******************************************************************************** Trades report produced on 08/11/2023 21:39 from 07/11/2023 21:39 to 08/11/2023 21:39 ******************************************************************************** ===================================================================================================== Broker orders ===================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 8246 CANOLA _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-08 14:10:57.000 [-1] 713.10000 8253 CANOLA _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-08 14:24:21.000 [1] 706.00000 8252 CANOLA _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-08 14:24:19.000 [-1] 713.10000 8251 CANOLA _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-08 14:20:02.000 [1] 706.10000 8250 CANOLA _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-08 14:20:00.000 [-1] 713.30000 8249 CANOLA _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-08 14:18:07.000 [1] 705.70000 8248 CANOLA _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-08 14:18:04.000 [-1] 712.50000 8247 CANOLA _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-08 14:18:04.000 [1] 705.40000 8254 CANOLA _ROLL_PSEUDO_STRATEGY [20240300] 2023-11-08 14:26:53.000 [-1] 713.50000 8255 CANOLA _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-08 14:27:03.000 [1] 706.20000 8256 CANOLA caleb_strategy_v3 [20240300] 2023-11-08 14:28:53.000 [-1] 713.30000 8245 CANOLA _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-08 19:45:06.153 [0] NaN 8243 GASOIL _ROLL_PSEUDO_STRATEGY [20240200] 2023-11-08 09:00:41.000 [1] 798.25000 8242 GASOIL _ROLL_PSEUDO_STRATEGY [20240100] 2023-11-08 09:00:37.000 [-1] 803.75000 8244 GAS_US_mini caleb_strategy_v3 [20240100] 2023-11-08 14:00:54.000 [-1] 3.41500 8259 MXP caleb_strategy_v3 [20231200] 2023-11-08 15:01:05.000 [1] 0.05674 8257 MXP caleb_strategy_v3 [20231200] 2023-11-08 15:00:24.000 [1] 0.05676 8260 RUSSELL caleb_strategy_v3 [20231200] 2023-11-08 15:01:06.000 [-1] 1735.10000 8258 RUSSELL caleb_strategy_v3 [20231200] 2023-11-08 15:00:25.000 [-1] 1736.20000 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 8242 GASOIL _ROLL_PSEUDO_STRATEGY 2023-11-07 20:00:00 2023-11-08 09:00:35.629 2023-11-08 09:00:37.000 46835.6 1.371 8243 GASOIL _ROLL_PSEUDO_STRATEGY 2023-11-07 20:00:00 2023-11-08 09:00:38.128 2023-11-08 09:00:41.000 46838.1 2.872 8244 GAS_US_mini caleb_strategy_v3 2023-11-07 00:00:00 2023-11-08 14:00:48.092 2023-11-08 14:00:54.000 136848 5.908 8256 CANOLA caleb_strategy_v3 2023-11-07 00:00:00 2023-11-08 14:27:58.372 2023-11-08 14:28:53.000 138478 54.628 8257 MXP caleb_strategy_v3 2023-11-07 00:00:00 2023-11-08 15:00:06.190 2023-11-08 15:00:24.000 140406 17.81 8259 MXP caleb_strategy_v3 2023-11-07 00:00:00 2023-11-08 15:01:05.752 2023-11-08 15:01:05.000 140466 NaN 8258 RUSSELL caleb_strategy_v3 2023-11-07 00:00:00 2023-11-08 15:00:24.754 2023-11-08 15:00:25.000 140425 0.246 8260 RUSSELL caleb_strategy_v3 2023-11-07 00:00:00 2023-11-08 15:01:06.420 2023-11-08 