******************************************************************************** Trades report report produced on 12/04/2023 21:37 from 11/04/2023 21:37 to 12/04/2023 21:37 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2129 LEANHOG _ROLL_PSEUDO_STRATEGY [20230700] 2023-04-12 15:30:20 [-1] 91.57500 2137 LEANHOG _ROLL_PSEUDO_STRATEGY [20230700] 2023-04-12 15:30:35 [-1] 91.50000 2136 LEANHOG _ROLL_PSEUDO_STRATEGY [20230600] 2023-04-12 15:30:34 [1] 88.90000 2135 LEANHOG _ROLL_PSEUDO_STRATEGY [20230700] 2023-04-12 15:30:33 [-1] 91.50000 2134 LEANHOG _ROLL_PSEUDO_STRATEGY [20230600] 2023-04-12 15:30:29 [1] 88.87500 2133 LEANHOG _ROLL_PSEUDO_STRATEGY [20230700] 2023-04-12 15:30:27 [-1] 91.52500 2132 LEANHOG _ROLL_PSEUDO_STRATEGY [20230600] 2023-04-12 15:30:27 [1] 88.90000 2131 LEANHOG _ROLL_PSEUDO_STRATEGY [20230700] 2023-04-12 15:30:25 [-1] 91.52500 2130 LEANHOG _ROLL_PSEUDO_STRATEGY [20230600] 2023-04-12 15:30:22 [1] 88.97500 2139 LEANHOG _ROLL_PSEUDO_STRATEGY [20230700] 2023-04-12 15:30:37 [-1] 91.50000 2128 LEANHOG _ROLL_PSEUDO_STRATEGY [20230600] 2023-04-12 15:30:17 [1] 88.97500 2138 LEANHOG _ROLL_PSEUDO_STRATEGY [20230600] 2023-04-12 15:30:36 [1] 88.90000 2125 RUSSELL caleb_strategy_v1 [20230600] 2023-04-12 15:00:18 [-1] 1802.10000 2124 RUSSELL caleb_strategy_v1 [20230600] 2023-04-12 15:00:15 [-1] 1802.10000 2123 RUSSELL caleb_strategy_v1 [20230600] 2023-04-12 15:00:13 [-1] 1802.40000 2121 RUSSELL caleb_strategy_v1 [20230600] 2023-04-12 15:00:02 [-1] 1802.70000 2127 SOYMEAL _ROLL_PSEUDO_STRATEGY [20230800] 2023-04-12 15:30:17 [1] 447.10000 2126 SOYMEAL _ROLL_PSEUDO_STRATEGY [20230700] 2023-04-12 15:30:02 [-1] 456.70000 2120 SUGAR11 caleb_strategy_v1 [20230700] 2023-04-12 14:00:01 [-1] 23.56000 2122 US10U caleb_strategy_v1 [20230600] 2023-04-12 15:00:11 [-1] 122.09375 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2120 SUGAR11 caleb_strategy_v1 2023-04-11 00:00:00 2023-04-12 14:00:00.973 2023-04-12 14:00:01 136801 0.027 2122 US10U caleb_strategy_v1 2023-04-11 00:00:00 2023-04-12 15:00:02.960 2023-04-12 15:00:11 140403 8.04 2121 RUSSELL caleb_strategy_v1 2023-04-11 00:00:00 2023-04-12 15:00:01.688 2023-04-12 15:00:02 140402 0.312 2123 RUSSELL caleb_strategy_v1 2023-04-11 00:00:00 2023-04-12 15:00:13.532 2023-04-12 15:00:13 140414 NaN 2124 RUSSELL caleb_strategy_v1 2023-04-11 00:00:00 2023-04-12 15:00:15.530 2023-04-12 15:00:15 140416 NaN 2125 RUSSELL caleb_strategy_v1 2023-04-11 00:00:00 2023-04-12 15:00:17.692 2023-04-12 15:00:18 140418 0.308 2126 SOYMEAL _ROLL_PSEUDO_STRATEGY 2023-04-11 19:00:00 2023-04-12 15:30:02.138 2023-04-12 15:30:02 73802.1 NaN 2127 SOYMEAL _ROLL_PSEUDO_STRATEGY 2023-04-11 19:00:00 2023-04-12 15:30:03.057 2023-04-12 15:30:17 73803.1 13.943 2128 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-04-11 19:00:00 2023-04-12 15:30:17.881 2023-04-12 15:30:17 73817.9 NaN 2129 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-04-11 19:00:00 2023-04-12 15:30:18.585 2023-04-12 15:30:20 73818.6 1.415 2130 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-04-11 19:00:00 2023-04-12 15:30:22.171 2023-04-12 15:30:22 73822.2 NaN 2131 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-04-11 19:00:00 2023-04-12 15:30:22.689 2023-04-12 15:30:25 73822.7 2.311 2132 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-04-11 19:00:00 2023-04-12 15:30:27.184 2023-04-12 15:30:27 73827.2 NaN 2133 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-04-11 19:00:00 2023-04-12 15:30:27.609 2023-04-12 15:30:27 73827.6 NaN 2134 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-04-11 19:00:00 2023-04-12 15:30:29.501 2023-04-12 15:30:29 73829.5 NaN 2135 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-04-11 19:00:00 2023-04-12 15:30:30.025 2023-04-12 15:30:33 73830 2.975 2136 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-04-11 19:00:00 2023-04-12 15:30:34.739 2023-04-12 15:30:34 73834.7 NaN 2137 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-04-11 19:00:00 2023-04-12 15:30:35.123 