO_STRATEGY [1, -1] -16.8 None -16.85 -16.8 -16.9 -16.9 -16.8 0.05 -0.05 -4.61853e-14 -0.1 NaN -0.05 1020 GOLD_micro _ROLL_PSEUDO_STRATEGY [1, -1] -16.8 None -16.85 -16.8 -16.9 -16.9 -16.7 0.05 -0.05 -0.1 -0.2 NaN -0.15 1021 GOLD_micro _ROLL_PSEUDO_STRATEGY [1, -1] -16.8 None -16.75 -16.7 -16.8 -16.8 -16.8 -0.05 -0.05 0.1 1.81188e-13 NaN 0.05 1022 LIVECOW caleb_strategy_v1 [1] 161.35 None 160.887 160.9 160.875 NaN 160.9 0.4625 -0.0125 0 NaN NaN -0.0125 1024 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] -4.1 None -5 -5 -5 -5 -4.075 0.9 0 -0.925 -0.925 NaN -0.925 1025 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] -4.1 None -5 -5 -5 -5 -4.075 0.9 0 -0.925 -0.925 NaN -0.925 1026 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] -4.1 None -5 -5 -5 -5 -4.075 0.9 0 -0.925 -0.925 NaN -0.925 1023 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] -4.1 None -4.0875 -4.075 -4.1 -4.1 -4.075 -0.0125 -0.0125 -1.15463e-14 -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 1008 BOBL caleb_strategy_v1 [-1] 5.95486 41.9825 -8.3965 16.793 -0 NaN 8.3965 1009 OAT caleb_strategy_v1 [-1] 13.7786 116.122 -7.25765 -0 -14.5153 NaN -7.25765 1010 EUROSTX caleb_strategy_v1 [-1] 681.2 -66.0599 -7.33999 14.68 -0 NaN 7.33999 1013 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] 576.076 17.3588 -17.3588 0 -34.7176 NaN -17.3588 1011 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1, 1] 0.0374523 66.7515 -13.3503 -2.77909e-12 -26.7006 NaN -13.3503 1015 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1, 1] 0.0374523 66.7515 -13.3503 -2.77909e-12 -26.7006 NaN -13.3503 1017 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 1.09677 15.9559 -0.455882 6.38235 5.47059 NaN 5.92647 1019 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 1.09677 22.7941 -0.911765 15.5 13.6765 NaN 14.5882 1014 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 1.09677 16.4118 -0.911765 -2.78372e-12 -1.82353 NaN -0.911765 1012 GOLD_micro _ROLL_PSEUDO_STRATEGY [1, -1] 253.196 1.97475 -1.97475 -1.82409e-12 -3.9495 NaN -1.97475 1016 GOLD_micro _ROLL_PSEUDO_STRATEGY [1, -1] 253.196 1.97475 -1.97475 3.9495 -5.47227e-12 NaN 1.97475 1018 GOLD_micro _ROLL_PSEUDO_STRATEGY [1, -1] 253.196 1.97475 -1.97475 -1.82409e-12 -3.9495 NaN -1.97475 1020 GOLD_micro _ROLL_PSEUDO_STRATEGY [1, -1] 253.196 1.97475 -1.97475 -3.9495 -7.89901 NaN -5.92425 1021 GOLD_micro _ROLL_PSEUDO_STRATEGY [1, -1] 253.196 -1.97475 -1.97475 3.9495 7.15604e-12 NaN 1.97475 1022 LIVECOW caleb_strategy_v1 [1] 12.7723 362.113 -9.78684 0 NaN NaN -9.78684 1024 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 20.1141 447.447 0 -459.876 -459.876 NaN -459.876 1025 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 20.1141 447.447 0 -459.876 -459.876 NaN -459.876 1026 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 20.1141 447.447 0 -459.876 -459.876 NaN -459.876 1023 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 20.1141 -6.21454 -6.21454 -5.74041e-12 -12.4291 NaN -6.21454 ================================================================================================================================================================================== 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 1008 BOBL caleb_strategy_v1 [-1] 1091.51 27.2877 -5.45755 10.9151 -0 NaN 5.45755 1009 OAT caleb_strategy_v1 [-1] 1091.51 174.642 -10.9151 -0 -21.8302 NaN -10.9151 1010 