******************************************************************************** Trades report report produced on 08/06/2023 21:37 from 07/06/2023 21:37 to 08/06/2023 21:37 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3008 BUND _ROLL_PSEUDO_STRATEGY [20230600, 20230900] 2023-06-08 08:28:50 [-1, 1] 0.690000 3009 BUND _ROLL_PSEUDO_STRATEGY [20230600, 20230900] 2023-06-08 08:29:12 [-1, 1] 0.680000 3002 BUND _ROLL_PSEUDO_STRATEGY [20230600, 20230900] 2023-06-08 08:02:46 [-1, 1] 0.700000 3003 BUND _ROLL_PSEUDO_STRATEGY [20230600, 20230900] 2023-06-08 08:04:11 [-1, 1] 0.680000 3004 BUND _ROLL_PSEUDO_STRATEGY [20230600, 20230900] 2023-06-08 08:09:14 [-1, 1] 0.680000 3005 BUND _ROLL_PSEUDO_STRATEGY [20230600, 20230900] 2023-06-08 08:14:16 [-1, 1] 0.680000 3006 BUND _ROLL_PSEUDO_STRATEGY [20230600, 20230900] 2023-06-08 08:19:18 [-1, 1] 0.680000 3007 BUND _ROLL_PSEUDO_STRATEGY [20230600, 20230900] 2023-06-08 08:23:48 [-1, 1] 0.690000 3036 GOLD_micro caleb_strategy_v1 [20230800] 2023-06-08 14:07:17 [-1] 1972.700000 3037 HEATOIL _ROLL_PSEUDO_STRATEGY [20230800, 20230900] 2023-06-08 14:07:40 [1, -1] -0.003000 3048 ROBUSTA _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-08 15:33:38 [1] 2692.000000 3045 ROBUSTA _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-08 15:32:18 [-1] 2727.000000 3046 ROBUSTA _ROLL_PSEUDO_STRATEGY [20230900] 2023-06-08 15:32:19 [1] 2692.000000 3047 ROBUSTA _ROLL_PSEUDO_STRATEGY [20230700] 2023-06-08 15:33:37 [-1] 2727.000000 3044 US5 _ROLL_PSEUDO_STRATEGY [20230600, 20230900] 2023-06-08 15:32:17 [1, -1] -0.484375 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3008 BUND _ROLL_PSEUDO_STRATEGY 2023-06-06 19:00:00 2023-06-08 08:23:50.609 2023-06-08 08:28:50 134631 299.391 3009 BUND _ROLL_PSEUDO_STRATEGY 2023-06-06 19:00:00 2023-06-08 08:28:52.957 2023-06-08 08:29:12 134933 19.043 3002 BUND _ROLL_PSEUDO_STRATEGY 2023-06-06 19:00:00 2023-06-08 08:00:03.119 2023-06-08 08:02:46 133203 162.881 3003 BUND _ROLL_PSEUDO_STRATEGY 2023-06-06 19:00:00 2023-06-08 08:02:55.477 2023-06-08 08:04:11 133375 75.523 3004 BUND _ROLL_PSEUDO_STRATEGY 2023-06-06 19:00:00 2023-06-08 08:04:13.953 2023-06-08 08:09:14 133454 300.047 3005 BUND _ROLL_PSEUDO_STRATEGY 2023-06-06 19:00:00 2023-06-08 08:09:15.958 2023-06-08 08:14:16 133756 300.042 3006 BUND _ROLL_PSEUDO_STRATEGY 2023-06-06 19:00:00 2023-06-08 08:14:18.170 2023-06-08 08:19:18 134058 299.83 3007 BUND _ROLL_PSEUDO_STRATEGY 2023-06-06 19:00:00 2023-06-08 08:19:20.152 2023-06-08 08:23:48 134360 267.848 3036 GOLD_micro caleb_strategy_v1 2023-06-07 00:00:00 2023-06-08 14:07:17.876 2023-06-08 14:07:17 137238 NaN 3037 HEATOIL _ROLL_PSEUDO_STRATEGY 2023-06-06 19:00:00 2023-06-08 14:07:21.952 2023-06-08 14:07:40 155242 18.048 3044 US5 _ROLL_PSEUDO_STRATEGY 2023-06-06 14:30:00 2023-06-08 15:27:17.520 2023-06-08 15:32:17 176238 299.48 3048 ROBUSTA _ROLL_PSEUDO_STRATEGY 2023-06-07 17:00:00 2023-06-08 15:33:37.919 2023-06-08 15:33:38 81217.9 0.081 3045 ROBUSTA _ROLL_PSEUDO_STRATEGY 2023-06-07 17:00:00 2023-06-08 15:32:18.684 2023-06-08 15:32:18 81138.7 NaN 3046 ROBUSTA _ROLL_PSEUDO_STRATEGY 2023-06-07 17:00:00 2023-06-08 15:32:19.660 2023-06-08 15:32:19 81139.7 NaN 3047 ROBUSTA _ROLL_PSEUDO_STRATEGY 2023-06-07 17:00:00 2023-06-08 15:33:37.557 2023-06-08 15:33:37 81217.6 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 3008 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 0.69 None 0.695 0.69 0.7 0.7 0.69 0.005 -0.005 -2.22045e-15 -0.01 NaN -0.005 3009 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 0.69 None 0.695 0.69 0.7 0.7 0.68 0.005 -0.005 -0.01 -0.02 NaN -0.015 3002 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 0.69 None 0.695 0.69 0.7 0.7 0.7 0.005 -0.005 0.01 -1.14353e-14 NaN 0.005 3003 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 0.69 None 0.695 0.69 0.7 0.7 0.68 0.005 -0.005 -0.01 -0.02 NaN -0.015 3004 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 0.69 None 0.685 0.68 0.69 0.69 0.68 -0.005 -0.005 6.77236e-15 -0.01 NaN -0.005 3005 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 0.69 None 0.685 0.68 0.69 0.69 0.68 -0.005 -0.005 6.77236e-15 -0.01 NaN -0.005 3006 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 0.69 None 0.685 0.68 0.69 0.69 0.68 -0.005 -0.005 -2.16493e-14 -0.01 NaN -0.005 3007 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 0.69 None 0.685 0.68 0.69 0.69 0.69 -0.005 -0.005 0.01 -2.33147e-15 NaN 0.005 3036 GOLD_micro caleb_strategy_v1 [-1] 1958.3 None 1972.75 1972.7 1972.8 NaN 1972.7 14.45 -0.05 -0 NaN NaN -0.05 3037 HEATOIL _ROLL_PSEUDO_STRATEGY [1, -1] -0.0064 None -0.00295 -0.0029 -0.003 -0.003 -0.003 -0.00345 -5e-05 0.0001 -3.30465e-16 NaN 5e-05 3044 US5 _ROLL_PSEUDO_STRATEGY [1, -1] -0.367188 None -0.488281 -0.484375 -0.492188 -0.492188 -0.484375 0.121094 -0.00390625 0 -0.0078125 NaN -0.00390625 3048 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 2631 None 2691 2692 2690 NaN 2692 -60 -1 0 NaN NaN -1 3045 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 2671 None 2728.5 2727 2730 NaN 2727 57.5 -1.5 -0 NaN NaN -1.5 3046 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 2631 None 2691 2692 2690 NaN 2692 -60 -1 0 NaN NaN -1 3047 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 2671 None 2728.5 2727 2730 NaN 2727 57.5 -1.5 -0 NaN NaN -1.5 ======================================================================================================================================================================= 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 3008 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 11.9998 4.16674 -4.16674 -1.85041e-12 -8.33349 NaN -4.16674 3009 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 11.9998 4.16674 -4.16674 -8.33349 -16.667 NaN -12.5002 3002 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 11.9998 4.16674 -4.16674 8.33349 -9.52959e-12 NaN 4.16674 3003 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 11.9998 4.16674 -4.16674 -8.33349 -16.667 NaN -12.5002 3004 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 11.9998 -4.16674 -4.16674 5.64374e-12 -8.33349 NaN -4.16674 3005 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 11.9998 -4.16674 -4.16674 5.64374e-12 -8.33349 NaN -4.16674 3006 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 11.9998 -4.16674 -4.16674 -1.80415e-11 -8.33349 NaN -4.16674 3007 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 11.9998 -4.16674 -4.16674 8.33349 -1.94293e-12 NaN 4.16674 3036 GOLD_micro caleb_strategy_v1 [-1] 286.338 504.648 -1.74619 -0 NaN NaN -1.74619 3037 HEATOIL _ROLL_PSEUDO_STRATEGY [1, -1] 0.820805 -42.0319 -0.609158 1.21832 -4.02611e-12 NaN 0.609158 3044 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 6.00643 201.607 -6.50344 0 -13.0069 NaN -6.50344 3048 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 599.093 -1001.51 -16.6919 0 NaN NaN -16.6919 3045 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 599.093 959.784 -25.0378 -0 NaN NaN -25.0378 3046 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 599.093 -1001.51 -16.6919 0 NaN NaN -16.6919 3047 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 599.093 959.784 -25.0378 -0 NaN NaN -25.0378 ================================================================================================================================================================================== 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 3008 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 1071.2 5.356 -5.356 -2.37854e-12 -10.712 NaN -5.356 3009 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 1071.2 5.356 -5.356 -10.712 -21.424 NaN -16.068 3002 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 1071.2 5.356 -5.356 10.712 -1.22495e-11 NaN 5.356 3003 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 1071.2 5.356 -5.356 -10.712 -21.424 NaN -16.068 3004 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 1071.2 -5.356 -5.356 7.25455e-12 -10.712 NaN -5.356 3005 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 1071.2 -5.356 -5.356 7.25455e-12 -10.712 NaN -5.356 3006 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 1071.2 -5.356 -5.356 -2.31908e-11 -10.712 NaN -5.356 3007 BUND _ROLL_PSEUDO_STRATEGY [-1, 1] 1071.2 -5.356 -5.356 10.712 -2.49747e-12 NaN 5.356 3036 GOLD_micro caleb_strategy_v1 [-1] 10 144.5 -0.5 -0 NaN NaN -0.5 3037 HEATOIL _ROLL_PSEUDO_STRATEGY [1, -1] 42000 -144.9 -2.1 4.2 -1.38795e-11 NaN 2.1 3044 US5 _ROLL_PSEUDO_STRATEGY [1, -1] 1000 121.094 -3.90625 0 -7.8125 NaN -3.90625 3048 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 10 -600 -10 0 NaN NaN -10 3045 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 10 575 -15 -0 NaN NaN -15 3046 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 10 -600 -10 0 NaN NaN -10 3047 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 10 575 -15 -0 NaN NaN -15 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BUND 1.949907e-11 HEATOIL -1.449000e+02 ROBUSTA -5.000000e+01 US5 1.210938e+02 caleb_strategy_v1 GOLD_micro 1.445000e+02 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -73.80625 caleb_strategy_v1 144.50000 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BUND -42.84800 HEATOIL -2.10000 ROBUSTA -50.00000 US5 -3.90625 caleb_strategy_v1 GOLD_micro -0.50000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -98.85425 caleb_strategy_v1 -0.50000 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BUND -1.094058e-11 HEATOIL 4.200000e+00 ROBUSTA 0.000000e+00 US5 0.000000e+00 caleb_strategy_v1 GOLD_micro -0.000000e+00 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 4.2 caleb_strategy_v1 -0.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BUND -8.569600e+01 HEATOIL -1.387952e-11 ROBUSTA 0.000000e+00 US5 -7.812500e+00 caleb_strategy_v1 GOLD_micro 0.000000e+00 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -93.5085 caleb_strategy_v1 0.0000 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY BUND 0 HEATOIL 0 ROBUSTA 0 US5 0 caleb_strategy_v1 GOLD_micro 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 BUND -42.84800 HEATOIL 2.10000 ROBUSTA -50.00000 US5 -3.90625 caleb_strategy_v1 GOLD_micro -0.50000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -94.65425 caleb_strategy_v1 -0.50000 ******************************************************************************** END OF REPORT ********************************************************************************