******************************************************************************** Trades report report produced on 21/02/2023 21:35 from 20/02/2023 21:35 to 21/02/2023 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1532 BITCOIN caleb_strategy_v1 [20230300] 2023-02-21 15:00:11 [-1] 24885.000000 1533 BITCOIN caleb_strategy_v1 [20230300] 2023-02-21 15:00:13 [-1] 24880.000000 1530 CRUDE_W caleb_strategy_v1 [20231200] 2023-02-21 14:00:02 [-1] 75.070000 1537 FEEDCOW _ROLL_PSEUDO_STRATEGY [20230500, 20230800] 2023-02-21 15:30:06 [1, -1] -13.275000 1539 FEEDCOW _ROLL_PSEUDO_STRATEGY [20230500, 20230800] 2023-02-21 15:30:08 [1, -1] -13.275000 1541 FEEDCOW _ROLL_PSEUDO_STRATEGY [20230500, 20230800] 2023-02-21 15:30:33 [1, -1] -13.250000 1543 FEEDCOW _ROLL_PSEUDO_STRATEGY [20230500, 20230800] 2023-02-21 15:30:36 [1, -1] -13.275000 1535 FEEDCOW _ROLL_PSEUDO_STRATEGY [20230500, 20230800] 2023-02-21 15:30:02 [1, -1] -13.275000 1536 LIVECOW _ROLL_PSEUDO_STRATEGY [20230400, 20230600] 2023-02-21 15:30:05 [1, -1] 4.250000 1538 LIVECOW _ROLL_PSEUDO_STRATEGY [20230400, 20230600] 2023-02-21 15:30:07 [1, -1] 4.250000 1540 LIVECOW _ROLL_PSEUDO_STRATEGY [20230400, 20230600] 2023-02-21 15:30:09 [1, -1] 4.250000 1542 LIVECOW _ROLL_PSEUDO_STRATEGY [20230400, 20230600] 2023-02-21 15:30:34 [1, -1] 4.250000 1544 LIVECOW _ROLL_PSEUDO_STRATEGY [20230400, 20230600] 2023-02-21 15:30:36 [1, -1] 4.250000 1531 US5 caleb_strategy_v1 [20230300] 2023-02-21 15:00:05 [-1] 106.789063 1534 WHEAT caleb_strategy_v1 [20231200] 2023-02-21 15:30:00 [1] 796.000000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1530 CRUDE_W caleb_strategy_v1 2023-02-17 00:00:00 2023-02-21 14:00:01.370 2023-02-21 14:00:02 396001 0.63 1531 US5 caleb_strategy_v1 2023-02-17 00:00:00 2023-02-21 15:00:00.429 2023-02-21 15:00:05 399600 4.571 1532 BITCOIN caleb_strategy_v1 2023-02-17 00:00:00 2023-02-21 15:00:05.835 2023-02-21 15:00:11 399606 5.165 1533 BITCOIN caleb_strategy_v1 2023-02-17 00:00:00 2023-02-21 15:00:12.672 2023-02-21 15:00:13 399613 0.328 1534 WHEAT caleb_strategy_v1 2023-02-17 00:00:00 2023-02-21 15:30:00.630 2023-02-21 15:30:00 401401 NaN 1537 FEEDCOW _ROLL_PSEUDO_STRATEGY 2023-02-17 23:00:00 2023-02-21 15:30:06.461 2023-02-21 15:30:06 318606 NaN 1539 FEEDCOW _ROLL_PSEUDO_STRATEGY 2023-02-17 23:00:00 2023-02-21 15:30:08.473 2023-02-21 15:30:08 318608 NaN 1541 FEEDCOW _ROLL_PSEUDO_STRATEGY 2023-02-17 23:00:00 2023-02-21 15:30:10.566 2023-02-21 15:30:33 318611 22.434 1543 FEEDCOW _ROLL_PSEUDO_STRATEGY 2023-02-17 23:00:00 2023-02-21 15:30:35.755 2023-02-21 15:30:36 318636 0.245 1535 FEEDCOW _ROLL_PSEUDO_STRATEGY 2023-02-17 23:00:00 2023-02-21 15:30:01.900 2023-02-21 15:30:02 318602 0.1 1536 LIVECOW _ROLL_PSEUDO_STRATEGY 2023-02-17 23:00:00 2023-02-21 15:30:03.424 2023-02-21 15:30:05 318603 1.576 1538 LIVECOW _ROLL_PSEUDO_STRATEGY 2023-02-17 23:00:00 2023-02-21 15:30:07.135 2023-02-21 15:30:07 318607 NaN 1540 LIVECOW _ROLL_PSEUDO_STRATEGY 2023-02-17 23:00:00 2023-02-21 15:30:09.257 2023-02-21 15:30:09 318609 NaN 1542 LIVECOW _ROLL_PSEUDO_STRATEGY 2023-02-17 23:00:00 2023-02-21 15:30:34.481 2023-02-21 15:30:34 318634 NaN 1544 LIVECOW _ROLL_PSEUDO_STRATEGY 2023-02-17 23:00:00 2023-02-21 15:30:36.537 2023-02-21 15:30:36 318637 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 1530 CRUDE_W caleb_strategy_v1 [-1] 74.76 None 