******************************************************************************** Trades report report produced on 23/05/2023 21:37 from 22/05/2023 21:37 to 23/05/2023 21:37 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2912 COCOA _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-23 14:01:13 [1] 3029.000000 2913 COCOA _ROLL_PSEUDO_STRATEGY [20230900] 2023-05-23 14:01:15 [-1] 3039.000000 2906 COCOA _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-23 14:00:28 [1] 3029.000000 2907 COCOA _ROLL_PSEUDO_STRATEGY [20230900] 2023-05-23 14:00:41 [-1] 3037.000000 2908 COCOA _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-23 14:00:53 [1] 3030.000000 2909 COCOA _ROLL_PSEUDO_STRATEGY [20230900] 2023-05-23 14:00:54 [-1] 3039.000000 2910 COCOA _ROLL_PSEUDO_STRATEGY [20230700] 2023-05-23 14:01:07 [1] 3029.000000 2911 COCOA _ROLL_PSEUDO_STRATEGY [20230900] 2023-05-23 14:01:07 [-1] 3038.000000 2915 RUSSELL caleb_strategy_v1 [20230600] 2023-05-23 15:00:03 [1] 1809.900000 2927 US10U _ROLL_PSEUDO_STRATEGY [20230900] 2023-05-23 15:01:28 [-1] 119.421875 2926 US10U _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-23 15:01:22 [1] 118.468750 2925 US10U _ROLL_PSEUDO_STRATEGY [20230900] 2023-05-23 15:01:19 [-1] 119.406250 2924 US10U _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-23 15:01:19 [1] 118.468750 2923 US10U _ROLL_PSEUDO_STRATEGY [20230900] 2023-05-23 15:00:42 [-1] 119.375000 2922 US10U _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-23 15:00:42 [1] 118.437500 2917 US10U _ROLL_PSEUDO_STRATEGY [20230900] 2023-05-23 15:00:13 [-1] 119.359375 2920 US10U _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-23 15:00:22 [1] 118.421875 2919 US10U _ROLL_PSEUDO_STRATEGY [20230900] 2023-05-23 15:00:16 [-1] 119.375000 2918 US10U _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-23 15:00:16 [1] 118.421875 2928 US10U _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-23 15:01:32 [1] 118.453125 2916 US10U _ROLL_PSEUDO_STRATEGY [20230600] 2023-05-23 15:00:07 [1] 118.421875 2921 US10U _ROLL_PSEUDO_STRATEGY [20230900] 2023-05-23 15:00:37 [-1] 119.359375 2929 US10U _ROLL_PSEUDO_STRATEGY [20230900] 2023-05-23 15:01:33 [-1] 119.390625 2914 US20 caleb_strategy_v1 [20230900] 2023-05-23 15:00:02 [-1] 126.562500 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2912 COCOA _ROLL_PSEUDO_STRATEGY 2023-05-22 18:00:00 2023-05-23 14:01:09.121 2023-05-23 14:01:13 72069.1 3.879 2913 COCOA _ROLL_PSEUDO_STRATEGY 2023-05-22 18:00:00 2023-05-23 14:01:13.614 2023-05-23 14:01:15 72073.6 1.386 2906 COCOA _ROLL_PSEUDO_STRATEGY 2023-05-22 18:00:00 2023-05-23 14:00:01.648 2023-05-23 14:00:28 72001.6 26.352 2907 COCOA _ROLL_PSEUDO_STRATEGY 2023-05-22 18:00:00 2023-05-23 14:00:29.408 2023-05-23 14:00:41 72029.4 11.592 2908 