15:01:06.000 140466 NaN 8245 CANOLA _ROLL_PSEUDO_STRATEGY 2023-11-07 19:00:00 2023-11-08 14:00:55.728 2023-11-08 19:45:06.153 68455.7 20650.4 8246 CANOLA _ROLL_PSEUDO_STRATEGY 2023-11-07 19:00:00 2023-11-08 14:10:56.803 2023-11-08 14:10:57.000 69056.8 0.197 8247 CANOLA _ROLL_PSEUDO_STRATEGY 2023-11-07 19:00:00 2023-11-08 14:10:59.626 2023-11-08 14:18:04.000 69059.6 424.374 8248 CANOLA _ROLL_PSEUDO_STRATEGY 2023-11-07 19:00:00 2023-11-08 14:18:04.668 2023-11-08 14:18:04.000 69484.7 NaN 8249 CANOLA _ROLL_PSEUDO_STRATEGY 2023-11-07 19:00:00 2023-11-08 14:18:07.584 2023-11-08 14:18:07.000 69487.6 NaN 8250 CANOLA _ROLL_PSEUDO_STRATEGY 2023-11-07 19:00:00 2023-11-08 14:18:08.121 2023-11-08 14:20:00.000 69488.1 111.879 8251 CANOLA _ROLL_PSEUDO_STRATEGY 2023-11-07 19:00:00 2023-11-08 14:20:02.603 2023-11-08 14:20:02.000 69602.6 NaN 8252 CANOLA _ROLL_PSEUDO_STRATEGY 2023-11-07 19:00:00 2023-11-08 14:20:03.234 2023-11-08 14:24:19.000 69603.2 255.766 8253 CANOLA _ROLL_PSEUDO_STRATEGY 2023-11-07 19:00:00 2023-11-08 14:24:21.856 2023-11-08 14:24:21.000 69861.9 NaN 8254 CANOLA _ROLL_PSEUDO_STRATEGY 2023-11-07 19:00:00 2023-11-08 14:24:22.430 2023-11-08 14:26:53.000 69862.4 150.57 8255 CANOLA _ROLL_PSEUDO_STRATEGY 2023-11-07 19:00:00 2023-11-08 14:26:56.178 2023-11-08 14:27:03.000 70016.2 6.822 ================================================================================================================================================================================================================================= 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 8242 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 805.25 None 804 803.75 804.25 804.25 803.75 -1.25 -0.25 -0 -0.5 NaN -0.25 8243 GASOIL _ROLL_PSEUDO_STRATEGY [1] 798.75 None 798.25 798.5 798 798 798.25 0.5 -0.25 0.25 -0.25 NaN 0 8244 GAS_US_mini caleb_strategy_v3 [-1] 3.49 None 3.415 3.41 3.42 3.42 3.415 -0.075 -0.005 0.005 -0.005 NaN 0 8256 CANOLA caleb_strategy_v3 [-1] 707.5 None 713.5 713.3 713.7 713.7 713.3 6 -0.2 -0 -0.4 NaN -0.2 8257 MXP caleb_strategy_v3 [1] 0.05681 None 0.056745 0.05675 0.05674 0.05674 0.05676 6.5e-05 -5e-06 -1e-05 -2e-05 NaN -1.5e-05 8259 MXP caleb_strategy_v3 [1] 0.05681 None 0.056755 0.05676 0.05675 0.05675 0.05674 5.5e-05 -5e-06 2e-05 1e-05 NaN 1.5e-05 8258 RUSSELL caleb_strategy_v3 [-1] 1740 None 1736.35 1736.3 1736.4 1736.4 1736.2 -3.65 -0.05 -0.1 -0.2 NaN -0.15 8260 RUSSELL caleb_strategy_v3 [-1] 1740 None 1736.25 1736.2 1736.3 1736.3 1735.1 -3.75 -0.05 -1.1 -1.2 NaN -1.15 8245 CANOLA _ROLL_PSEUDO_STRATEGY [1] 699.9 None 703.8 704.1 703.5 703.5 NaN -3.9 -0.3 NaN NaN NaN NaN 8246 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 707.5 None 711.1 711 711.2 711.2 713.1 3.6 -0.1 2.1 1.9 NaN 2 8247 CANOLA _ROLL_PSEUDO_STRATEGY [1] 699.9 None 703.45 703.6 703.3 703.3 705.4 -3.55 -0.15 -1.8 -2.1 NaN -1.95 8248 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 707.5 None 711.1 711 711.2 711.2 712.5 3.6 -0.1 1.5 1.3 NaN 1.4 8249 CANOLA _ROLL_PSEUDO_STRATEGY [1] 699.9 None 706.05 706.2 705.9 705.9 705.7 -6.15 -0.15 