******************************************************************************** Trades report produced on 21/08/2024 21:37 from 20/08/2024 21:37 to 21/08/2024 21:37 ******************************************************************************** ====================================================================================================== Broker orders ====================================================================================================== instrument_code strategy_name contract_date fill_datetime fill filled_price 14443 COFFEE caleb_strategy_v3 [20240900] 2024-08-21 09:09:37.323 [-1] 246.500000 14444 US10U _ROLL_PSEUDO_STRATEGY [20240900] 2024-08-21 14:05:01.000 [-1] 118.203125 14445 US10U _ROLL_PSEUDO_STRATEGY [20241200] 2024-08-21 14:08:55.000 [1] 118.515625 14446 US30 _ROLL_PSEUDO_STRATEGY [20240900] 2024-08-21 14:08:56.000 [-1] 133.593750 14447 US30 _ROLL_PSEUDO_STRATEGY [20241200] 2024-08-21 14:08:59.000 [1] 134.718750 14448 US30 _ROLL_PSEUDO_STRATEGY [20240900] 2024-08-21 14:10:09.000 [-1] 133.437500 14449 US30 _ROLL_PSEUDO_STRATEGY [20241200] 2024-08-21 14:10:09.000 [1] 134.562500 14450 US30 _ROLL_PSEUDO_STRATEGY [20240900] 2024-08-21 14:10:13.000 [-1] 133.437500 14451 US30 _ROLL_PSEUDO_STRATEGY [20241200] 2024-08-21 14:10:13.000 [1] 134.593750 ================================================================================================================================================================= Delays ================================================================================================================================================================= instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 14443 COFFEE caleb_strategy_v3 NaT NaT 2024-08-21 09:09:37.323 NaN NaN 14444 US10U _ROLL_PSEUDO_STRATEGY 2024-08-20 20:00:00 2024-08-21 15:00:52.110 2024-08-21 14:05:01.000 68452.11 NaN 14445 US10U _ROLL_PSEUDO_STRATEGY 2024-08-20 20:00:00 2024-08-21 15:05:02.674 2024-08-21 14:08:55.000 68702.674 NaN 14446 US30 _ROLL_PSEUDO_STRATEGY 2024-08-20 20:00:00 2024-08-21 15:08:56.730 2024-08-21 14:08:56.000 68936.73 NaN 14447 US30 _ROLL_PSEUDO_STRATEGY 2024-08-20 20:00:00 2024-08-21 15:08:58.206 2024-08-21 14:08:59.000 68938.206 NaN 14448 US30 _ROLL_PSEUDO_STRATEGY 2024-08-20 20:00:00 2024-08-21 15:09:02.580 2024-08-21 14:10:09.000 68942.58 NaN 14449 US30 _ROLL_PSEUDO_STRATEGY 2024-08-20 20:00:00 2024-08-21 15:10:09.672 2024-08-21 14:10:09.000 69009.672 NaN 14450 US30 _ROLL_PSEUDO_STRATEGY 2024-08-20 20:00:00 2024-08-21 15:10:13.287 2024-08-21 14:10:13.000 69013.287 NaN 14451 US30 _ROLL_PSEUDO_STRATEGY 2024-08-20 20:00:00 2024-08-21 15:10:13.776 2024-08-21 14:10:13.000 69013.776 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 14443 COFFEE caleb_strategy_v3 [-1] NaN None NaN NaN NaN NaN 246.5 NaN NaN NaN NaN NaN NaN 14444 US10U _ROLL_PSEUDO_STRATEGY [-1] 118.046875 None 118.179688 118.171875 118.1875 118.1875 118.203125 0.132812 -0.007812 0.03125 0.015625 NaN 0.023438 14445 US10U _ROLL_PSEUDO_STRATEGY [1] 118.375 None 118.53125 118.546875 118.515625 118.515625 118.515625 -0.15625 -0.015625 0.03125 0.0 NaN 0.015625 14446 US30 _ROLL_PSEUDO_STRATEGY [-1] 133.6875 None 133.578125 133.5625 133.59375 133.59375 133.59375 -0.109375 -0.015625 0.03125 -0.0 NaN 0.015625 14447 US30 _ROLL_PSEUDO_STRATEGY [1] 134.78125 None 134.6875 134.71875 134.65625 134.65625 134.71875 0.09375 -0.03125 0.0 -0.0625 NaN -0.03125 14448 US30 _ROLL_PSEUDO_STRATEGY [-1] 133.6875 None 133.578125 133.5625 133.59375 133.59375 133.4375 -0.109375 -0.015625 -0.125 -0.15625 NaN -0.140625 14449 US30 _ROLL_PSEUDO_STRATEGY [1] 134.78125 None 134.703125 134.71875 134.6875 134.6875 