******************************************************************************** Trades report report produced on 10/02/2023 21:35 from 09/02/2023 21:35 to 10/02/2023 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1451 LEANHOG _ROLL_PSEUDO_STRATEGY [20230400, 20230600] 2023-02-10 15:30:01 [1, -1] -18.200000 1452 LEANHOG _ROLL_PSEUDO_STRATEGY [20230400, 20230600] 2023-02-10 15:30:03 [1, -1] -18.200000 1453 LEANHOG _ROLL_PSEUDO_STRATEGY [20230400, 20230600] 2023-02-10 15:30:04 [1, -1] -18.200000 1454 LEANHOG _ROLL_PSEUDO_STRATEGY [20230400, 20230600] 2023-02-10 15:30:06 [1, -1] -18.200000 1455 LEANHOG _ROLL_PSEUDO_STRATEGY [20230400, 20230600] 2023-02-10 15:30:07 [1, -1] -18.200000 1456 LEANHOG _ROLL_PSEUDO_STRATEGY [20230400, 20230600] 2023-02-10 15:30:08 [1, -1] -18.200000 1450 SP400 caleb_strategy_v1 [20230300] 2023-02-10 15:00:04 [-1] 2628.400000 1448 US10U caleb_strategy_v1 [20230300] 2023-02-10 15:00:02 [-1] 119.390625 1449 US5 caleb_strategy_v1 [20230300] 2023-02-10 15:00:03 [-1] 108.046875 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1448 US10U caleb_strategy_v1 2023-02-08 00:00:00 2023-02-10 15:00:01.119 2023-02-10 15:00:02 226801 0.881 1449 US5 caleb_strategy_v1 2023-02-08 00:00:00 2023-02-10 15:00:02.843 2023-02-10 15:00:03 226803 0.157 1450 SP400 caleb_strategy_v1 2023-02-08 00:00:00 2023-02-10 15:00:03.784 2023-02-10 15:00:04 226804 0.216 1451 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-02-09 19:00:00 2023-02-10 15:30:01.481 2023-02-10 15:30:01 73801.5 NaN 1452 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-02-09 19:00:00 2023-02-10 15:30:03.201 2023-02-10 15:30:03 73803.2 NaN 1453 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-02-09 19:00:00 2023-02-10 15:30:04.505 2023-02-10 15:30:04 73804.5 NaN 1454 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-02-09 19:00:00 2023-02-10 15:30:06.025 2023-02-10 15:30:06 73806 NaN 1455 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-02-09 19:00:00 2023-02-10 15:30:07.412 2023-02-10 15:30:07 73807.4 NaN 1456 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-02-09 19:00:00 2023-02-10 15:30:08.705 2023-02-10 15:30:08 73808.7 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 1448 US10U caleb_strategy_v1 [-1] 120.016 None 119.43 119.422 119.438 119.438 119.391 -0.585938 -0.0078125 -0.03125 -0.046875 NaN -0.0390625 1449 US5 caleb_strategy_v1 [-1] 108.391 None 108.062 108.055 108.07 108.07 108.047 -0.328125 -0.0078125 -0.0078125 -0.0234375 NaN -0.015625 1450 SP400 caleb_strategy_v1 [-1] 2667.5 None 2631.4 2629.9 2632.9 2632.9 2628.4 -36.1 -1.5 -1.5 -4.5 NaN -3 1451 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] -18.325 None -18.2125 -18.2 -18.225 -18.225 -18.2 -0.1125 -0.0125 3.55271e-15 -0.025 NaN -0.0125 1452 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] -18.325 None -17.5 -17.5 -17.5 -17.5 -18.2 -0.825 0 0.7 0.7 NaN 0.7 1453 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] -18.325 None -18.225 -18.2 -18.25 -18.25 -18.2 -0.1 -0.025 3.55271e-15 -0.05 NaN -0.025 1454 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] -18.325 None -17.5 -17.5 -17.5 -17.5 -18.2 -0.825 0 0.7 0.7 NaN 0.7 1455 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] -18.325 None -17.5 -17.5 -17.5 -17.5 -18.2 -0.825 0 0.7 0.7 NaN 0.7 1456 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] -18.325 None -17.5 -17.5 -17.5 -17.5 -18.2 -0.825 0 0.7 0.7 NaN 0.7 ======================================================================================================================================================================= 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 1448 US10U caleb_strategy_v1 [-1] 11.9928 -488.576 -6.51435 -26.0574 -39.0861 NaN -32.5717 1449 US5 caleb_strategy_v1 [-1] 6.02768 -544.364 -12.961 -12.961 -38.8831 NaN -25.9221 1450 SP400 caleb_strategy_v1 [-1] 516.143 -699.419 -29.0617 -29.0617 -87.1852 NaN -58.1235 1451 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 23.9586 -46.956 -5.21733 1.48286e-12 -10.4347 NaN -5.21733 1452 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 23.9586 -344.344 0 292.171 292.171 NaN 292.171 1453 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 23.9586 -41.7387 -10.4347 1.48286e-12 -20.8693 NaN -10.4347 1454 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 23.9586 -344.344 0 292.171 292.171 NaN 292.171 1455 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 23.9586 -344.344 0 292.171 292.171 NaN 292.171 1456 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 23.9586 -344.344 0 292.171 292.171 NaN 292.171 ================================================================================================================================================================================== 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 1448 US10U caleb_strategy_v1 [-1] 1000 -585.938 -7.8125 -31.25 -46.875 NaN -39.0625 1449 US5 caleb_strategy_v1 [-1] 1000 -328.125 -7.8125 -7.8125 -23.4375 NaN -15.625 1450 SP400 caleb_strategy_v1 [-1] 100 -3610 -150 -150 -450 NaN -300 1451 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 400 -45 -5 1.42109e-12 -10 NaN -5 1452 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 400 -330 0 280 280 NaN 280 1453 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 400 -40 -10 1.42109e-12 -20 NaN -10 1454 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 400 -330 0 280 280 NaN 280 1455 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 400 -330 0 280 280 NaN 280 1456 LEANHOG _ROLL_PSEUDO_STRATEGY [1, -1] 400 -330 0 280 280 NaN 280 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -1405.0000 caleb_strategy_v1 SP400 -3610.0000 US10U -585.9375 US5 -328.1250 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -1405.0000 caleb_strategy_v1 -4524.0625 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -15.0000 caleb_strategy_v1 SP400 -150.0000 US10U -7.8125 US5 -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -15.000 caleb_strategy_v1 -165.625 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 1120.0000 caleb_strategy_v1 SP400 -150.0000 US10U -31.2500 US5 -7.8125 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 1120.0000 caleb_strategy_v1 -189.0625 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 1090.0000 caleb_strategy_v1 SP400 -450.0000 US10U -46.8750 US5 -23.4375 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 1090.0000 caleb_strategy_v1 -520.3125 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 0 caleb_strategy_v1 SP400 0 US10U 0 US5 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 LEANHOG 1105.0000 caleb_strategy_v1 SP400 -300.0000 US10U -39.0625 US5 -15.6250 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 1105.0000 caleb_strategy_v1 -354.6875 ******************************************************************************** END OF REPORT ********************************************************************************