EUROSTX caleb_strategy_v1 [-1] 10.9151 -49.1179 -5.45755 10.9151 -0 NaN 5.45755 1013 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] 10 10 -10 0 -20 NaN -10 1011 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1, 1] 112000 28 -5.6 -1.16573e-12 -11.2 NaN -5.6 1015 SUGAR11 _ROLL_PSEUDO_STRATEGY [-1, 1] 112000 28 -5.6 -1.16573e-12 -11.2 NaN -5.6 1017 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 42000 73.5 -2.1 29.4 25.2 NaN 27.3 1019 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 42000 105 -4.2 71.4 63 NaN 67.2 1014 HEATOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 42000 75.6 -4.2 -1.28231e-11 -8.4 NaN -4.2 1012 GOLD_micro _ROLL_PSEUDO_STRATEGY [1, -1] 10 0.5 -0.5 -4.61853e-13 -1 NaN -0.5 1016 GOLD_micro _ROLL_PSEUDO_STRATEGY [1, -1] 10 0.5 -0.5 1 -1.38556e-12 NaN 0.5 1018 GOLD_micro _ROLL_PSEUDO_STRATEGY [1, -1] 10 0.5 -0.5 -4.61853e-13 -1 NaN -0.5 1020 GOLD_micro _ROLL_PSEUDO_STRATEGY [1, -1] 10 0.5 -0.5 -1 -2 NaN -1.5 1021 GOLD_micro _ROLL_PSEUDO_STRATEGY [1, -1] 10 -0.5 -0.5 1 1.81188e-12 NaN 0.5 1022 LIVECOW caleb_strategy_v1 [1] 400 185 -5 0 NaN NaN -5 1024 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 500 450 0 -462.5 -462.5 NaN -462.5 1025 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 500 450 0 -462.5 -462.5 NaN -462.5 1026 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 500 450 0 -462.5 -462.5 NaN -462.5 1023 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 500 -6.25 -6.25 -5.77316e-12 -12.5 NaN -6.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA 10.00000 FEEDCOW 1343.75000 GOLD_micro 1.50000 HEATOIL 254.10000 SUGAR11 56.00000 caleb_strategy_v1 BOBL 27.28775 EUROSTX -49.11795 LIVECOW 185.00000 OAT 174.64160 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 1665.3500 caleb_strategy_v1 337.8114 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA -10.00000 FEEDCOW -6.25000 GOLD_micro -2.50000 HEATOIL -10.50000 SUGAR11 -11.20000 caleb_strategy_v1 BOBL -5.45755 EUROSTX -5.45755 LIVECOW -5.00000 OAT -10.91510 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -40.4500 caleb_strategy_v1 -26.8302 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA 0.000000e+00 FEEDCOW -1.387500e+03 GOLD_micro 1.000000e+00 HEATOIL 1.008000e+02 SUGAR11 -2.331468e-12 caleb_strategy_v1 BOBL 1.091510e+01 EUROSTX 1.091510e+01 LIVECOW 0.000000e+00 OAT -0.000000e+00 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -1285.7000 caleb_strategy_v1 21.8302 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA -20.0000 FEEDCOW -1400.0000 GOLD_micro -4.0000 HEATOIL 79.8000 SUGAR11 -22.4000 caleb_strategy_v1 BOBL -0.0000 EUROSTX -0.0000 LIVECOW 0.0000 OAT -21.8302 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -1366.6000 caleb_strategy_v1 -21.8302 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA 0 FEEDCOW 0 GOLD_micro 0 HEATOIL 0 SUGAR11 0 caleb_strategy_v1 BOBL 0 EUROSTX 0 LIVECOW 0 OAT 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 COCOA -10.00000 FEEDCOW -1393.75000 GOLD_micro -1.50000 HEATOIL 90.30000 SUGAR11 -11.20000 caleb_strategy_v1 BOBL 5.45755 EUROSTX 5.45755 LIVECOW -5.00000 OAT -10.91510 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -1326.15 caleb_strategy_v1 -5.00 ******************************************************************************** END OF REPORT ********************************************************************************