******************************************************************************** Trades report report produced on 31/01/2023 21:35 from 30/01/2023 21:35 to 31/01/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1077 CRUDE_W caleb_strategy_v1 [20231200] 2023-01-31 14:00:04 [1] 75.20 1076 GOLD_micro caleb_strategy_v1 [20230400] 2023-01-31 14:00:02 [1] 1935.50 1087 LEANHOG caleb_strategy_v1 [20230400] 2023-01-31 15:30:01 [-1] 85.70 1088 LIVECOW caleb_strategy_v1 [20230400] 2023-01-31 15:31:07 [1] 163.45 1078 RUSSELL caleb_strategy_v1 [20230300] 2023-01-31 15:00:01 [-1] 1905.30 1080 RUSSELL caleb_strategy_v1 [20230300] 2023-01-31 15:00:03 [-1] 1905.60 1081 RUSSELL caleb_strategy_v1 [20230300] 2023-01-31 15:00:05 [-1] 1905.60 1082 RUSSELL caleb_strategy_v1 [20230300] 2023-01-31 15:00:07 [-1] 1906.20 1083 RUSSELL caleb_strategy_v1 [20230300] 2023-01-31 15:00:09 [-1] 1906.20 1084 RUSSELL caleb_strategy_v1 [20230300] 2023-01-31 15:00:10 [-1] 1906.20 1085 RUSSELL caleb_strategy_v1 [20230300] 2023-01-31 15:00:12 [-1] 1906.50 1086 RUSSELL caleb_strategy_v1 [20230300] 2023-01-31 15:00:14 [-1] 1906.00 1079 SP400 caleb_strategy_v1 [20230300] 2023-01-31 15:00:01 [1] 2611.90 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1076 GOLD_micro caleb_strategy_v1 2023-01-30 2023-01-31 14:00:01.635 2023-01-31 14:00:02 136802 0.365 1077 CRUDE_W caleb_strategy_v1 2023-01-30 2023-01-31 14:00:03.118 2023-01-31 14:00:04 136803 0.882 1079 SP400 caleb_strategy_v1 2023-01-30 2023-01-31 15:00:01.769 2023-01-31 15:00:01 140402 NaN 1078 RUSSELL caleb_strategy_v1 2023-01-30 2023-01-31 15:00:00.853 2023-01-31 15:00:01 140401 0.147 1080 RUSSELL caleb_strategy_v1 2023-01-30 2023-01-31 15:00:03.372 2023-01-31 15:00:03 140403 NaN 1081 RUSSELL caleb_strategy_v1 2023-01-30 2023-01-31 15:00:05.049 2023-01-31 15:00:05 140405 NaN 1082 RUSSELL caleb_strategy_v1 2023-01-30 2023-01-31 15:00:06.873 2023-01-31 15:00:07 140407 0.127 1083 RUSSELL caleb_strategy_v1 2023-01-30 2023-01-31 15:00:08.701 2023-01-31 15:00:09 140409 0.299 1084 RUSSELL caleb_strategy_v1 2023-01-30 2023-01-31 15:00:10.504 2023-01-31 15:00:10 140411 NaN 1085 RUSSELL caleb_strategy_v1 2023-01-30 2023-01-31 15:00:12.162 2023-01-31 15:00:12 140412 NaN 1086 RUSSELL caleb_strategy_v1 2023-01-30 2023-01-31 15:00:13.677 2023-01-31 15:00:14 140414 0.323 1087 LEANHOG caleb_strategy_v1 2023-01-30 2023-01-31 15:30:00.820 2023-01-31 15:30:01 142201 0.18 1088 LIVECOW caleb_strategy_v1 2023-01-30 2023-01-31 15:30:01.850 2023-01-31 15:31:07 142202 65.15 ================================================================================================================================================================================================================================ 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 1076 GOLD_micro caleb_strategy_v1 [1] 1937.3 None 1935.45 1935.5 1935.4 NaN 1935.5 1.85 -0.05 0 NaN NaN -0.05 1077 CRUDE_W caleb_strategy_v1 [1] 75.4 None 75.215 75.23 75.2 75.2 75.2 0.185 -0.015 0.03 0 NaN 0.015 1079 SP400 caleb_strategy_v1 [1] 2607.6 None 2611.3 2611.7 2610.9 2610.9 2611.9 -3.7 -0.4 -0.2 -1 NaN -0.6 1078 RUSSELL caleb_strategy_v1 [-1] 1898.5 None 1905.7 1905.3 1906.1 1906.1 1905.3 7.2 -0.4 -0 -0.8 NaN -0.4 1080 RUSSELL caleb_strategy_v1 [-1] 1898.5 None 1905.85 1905.7 1906 1906 1905.6 7.35 -0.15 -0.1 -0.4 NaN -0.25 1081 RUSSELL caleb_strategy_v1 [-1] 1898.5 None 1905.45 1905.3 1905.6 1905.6 1905.6 6.95 -0.15 0.3 -2.27374e-13 NaN 0.15 1082 RUSSELL caleb_strategy_v1 [-1] 1898.5 None 1906.05 1905.9 1906.2 1906.2 1906.2 7.55 -0.15 0.3 -0 NaN 0.15 1083 RUSSELL caleb_strategy_v1 [-1] 1898.5 None 1906.1 1906 1906.2 1906.2 1906.2 7.6 -0.1 0.2 -0 NaN 0.1 1084 RUSSELL caleb_strategy_v1 [-1] 1898.5 None 1906.25 1906.1 1906.4 1906.4 1906.2 7.75 -0.15 0.1 -0.2 NaN -0.05 1085 RUSSELL caleb_strategy_v1 [-1] 1898.5 None 1906.65 1906.5 1906.8 1906.8 1906.5 8.15 -0.15 -0 -0.3 NaN -0.15 1086 RUSSELL caleb_strategy_v1 [-1] 1898.5 None 1906.2 1906 1906.4 