COCOA _ROLL_PSEUDO_STRATEGY 2023-05-22 18:00:00 2023-05-23 14:00:50.776 2023-05-23 14:00:53 72050.8 2.224 2909 COCOA _ROLL_PSEUDO_STRATEGY 2023-05-22 18:00:00 2023-05-23 14:00:54.117 2023-05-23 14:00:54 72054.1 NaN 2910 COCOA _ROLL_PSEUDO_STRATEGY 2023-05-22 18:00:00 2023-05-23 14:00:56.099 2023-05-23 14:01:07 72056.1 10.901 2911 COCOA _ROLL_PSEUDO_STRATEGY 2023-05-22 18:00:00 2023-05-23 14:01:07.336 2023-05-23 14:01:07 72067.3 NaN 2914 US20 caleb_strategy_v1 2023-05-22 00:00:00 2023-05-23 15:00:01.359 2023-05-23 15:00:02 140401 0.641 2915 RUSSELL caleb_strategy_v1 2023-05-22 00:00:00 2023-05-23 15:00:03.006 2023-05-23 15:00:03 140403 NaN 2916 US10U _ROLL_PSEUDO_STRATEGY 2023-05-22 20:00:00 2023-05-23 15:00:03.781 2023-05-23 15:00:07 68403.8 3.219 2917 US10U _ROLL_PSEUDO_STRATEGY 2023-05-22 20:00:00 2023-05-23 15:00:07.932 2023-05-23 15:00:13 68407.9 5.068 2918 US10U _ROLL_PSEUDO_STRATEGY 2023-05-22 20:00:00 2023-05-23 15:00:15.298 2023-05-23 15:00:16 68415.3 0.702 2919 US10U _ROLL_PSEUDO_STRATEGY 2023-05-22 20:00:00 2023-05-23 15:00:16.440 2023-05-23 15:00:16 68416.4 NaN 2920 US10U _ROLL_PSEUDO_STRATEGY 2023-05-22 20:00:00 2023-05-23 15:00:18.576 2023-05-23 15:00:22 68418.6 3.424 2921 US10U _ROLL_PSEUDO_STRATEGY 2023-05-22 20:00:00 2023-05-23 15:00:23.123 2023-05-23 15:00:37 68423.1 13.877 2922 US10U _ROLL_PSEUDO_STRATEGY 2023-05-22 20:00:00 2023-05-23 15:00:39.637 2023-05-23 15:00:42 68439.6 2.363 2923 US10U _ROLL_PSEUDO_STRATEGY 2023-05-22 20:00:00 2023-05-23 15:00:42.560 2023-05-23 15:00:42 68442.6 NaN 2924 US10U _ROLL_PSEUDO_STRATEGY 2023-05-22 20:00:00 2023-05-23 15:01:18.861 2023-05-23 15:01:19 68478.9 0.139 2925 US10U _ROLL_PSEUDO_STRATEGY 2023-05-22 20:00:00 2023-05-23 15:01:19.405 2023-05-23 15:01:19 68479.4 NaN 2926 US10U _ROLL_PSEUDO_STRATEGY 2023-05-22 20:00:00 2023-05-23 15:01:21.281 2023-05-23 15:01:22 68481.3 0.719 2927 US10U _ROLL_PSEUDO_STRATEGY 2023-05-22 20:00:00 2023-05-23 15:01:23.192 2023-05-23 15:01:28 68483.2 4.808 2928 US10U _ROLL_PSEUDO_STRATEGY 2023-05-22 20:00:00 2023-05-23 15:01:30.469 2023-05-23 15:01:32 68490.5 1.531 2929 US10U _ROLL_PSEUDO_STRATEGY 2023-05-22 20:00:00 2023-05-23 15:01:32.937 2023-05-23 15:01:33 68492.9 0.063 ========================================================================================================================================================================================================================================= 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 2912 COCOA _ROLL_PSEUDO_STRATEGY [1] 3028 None 3028.5 3029 3028 3028 3029 -0.5 -0.5 0 -1 NaN -0.5 2913 COCOA _ROLL_PSEUDO_STRATEGY [-1] 3037 None 3039.5 3039 3040 3040 3039 2.5 -0.5 -0 -1 NaN -0.5 2906 COCOA _ROLL_PSEUDO_STRATEGY [1] 3028 None 3029.5 3030 3029 3029 3029 -1.5 -0.5 