******************************************************************************** Trades report report produced on 03/04/2023 21:37 from 02/04/2023 21:37 to 03/04/2023 21:37 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1971 GASOIL caleb_strategy_v1 [20230600] 2023-04-03 08:00:04 [1] 776.25 1972 ROBUSTA _ROLL_PSEUDO_STRATEGY [20230500] 2023-04-03 09:00:18 [-1] 2215.00 1973 ROBUSTA _ROLL_PSEUDO_STRATEGY [20230700] 2023-04-03 09:00:47 [1] 2183.00 1974 ROBUSTA _ROLL_PSEUDO_STRATEGY [20230500] 2023-04-03 09:00:48 [-1] 2215.00 1975 ROBUSTA _ROLL_PSEUDO_STRATEGY [20230700] 2023-04-03 09:00:48 [1] 2183.00 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1971 GASOIL caleb_strategy_v1 2023-03-31 00:00:00 2023-04-03 09:00:00.981 2023-04-03 08:00:04 291601 NaN 1972 ROBUSTA _ROLL_PSEUDO_STRATEGY 2023-03-31 17:00:00 2023-04-03 10:00:01.120 2023-04-03 09:00:18 234001 NaN 1973 ROBUSTA _ROLL_PSEUDO_STRATEGY 2023-03-31 17:00:00 2023-04-03 10:00:19.373 2023-04-03 09:00:47 234019 NaN 1974 ROBUSTA _ROLL_PSEUDO_STRATEGY 2023-03-31 17:00:00 2023-04-03 10:00:48.084 2023-04-03 09:00:48 234048 NaN 1975 ROBUSTA _ROLL_PSEUDO_STRATEGY 2023-03-31 17:00:00 2023-04-03 10:00:48.672 2023-04-03 09:00:48 234049 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 1971 GASOIL caleb_strategy_v1 [1] 744.5 None 775.625 775.75 775.5 775.5 776.25 -31.125 -0.125 -0.5 -0.75 NaN -0.625 1972 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 2207 None 2214.5 2214 2215 2215 2215 7.5 -0.5 1 -0 NaN 0.5 1973 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 2171 None 2183 2184 2182 2182 2183 -12 -1 1 -1 NaN 0 1974 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 2207 None 2216 2215 2217 2217 2215 9 -1 -0 -2 NaN -1 1975 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 2171 None 2182.5 2183 2182 NaN 2183 -11.5 -0.5 0 NaN NaN -0.5 ==================================================================================================================================================================== 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 1971 GASOIL caleb_strategy_v1 [1] 319.6 -973.875 -3.91114 -15.6446 -23.4669 NaN -19.5557 1972 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 463.966 161.65 -10.7766 21.5533 -0 NaN 10.7766 1973 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 463.966 -258.64 -21.5533 21.5533 -21.5533 NaN 0 1974 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 463.966 193.98 -21.5533 -0 -43.1066 NaN -21.5533 1975 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 463.966 -247.863 -10.7766 0 NaN NaN -10.7766 =============================================================================================================================================================================== 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 1971 GASOIL caleb_strategy_v1 [1] 100 -3112.5 -12.5 -50 -75 NaN -62.5 1972 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 10 75 -5 10 -0 NaN 5 1973 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 10 -120 -10 10 -10 NaN 0 1974 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 10 90 -10 -0 -20 NaN -10 1975 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 10 -115 -5 0 NaN NaN -5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY ROBUSTA -70.0 caleb_strategy_v1 GASOIL -3112.5 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -70.0 caleb_strategy_v1 -3112.5 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY ROBUSTA -30.0 caleb_strategy_v1 GASOIL -12.5 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -30.0 caleb_strategy_v1 -12.5 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY ROBUSTA 20.0 caleb_strategy_v1 GASOIL -50.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 20.0 caleb_strategy_v1 -50.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY ROBUSTA -30.0 caleb_strategy_v1 GASOIL -75.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -30.0 caleb_strategy_v1 -75.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY ROBUSTA 0 caleb_strategy_v1 GASOIL 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 -10.0 caleb_strategy_v1 GASOIL -62.5 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -10.0 caleb_strategy_v1 -62.5 ******************************************************************************** END OF REPORT ********************************************************************************