******************************************************************************** Trades report report produced on 08/02/2023 21:35 from 07/02/2023 21:35 to 08/02/2023 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1437 ROBUSTA _ROLL_PSEUDO_STRATEGY [20230300] 2023-02-08 10:00:33 [-1] 2069.00 1438 ROBUSTA _ROLL_PSEUDO_STRATEGY [20230500] 2023-02-08 10:01:03 [1] 2063.00 1439 RUSSELL caleb_strategy_v1 [20230300] 2023-02-08 15:00:02 [1] 1973.30 1441 SOYMEAL _ROLL_PSEUDO_STRATEGY [20230500, 20230700] 2023-02-08 15:30:07 [-1, 1] 7.80 1442 SOYMEAL _ROLL_PSEUDO_STRATEGY [20230500, 20230700] 2023-02-08 15:30:08 [-1, 1] 7.80 1443 SOYMEAL _ROLL_PSEUDO_STRATEGY [20230500, 20230700] 2023-02-08 15:30:09 [-1, 1] 7.80 1444 SOYMEAL _ROLL_PSEUDO_STRATEGY [20230500, 20230700] 2023-02-08 15:30:17 [-1, 1] 7.80 1445 SOYMEAL _ROLL_PSEUDO_STRATEGY [20230500, 20230700] 2023-02-08 15:30:19 [-1, 1] 7.80 1440 VIX caleb_strategy_v1 [20230400] 2023-02-08 15:00:30 [1] 21.25 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1437 ROBUSTA _ROLL_PSEUDO_STRATEGY 2023-02-07 17:00:00 2023-02-08 10:00:01.500 2023-02-08 10:00:33 61201.5 31.5 1438 ROBUSTA _ROLL_PSEUDO_STRATEGY 2023-02-07 17:00:00 2023-02-08 10:00:34.392 2023-02-08 10:01:03 61234.4 28.608 1439 RUSSELL caleb_strategy_v1 2023-02-06 00:00:00 2023-02-08 15:00:01.527 2023-02-08 15:00:02 226802 0.473 1440 VIX caleb_strategy_v1 2023-02-06 00:00:00 2023-02-08 15:00:04.350 2023-02-08 15:00:30 226804 25.65 1441 SOYMEAL _ROLL_PSEUDO_STRATEGY 2023-02-07 19:00:00 2023-02-08 15:30:02.312 2023-02-08 15:30:07 73802.3 4.688 1442 SOYMEAL _ROLL_PSEUDO_STRATEGY 2023-02-07 19:00:00 2023-02-08 15:30:08.344 2023-02-08 15:30:08 73808.3 NaN 1443 SOYMEAL _ROLL_PSEUDO_STRATEGY 2023-02-07 19:00:00 2023-02-08 15:30:09.607 2023-02-08 15:30:09 73809.6 NaN 1444 SOYMEAL _ROLL_PSEUDO_STRATEGY 2023-02-07 19:00:00 2023-02-08 15:30:10.792 2023-02-08 15:30:17 73810.8 6.208 1445 SOYMEAL _ROLL_PSEUDO_STRATEGY 2023-02-07 19:00:00 2023-02-08 15:30:18.787 2023-02-08 15:30:19 73818.8 0.213 ========================================================================================================================================================================================================================================= 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 1437 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 2080 None 2069.5 2069 2070 2070 2069 -10.5 -0.5 -0 -1 NaN -0.5 1438 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 2072 None 2062.5 2063 2062 2062 2063 9.5 -0.5 0 -1 NaN -0.5 1439 RUSSELL caleb_strategy_v1 [1] 1959.9 None 1973.05 1973.1 1973 1973 1973.3 -13.15 -0.05 -0.2 -0.3 NaN -0.25 1440 VIX caleb_strategy_v1 [1] 21.7 None 21.175 21.2 21.15 21.15 21.25 0.525 -0.025 -0.05 -0.1 NaN -0.075 1441 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 8.4 None 7.75 7.7 7.8 7.8 7.8 -0.65 -0.05 0.1 1.06581e-14 NaN 0.05 1442 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 8.4 None 7.85 7.8 7.9 NaN 7.8 -0.55 -0.05 -4.52971e-14 NaN NaN -0.05 1443 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 8.4 None 7.85 7.8 7.9 NaN 7.8 -0.55 -0.05 -4.52971e-14 NaN NaN -0.05 1444 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 8.4 None 7.85 7.8 7.9 NaN 7.8 -0.55 -0.05 1.15463e-14 NaN NaN -0.05 1445 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 8.4 None 7.85 7.8 7.9 NaN 7.8 -0.55 -0.05 1.15463e-14 NaN NaN -0.05 ======================================================================================================================================================================= 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 1437 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 477.675 -219.815 -10.4674 -0 -20.9347 NaN -10.4674 1438 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 477.675 198.88 -10.4674 0 -20.9347 NaN -10.4674 1439 RUSSELL caleb_strategy_v1 [1] 429.317 -306.301 -1.16464 -4.65857 -6.98785 NaN -5.82321 1440 VIX caleb_strategy_v1 [1] 7.96313 659.289 -31.3947 -62.7894 -125.579 NaN -94.1841 1441 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 101.802 -63.8497 -4.91152 9.82304 1.04695e-12 NaN 4.91152 1442 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 101.802 -54.0267 -4.91152 -4.44955e-12 NaN NaN -4.91152 1443 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 101.802 -54.0267 -4.91152 -4.44955e-12 NaN NaN -4.91152 1444 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 101.802 -54.0267 -4.91152 1.1342e-12 NaN NaN -4.91152 1445 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 101.802 -54.0267 -4.91152 1.1342e-12 NaN NaN -4.91152 ================================================================================================================================================================================== 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 1437 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 10 -105 -5 -0 -10 NaN -5 1438 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 10 95 -5 0 -10 NaN -5 1439 RUSSELL caleb_strategy_v1 [1] 5 -65.75 -0.25 -1 -1.5 NaN -1.25 1440 VIX caleb_strategy_v1 [1] 1000 525 -25 -50 -100 NaN -75 1441 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 100 -65 -5 10 1.06581e-12 NaN 5 1442 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 100 -55 -5 -4.52971e-12 NaN NaN -5 1443 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 100 -55 -5 -4.52971e-12 NaN NaN -5 1444 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 100 -55 -5 1.15463e-12 NaN NaN -5 1445 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1, 1] 100 -55 -5 1.15463e-12 NaN NaN -5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY ROBUSTA -10.00 SOYMEAL -285.00 caleb_strategy_v1 RUSSELL -65.75 VIX 525.00 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -295.00 caleb_strategy_v1 459.25 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY ROBUSTA -10.00 SOYMEAL -25.00 caleb_strategy_v1 RUSSELL -0.25 VIX -25.00 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -35.00 caleb_strategy_v1 -25.25 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY ROBUSTA 0.0 SOYMEAL 10.0 caleb_strategy_v1 RUSSELL -1.0 VIX -50.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 10.0 caleb_strategy_v1 -51.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY ROBUSTA -2.000000e+01 SOYMEAL 1.065814e-12 caleb_strategy_v1 RUSSELL -1.500000e+00 VIX -1.000000e+02 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -20.0 caleb_strategy_v1 -101.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY ROBUSTA 0 SOYMEAL 0 caleb_strategy_v1 RUSSELL 0 VIX 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 ROBUSTA -10.00 SOYMEAL -15.00 caleb_strategy_v1 RUSSELL -1.25 VIX -75.00 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -25.00 caleb_strategy_v1 -76.25 ******************************************************************************** END OF REPORT ********************************************************************************