******************************************************************************** Trades report report produced on 23/03/2023 21:36 from 22/03/2023 21:36 to 23/03/2023 21:36 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1938 BUND caleb_strategy_v1 [20230600] 2023-03-23 08:00:03 [-1] 136.17 1939 COCOA _ROLL_PSEUDO_STRATEGY [20230500, 20230700] 2023-03-23 14:00:04 [1, -1] 51.00 1940 COCOA _ROLL_PSEUDO_STRATEGY [20230500, 20230700] 2023-03-23 14:00:12 [1, -1] 51.00 1941 COCOA _ROLL_PSEUDO_STRATEGY [20230500, 20230700] 2023-03-23 14:00:53 [1, -1] 52.00 1942 COCOA _ROLL_PSEUDO_STRATEGY [20230500, 20230700] 2023-03-23 14:01:59 [1, -1] 52.00 1943 COCOA _ROLL_PSEUDO_STRATEGY [20230500, 20230700] 2023-03-23 14:06:11 [1, -1] 51.00 1944 FEEDCOW caleb_strategy_v1 [20230800] 2023-03-23 15:30:01 [1] 214.85 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1938 BUND caleb_strategy_v1 2023-03-22 00:00:00 2023-03-23 08:00:02.650 2023-03-23 08:00:03 115203 0.35 1939 COCOA _ROLL_PSEUDO_STRATEGY 2023-03-22 17:00:00 2023-03-23 14:00:01.927 2023-03-23 14:00:04 75601.9 2.073 1940 COCOA _ROLL_PSEUDO_STRATEGY 2023-03-22 17:00:00 2023-03-23 14:00:05.702 2023-03-23 14:00:12 75605.7 6.298 1941 COCOA _ROLL_PSEUDO_STRATEGY 2023-03-22 17:00:00 2023-03-23 14:00:14.053 2023-03-23 14:00:53 75614.1 38.947 1942 COCOA _ROLL_PSEUDO_STRATEGY 2023-03-22 17:00:00 2023-03-23 14:01:02.304 2023-03-23 14:01:59 75662.3 56.696 1943 COCOA _ROLL_PSEUDO_STRATEGY 2023-03-22 17:00:00 2023-03-23 14:02:00.814 2023-03-23 14:06:11 75720.8 250.186 1944 FEEDCOW caleb_strategy_v1 2023-03-22 00:00:00 2023-03-23 15:30:01.122 2023-03-23 15:30:01 142201 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 1938 BUND caleb_strategy_v1 [-1] 136.44 None 136.165 136.16 136.17 136.17 136.17 -0.275 -0.005 0.01 -2.84217e-14 NaN 0.005 1939 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] 51 None 50.5 51 50 50 51 0.5 -0.5 0 -1 NaN -0.5 1940 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] 51 None 50.5 51 50 NaN 51 0.5 -0.5 0 NaN NaN -0.5 1941 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] 51 None 50.5 51 50 50 52 0.5 -0.5 -1 -2 NaN -1.5 1942 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] 51 None 51 52 50 50 52 0 -1 0 -2 NaN -1 1943 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] 51 None 51.5 52 51 51 51 -0.5 -0.5 1 0 NaN 0.5 1944 FEEDCOW caleb_strategy_v1 [1] 214.775 None 214.812 214.85 214.775 214.775 214.85 -0.0375 -0.0375 0 -0.075 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 1938 BUND caleb_strategy_v1 [-1] 19.6473 -139.968 -2.54487 5.08975 -1.44659e-11 NaN 2.54487 1939 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] 586.426 8.52622 -8.52622 0 -17.0524 NaN -8.52622 1940 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] 586.426 8.52622 -8.52622 0 NaN NaN -8.52622 1941 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] 586.426 8.52622 -8.52622 -17.0524 -34.1049 NaN -25.5787 1942 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] 586.426 0 -17.0524 0 -34.1049 NaN -17.0524 1943 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] 586.426 -8.52622 -8.52622 17.0524 0 NaN 8.52622 1944 FEEDCOW caleb_strategy_v1 [1] 19.8274 -18.9133 -18.9133 0 -37.8265 NaN -18.9133 ================================================================================================================================================================================== 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 1938 BUND caleb_strategy_v1 [-1] 1091.35 -300.121 -5.45675 10.9135 -3.1018e-11 NaN 5.45675 1939 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] 10 5 -5 0 -10 NaN -5 1940 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] 10 5 -5 0 NaN NaN -5 1941 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] 10 5 -5 -10 -20 NaN -15 1942 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] 10 0 -10 0 -20 NaN -10 1943 COCOA _ROLL_PSEUDO_STRATEGY [1, -1] 10 -5 -5 10 0 NaN 5 1944 FEEDCOW caleb_strategy_v1 [1] 500 -18.75 -18.75 0 -37.5 NaN -18.75 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA 10.00000 caleb_strategy_v1 BUND -300.12125 FEEDCOW -18.75000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 10.00000 caleb_strategy_v1 -318.87125 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA -30.00000 caleb_strategy_v1 BUND -5.45675 FEEDCOW -18.75000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -30.00000 caleb_strategy_v1 -24.20675 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA 0.0000 caleb_strategy_v1 BUND 10.9135 FEEDCOW 0.0000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 0.0000 caleb_strategy_v1 10.9135 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA -5.000000e+01 caleb_strategy_v1 BUND -3.101803e-11 FEEDCOW -3.750000e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -50.0 caleb_strategy_v1 -37.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA 0 caleb_strategy_v1 BUND 0 FEEDCOW 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 COCOA -30.00000 caleb_strategy_v1 BUND 5.45675 FEEDCOW -18.75000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -30.00000 caleb_strategy_v1 -13.29325 ******************************************************************************** END OF REPORT ********************************************************************************