******************************************************************************** Trades report report produced on 22/05/2023 21:37 from 21/05/2023 21:37 to 22/05/2023 21:37 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2904 GAS_US _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-22 14:00:11 [-1] 2.687 2901 GAS_US _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-22 14:00:02 [1] 2.620 2902 GAS_US _ROLL_PSEUDO_STRATEGY [20230800] 2023-05-22 14:00:06 [-1] 2.687 2903 GAS_US _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-22 14:00:08 [1] 2.619 2900 GOLD_micro caleb_strategy_v1 [20230800] 2023-05-22 14:00:01 [-1] 1995.800 2905 RUSSELL caleb_strategy_v1 [20230600] 2023-05-22 15:00:01 [1] 1786.300 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2900 GOLD_micro caleb_strategy_v1 2023-05-19 00:00:00 2023-05-22 14:00:01.117 2023-05-22 14:00:01 309601 NaN 2904 GAS_US _ROLL_PSEUDO_STRATEGY 2023-05-19 20:00:00 2023-05-22 14:00:08.595 2023-05-22 14:00:11 237609 2.405 2901 GAS_US _ROLL_PSEUDO_STRATEGY 2023-05-19 20:00:00 2023-05-22 14:00:02.422 2023-05-22 14:00:02 237602 NaN 2902 GAS_US _ROLL_PSEUDO_STRATEGY 2023-05-19 20:00:00 2023-05-22 14:00:03.372 2023-05-22 14:00:06 237603 2.628 2903 GAS_US _ROLL_PSEUDO_STRATEGY 2023-05-19 20:00:00 2023-05-22 14:00:08.089 2023-05-22 14:00:08 237608 NaN 2905 RUSSELL caleb_strategy_v1 2023-05-19 00:00:00 2023-05-22 15:00:00.990 2023-05-22 15:00:01 313201 0.01 =================================================================================================================================================================================================================================== 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 2900 GOLD_micro caleb_strategy_v1 [-1] 1997.9 None 1996 1995.9 1996.1 1996.1 1995.8 -1.9 -0.1 -0.1 -0.3 NaN -0.2 2904 GAS_US _ROLL_PSEUDO_STRATEGY [-1] 2.783 None 2.688 2.687 2.689 2.689 2.687 -0.095 -0.001 -0 -0.002 NaN -0.001 2901 GAS_US _ROLL_PSEUDO_STRATEGY [1] 2.719 None 2.619 2.62 2.618 2.618 2.62 0.1 -0.001 0 -0.002 NaN -0.001 2902 GAS_US _ROLL_PSEUDO_STRATEGY [-1] 2.783 None 2.689 2.688 2.69 2.69 2.687 -0.094 -0.001 -0.001 -0.003 NaN -0.002 2903 GAS_US _ROLL_PSEUDO_STRATEGY [1] 2.719 None 2.618 2.619 2.617 2.617 2.619 0.101 -0.001 0 -0.002 NaN -0.001 2905 RUSSELL caleb_strategy_v1 [1] 1778.7 None 1786 1786.1 1785.9 1785.9 1786.3 -7.3 -0.1 -0.2 -0.4 NaN -0.3 ==================================================================================================================================================================== 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 2900 GOLD_micro caleb_strategy_v1 [-1] 289.796 -65.5633 -3.4507 -3.4507 -10.3521 NaN -6.9014 2904 GAS_US _ROLL_PSEUDO_STRATEGY [-1] 2.24336 -423.472 -4.45761 -0 -8.91521 NaN -4.45761 2901 GAS_US _ROLL_PSEUDO_STRATEGY [1] 2.24336 445.761 -4.45761 0 -8.91521 NaN -4.45761 2902 GAS_US _ROLL_PSEUDO_STRATEGY [-1] 2.24336 -419.015 -4.45761 -4.45761 -13.3728 NaN -8.91521 2903 GAS_US _ROLL_PSEUDO_STRATEGY [1] 2.24336 450.218 -4.45761 0 -8.91521 NaN -4.45761 2905 RUSSELL caleb_strategy_v1 [1] 385.39 -189.419 -2.59478 -5.18955 -10.3791 NaN -7.78433 =============================================================================================================================================================================== 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 2900 GOLD_micro caleb_strategy_v1 [-1] 10 -19 -1 -1 -3 NaN -2 2904 GAS_US _ROLL_PSEUDO_STRATEGY [-1] 10000 -950 -10 -0 -20 NaN -10 2901 GAS_US _ROLL_PSEUDO_STRATEGY [1] 10000 1000 -10 0 -20 NaN -10 2902 GAS_US _ROLL_PSEUDO_STRATEGY [-1] 10000 -940 -10 -10 -30 NaN -20 2903 GAS_US _ROLL_PSEUDO_STRATEGY [1] 10000 1010 -10 0 -20 NaN -10 2905 RUSSELL caleb_strategy_v1 [1] 5 -36.5 -0.5 -1 -2 NaN -1.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US 120.0 caleb_strategy_v1 GOLD_micro -19.0 RUSSELL -36.5 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 120.0 caleb_strategy_v1 -55.5 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US -40.0 caleb_strategy_v1 GOLD_micro -1.0 RUSSELL -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -40.0 caleb_strategy_v1 -1.5 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US -10.0 caleb_strategy_v1 GOLD_micro -1.0 RUSSELL -1.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -10.0 caleb_strategy_v1 -2.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US -90.0 caleb_strategy_v1 GOLD_micro -3.0 RUSSELL -2.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -90.0 caleb_strategy_v1 -5.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US 0 caleb_strategy_v1 GOLD_micro 0 RUSSELL 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 GAS_US -50.0 caleb_strategy_v1 GOLD_micro -2.0 RUSSELL -1.5 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -50.0 caleb_strategy_v1 -3.5 ******************************************************************************** END OF REPORT ********************************************************************************