******************************************************************************** Trades report report produced on 03/03/2023 21:36 from 02/03/2023 21:36 to 03/03/2023 21:36 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1597 CRUDE_W caleb_strategy_v1 [20231200] 2023-03-03 14:00:02 [1] 74.790000 1599 DOW caleb_strategy_v1 [20230300] 2023-03-03 15:00:01 [1] 33163.000000 1614 DOW caleb_strategy_v1 [20230300] 2023-03-03 15:04:40 [1] 33079.000000 1613 DOW caleb_strategy_v1 [20230300] 2023-03-03 15:04:39 [1] 33082.000000 1612 DOW caleb_strategy_v1 [20230300] 2023-03-03 15:04:36 [1] 33087.000000 1610 DOW caleb_strategy_v1 [20230300] 2023-03-03 15:02:28 [1] 33068.000000 1608 DOW caleb_strategy_v1 [20230300] 2023-03-03 15:02:23 [1] 33071.000000 1606 DOW caleb_strategy_v1 [20230300] 2023-03-03 15:00:17 [1] 33128.000000 1604 DOW caleb_strategy_v1 [20230300] 2023-03-03 15:00:11 [1] 33149.000000 1602 DOW caleb_strategy_v1 [20230300] 2023-03-03 15:00:07 [1] 33135.000000 1600 JPY caleb_strategy_v1 [20230600] 2023-03-03 15:00:02 [-1] 0.007452 1615 LEANHOG caleb_strategy_v1 [20230600] 2023-03-03 15:30:01 [-1] 101.200000 1616 SOYBEAN caleb_strategy_v1 [20231100] 2023-03-03 15:30:14 [-1] 1370.250000 1598 US30 caleb_strategy_v1 [20230600] 2023-03-03 15:00:01 [-1] 134.937500 1611 US5 _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-03 15:04:35 [1, -1] -0.320312 1609 US5 _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-03 15:02:26 [1, -1] -0.328125 1607 US5 _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-03 15:01:19 [1, -1] -0.343750 1605 US5 _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-03 15:00:15 [1, -1] -0.343750 1603 US5 _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-03 15:00:09 [1, -1] -0.335938 1601 US5 _ROLL_PSEUDO_STRATEGY [20230300, 20230600] 2023-03-03 15:00:06 [1, -1] -0.343750 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1597 CRUDE_W caleb_strategy_v1 2023-03-02 00:00:00 2023-03-03 14:00:01.056 2023-03-03 14:00:02 136801 0.944 1598 US30 caleb_strategy_v1 2023-03-02 00:00:00 2023-03-03 15:00:00.955 2023-03-03 15:00:01 140401 0.045 1600 JPY caleb_strategy_v1 2023-03-02 00:00:00 2023-03-03 15:00:02.508 2023-03-03 15:00:02 140403 NaN 1601 US5 _ROLL_PSEUDO_STRATEGY 2023-03-02 20:00:00 2023-03-03 15:00:04.287 2023-03-03 15:00:06 68404.3 1.713 1603 US5 _ROLL_PSEUDO_STRATEGY 2023-03-02 20:00:00 2023-03-03 15:00:07.793 2023-03-03 15:00:09 68407.8 1.207 1605 US5 _ROLL_PSEUDO_STRATEGY 2023-03-02 20:00:00 2023-03-03 15:00:12.382 2023-03-03 15:00:15 68412.4 2.618 1607 US5 _ROLL_PSEUDO_STRATEGY 2023-03-02 20:00:00 2023-03-03 15:00:17.711 2023-03-03 15:01:19 68417.7 61.289 1609 US5 _ROLL_PSEUDO_STRATEGY 2023-03-02 20:00:00 2023-03-03 15:02:26.592 2023-03-03 15:02:26 68546.6 NaN 1611 US5 _ROLL_PSEUDO_STRATEGY 2023-03-02 20:00:00 2023-03-03 15:02:28.881 2023-03-03 15:04:35 68548.9 126.119 1602 DOW caleb_strategy_v1 2023-03-02 00:00:00 2023-03-03 15:00:07.159 2023-03-03 15:00:07 140407 NaN 1604 DOW caleb_strategy_v1 2023-03-02 00:00:00 