******************************************************************************** Trades report report produced on 04/11/2022 21:35 from 03/11/2022 21:35 to 04/11/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 196 DOW caleb_strategy_v1 [20221200] 2022-11-04 15:00:01 [1] 32498.0 195 GOLD_micro caleb_strategy_v1 [20221200] 2022-11-04 14:00:01 [1] 1670.7 194 NIKKEI caleb_strategy_v1 [20221200] 2022-11-04 03:00:23 [1] 27125.0 197 RUSSELL caleb_strategy_v1 [20221200] 2022-11-04 15:00:01 [-1] 1808.7 198 SOYMEAL caleb_strategy_v1 [20230300] 2022-11-04 15:30:01 [1] 404.0 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 194 NIKKEI caleb_strategy_v1 2022-09-30 2022-11-04 03:00:17.057 2022-11-04 03:00:23 3.03482e+06 5.943 195 GOLD_micro caleb_strategy_v1 2022-11-03 2022-11-04 14:00:00.949 2022-11-04 14:00:01 136801 0.051 196 DOW caleb_strategy_v1 2022-11-03 2022-11-04 15:00:01.074 2022-11-04 15:00:01 140401 NaN 197 RUSSELL caleb_strategy_v1 2022-11-03 2022-11-04 15:00:01.799 2022-11-04 15:00:01 140402 NaN 198 SOYMEAL caleb_strategy_v1 2022-11-03 2022-11-04 15:30:00.591 2022-11-04 15:30:01 142201 0.409 ================================================================================================================================================================================================================================ 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 194 NIKKEI caleb_strategy_v1 [1] 25975 None 27127.5 27130 27125 27125 27125 -1152.5 -2.5 5 0 NaN 2.5 195 GOLD_micro caleb_strategy_v1 [1] 1633.1 None 1670.5 1670.6 1670.4 NaN 1670.7 -37.4 -0.1 -0.1 NaN NaN -0.2 196 DOW caleb_strategy_v1 [1] 32041 None 32501 32502 32500 NaN 32498 -460 -1 4 NaN NaN 3 197 RUSSELL caleb_strategy_v1 [-1] 1784.4 None 1808.85 1808.8 1808.9 NaN 1808.7 24.45 -0.05 -0.1 NaN NaN -0.15 198 SOYMEAL caleb_strategy_v1 [1] 399.6 None 403.95 404.1 403.8 NaN 404 -4.35 -0.15 0.1 NaN NaN -0.05 ================================================================================================================================================================ 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 194 NIKKEI caleb_strategy_v1 [1] 4762.98 -2419.7 -5.24882 10.4976 0 NaN 5.24882 195 GOLD_micro caleb_strategy_v1 [1] 299.383 -1249.24 -3.34021 -3.34021 NaN NaN -6.68042 196 DOW caleb_strategy_v1 [1] 6397.85 -718.992 -1.56303 6.2521 NaN NaN 4.68908 197 RUSSELL caleb_strategy_v1 [-1] 516.976 472.942 -0.967162 -1.93432 NaN NaN -2.90149 198 SOYMEAL caleb_strategy_v1 [1] 94.7128 -459.283 -15.8374 10.5582 NaN NaN -5.27912 =========================================================================================================================================================================== 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 194 NIKKEI caleb_strategy_v1 [1] 0.681947 -785.944 -1.70487 3.40973 0 NaN 1.70487 195 GOLD_micro caleb_strategy_v1 [1] 10 -374 -1 -1 NaN NaN -2 196 DOW caleb_strategy_v1 [1] 0.5 -230 -0.5 2 NaN NaN 1.5 197 RUSSELL caleb_strategy_v1 [-1] 5 122.25 -0.25 -0.5 NaN NaN -0.75 198 SOYMEAL caleb_strategy_v1 [1] 100 -435 -15 10 NaN NaN -5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 DOW -230.000000 GOLD_micro -374.000000 NIKKEI -785.943712 RUSSELL 122.250000 SOYMEAL -435.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -1702.693712 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 DOW -0.500000 GOLD_micro -1.000000 NIKKEI -1.704867 RUSSELL -0.250000 SOYMEAL -15.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -18.454867 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 DOW 2.000000 GOLD_micro -1.000000 NIKKEI 3.409734 RUSSELL -0.500000 SOYMEAL 10.000000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 13.909734 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 DOW 0.0 GOLD_micro 0.0 NIKKEI 0.0 RUSSELL 0.0 SOYMEAL 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 0.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 DOW 0 GOLD_micro 0 NIKKEI 0 RUSSELL 0 SOYMEAL 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 1.500000 GOLD_micro -2.000000 NIKKEI 1.704867 RUSSELL -0.750000 SOYMEAL -5.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -4.545133 ******************************************************************************** END OF REPORT ********************************************************************************