******************************************************************************** Trades report report produced on 24/04/2023 21:37 from 23/04/2023 21:37 to 24/04/2023 21:37 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2314 BITCOIN _ROLL_PSEUDO_STRATEGY [20230400] 2023-04-24 15:00:02 [1] 27650.000000 2315 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-04-24 15:00:44 [-1] 27770.000000 2318 BITCOIN _ROLL_PSEUDO_STRATEGY [20230400] 2023-04-24 15:02:26 [1] 27650.000000 2319 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-04-24 15:03:00 [-1] 27765.000000 2321 BITCOIN _ROLL_PSEUDO_STRATEGY [20230400] 2023-04-24 15:03:02 [1] 27655.000000 2322 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-04-24 15:03:15 [-1] 27750.000000 2324 BITCOIN _ROLL_PSEUDO_STRATEGY [20230400] 2023-04-24 15:03:17 [1] 27640.000000 2325 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-04-24 15:04:21 [-1] 27740.000000 2327 BITCOIN _ROLL_PSEUDO_STRATEGY [20230400] 2023-04-24 15:04:24 [1] 27630.000000 2328 BITCOIN _ROLL_PSEUDO_STRATEGY [20230500] 2023-04-24 15:04:26 [-1] 27740.000000 2317 RUSSELL caleb_strategy_v1 [20230600] 2023-04-24 15:01:20 [1] 1805.100000 2320 RUSSELL caleb_strategy_v1 [20230600] 2023-04-24 15:03:00 [1] 1803.600000 2323 RUSSELL caleb_strategy_v1 [20230600] 2023-04-24 15:03:15 [1] 1803.000000 2326 RUSSELL caleb_strategy_v1 [20230600] 2023-04-24 15:04:22 [1] 1804.400000 2329 RUSSELL caleb_strategy_v1 [20230600] 2023-04-24 15:04:27 [1] 1804.800000 2316 US5 caleb_strategy_v1 [20230600] 2023-04-24 15:01:20 [-1] 109.429688 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2316 US5 caleb_strategy_v1 2023-04-21 00:00:00 2023-04-24 15:00:45.192 2023-04-24 15:01:20 313245 34.808 2314 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-04-20 19:00:00 2023-04-24 15:00:01.413 2023-04-24 15:00:02 331201 0.587 2315 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-04-20 19:00:00 2023-04-24 15:00:02.553 2023-04-24 15:00:44 331203 41.447 2318 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-04-20 19:00:00 2023-04-24 15:02:26.601 2023-04-24 15:02:26 331347 NaN 2319 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-04-20 19:00:00 2023-04-24 15:02:26.985 2023-04-24 15:03:00 331347 33.015 2321 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-04-20 19:00:00 2023-04-24 15:03:02.502 2023-04-24 15:03:02 331383 NaN 2322 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-04-20 19:00:00 2023-04-24 15:03:02.939 2023-04-24 15:03:15 331383 12.061 2324 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-04-20 19:00:00 2023-04-24 15:03:17.247 2023-04-24 15:03:17 331397 NaN 2325 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-04-20 19:00:00 2023-04-24 15:03:17.928 2023-04-24 15:04:21 331398 63.072 2327 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-04-20 19:00:00 2023-04-24 15:04:23.955 2023-04-24 15:04:24 331464 0.045 2328 BITCOIN _ROLL_PSEUDO_STRATEGY 2023-04-20 19:00:00 2023-04-24 15:04:24.533 2023-04-24 15:04:26 331465 1.467 2317 RUSSELL caleb_strategy_v1 2023-04-21 00:00:00 2023-04-24 15:01:20.777 2023-04-24 15:01:20 313281 NaN 2320 RUSSELL caleb_strategy_v1 2023-04-21 00:00:00 2023-04-24 15:03:00.637 2023-04-24 15:03:00 313381 NaN 2323 RUSSELL caleb_strategy_v1 2023-04-21 00:00:00 2023-04-24 15:03:15.417 2023-04-24 15:03:15 313395 NaN 2326 RUSSELL caleb_strategy_v1 2023-04-21 00:00:00 2023-04-24 15:04:22.160 2023-04-24 15:04:22 313462 NaN 2329 RUSSELL caleb_strategy_v1 2023-04-21 00:00:00 2023-04-24 15:04:26.557 2023-04-24 15:04:27 313467 0.443 ========================================================================================================================================================================================================================================== 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 2316 US5 caleb_strategy_v1 [-1] 109.227 None 109.441 109.438 109.445 109.445 109.43 0.214844 -0.00390625 -0.007812 -0.0156245 NaN -0.0117183 2314 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 28385 None 27645 27650 27640 27640 27650 740 -5 0 -10 NaN -5 2315 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 28470 None 27792.5 27765 27820 27820 27770 -677.5 -27.5 5 -50 NaN -22.5 2318 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 28385 None 27645 27650 27640 NaN 27650 740 -5 0 NaN NaN -5 2319 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 28470 None 27790 27765 27815 27815 27765 -680 -25 -0 -50 NaN -25 2321 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 28385 None 27642.5 27650 27635 27635 27655 742.5 -7.5 -5 -20 NaN -12.5 2322 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 28470 None 27790 27765 27815 27815 27750 -680 -25 -15 -65 NaN -40 2324 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 28385 None 27635 27640 27630 27630 27640 750 -5 0 -10 NaN -5 2325 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 28470 None 27777.5 27745 27810 27810 27740 -692.5 -32.5 -5 -70 NaN -37.5 2327 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 28385 None 27622.5 27630 27615 27615 27630 762.5 -7.5 0 -15 NaN -7.5 2328 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 28470 None 27770 27740 27800 