134.5625 0.078125 -0.015625 0.15625 0.125 NaN 0.140625 14450 US30 _ROLL_PSEUDO_STRATEGY [-1] 133.6875 None 133.296875 133.28125 133.3125 133.3125 133.4375 -0.390625 -0.015625 0.15625 0.125 NaN 0.140625 14451 US30 _ROLL_PSEUDO_STRATEGY [1] 134.78125 None 134.703125 134.71875 134.6875 134.6875 134.59375 0.078125 -0.015625 0.125 0.09375 NaN 0.109375 =================================================================================================================================================================== 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 14443 COFFEE caleb_strategy_v3 [-1] 79.49754 NaN NaN NaN NaN NaN NaN 14444 US10U _ROLL_PSEUDO_STRATEGY [-1] 9.216093 144.109324 -8.477019 33.908076 16.954038 NaN 25.431057 14445 US10U _ROLL_PSEUDO_STRATEGY [1] 9.216093 -169.540381 -16.954038 33.908076 0.0 NaN 16.954038 14446 US30 _ROLL_PSEUDO_STRATEGY [-1] 19.780133 -55.295381 -7.89934 15.79868 -0.0 NaN 7.89934 14447 US30 _ROLL_PSEUDO_STRATEGY [1] 19.780133 47.396041 -15.79868 0.0 -31.597361 NaN -15.79868 14448 US30 _ROLL_PSEUDO_STRATEGY [-1] 19.780133 -55.295381 -7.89934 -63.194721 -78.993402 NaN -71.094062 14449 US30 _ROLL_PSEUDO_STRATEGY [1] 19.780133 39.496701 -7.89934 78.993402 63.194721 NaN 71.094062 14450 US30 _ROLL_PSEUDO_STRATEGY [-1] 19.780133 -197.483505 -7.89934 78.993402 63.194721 NaN 71.094062 14451 US30 _ROLL_PSEUDO_STRATEGY [1] 19.780133 39.496701 -7.89934 63.194721 47.396041 NaN 55.295381 ============================================================================================================================================================================ 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 14443 COFFEE caleb_strategy_v3 [-1] 375.0 NaN NaN NaN NaN NaN NaN 14444 US10U _ROLL_PSEUDO_STRATEGY [-1] 1000.0 132.8125 -7.8125 31.25 15.625 NaN 23.4375 14445 US10U _ROLL_PSEUDO_STRATEGY [1] 1000.0 -156.25 -15.625 31.25 0.0 NaN 15.625 14446 US30 _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -109.375 -15.625 31.25 -0.0 NaN 15.625 14447 US30 _ROLL_PSEUDO_STRATEGY [1] 1000.0 93.75 -31.25 0.0 -62.5 NaN -31.25 14448 US30 _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -109.375 -15.625 -125.0 -156.25 NaN -140.625 14449 US30 _ROLL_PSEUDO_STRATEGY [1] 1000.0 78.125 -15.625 156.25 125.0 NaN 140.625 14450 US30 _ROLL_PSEUDO_STRATEGY [-1] 1000.0 -390.625 -15.625 156.25 125.0 NaN 140.625 14451 US30 _ROLL_PSEUDO_STRATEGY [1] 1000.0 78.125 -15.625 125.0 93.75 NaN 109.375 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY US10U -23.4375 US30 -359.375 caleb_strategy_v3 COFFEE 0 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -382.8125 caleb_strategy_v3 0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY US10U -23.4375 US30 -109.375 caleb_strategy_v3 COFFEE 0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -132.8125 caleb_strategy_v3 0 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY US10U 62.5 US30 343.75 caleb_strategy_v3 COFFEE 0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 406.25 caleb_strategy_v3 0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY US10U 15.625 US30 125.0 caleb_strategy_v3 COFFEE 0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 140.625 caleb_strategy_v3 0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY US10U 0 US30 0 caleb_strategy_v3 COFFEE 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 US10U 39.0625 US30 234.375 caleb_strategy_v3 COFFEE 0 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 273.4375 caleb_strategy_v3 0 ******************************************************************************** END OF REPORT ********************************************************************************