75.055 75.04 75.07 75.07 75.07 0.295 -0.015 0.03 -1.42109e-14 NaN 0.015 1531 US5 caleb_strategy_v1 [-1] 107.375 None 106.793 106.789 106.797 106.797 106.789 -0.582031 -0.00390625 5e-07 -0.007812 NaN -0.00390575 1532 BITCOIN caleb_strategy_v1 [-1] 24775 None 24907.5 24875 24940 24940 24885 132.5 -32.5 10 -55 NaN -22.5 1533 BITCOIN caleb_strategy_v1 [-1] 24775 None 24910 24885 24935 24935 24880 135 -25 -5 -55 NaN -30 1534 WHEAT caleb_strategy_v1 [1] 803.25 None 795.875 796 795.75 NaN 796 7.375 -0.125 0 NaN NaN -0.125 1537 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] -13.375 None -12.5 -12.5 -12.5 -12.5 -13.275 -0.875 0 0.775 0.775 NaN 0.775 1539 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] -13.375 None -13.3 -13.275 -13.325 -13.325 -13.275 -0.075 -0.025 5.32907e-15 -0.05 NaN -0.025 1541 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] -13.375 None -13.3 -13.275 -13.325 -13.325 -13.25 -0.075 -0.025 -0.025 -0.075 NaN -0.05 1543 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] -13.375 None -13.3 -13.275 -13.325 -13.325 -13.275 -0.075 -0.025 5.32907e-15 -0.05 NaN -0.025 1535 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] -13.375 None -13.3 -13.275 -13.325 -13.325 -13.275 -0.075 -0.025 5.32907e-15 -0.05 NaN -0.025 1536 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 4.525 None 4.2375 4.25 4.225 4.225 4.25 0.2875 -0.0125 0 -0.025 NaN -0.0125 1538 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 4.525 None 5 5 5 5 4.25 -0.475 0 0.75 0.75 NaN 0.75 1540 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 4.525 None 5 5 5 5 4.25 -0.475 0 0.75 0.75 NaN 0.75 1542 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 4.525 None 5 5 5 5 4.25 -0.475 0 0.75 0.75 NaN 0.75 1544 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 4.525 None 5 5 5 5 4.25 -0.475 0 0.75 0.75 NaN 0.75 ======================================================================================================================================================================= 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 1530 CRUDE_W caleb_strategy_v1 [-1] 22.3935 131.735 -6.69837 13.3967 -6.34597e-12 NaN 6.69837 1531 US5 caleb_strategy_v1 [-1] 5.4531 -1067.34 -7.16336 0.00091691 -14.3258 NaN -7.16244 1532 BITCOIN caleb_strategy_v1 [-1] 14616.9 90.6482 -22.2345 6.84137 -37.6276 NaN -15.3931 1533 BITCOIN caleb_strategy_v1 [-1] 14616.9 92.3586 -17.1034 -3.42069 -37.6276 NaN -20.5241 1534 WHEAT caleb_strategy_v1 [1] 186.43 395.591 -6.70493 0 NaN NaN -6.70493 1537 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 17.8772 -489.45 0 433.513 433.513 NaN 433.513 1539 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 17.8772 -41.9529 -13.9843 2.98093e-12 -27.9686 NaN -13.9843 1541 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 17.8772 -41.9529 -13.9843 -13.9843 -41.9529 NaN -27.9686 1543 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 17.8772 -41.9529 -13.9843 2.98093e-12 -27.9686 NaN -13.9843 1535 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 17.8772 -41.9529 -13.9843 2.98093e-12 -27.9686 NaN -13.9843 1536 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 13.6241 211.023 -9.1749 0 -18.3498 NaN -9.1749 1538 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 13.6241 -348.646 0 550.494 550.494 NaN 550.494 1540 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 