27800 27740 -700 -30 -0 -60 NaN -30 2317 RUSSELL caleb_strategy_v1 [1] 1798.8 None 1805.05 1805.1 1805 NaN 1805.1 -6.25 -0.05 0 NaN NaN -0.05 2320 RUSSELL caleb_strategy_v1 [1] 1798.8 None 1803.7 1803.8 1803.6 1803.6 1803.6 -4.9 -0.1 0.2 2.27374e-13 NaN 0.1 2323 RUSSELL caleb_strategy_v1 [1] 1798.8 None 1803.05 1803.1 1803 1803 1803 -4.25 -0.05 0.1 0 NaN 0.05 2326 RUSSELL caleb_strategy_v1 [1] 1798.8 None 1804.2 1804.3 1804.1 1804.1 1804.4 -5.4 -0.1 -0.1 -0.3 NaN -0.2 2329 RUSSELL caleb_strategy_v1 [1] 1798.8 None 1804.55 1804.6 1804.5 1804.5 1804.8 -5.75 -0.05 -0.2 -0.3 NaN -0.25 ==================================================================================================================================================================== 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 2316 US5 caleb_strategy_v1 [-1] 6.76789 317.446 -5.77174 -11.5427 -23.0862 NaN -17.3145 2314 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 17539.5 421.904 -2.8507 0 -5.70141 NaN -2.8507 2315 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 17539.5 -386.27 -15.6789 2.8507 -28.507 NaN -12.8282 2318 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 17539.5 421.904 -2.8507 0 NaN NaN -2.8507 2319 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 17539.5 -387.696 -14.2535 -0 -28.507 NaN -14.2535 2321 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 17539.5 423.329 -4.27605 -2.8507 -11.4028 NaN -7.12676 2322 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 17539.5 -387.696 -14.2535 -8.55211 -37.0591 NaN -22.8056 2324 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 17539.5 427.605 -2.8507 0 -5.70141 NaN -2.8507 2325 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 17539.5 -394.822 -18.5296 -2.8507 -39.9098 NaN -21.3803 2327 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 17539.5 434.732 -4.27605 0 -8.55211 NaN -4.27605 2328 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 17539.5 -399.098 -17.1042 -0 -34.2084 NaN -17.1042 2317 RUSSELL caleb_strategy_v1 [1] 370.039 -168.901 -1.35121 0 NaN NaN -1.35121 2320 RUSSELL caleb_strategy_v1 [1] 370.039 -132.419 -2.70242 5.40484 6.14459e-12 NaN 2.70242 2323 RUSSELL caleb_strategy_v1 [1] 370.039 -114.853 -1.35121 2.70242 0 NaN 1.35121 2326 RUSSELL caleb_strategy_v1 [1] 370.039 -145.931 -2.70242 -2.70242 -8.10726 NaN -5.40484 2329 RUSSELL caleb_strategy_v1 [1] 370.039 -155.389 -1.35121 -5.40484 -8.10726 NaN -6.75605 =============================================================================================================================================================================== 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 2316 US5 caleb_strategy_v1 [-1] 1000 214.844 -3.90625 -7.812 -15.6245 NaN -11.7183 2314 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 74 -0.5 0 -1 NaN -0.5 2315 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -67.75 -2.75 0.5 -5 NaN -2.25 2318 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 74 -0.5 0 NaN NaN -0.5 2319 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -68 -2.5 -0 -5 NaN -2.5 2321 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 74.25 -0.75 -0.5 -2 NaN -1.25 2322 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -68 -2.5 -1.5 -6.5 NaN -4 2324 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 75 -0.5 0 -1 NaN -0.5 2325 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -69.25 -3.25 -0.5 -7 NaN -3.75 2327 BITCOIN _ROLL_PSEUDO_STRATEGY [1] 0.1 76.25 -0.75 0 -1.5 NaN -0.75 2328 BITCOIN _ROLL_PSEUDO_STRATEGY [-1] 0.1 -70 -3 -0 -6 NaN -3 2317 RUSSELL caleb_strategy_v1 [1] 5 -31.25 -0.25 0 NaN NaN -0.25 2320 RUSSELL caleb_strategy_v1 [1] 5 -24.5 -0.5 1 1.13687e-12 NaN 0.5 2323 RUSSELL caleb_strategy_v1 [1] 5 -21.25 -0.25 0.5 0 NaN 0.25 2326 RUSSELL caleb_strategy_v1 [1] 5 -27 -0.5 -0.5 -1.5 NaN -1 2329 RUSSELL caleb_strategy_v1 [1] 5 -28.75 -0.25 -1 -1.5 NaN -1.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN 30.50000 caleb_strategy_v1 RUSSELL -132.75000 US5 214.84375 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 30.50000 caleb_strategy_v1 82.09375 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN -17.00000 caleb_strategy_v1 RUSSELL -1.75000 US5 -3.90625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -17.00000 caleb_strategy_v1 -5.65625 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN -2.000000e+00 caleb_strategy_v1 RUSSELL -1.136868e-12 US5 -7.812000e+00 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -2.000 caleb_strategy_v1 -7.812 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN -35.0000 caleb_strategy_v1 RUSSELL -3.0000 US5 -15.6245 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -35.0000 caleb_strategy_v1 -18.6245 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BITCOIN 0 caleb_strategy_v1 RUSSELL 0 US5 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 BITCOIN -19.00000 caleb_strategy_v1 RUSSELL -1.75000 US5 -11.71825 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -19.00000 caleb_strategy_v1 -13.46825 ******************************************************************************** END OF REPORT ********************************************************************************