0.5 0.2 NaN 0.35 8250 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 707.5 None 713.4 713.2 713.6 713.6 713.3 5.9 -0.2 0.1 -0.3 NaN -0.1 8251 CANOLA _ROLL_PSEUDO_STRATEGY [1] 699.9 None 706.05 706.2 705.9 705.9 706.1 -6.15 -0.15 0.1 -0.2 NaN -0.05 8252 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 707.5 None 713.55 713.3 713.8 713.8 713.1 6.05 -0.25 -0.2 -0.7 NaN -0.45 8253 CANOLA _ROLL_PSEUDO_STRATEGY [1] 699.9 None 706.1 706.2 706 706 706 -6.2 -0.1 0.2 0 NaN 0.1 8254 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 707.5 None 713.3 713.1 713.5 713.5 713.5 5.8 -0.2 0.4 -0 NaN 0.2 8255 CANOLA _ROLL_PSEUDO_STRATEGY [1] 699.9 None 705.9 706 705.8 705.8 706.2 -6 -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 8242 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 307.678 -40.6268 -8.12537 -0 -16.2507 NaN -8.12537 8243 GASOIL _ROLL_PSEUDO_STRATEGY [1] 307.678 16.2507 -8.12537 8.12537 -8.12537 NaN 0 8244 GAS_US_mini caleb_strategy_v3 [-1] 2.11553 -354.521 -23.6347 23.6347 -23.6347 NaN 0 8256 CANOLA caleb_strategy_v3 [-1] 153.65 390.498 -13.0166 -0 -26.0332 NaN -13.0166 8257 MXP caleb_strategy_v3 [1] 0.00683106 95.1537 -7.31951 -14.639 -29.278 NaN -21.9585 8259 MXP caleb_strategy_v3 [1] 0.00683106 80.5146 -7.31951 29.278 14.639 NaN 21.9585 8258 RUSSELL caleb_strategy_v3 [-1] 395.381 -92.316 -1.2646 -2.5292 -5.05841 NaN -3.79381 8260 RUSSELL caleb_strategy_v3 [-1] 395.381 -94.8452 -1.2646 -27.8213 -30.3505 NaN -29.0859 8245 CANOLA _ROLL_PSEUDO_STRATEGY [1] 153.65 -253.823 -19.5249 NaN NaN NaN NaN 8246 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 153.65 234.299 -6.50829 136.674 123.658 NaN 130.166 8247 CANOLA _ROLL_PSEUDO_STRATEGY [1] 153.65 -231.044 -9.76244 -117.149 -136.674 NaN -126.912 8248 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 153.65 234.299 -6.50829 97.6244 84.6078 NaN 91.1161 8249 CANOLA _ROLL_PSEUDO_STRATEGY [1] 153.65 -400.26 -9.76244 32.5415 13.0166 NaN 22.779 8250 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 153.65 383.989 -13.0166 6.50829 -19.5249 NaN -6.50829 8251 CANOLA _ROLL_PSEUDO_STRATEGY [1] 153.65 -400.26 -9.76244 6.50829 -13.0166 NaN -3.25415 8252 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 153.65 393.752 -16.2707 -13.0166 -45.5581 NaN -29.2873 8253 CANOLA _ROLL_PSEUDO_STRATEGY [1] 153.65 -403.514 -6.50829 13.0166 0 NaN 6.50829 8254 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 153.65 377.481 -13.0166 26.0332 -0 NaN 13.0166 8255 CANOLA _ROLL_PSEUDO_STRATEGY [1] 153.65 -390.498 -6.50829 -13.0166 -26.0332 NaN -19.5249 =========================================================================================================================================================================== 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 8242 GASOIL _ROLL_PSEUDO_STRATEGY [-1] 100 -125 -25 -0 -50 NaN -25 8243 GASOIL _ROLL_PSEUDO_STRATEGY [1] 100 50 -25 25 -25 NaN 0 8244 GAS_US_mini caleb_strategy_v3 [-1] 2500 -187.5 -12.5 12.5 -12.5 NaN 0 8256 CANOLA caleb_strategy_v3 [-1] 14.5191 87.1143 -2.90381 -0 -5.80762 