******************************************************************************** Trades report report produced on 19/10/2022 21:34 from 18/10/2022 21:34 to 19/10/2022 21:34 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 66 BOBL caleb_strategy_v1 [20221200] 2022-10-19 07:00:03 [1] 118.830 67 LEANHOG caleb_strategy_v1 [20230200] 2022-10-19 14:30:01 [-1] 88.175 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 66 BOBL caleb_strategy_v1 2022-10-17 2022-10-19 08:00:02.635 2022-10-19 07:00:03 201603 NaN 67 LEANHOG caleb_strategy_v1 2022-10-17 2022-10-19 15:30:01.364 2022-10-19 14:30:01 228601 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 66 BOBL caleb_strategy_v1 [1] 119.02 None 118.825 118.83 118.82 None 118.83 0.195 -0.005 0 NaN NaN -0.005 67 LEANHOG caleb_strategy_v1 [-1] 85.975 None 88.2 88.175 88.225 None 88.175 2.225 -0.025 -0 NaN NaN -0.025 ================================================================================================================================================================ 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 66 BOBL caleb_strategy_v1 [1] 6.9924 278.874 -7.15062 0 NaN NaN -7.15062 67 LEANHOG caleb_strategy_v1 [-1] 26.2069 849.014 -9.53949 -0 NaN NaN -9.53949 =========================================================================================================================================================================== 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 66 BOBL caleb_strategy_v1 [1] 976.72 190.46 -4.8836 0 NaN NaN -4.8836 67 LEANHOG caleb_strategy_v1 [-1] 400 890 -10 -0 NaN NaN -10 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BOBL 190.4604 LEANHOG 890.0000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 1080.4604 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BOBL -4.8836 LEANHOG -10.0000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -14.8836 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0.0 LEANHOG -0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 0.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0 LEANHOG 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 LEANHOG 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 -4.8836 LEANHOG -10.0000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -14.8836 ******************************************************************************** END OF REPORT ********************************************************************************