1906.4 1906 7.7 -0.2 -0 -0.4 NaN -0.2 1087 LEANHOG caleb_strategy_v1 [-1] 86.45 None 85.7125 85.7 85.725 85.725 85.7 -0.7375 -0.0125 -0 -0.025 NaN -0.0125 1088 LIVECOW caleb_strategy_v1 [1] 163.375 None 163.413 163.425 163.4 163.4 163.45 -0.0375 -0.0125 -0.025 -0.05 NaN -0.0375 ================================================================================================================================================================ 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 1076 GOLD_micro caleb_strategy_v1 [1] 245.254 75.4319 -2.0387 0 NaN NaN -2.0387 1077 CRUDE_W caleb_strategy_v1 [1] 22.0186 84.02 -6.81243 13.6249 0 NaN 6.81243 1079 SP400 caleb_strategy_v1 [1] 506.168 -73.0983 -7.90252 -3.95126 -19.7563 NaN -11.8538 1078 RUSSELL caleb_strategy_v1 [-1] 419.706 171.549 -9.53047 -0 -19.0609 NaN -9.53047 1080 RUSSELL caleb_strategy_v1 [-1] 419.706 175.122 -3.57393 -2.38262 -9.53047 NaN -5.95655 1081 RUSSELL caleb_strategy_v1 [-1] 419.706 165.592 -3.57393 7.14786 -5.41745e-12 NaN 3.57393 1082 RUSSELL caleb_strategy_v1 [-1] 419.706 179.888 -3.57393 7.14786 -0 NaN 3.57393 1083 RUSSELL caleb_strategy_v1 [-1] 419.706 181.079 -2.38262 4.76524 -0 NaN 2.38262 1084 RUSSELL caleb_strategy_v1 [-1] 419.706 184.653 -3.57393 2.38262 -4.76524 NaN -1.19131 1085 RUSSELL caleb_strategy_v1 [-1] 419.706 194.183 -3.57393 -0 -7.14786 NaN -3.57393 1086 RUSSELL caleb_strategy_v1 [-1] 419.706 183.462 -4.76524 -0 -9.53047 NaN -4.76524 1087 LEANHOG caleb_strategy_v1 [-1] 21.5047 -342.949 -5.81269 -0 -11.6254 NaN -5.81269 1088 LIVECOW caleb_strategy_v1 [1] 15.0734 -24.8782 -8.29274 -16.5855 -33.171 NaN -24.8782 =========================================================================================================================================================================== 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 1076 GOLD_micro caleb_strategy_v1 [1] 10 18.5 -0.5 0 NaN NaN -0.5 1077 CRUDE_W caleb_strategy_v1 [1] 1000 185 -15 30 0 NaN 15 1079 SP400 caleb_strategy_v1 [1] 100 -370 -40 -20 -100 NaN -60 1078 RUSSELL caleb_strategy_v1 [-1] 5 36 -2 -0 -4 NaN -2 1080 RUSSELL caleb_strategy_v1 [-1] 5 36.75 -0.75 -0.5 -2 NaN -1.25 1081 RUSSELL caleb_strategy_v1 [-1] 5 34.75 -0.75 1.5 -1.13687e-12 NaN 0.75 1082 RUSSELL caleb_strategy_v1 [-1] 5 37.75 -0.75 1.5 -0 NaN 0.75 1083 RUSSELL caleb_strategy_v1 [-1] 5 38 -0.5 1 -0 NaN 0.5 1084 RUSSELL caleb_strategy_v1 [-1] 5 38.75 -0.75 0.5 -1 NaN -0.25 1085 RUSSELL caleb_strategy_v1 [-1] 5 40.75 -0.75 -0 -1.5 NaN -0.75 1086 RUSSELL caleb_strategy_v1 [-1] 5 38.5 -1 -0 -2 NaN -1 1087 LEANHOG caleb_strategy_v1 [-1] 400 -295 -5 -0 -10 NaN -5 1088 LIVECOW caleb_strategy_v1 [1] 400 -15 -5 -10 -20 NaN -15 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 CRUDE_W 185.00 GOLD_micro 18.50 LEANHOG -295.00 LIVECOW -15.00 RUSSELL 301.25 SP400 -370.00 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -175.25 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 CRUDE_W -15.00 GOLD_micro -0.50 LEANHOG -5.00 LIVECOW -5.00 RUSSELL -7.25 SP400 -40.00 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -72.75 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 CRUDE_W 30.0 GOLD_micro 0.0 LEANHOG -0.0 LIVECOW -10.0 RUSSELL 4.0 SP400 -20.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 4.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 CRUDE_W 0.0 GOLD_micro 0.0 LEANHOG -10.0 LIVECOW -20.0 RUSSELL -10.5 SP400 -100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -140.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 CRUDE_W 0 GOLD_micro 0 LEANHOG 0 LIVECOW 0 RUSSELL 0 SP400 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 CRUDE_W 15.00 GOLD_micro -0.50 LEANHOG -5.00 LIVECOW -15.00 RUSSELL -3.25 SP400 -60.00 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -68.75 ******************************************************************************** END OF REPORT ********************************************************************************