2023-03-03 15:00:10.410 2023-03-03 15:00:11 140410 0.59 1606 DOW caleb_strategy_v1 2023-03-02 00:00:00 2023-03-03 15:00:16.822 2023-03-03 15:00:17 140417 0.178 1608 DOW caleb_strategy_v1 2023-03-02 00:00:00 2023-03-03 15:02:23.040 2023-03-03 15:02:23 140543 NaN 1610 DOW caleb_strategy_v1 2023-03-02 00:00:00 2023-03-03 15:02:27.969 2023-03-03 15:02:28 140548 0.031 1612 DOW caleb_strategy_v1 2023-03-02 00:00:00 2023-03-03 15:04:36.743 2023-03-03 15:04:36 140677 NaN 1613 DOW caleb_strategy_v1 2023-03-02 00:00:00 2023-03-03 15:04:38.122 2023-03-03 15:04:39 140678 0.878 1614 DOW caleb_strategy_v1 2023-03-02 00:00:00 2023-03-03 15:04:40.222 2023-03-03 15:04:40 140680 NaN 1599 DOW caleb_strategy_v1 2023-03-02 00:00:00 2023-03-03 15:00:01.520 2023-03-03 15:00:01 140402 NaN 1615 LEANHOG caleb_strategy_v1 2023-03-02 00:00:00 2023-03-03 15:30:01.015 2023-03-03 15:30:01 142201 NaN 1616 SOYBEAN caleb_strategy_v1 2023-03-02 00:00:00 2023-03-03 15:30:01.929 2023-03-03 15:30:14 142202 12.071 ================================================================================================================================================================================================================================================= 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 1597 CRUDE_W caleb_strategy_v1 [1] 75.79 None 74.755 74.77 74.74 74.74 74.79 1.035 -0.015 -0.02 -0.05 NaN -0.035 1598 US30 caleb_strategy_v1 [-1] 132.812 None 134.922 134.906 134.938 134.938 134.938 2.10938 -0.015625 0.03125 -0 NaN 0.015625 1600 JPY caleb_strategy_v1 [-1] 0.007425 None 0.0074565 0.007452 0.007461 0.007461 0.007452 3.15e-05 -4.5e-06 -0 -9e-06 NaN -4.5e-06 1601 US5 _ROLL_PSEUDO_STRATEGY [1, -1] -0.328125 None -0.339844 -0.335938 -0.34375 -0.34375 -0.34375 0.0117188 -0.00390625 0.0078125 0 NaN 0.00390625 1603 US5 _ROLL_PSEUDO_STRATEGY [1, -1] -0.328125 None -0.339844 -0.335938 -0.34375 -0.34375 -0.335938 0.0117188 -0.00390625 0 -0.0078125 NaN -0.00390625 1605 US5 _ROLL_PSEUDO_STRATEGY [1, -1] -0.328125 None -0.339844 -0.335938 -0.34375 -0.34375 -0.34375 0.0117188 -0.00390625 0.0078125 0 NaN 0.00390625 1607 US5 _ROLL_PSEUDO_STRATEGY [1, -1] -0.328125 None -0.339844 -0.335938 -0.34375 -0.34375 -0.34375 0.0117188 -0.00390625 0.0078125 0 NaN 0.00390625 1609 US5 _ROLL_PSEUDO_STRATEGY [1, -1] -0.328125 None -0.339844 -0.335938 -0.34375 -0.34375 -0.328125 0.0117188 -0.00390625 -0.0078125 -0.015625 NaN -0.0117188 1611 US5 _ROLL_PSEUDO_STRATEGY [1, -1] -0.328125 None -0.332031 -0.328125 -0.335938 -0.335938 -0.320312 0.00390625 -0.00390625 -0.0078125 -0.015625 NaN -0.0117188 1602 DOW caleb_strategy_v1 [1] 32959 None 33160 33163 33157 NaN 33135 -201 -3 28 NaN NaN 25 1604 DOW caleb_strategy_v1 [1] 32959 None 33132.5 33135 33130 33130 33149 -173.5 -2.5 -14 -19 NaN -16.5 1606 DOW caleb_strategy_v1 [1] 32959 None 33129.5 33131 33128 33128 33128 -170.5 -1.5 3 0 NaN 1.5 1608 DOW caleb_strategy_v1 [1] 32959 None 33068 33069 33067 33067 33071 -109 -1 -2 -4 NaN -3 1610 DOW caleb_strategy_v1 [1] 