******************************************************************************** Trades report produced on 01/08/2023 21:38 from 31/07/2023 21:38 to 01/08/2023 21:38 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 4002 GAS_US_mini caleb_strategy_v3 [20231000] 2023-08-01 14:00:04 [-1] 2.665 4001 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-01 14:00:02 [-1] 1965.300 4003 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-01 14:00:06 [-1] 1965.900 4000 ROBUSTA _ROLL_PSEUDO_STRATEGY [20231100] 2023-08-01 11:35:00 [1] 2486.000 3995 ROBUSTA _ROLL_PSEUDO_STRATEGY [20230900] 2023-08-01 11:27:24 [-1] 2618.000 3996 ROBUSTA _ROLL_PSEUDO_STRATEGY [20231100] 2023-08-01 11:29:04 [1] 2489.000 3997 ROBUSTA _ROLL_PSEUDO_STRATEGY [20230900] 2023-08-01 11:32:08 [-1] 2616.000 3998 ROBUSTA _ROLL_PSEUDO_STRATEGY [20231100] 2023-08-01 11:32:09 [1] 2488.000 3999 ROBUSTA _ROLL_PSEUDO_STRATEGY [20230900] 2023-08-01 11:32:11 [-1] 2617.000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 4000 ROBUSTA _ROLL_PSEUDO_STRATEGY 2023-07-31 17:00:00 2023-08-01 11:32:12.149 2023-08-01 11:35:00 66732.1 167.851 3995 ROBUSTA _ROLL_PSEUDO_STRATEGY 2023-07-31 17:00:00 2023-08-01 11:25:40.899 2023-08-01 11:27:24 66340.9 103.101 3996 ROBUSTA _ROLL_PSEUDO_STRATEGY 2023-07-31 17:00:00 2023-08-01 11:27:25.367 2023-08-01 11:29:04 66445.4 98.633 3997 ROBUSTA _ROLL_PSEUDO_STRATEGY 2023-07-31 17:00:00 2023-08-01 11:29:06.324 2023-08-01 11:32:08 66546.3 181.676 3998 ROBUSTA _ROLL_PSEUDO_STRATEGY 2023-07-31 17:00:00 2023-08-01 11:32:09.201 2023-08-01 11:32:09 66729.2 NaN 3999 ROBUSTA _ROLL_PSEUDO_STRATEGY 2023-07-31 17:00:00 2023-08-01 11:32:11.294 2023-08-01 11:32:11 66731.3 NaN 4002 GAS_US_mini caleb_strategy_v3 2023-07-31 00:00:00 2023-08-01 14:00:02.880 2023-08-01 14:00:04 136803 1.12 4001 GOLD_micro caleb_strategy_v3 2023-07-31 00:00:00 2023-08-01 14:00:01.821 2023-08-01 14:00:02 136802 0.179 4003 GOLD_micro caleb_strategy_v3 2023-07-31 00:00:00 2023-08-01 14:00:06.040 2023-08-01 14:00:06 136806 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 4000 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 2490 None 2487.5 2489 2486 2486 2486 2.5 -1.5 3 0 NaN 1.5 3995 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 2632 None 2617 2616 2618 2618 2618 -15 -1 2 -0 NaN 1 3996 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 2490 None 2488 2489 2487 2487 2489 2 -1 0 -2 NaN -1 3997 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 2632 None 2619 2618 2620 2620 2616 -13 -1 -2 -4 NaN -3 3998 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 2490 None 2488.5 2489 2488 2488 2488 1.5 -0.5 1 0 NaN 0.5 3999 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 2632 None 2618.5 2617 2620 2620 2617 -13.5 -1.5 -0 -3 NaN -1.5 4002 GAS_US_mini caleb_strategy_v3 [-1] 2.745 None 2.6675 2.665 2.67 2.67 2.665 -0.0775 -0.0025 -0 -0.005 NaN -0.0025 4001 GOLD_micro caleb_strategy_v3 [-1] 1985 None 1965.2 1965.1 1965.3 1965.3 1965.3 -19.8 -0.1 0.2 -2.27374e-13 NaN 0.1 4003 GOLD_micro caleb_strategy_v3 [-1] 1985 None 1965.35 1965.2 1965.5 1965.5 1965.9 -19.65 -0.15 0.7 0.4 NaN 0.55 ================================================================================================================================================================ 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 4000 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 665.784 37.5497 -22.5298 45.0597 0 NaN 22.5298 3995 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 665.784 -225.298 -15.0199 30.0398 -0 NaN 15.0199 3996 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 665.784 30.0398 -15.0199 0 -30.0398 NaN -15.0199 3997 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 665.784 -195.259 -15.0199 -30.0398 -60.0795 NaN -45.0597 3998 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 665.784 22.5298 -7.50994 15.0199 0 NaN 7.50994 3999 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 665.784 -202.768 -22.5298 -0 -45.0597 NaN -22.5298 4002 GAS_US_mini caleb_strategy_v3 [-1] 1.88868 -410.34 -13.2368 -0 -26.4735 NaN -13.2368 4001 GOLD_micro caleb_strategy_v3 [-1] 237.01 -835.408 -4.21923 8.43847 -9.59343e-12 NaN 4.21923 4003 GOLD_micro caleb_strategy_v3 [-1] 237.01 -829.08 -6.32885 29.5346 16.8769 NaN 23.2058 =========================================================================================================================================================================== 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 4000 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 10 25 -15 30 0 NaN 15 3995 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 10 -150 -10 20 -0 NaN 10 3996 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 10 20 -10 0 -20 NaN -10 3997 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 10 -130 -10 -20 -40 NaN -30 3998 ROBUSTA _ROLL_PSEUDO_STRATEGY [1] 10 15 -5 10 0 NaN 5 3999 ROBUSTA _ROLL_PSEUDO_STRATEGY [-1] 10 -135 -15 -0 -30 NaN -15 4002 GAS_US_mini caleb_strategy_v3 [-1] 2500 -193.75 -6.25 -0 -12.5 NaN -6.25 4001 GOLD_micro caleb_strategy_v3 [-1] 10 -198 -1 2 -2.27374e-12 NaN 1 4003 GOLD_micro caleb_strategy_v3 [-1] 10 -196.5 -1.5 7 4 NaN 5.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY ROBUSTA -355.00 caleb_strategy_v3 GAS_US_mini -193.75 GOLD_micro -394.50 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -355.00 caleb_strategy_v3 -588.25 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY ROBUSTA -65.00 caleb_strategy_v3 GAS_US_mini -6.25 GOLD_micro -2.50 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -65.00 caleb_strategy_v3 -8.75 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY ROBUSTA 40.0 caleb_strategy_v3 GAS_US_mini -0.0 GOLD_micro 9.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 40.0 caleb_strategy_v3 9.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY ROBUSTA -90.0 caleb_strategy_v3 GAS_US_mini -12.5 GOLD_micro 4.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -90.0 caleb_strategy_v3 -8.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY ROBUSTA 0 caleb_strategy_v3 GAS_US_mini 0 GOLD_micro 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY ROBUSTA -25.00 caleb_strategy_v3 GAS_US_mini -6.25 GOLD_micro 6.50 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -25.00 caleb_strategy_v3 0.25 ******************************************************************************** END OF REPORT ********************************************************************************