2023-04-12 15:30:35 73835.1 NaN 2138 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-04-11 19:00:00 2023-04-12 15:30:36.844 2023-04-12 15:30:36 73836.8 NaN 2139 LEANHOG _ROLL_PSEUDO_STRATEGY 2023-04-11 19:00:00 2023-04-12 15:30:37.236 2023-04-12 15:30:37 73837.2 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 2120 SUGAR11 caleb_strategy_v1 [-1] 23.7 None 23.575 23.57 23.58 23.58 23.56 -0.125 -0.005 -0.01 -0.02 NaN -0.015 2122 US10U caleb_strategy_v1 [-1] 121.703 None 122.078 122.062 122.094 122.094 122.094 0.375 -0.015625 0.03125 -0 NaN 0.015625 2121 RUSSELL caleb_strategy_v1 [-1] 1806.2 None 1802.95 1802.9 1803 1803 1802.7 -3.25 -0.05 -0.2 -0.3 NaN -0.25 2123 RUSSELL caleb_strategy_v1 [-1] 1806.2 None 1802.55 1802.5 1802.6 1802.6 1802.4 -3.65 -0.05 -0.1 -0.2 NaN -0.15 2124 RUSSELL caleb_strategy_v1 [-1] 1806.2 None 1802.2 1802.1 1802.3 1802.3 1802.1 -4 -0.1 -0 -0.2 NaN -0.1 2125 RUSSELL caleb_strategy_v1 [-1] 1806.2 None 1802.05 1802 1802.1 1802.1 1802.1 -4.15 -0.05 0.1 -2.27374e-13 NaN 0.05 2126 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1] 455.4 None 456.8 456.7 456.9 456.9 456.7 1.4 -0.1 -0 -0.2 NaN -0.1 2127 SOYMEAL _ROLL_PSEUDO_STRATEGY [1] 445.4 None 447 447.1 446.9 446.9 447.1 -1.6 -0.1 0 -0.2 NaN -0.1 2128 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 87.9 None 88.95 88.975 88.925 NaN 88.975 -1.05 -0.025 0 NaN NaN -0.025 2129 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 90.7 None 91.6 91.575 91.625 91.625 91.575 0.9 -0.025 -0 -0.05 NaN -0.025 2130 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 87.9 None 88.9625 88.975 88.95 88.95 88.975 -1.0625 -0.0125 0 -0.025 NaN -0.0125 2131 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 90.7 None 92.5 92.5 92.5 92.5 91.525 1.8 -0 -0.975 -0.975 NaN -0.975 2132 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 87.9 None 88.8875 88.9 88.875 88.875 88.9 -0.9875 -0.0125 0 -0.025 NaN -0.0125 2133 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 90.7 None 91.55 91.525 91.575 NaN 91.525 0.85 -0.025 -0 NaN NaN -0.025 2134 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 87.9 None 88.8625 88.875 88.85 88.85 88.875 -0.9625 -0.0125 0 -0.025 NaN -0.0125 2135 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 90.7 None 91.5125 91.5 91.525 91.525 91.5 0.8125 -0.0125 -0 -0.025 NaN -0.0125 2136 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 87.9 None 89.45 88.9 90 90 88.9 -1.55 0.55 0 1.1 NaN 0.55 2137 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 90.7 None 92 91.5 92.5 NaN 91.5 1.3 -0.5 -0 NaN NaN -0.5 2138 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 87.9 None 89.45 88.9 90 90 88.9 -1.55 0.55 0 1.1 NaN 0.55 2139 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 90.7 None 92 91.5 92.5 NaN 91.5 1.3 -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 2120 SUGAR11 caleb_strategy_v1 [-1] 5.06942 -246.577 -9.86306 -19.7261 -39.4523 NaN -29.5892 2122 US10U caleb_strategy_v1 [-1] 12.7418 294.306 -12.2628 24.5255 -0 NaN 12.2628 2121 RUSSELL caleb_strategy_v1 [-1] 414.059 -78.4913 -1.20756 -4.83023 -7.24535 NaN -6.03779 2123 RUSSELL caleb_strategy_v1 [-1] 414.059 -88.1518 -1.20756 -2.41512 -4.83023 NaN -3.62267 2124 RUSSELL caleb_strategy_v1 [-1] 414.059 -96.6047 -2.41512 -0 -4.83023 NaN -2.41512 2125 RUSSELL caleb_strategy_v1 [-1] 414.059 -100.227 -1.20756 2.41512 -5.49134e-12 NaN 1.20756 2126 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1] 95.7914 146.151 -10.4393 -0 -20.8787 NaN -10.4393 2127 SOYMEAL _ROLL_PSEUDO_STRATEGY [1] 95.7914 -167.03 -10.4393 0 -20.8787 NaN -10.4393 2128 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 22.6144 -464.305 -11.0549 0 NaN NaN -11.0549 2129 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 22.6144 397.976 -11.0549 -0 -22.1098 NaN -11.0549 2130 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 22.6144 -469.833 -5.52744 0 -11.0549 NaN -5.52744 2131 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 22.6144 795.952 -0 -431.14 -431.14 NaN -431.14 2132 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 22.6144 -436.668 -5.52744 0 -11.0549 NaN -5.52744 2133 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 22.6144 375.866 -11.0549 -0 NaN NaN -11.0549 2134 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 22.6144 -425.613 -5.52744 0 -11.0549 NaN -5.52744 2135 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 22.6144 359.284 -5.52744 -0 -11.0549 NaN -5.52744 2136 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 22.6144 -685.403 243.207 0 486.415 NaN 243.207 2137 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 22.6144 574.854 -221.098 -0 NaN NaN -221.098 2138 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 22.6144 -685.403 243.207 0 486.415 NaN 243.207 2139 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 22.6144 574.854 -221.098 -0 NaN NaN -221.098 =============================================================================================================================================================================== 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 2120 SUGAR11 caleb_strategy_v1 [-1] 1120 -140 -5.6 -11.2 -22.4 NaN -16.8 2122 US10U caleb_strategy_v1 [-1] 1000 375 -15.625 31.25 -0 NaN 15.625 2121 RUSSELL caleb_strategy_v1 [-1] 5 -16.25 -0.25 -1 -1.5 NaN -1.25 2123 RUSSELL caleb_strategy_v1 [-1] 5 -18.25 -0.25 -0.5 -1 NaN -0.75 2124 RUSSELL caleb_strategy_v1 [-1] 5 -20 -0.5 -0 -1 NaN -0.5 2125 RUSSELL caleb_strategy_v1 [-1] 5 -20.75 -0.25 0.5 -1.13687e-12 NaN 0.25 2126 SOYMEAL _ROLL_PSEUDO_STRATEGY [-1] 100 140 -10 -0 -20 NaN -10 2127 SOYMEAL _ROLL_PSEUDO_STRATEGY [1] 100 -160 -10 0 -20 NaN -10 2128 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 -420 -10 0 NaN NaN -10 2129 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 360 -10 -0 -20 NaN -10 2130 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 -425 -5 0 -10 NaN -5 2131 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 720 -0 -390 -390 NaN -390 2132 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 -395 -5 0 -10 NaN -5 2133 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 340 -10 -0 NaN NaN -10 2134 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 -385 -5 0 -10 NaN -5 2135 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 325 -5 -0 -10 NaN -5 2136 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 -620 220 0 440 NaN 220 2137 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 520 -200 -0 NaN NaN -200 2138 LEANHOG _ROLL_PSEUDO_STRATEGY [1] 400 -620 220 0 440 NaN 220 2139 LEANHOG _ROLL_PSEUDO_STRATEGY [-1] 400 520 -200 -0 NaN NaN -200 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -80.00 SOYMEAL -20.00 caleb_strategy_v1 RUSSELL -75.25 SUGAR11 -140.00 US10U 375.00 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -100.00 caleb_strategy_v1 159.75 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -10.000 SOYMEAL -20.000 caleb_strategy_v1 RUSSELL -1.250 SUGAR11 -5.600 US10U -15.625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -30.000 caleb_strategy_v1 -22.475 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG -390.00 SOYMEAL 0.00 caleb_strategy_v1 RUSSELL -1.00 SUGAR11 -11.20 US10U 31.25 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -390.00 caleb_strategy_v1 19.05 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 430.0 SOYMEAL -40.0 caleb_strategy_v1 RUSSELL -3.5 SUGAR11 -22.4 US10U -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 390.0 caleb_strategy_v1 -25.9 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY LEANHOG 0 SOYMEAL 0 caleb_strategy_v1 RUSSELL 0 SUGAR11 0 US10U 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 -400.000 SOYMEAL -20.000 caleb_strategy_v1 RUSSELL -2.250 SUGAR11 -16.800 US10U 15.625 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -420.000 caleb_strategy_v1 -3.425 ******************************************************************************** END OF REPORT ********************************************************************************