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Reconcile report produced on 27/10/2023 22:39
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Breaks Optimal vs actual ['fsb_static_strategy_v5_1 COPPER_fsb', 'fsb_static_strategy_v5_1 GAS_US_fsb', 'fsb_static_strategy_v5_1 NASDAQ_fsb', 'fsb_static_strategy_v5_1 NZD_fsb', 'fsb_static_strategy_v5_1 PALLAD_fsb', 'fsb_static_strategy_v5_1 SMI_fsb', 'fsb_static_strategy_v5_1 SOYOIL_fsb', 'fsb_static_strategy_v5_1 SUGAR11_fsb', 'fsb_static_strategy_v5_1 US10_fsb']
Breaks Instrument vs Contract []
Breaks Broker vs Contract [BRENT_W_fsb/20231030, BRENT_W_fsb/20231129]
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Positions in DB
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instrument_code contract_date expiry_date position
0 BRENT_W_fsb 20231030 2023-10-30 00:00:00 0.80
1 BUND_fsb 20231206 2023-12-06 00:00:00 -2.11
2 COPPER_fsb 20231129 2023-11-29 00:00:00 -2.88
3 DX_fsb 20231215 2023-12-15 00:00:00 6.35
4 GAS_US_fsb 20231127 2023-11-27 00:00:00 -3.32
5 LEANHOG_fsb 20231130 2023-11-30 00:00:00 0.48
6 NASDAQ_fsb 20231215 2023-12-15 00:00:00 -1.12
7 NZD_fsb 20231215 2023-12-15 00:00:00 -1.87
8 PALLAD_fsb 20231129 2023-11-29 00:00:00 -2.11
9 SMI_fsb 20231215 2023-12-15 00:00:00 -2.17
10 SOYOIL_fsb 20231129 2023-11-29 00:00:00 1.15
11 US10_fsb 20231128 2023-11-28 00:00:00 -9.61
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Positions broker
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instrument_code contract_date expiry_date position
9 BRENT_W_fsb 20231129 2023-11-29 00:00:00 0.80
7 BUND_fsb 20231206 2023-12-06 00:00:00 -2.11
10 COPPER_fsb 20231129 2023-11-29 00:00:00 -2.88
8 DX_fsb 20231215 2023-12-15 00:00:00 6.35
4 GAS_US_fsb 20231127 2023-11-27 00:00:00 -3.32
11 LEANHOG_fsb 20231130 2023-11-30 00:00:00 0.48
2 NASDAQ_fsb 20231215 2023-12-15 00:00:00 -1.12
6 NZD_fsb 20231215 2023-12-15 00:00:00 -1.87
0 PALLAD_fsb 20231129 2023-11-29 00:00:00 -2.11
3 SMI_fsb 20231215 2023-12-15 00:00:00 -2.17
1 SOYOIL_fsb 20231129 2023-11-29 00:00:00 1.15
5 US10_fsb 20231128 2023-11-28 00:00:00 -9.61
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Trades in DB
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strategy_name contract_date fill_datetime fill filled_price
BRENT_W_fsb fsb_static_strategy_v5_1 [20231200] 2023-10-27 04:45:10.542 [-1.02] 8914.5
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Trades from broker
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strategy_name contract_date fill_datetime fill filled_price
BRENT_W_fsb [20240100] 2023-10-27T18:59:23 [0.8] 8923.0
BRENT_W_fsb [20231200] 2023-10-27T18:59:23 [-0.8] 9045.0
BRENT_W_fsb [20231200] 2023-10-27T04:45:10 [-1.02] 8914.5
US10_fsb [20231200] 2023-10-26T04:45:09 [0.67] 10562.2
NASDAQ_fsb [20231200] 2023-10-25T04:45:10 [-0.51] 14786.3
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Optimal versus actual positions
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current optimal breaks
fsb_static_strategy_v5_1 BRENT_W_fsb 0.80 0.7 / 0.82 False
fsb_static_strategy_v5_1 BUND_fsb -2.11 -2.32 / -1.63 False
fsb_static_strategy_v5_1 COPPER_fsb -2.88 -2.67 / -2.14 True
fsb_static_strategy_v5_1 DX_fsb 6.35 6.06 / 7.11 False
fsb_static_strategy_v5_1 GAS_US_fsb -3.32 -3.16 / -2.76 True
fsb_static_strategy_v5_1 LEANHOG_fsb 0.48 0.08 / 1.22 False
fsb_static_strategy_v5_1 NASDAQ_fsb -1.12 -1.98 / -1.67 True
fsb_static_strategy_v5_1 NZD_fsb -1.87 -2.5 / -1.97 True
fsb_static_strategy_v5_1 PALLAD_fsb -2.11 -3.71 / -3.21 True
fsb_static_strategy_v5_1 SMI_fsb -2.17 -3.0 / -2.5 True
fsb_static_strategy_v5_1 SOYOIL_fsb 1.15 0.36 / 0.53 True
fsb_static_strategy_v5_1 SUGAR11_fsb 0.00 1.8 / 2.0 True
fsb_static_strategy_v5_1 US10_fsb -9.61 -9.12 / -8.2 True
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END OF REPORT
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