******************************************************************************** Trades report report produced on 14/10/2022 21:34 from 13/10/2022 21:34 to 14/10/2022 21:34 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 52 BOBL caleb_strategy_v1 [20221200] 2022-10-14 07:00:02 [1] 119.850000 54 RUSSELL caleb_strategy_v1 [20221200] 2022-10-14 14:00:01 [1] 1734.000000 53 US5 caleb_strategy_v1 [20221200] 2022-10-14 14:00:00 [-1] 106.695313 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 52 BOBL caleb_strategy_v1 2022-10-13 2022-10-14 08:00:01.826 2022-10-14 07:00:02 115202 NaN 53 US5 caleb_strategy_v1 2022-10-13 2022-10-14 15:00:00.748 2022-10-14 14:00:00 140401 NaN 54 RUSSELL caleb_strategy_v1 2022-10-13 2022-10-14 15:00:01.893 2022-10-14 14:00:01 140402 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 52 BOBL caleb_strategy_v1 [1] 119.2 None 119.825 119.83 119.82 None 119.85 -0.625 -0.005 -0.02 NaN NaN -0.025 53 US5 caleb_strategy_v1 [-1] 106.672 None 106.711 106.695 106.727 None 106.695 0.0390625 -0.015625 5e-07 NaN NaN -0.0156245 54 RUSSELL caleb_strategy_v1 [1] 1742 None 1733.8 1734.4 1733.2 None 1734 8.2 -0.6 0.4 NaN NaN -0.2 ================================================================================================================================================================ 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 52 BOBL caleb_strategy_v1 [1] 7.01266 -891.245 -7.12996 -28.5198 NaN NaN -35.6498 53 US5 caleb_strategy_v1 [-1] 6.0313 64.7663 -25.9065 0.000829008 NaN NaN -25.9057 54 RUSSELL caleb_strategy_v1 [1] 515.833 158.966 -11.6317 7.75445 NaN NaN -3.87722 =========================================================================================================================================================================== 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 52 BOBL caleb_strategy_v1 [1] 972.295 -607.684 -4.86148 -19.4459 NaN NaN -24.3074 53 US5 caleb_strategy_v1 [-1] 1000 39.0625 -15.625 0.0005 NaN NaN -15.6245 54 RUSSELL caleb_strategy_v1 [1] 5 41 -3 2 NaN NaN -1 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BOBL -607.684375 RUSSELL 41.000000 US5 39.062500 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -527.621875 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BOBL -4.861475 RUSSELL -3.000000 US5 -15.625000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -23.486475 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BOBL -19.4459 RUSSELL 2.0000 US5 0.0005 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -17.4454 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0 RUSSELL 0 US5 0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0 RUSSELL 0 US5 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 BOBL -24.307375 RUSSELL -1.000000 US5 -15.624500 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -40.931875 ******************************************************************************** END OF REPORT ********************************************************************************