1 0 NaN 0.5 2907 COCOA _ROLL_PSEUDO_STRATEGY [-1] 3037 None 3038.5 3038 3039 3039 3037 1.5 -0.5 -1 -2 NaN -1.5 2908 COCOA _ROLL_PSEUDO_STRATEGY [1] 3028 None 3028.5 3029 3028 3028 3030 -0.5 -0.5 -1 -2 NaN -1.5 2909 COCOA _ROLL_PSEUDO_STRATEGY [-1] 3037 None 3039.5 3039 3040 3040 3039 2.5 -0.5 -0 -1 NaN -0.5 2910 COCOA _ROLL_PSEUDO_STRATEGY [1] 3028 None 3029.5 3030 3029 3029 3029 -1.5 -0.5 1 0 NaN 0.5 2911 COCOA _ROLL_PSEUDO_STRATEGY [-1] 3037 None 3039.5 3039 3040 NaN 3038 2.5 -0.5 -1 NaN NaN -1.5 2914 US20 caleb_strategy_v1 [-1] 127.031 None 126.609 126.594 126.625 126.625 126.562 -0.421875 -0.015625 -0.03125 -0.0625 NaN -0.046875 2915 RUSSELL caleb_strategy_v1 [1] 1807.2 None 1809.6 1809.7 1809.5 1809.5 1809.9 -2.4 -0.1 -0.2 -0.4 NaN -0.3 2916 US10U _ROLL_PSEUDO_STRATEGY [1] 118.75 None 118.438 118.453 118.422 118.422 118.422 0.3125 -0.015625 0.03125 0 NaN 0.015625 2917 US10U _ROLL_PSEUDO_STRATEGY [-1] 119.719 None 119.375 119.359 119.391 119.391 119.359 -0.34375 -0.015625 -0 -0.03125 NaN -0.015625 2918 US10U _ROLL_PSEUDO_STRATEGY [1] 118.75 None 118.43 118.438 118.422 118.422 118.422 0.320312 -0.0078125 0.015625 0 NaN 0.0078125 2919 US10U _ROLL_PSEUDO_STRATEGY [-1] 119.719 None 119.367 119.359 119.375 119.375 119.375 -0.351562 -0.0078125 0.015625 -0 NaN 0.0078125 2920 US10U _ROLL_PSEUDO_STRATEGY [1] 118.75 None 118.43 118.438 118.422 118.422 118.422 0.320312 -0.0078125 0.015625 0 NaN 0.0078125 2921 US10U _ROLL_PSEUDO_STRATEGY [-1] 119.719 None 119.383 119.375 119.391 119.391 119.359 -0.335938 -0.0078125 -0.015625 -0.03125 NaN -0.0234375 2922 US10U _ROLL_PSEUDO_STRATEGY [1] 118.75 None 118.414 118.422 118.406 118.406 118.438 0.335938 -0.0078125 -0.015625 -0.03125 NaN -0.0234375 2923 US10U _ROLL_PSEUDO_STRATEGY [-1] 119.719 None 119.367 119.359 119.375 119.375 119.375 -0.351562 -0.0078125 0.015625 -0 NaN 0.0078125 2924 US10U _ROLL_PSEUDO_STRATEGY [1] 118.75 None 118.477 118.484 118.469 118.469 118.469 0.273438 -0.0078125 0.015625 0 NaN 0.0078125 2925 US10U _ROLL_PSEUDO_STRATEGY [-1] 119.719 None 119.391 119.375 119.406 119.406 119.406 -0.328125 -0.015625 0.03125 -0 NaN 0.015625 2926 US10U _ROLL_PSEUDO_STRATEGY [1] 118.75 None 118.461 118.469 118.453 118.453 118.469 0.289062 -0.0078125 0 -0.015625 NaN -0.0078125 2927 US10U _ROLL_PSEUDO_STRATEGY [-1] 119.719 None 119.414 119.406 119.422 119.422 119.422 -0.304688 -0.0078125 0.015625 -0 NaN 0.0078125 2928 US10U _ROLL_PSEUDO_STRATEGY [1] 118.75 None 118.469 118.484 118.453 118.453 118.453 0.28125 -0.015625 0.03125 0 NaN 0.015625 2929 US10U _ROLL_PSEUDO_STRATEGY [-1] 119.719 None 119.43 119.422 119.438 119.438 119.391 -0.289062 -0.0078125 -0.03125 -0.046875 NaN -0.0390625 ==================================================================================================================================================================== 