******************************************************************************** Trades report produced on 21/06/2023 21:38 from 20/06/2023 21:38 to 21/06/2023 21:38 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3251 COCOA caleb_strategy_v1 [20230900] 2023-06-21 17:26:02 [1] 3234.000 3250 CORN caleb_strategy_v1 [20231200] 2023-06-21 17:26:01 [1] 620.500 3247 GOLD_micro caleb_strategy_v1 [20230800] 2023-06-21 17:25:15 [1] 1942.800 3245 SOYBEAN caleb_strategy_v1 [20231100] 2023-06-21 17:24:25 [1] 1365.000 3249 SOYMEAL caleb_strategy_v1 [20231000] 2023-06-21 17:26:00 [1] 431.000 3248 US10U caleb_strategy_v1 [20230900] 2023-06-21 17:25:55 [-1] 119.000 3246 US30 caleb_strategy_v1 [20230900] 2023-06-21 17:25:10 [1] 136.625 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3245 SOYBEAN caleb_strategy_v1 2023-06-20 2023-06-21 17:24:24.507 2023-06-21 17:24:25 149065 0.493 3246 US30 caleb_strategy_v1 2023-06-20 2023-06-21 17:24:25.991 2023-06-21 17:25:10 149066 44.009 3247 GOLD_micro caleb_strategy_v1 2023-06-20 2023-06-21 17:25:11.355 2023-06-21 17:25:15 149111 3.645 3248 US10U caleb_strategy_v1 2023-06-20 2023-06-21 17:25:16.096 2023-06-21 17:25:55 149116 38.904 3249 SOYMEAL caleb_strategy_v1 2023-06-20 2023-06-21 17:25:55.655 2023-06-21 17:26:00 149156 4.345 3250 CORN caleb_strategy_v1 2023-06-20 2023-06-21 17:26:00.969 2023-06-21 17:26:01 149161 0.031 3251 COCOA caleb_strategy_v1 2023-06-20 2023-06-21 17:26:02.154 2023-06-21 17:26:02 149162 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 3245 SOYBEAN caleb_strategy_v1 [1] 1344 None 1364.88 1365 1364.75 NaN 1365 -20.875 -0.125 0 NaN NaN -0.125 3246 US30 caleb_strategy_v1 [1] 137.406 None 136.578 136.594 136.562 136.562 136.625 0.828125 -0.015625 -0.03125 -0.0625 NaN -0.046875 3247 GOLD_micro caleb_strategy_v1 [1] 1949.7 None 1942.9 1943 1942.8 1942.8 1942.8 6.8 -0.1 0.2 2.27374e-13 NaN 0.1 3248 US10U caleb_strategy_v1 [-1] 119.406 None 118.992 118.984 119 119 119 -0.414062 -0.0078125 0.015625 -0 NaN 0.0078125 3249 SOYMEAL caleb_strategy_v1 [1] 402.2 None 431.05 431.1 431 431 431 -28.85 -0.05 0.1 0 NaN 0.05 3250 CORN caleb_strategy_v1 [1] 596.5 None 620.375 620.5 620.25 620.25 620.5 -23.875 -0.125 0 -0.25 NaN -0.125 3251 COCOA caleb_strategy_v1 [1] 3210 None 3233.5 3234 3233 NaN 3234 -23.5 -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 3245 SOYBEAN caleb_strategy_v1 [1] 301.959 -691.318 -4.13963 0 NaN NaN -4.13963 3246 US30 caleb_strategy_v1 [1] 20.5797 402.399 -7.59244 -15.1849 -30.3698 NaN -22.7773 3247 GOLD_micro caleb_strategy_v1 [1] 256.476 265.132 -3.899 7.79799 8.86529e-12 NaN 3.899 3248 US10U caleb_strategy_v1 [-1] 10.6555 -388.591 -7.33191 14.6638 -0 NaN 7.33191 3249 SOYMEAL caleb_strategy_v1 [1] 135.312 -2132.11 -3.69517 7.39034 0 NaN 3.69517 3250 CORN caleb_strategy_v1 [1] 172.854 -1381.23 -7.23156 0 -14.4631 NaN -7.23156 3251 COCOA caleb_strategy_v1 [1] 522.87 -449.442 -9.5626 0 NaN NaN -9.5626 =========================================================================================================================================================================== 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 3245 SOYBEAN caleb_strategy_v1 [1] 50 -1043.75 -6.25 0 NaN NaN -6.25 3246 US30 caleb_strategy_v1 [1] 1000 828.125 -15.625 -31.25 -62.5 NaN -46.875 3247 GOLD_micro caleb_strategy_v1 [1] 10 68 -1 2 2.27374e-12 NaN 1 3248 US10U caleb_strategy_v1 [-1] 1000 -414.062 -7.8125 15.625 -0 NaN 7.8125 3249 SOYMEAL caleb_strategy_v1 [1] 100 -2885 -5 10 0 NaN 5 3250 CORN caleb_strategy_v1 [1] 50 -1193.75 -6.25 0 -12.5 NaN -6.25 3251 COCOA caleb_strategy_v1 [1] 10 -235 -5 0 NaN NaN -5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 COCOA -235.0000 CORN -1193.7500 GOLD_micro 68.0000 SOYBEAN -1043.7500 SOYMEAL -2885.0000 US10U -414.0625 US30 828.1250 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -4875.4375 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 COCOA -5.0000 CORN -6.2500 GOLD_micro -1.0000 SOYBEAN -6.2500 SOYMEAL -5.0000 US10U -7.8125 US30 -15.6250 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -46.9375 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 COCOA 0.000 CORN 0.000 GOLD_micro 2.000 SOYBEAN 0.000 SOYMEAL 10.000 US10U 15.625 US30 -31.250 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -3.625 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 COCOA 0.000000e+00 CORN -1.250000e+01 GOLD_micro 2.273737e-12 SOYBEAN 0.000000e+00 SOYMEAL 0.000000e+00 US10U -0.000000e+00 US30 -6.250000e+01 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -75.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 COCOA 0 CORN 0 GOLD_micro 0 SOYBEAN 0 SOYMEAL 0 US10U 0 US30 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v1 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v1 COCOA -5.0000 CORN -6.2500 GOLD_micro 1.0000 SOYBEAN -6.2500 SOYMEAL 5.0000 US10U 7.8125 US30 -46.8750 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -50.5625 ******************************************************************************** END OF REPORT ********************************************************************************