32959 None 33068 33069 33067 33067 33068 -109 -1 1 -1 NaN 0 1612 DOW caleb_strategy_v1 [1] 32959 None 33088 33089 33087 33087 33087 -129 -1 2 0 NaN 1 1613 DOW caleb_strategy_v1 [1] 32959 None 33081 33082 33080 33080 33082 -122 -1 0 -2 NaN -1 1614 DOW caleb_strategy_v1 [1] 32959 None 33080 33081 33079 33079 33079 -121 -1 2 0 NaN 1 1599 DOW caleb_strategy_v1 [1] 32959 None 33160 33162 33158 33158 33163 -201 -2 -1 -5 NaN -3 1615 LEANHOG caleb_strategy_v1 [-1] 100.7 None 101.225 101.2 101.25 101.25 101.2 0.525 -0.025 -0 -0.05 NaN -0.025 1616 SOYBEAN caleb_strategy_v1 [-1] 1367 None 1370.12 1370 1370.25 1370.25 1370.25 3.125 -0.125 0.25 -0 NaN 0.125 ======================================================================================================================================================================= 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 1597 CRUDE_W caleb_strategy_v1 [1] 21.7593 475.659 -6.89361 -9.19148 -22.9787 NaN -16.0851 1598 US30 caleb_strategy_v1 [-1] 23.8266 885.302 -6.5578 13.1156 -0 NaN 6.5578 1600 JPY caleb_strategy_v1 [-1] 0.000826277 381.228 -54.4611 -0 -108.922 NaN -54.4611 1601 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 4.94764 23.6856 -7.89519 15.7904 0 NaN 7.89519 1603 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 4.94764 23.6856 -7.89519 0 -15.7904 NaN -7.89519 1605 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 4.94764 23.6856 -7.89519 15.7904 0 NaN 7.89519 1607 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 4.94764 23.6856 -7.89519 15.7904 0 NaN 7.89519 1609 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 4.94764 23.6856 -7.89519 -15.7904 -31.5807 NaN -23.6856 1611 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 4.94764 7.89519 -7.89519 -15.7904 -31.5807 NaN -23.6856 1602 DOW caleb_strategy_v1 [1] 4503.62 -446.307 -6.6613 62.1722 NaN NaN 55.5109 1604 DOW caleb_strategy_v1 [1] 4503.62 -385.245 -5.55109 -31.0861 -42.1883 NaN -36.6372 1606 DOW caleb_strategy_v1 [1] 4503.62 -378.584 -3.33065 6.6613 0 NaN 3.33065 1608 DOW caleb_strategy_v1 [1] 4503.62 -242.027 -2.22043 -4.44087 -8.88174 NaN -6.6613 1610 DOW caleb_strategy_v1 [1] 4503.62 -242.027 -2.22043 2.22043 -2.22043 NaN 0 1612 DOW caleb_strategy_v1 [1] 4503.62 -286.436 -2.22043 4.44087 0 NaN 2.22043 1613 DOW caleb_strategy_v1 [1] 4503.62 -270.893 -2.22043 0 -4.44087 NaN -2.22043 1614 DOW caleb_strategy_v1 [1] 4503.62 -268.673 -2.22043 4.44087 0 NaN 2.22043 1599 DOW caleb_strategy_v1 [1] 4503.62 -446.307 -4.44087 -2.22043 -11.1022 NaN -6.6613 1615 LEANHOG caleb_strategy_v1 [-1] 20.8431 251.882 -11.9944 -0 -23.9888 NaN -11.9944 1616 SOYBEAN caleb_strategy_v1 [-1] 193.684 161.346 -6.45382 12.9076 -0 NaN 6.45382 ================================================================================================================================================================================== 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 1597 CRUDE_W caleb_strategy_v1 [1] 1000 1035 -15 -20 -50 NaN -35 1598 US30 caleb_strategy_v1 [-1] 1000 2109.38 -15.625 31.25 -0 NaN 15.625 1600 JPY caleb_strategy_v1 [-1] 1.25e+07 393.75 -56.25 -0 -112.5 NaN -56.25 1601 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 11.7188 -3.90625 7.8125 0 NaN 3.90625 1603 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 11.7188 -3.90625 0 -7.8125 NaN -3.90625 1605 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 11.7188 -3.90625 7.8125 0 NaN 3.90625 1607 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 11.7188 -3.90625 7.8125 0 NaN 3.90625 1609 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 11.7188 -3.90625 -7.8125 -15.625 NaN -11.7188 1611 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 3.90625 -3.90625 -7.8125 -15.625 NaN -11.7188 1602 DOW caleb_strategy_v1 [1] 0.5 -100.5 -1.5 14 NaN NaN 12.5 1604 DOW caleb_strategy_v1 [1] 0.5 -86.75 -1.25 -7 -9.5 NaN -8.25 1606 DOW caleb_strategy_v1 [1] 0.5 -85.25 -0.75 1.5 0 NaN 0.75 1608 DOW caleb_strategy_v1 [1] 0.5 -54.5 -0.5 -1 -2 NaN -1.5 1610 DOW caleb_strategy_v1 [1] 0.5 -54.5 -0.5 0.5 -0.5 NaN 0 1612 DOW caleb_strategy_v1 [1] 0.5 -64.5 -0.5 1 0 NaN 0.5 1613 DOW caleb_strategy_v1 [1] 0.5 -61 -0.5 0 -1 NaN -0.5 1614 DOW caleb_strategy_v1 [1] 0.5 -60.5 -0.5 1 0 NaN 0.5 1599 DOW caleb_strategy_v1 [1] 0.5 -100.5 -1 -0.5 -2.5 NaN -1.5 1615 LEANHOG caleb_strategy_v1 [-1] 400 210 -10 -0 -20 NaN -10 1616 SOYBEAN caleb_strategy_v1 [-1] 50 156.25 -6.25 12.5 -0 NaN 6.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY US5 62.500 caleb_strategy_v1 CRUDE_W 1035.000 DOW -668.000 JPY 393.750 LEANHOG 210.000 SOYBEAN 156.250 US30 2109.375 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 62.500 caleb_strategy_v1 3236.375 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY US5 -23.4375 caleb_strategy_v1 CRUDE_W -15.0000 DOW -7.0000 JPY -56.2500 LEANHOG -10.0000 SOYBEAN -6.2500 US30 -15.6250 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -23.4375 caleb_strategy_v1 -110.1250 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY US5 7.8125 caleb_strategy_v1 CRUDE_W -20.0000 DOW 9.5000 JPY -0.0000 LEANHOG -0.0000 SOYBEAN 12.5000 US30 31.2500 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 7.8125 caleb_strategy_v1 33.2500 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY US5 -39.0625 caleb_strategy_v1 CRUDE_W -50.0000 DOW -15.5000 JPY -112.5000 LEANHOG -20.0000 SOYBEAN -0.0000 US30 -0.0000 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -39.0625 caleb_strategy_v1 -198.0000 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY US5 0 caleb_strategy_v1 CRUDE_W 0 DOW 0 JPY 0 LEANHOG 0 SOYBEAN 0 US30 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 US5 -15.625 caleb_strategy_v1 CRUDE_W -35.000 DOW 2.500 JPY -56.250 LEANHOG -10.000 SOYBEAN 6.250 US30 15.625 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -15.625 caleb_strategy_v1 -76.875 ******************************************************************************** END OF REPORT ********************************************************************************