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 2912 COCOA _ROLL_PSEUDO_STRATEGY [1] 525.438 -9.51587 -9.51587 0 -19.0317 NaN -9.51587 2913 COCOA _ROLL_PSEUDO_STRATEGY [-1] 525.438 47.5794 -9.51587 -0 -19.0317 NaN -9.51587 2906 COCOA _ROLL_PSEUDO_STRATEGY [1] 525.438 -28.5476 -9.51587 19.0317 0 NaN 9.51587 2907 COCOA _ROLL_PSEUDO_STRATEGY [-1] 525.438 28.5476 -9.51587 -19.0317 -38.0635 NaN -28.5476 2908 COCOA _ROLL_PSEUDO_STRATEGY [1] 525.438 -9.51587 -9.51587 -19.0317 -38.0635 NaN -28.5476 2909 COCOA _ROLL_PSEUDO_STRATEGY [-1] 525.438 47.5794 -9.51587 -0 -19.0317 NaN -9.51587 2910 COCOA _ROLL_PSEUDO_STRATEGY [1] 525.438 -28.5476 -9.51587 19.0317 0 NaN 9.51587 2911 COCOA _ROLL_PSEUDO_STRATEGY [-1] 525.438 47.5794 -9.51587 -19.0317 NaN NaN -28.5476 2914 US20 caleb_strategy_v1 [-1] 15.8763 -265.727 -9.84173 -19.6835 -39.3669 NaN -29.5252 2915 RUSSELL caleb_strategy_v1 [1] 375.6 -63.8978 -2.66241 -5.32482 -10.6496 NaN -7.98723 2916 US10U _ROLL_PSEUDO_STRATEGY [1] 11.164 279.916 -13.9958 27.9916 0 NaN 13.9958 2917 US10U _ROLL_PSEUDO_STRATEGY [-1] 11.164 -307.908 -13.9958 -0 -27.9916 NaN -13.9958 2918 US10U _ROLL_PSEUDO_STRATEGY [1] 11.164 286.914 -6.99791 13.9958 0 NaN 6.99791 2919 US10U _ROLL_PSEUDO_STRATEGY [-1] 11.164 -314.906 -6.99791 13.9958 -0 NaN 6.99791 2920 US10U _ROLL_PSEUDO_STRATEGY [1] 11.164 286.914 -6.99791 13.9958 0 NaN 6.99791 2921 US10U _ROLL_PSEUDO_STRATEGY [-1] 11.164 -300.91 -6.99791 -13.9958 -27.9916 NaN -20.9937 2922 US10U _ROLL_PSEUDO_STRATEGY [1] 11.164 300.91 -6.99791 -13.9958 -27.9916 NaN -20.9937 2923 US10U _ROLL_PSEUDO_STRATEGY [-1] 11.164 -314.906 -6.99791 13.9958 -0 NaN 6.99791 2924 US10U _ROLL_PSEUDO_STRATEGY [1] 11.164 244.927 -6.99791 13.9958 0 NaN 6.99791 2925 US10U _ROLL_PSEUDO_STRATEGY [-1] 11.164 -293.912 -13.9958 27.9916 -0 NaN 13.9958 2926 US10U _ROLL_PSEUDO_STRATEGY [1] 11.164 258.923 -6.99791 0 -13.9958 NaN -6.99791 2927 US10U _ROLL_PSEUDO_STRATEGY [-1] 11.164 -272.918 -6.99791 13.9958 -0 NaN 6.99791 2928 US10U _ROLL_PSEUDO_STRATEGY [1] 11.164 251.925 -13.9958 27.9916 0 NaN 13.9958 2929 US10U _ROLL_PSEUDO_STRATEGY [-1] 11.164 -258.923 -6.99791 -27.9916 -41.9875 NaN -34.9895 =============================================================================================================================================================================== 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 2912 COCOA _ROLL_PSEUDO_STRATEGY [1] 10 -5 -5 0 -10 NaN -5 2913 COCOA _ROLL_PSEUDO_STRATEGY [-1] 10 25 -5 -0 -10 NaN -5 2906 COCOA _ROLL_PSEUDO_STRATEGY [1] 10 -15 -5 10 0 NaN 5 2907 COCOA _ROLL_PSEUDO_STRATEGY [-1] 10 15 -5 -10 -20 NaN -15 2908 COCOA _ROLL_PSEUDO_STRATEGY [1] 10 -5 -5 -10 -20 NaN -15 2909 COCOA _ROLL_PSEUDO_STRATEGY [-1] 10 25 -5 -0 -10 NaN -5 2910 COCOA _ROLL_PSEUDO_STRATEGY [1] 10 -15 -5 10 0 NaN 5 2911 COCOA _ROLL_PSEUDO_STRATEGY [-1] 10 25 -5 -10 NaN NaN -15 2914 US20 caleb_strategy_v1 [-1] 1000 -421.875 -15.625 -31.25 -62.5 NaN -46.875 2915 RUSSELL caleb_strategy_v1 [1] 5 -12 -0.5 -1 -2 NaN -1.5 2916 US10U _ROLL_PSEUDO_STRATEGY [1] 1000 312.5 -15.625 31.25 0 NaN 15.625 2917 US10U _ROLL_PSEUDO_STRATEGY [-1] 1000 -343.75 -15.625 -0 -31.25 NaN -15.625 2918 US10U _ROLL_PSEUDO_STRATEGY [1] 1000 320.312 -7.8125 15.625 0 NaN 7.8125 2919 US10U _ROLL_PSEUDO_STRATEGY [-1] 1000 -351.562 -7.8125 15.625 -0 NaN 7.8125 2920 US10U _ROLL_PSEUDO_STRATEGY [1] 1000 320.312 -7.8125 15.625 0 NaN 7.8125 2921 US10U _ROLL_PSEUDO_STRATEGY [-1] 1000 -335.938 -7.8125 -15.625 -31.25 NaN -23.4375 2922 US10U _ROLL_PSEUDO_STRATEGY [1] 1000 335.938 -7.8125 -15.625 -31.25 NaN -23.4375 2923 US10U _ROLL_PSEUDO_STRATEGY [-1] 1000 -351.562 -7.8125 15.625 -0 NaN 7.8125 2924 US10U _ROLL_PSEUDO_STRATEGY [1] 1000 273.438 -7.8125 15.625 0 NaN 7.8125 2925 US10U _ROLL_PSEUDO_STRATEGY [-1] 1000 -328.125 -15.625 31.25 -0 NaN 15.625 2926 US10U _ROLL_PSEUDO_STRATEGY [1] 1000 289.062 -7.8125 0 -15.625 NaN -7.8125 2927 US10U _ROLL_PSEUDO_STRATEGY [-1] 1000 -304.688 -7.8125 15.625 -0 NaN 7.8125 2928 US10U _ROLL_PSEUDO_STRATEGY [1] 1000 281.25 -15.625 31.25 0 NaN 15.625 2929 US10U _ROLL_PSEUDO_STRATEGY [-1] 1000 -289.062 -7.8125 -31.25 -46.875 NaN -39.0625 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA 50.000 US10U -171.875 caleb_strategy_v1 RUSSELL -12.000 US20 -421.875 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -121.875 caleb_strategy_v1 -433.875 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA -40.000 US10U -140.625 caleb_strategy_v1 RUSSELL -0.500 US20 -15.625 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -180.625 caleb_strategy_v1 -16.125 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA -10.00 US10U 125.00 caleb_strategy_v1 RUSSELL -1.00 US20 -31.25 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 115.00 caleb_strategy_v1 -32.25 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA -70.00 US10U -156.25 caleb_strategy_v1 RUSSELL -2.00 US20 -62.50 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -226.25 caleb_strategy_v1 -64.50 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY COCOA 0 US10U 0 caleb_strategy_v1 RUSSELL 0 US20 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 -50.000 US10U -15.625 caleb_strategy_v1 RUSSELL -1.500 US20 -46.875 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -65.625 caleb_strategy_v1 -48.375 ******************************************************************************** END OF REPORT ********************************************************************************