******************************************************************************** Trades report report produced on 02/11/2022 21:35 from 01/11/2022 21:35 to 02/11/2022 21:35 ******************************************************************************** ================================================================================================ Broker orders ================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 193 DOW caleb_strategy_v1 [20221200] 2022-11-02 15:00:01 [1] 32587.0 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 193 DOW caleb_strategy_v1 2022-11-01 2022-11-02 15:00:01.091 2022-11-02 15:00:01 140401 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 193 DOW caleb_strategy_v1 [1] 32653 None 32588 32589 32587 None 32587 65 -1 2 NaN NaN 1 ================================================================================================================================================================ 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 193 DOW caleb_strategy_v1 [1] 6569.88 98.9364 -1.5221 3.0442 NaN NaN 1.5221 =========================================================================================================================================================================== 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 193 DOW caleb_strategy_v1 [1] 0.5 32.5 -0.5 1 NaN NaN 0.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 DOW 32.5 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 32.5 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 DOW -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -0.5 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 DOW 1.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 1.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 DOW 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 DOW 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 DOW 0.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 0.5 ******************************************************************************** END OF REPORT ********************************************************************************