13.6241 -348.646 0 550.494 550.494 NaN 550.494 1542 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 13.6241 -348.646 0 550.494 550.494 NaN 550.494 1544 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 13.6241 -348.646 0 550.494 550.494 NaN 550.494 ================================================================================================================================================================================== 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 1530 CRUDE_W caleb_strategy_v1 [-1] 1000 295 -15 30 -1.42109e-11 NaN 15 1531 US5 caleb_strategy_v1 [-1] 1000 -582.031 -3.90625 0.0005 -7.812 NaN -3.90575 1532 BITCOIN caleb_strategy_v1 [-1] 0.1 13.25 -3.25 1 -5.5 NaN -2.25 1533 BITCOIN caleb_strategy_v1 [-1] 0.1 13.5 -2.5 -0.5 -5.5 NaN -3 1534 WHEAT caleb_strategy_v1 [1] 50 368.75 -6.25 0 NaN NaN -6.25 1537 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 500 -437.5 0 387.5 387.5 NaN 387.5 1539 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 500 -37.5 -12.5 2.66454e-12 -25 NaN -12.5 1541 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 500 -37.5 -12.5 -12.5 -37.5 NaN -25 1543 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 500 -37.5 -12.5 2.66454e-12 -25 NaN -12.5 1535 FEEDCOW _ROLL_PSEUDO_STRATEGY [1, -1] 500 -37.5 -12.5 2.66454e-12 -25 NaN -12.5 1536 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 400 115 -5 0 -10 NaN -5 1538 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 400 -190 0 300 300 NaN 300 1540 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 400 -190 0 300 300 NaN 300 1542 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 400 -190 0 300 300 NaN 300 1544 LIVECOW _ROLL_PSEUDO_STRATEGY [1, -1] 400 -190 0 300 300 NaN 300 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -587.50000 LIVECOW -645.00000 caleb_strategy_v1 BITCOIN 26.75000 CRUDE_W 295.00000 US5 -582.03125 WHEAT 368.75000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -1232.50000 caleb_strategy_v1 108.46875 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW -50.00000 LIVECOW -5.00000 caleb_strategy_v1 BITCOIN -5.75000 CRUDE_W -15.00000 US5 -3.90625 WHEAT -6.25000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -55.00000 caleb_strategy_v1 -30.90625 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 375.0000 LIVECOW 1200.0000 caleb_strategy_v1 BITCOIN 0.5000 CRUDE_W 30.0000 US5 0.0005 WHEAT 0.0000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 1575.0000 caleb_strategy_v1 30.5005 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 2.750000e+02 LIVECOW 1.190000e+03 caleb_strategy_v1 BITCOIN -1.100000e+01 CRUDE_W -1.421085e-11 US5 -7.812000e+00 WHEAT 0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 1465.000 caleb_strategy_v1 -18.812 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY FEEDCOW 0 LIVECOW 0 caleb_strategy_v1 BITCOIN 0 CRUDE_W 0 US5 0 WHEAT 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 FEEDCOW 325.00000 LIVECOW 1195.00000 caleb_strategy_v1 BITCOIN -5.25000 CRUDE_W 15.00000 US5 -3.90575 WHEAT -6.25000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 1520.00000 caleb_strategy_v1 -0.40575 ******************************************************************************** END OF REPORT ********************************************************************************