NaN -2.90381 8257 MXP caleb_strategy_v3 [1] 500000 32.5 -2.5 -5 -10 NaN -7.5 8259 MXP caleb_strategy_v3 [1] 500000 27.5 -2.5 10 5 NaN 7.5 8258 RUSSELL caleb_strategy_v3 [-1] 5 -18.25 -0.25 -0.5 -1 NaN -0.75 8260 RUSSELL caleb_strategy_v3 [-1] 5 -18.75 -0.25 -5.5 -6 NaN -5.75 8245 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.5191 -56.6243 -4.35572 NaN NaN NaN NaN 8246 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.5191 52.2686 -1.45191 30.49 27.5862 NaN 29.0381 8247 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.5191 -51.5426 -2.17786 -26.1343 -30.49 NaN -28.3122 8248 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.5191 52.2686 -1.45191 21.7786 18.8748 NaN 20.3267 8249 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.5191 -89.2922 -2.17786 7.25953 2.90381 NaN 5.08167 8250 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.5191 85.6624 -2.90381 1.45191 -4.35572 NaN -1.45191 8251 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.5191 -89.2922 -2.17786 1.45191 -2.90381 NaN -0.725953 8252 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.5191 87.8403 -3.62976 -2.90381 -10.1633 NaN -6.53358 8253 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.5191 -90.0181 -1.45191 2.90381 0 NaN 1.45191 8254 CANOLA _ROLL_PSEUDO_STRATEGY [-1] 14.5191 84.2105 -2.90381 5.80762 -0 NaN 2.90381 8255 CANOLA _ROLL_PSEUDO_STRATEGY [1] 14.5191 -87.1143 -1.45191 -2.90381 -5.80762 NaN -4.35572 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA -101.633394 GASOIL -75.000000 caleb_strategy_v3 CANOLA 87.114338 GAS_US_mini -187.500000 MXP 60.000000 RUSSELL -37.000000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -176.633394 caleb_strategy_v3 -77.385662 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA -26.134301 GASOIL -50.000000 caleb_strategy_v3 CANOLA -2.903811 GAS_US_mini -12.500000 MXP -5.000000 RUSSELL -0.500000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -76.134301 caleb_strategy_v3 -20.903811 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA 39.201452 GASOIL 25.000000 caleb_strategy_v3 CANOLA -0.000000 GAS_US_mini 12.500000 MXP 5.000000 RUSSELL -6.000000 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 64.201452 caleb_strategy_v3 11.500000 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA -4.355717 GASOIL -75.000000 caleb_strategy_v3 CANOLA -5.807623 GAS_US_mini -12.500000 MXP -5.000000 RUSSELL -7.000000 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -79.355717 caleb_strategy_v3 -30.307623 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CANOLA 0 GASOIL 0 caleb_strategy_v3 CANOLA 0 GAS_US_mini 0 MXP 0 RUSSELL 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 CANOLA 1.742287e+01 GASOIL -2.500000e+01 caleb_strategy_v3 CANOLA -2.903811e+00 GAS_US_mini 0.000000e+00 MXP 3.469225e-12 RUSSELL -6.500000e+00 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -7.577132 caleb_strategy_v3 -9.403811 ******************************************************************************** END OF REPORT 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