******************************************************************************** Trades report report produced on 09/11/2022 21:35 from 08/11/2022 21:35 to 09/11/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 217 GOLD_micro caleb_strategy_v1 [20221200] 2022-11-09 14:00:02 [-1] 1712.80 219 RUSSELL caleb_strategy_v1 [20221200] 2022-11-09 15:00:02 [-1] 1787.30 218 VIX caleb_strategy_v1 [20230200] 2022-11-09 15:00:01 [-1] 27.55 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 217 GOLD_micro caleb_strategy_v1 2022-11-07 2022-11-09 14:00:01.749 2022-11-09 14:00:02 223202 0.251 218 VIX caleb_strategy_v1 2022-11-08 2022-11-09 15:00:01.533 2022-11-09 15:00:01 140402 NaN 219 RUSSELL caleb_strategy_v1 2022-11-08 2022-11-09 15:00:02.860 2022-11-09 15:00:02 140403 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 217 GOLD_micro caleb_strategy_v1 [-1] 1678.7 None 1712.85 1712.8 1712.9 None 1712.8 34.15 -0.05 -0 NaN NaN -0.05 218 VIX caleb_strategy_v1 [-1] 27.3 None 27.575 27.55 27.6 None 27.55 0.275 -0.025 -0 NaN NaN -0.025 219 RUSSELL caleb_strategy_v1 [-1] 1808.2 None 1788 1787.9 1788.1 None 1787.3 -20.2 -0.1 -0.6 NaN NaN -0.7 ================================================================================================================================================================ 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 217 GOLD_micro caleb_strategy_v1 [-1] 306.083 1115.71 -1.63354 -0 NaN NaN -1.63354 218 VIX caleb_strategy_v1 [-1] 9.27235 296.581 -26.9619 -0 NaN NaN -26.9619 219 RUSSELL caleb_strategy_v1 [-1] 505.378 -399.7 -1.97872 -11.8723 NaN NaN -13.851 =========================================================================================================================================================================== 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 217 GOLD_micro caleb_strategy_v1 [-1] 10 341.5 -0.5 -0 NaN NaN -0.5 218 VIX caleb_strategy_v1 [-1] 1000 275 -25 -0 NaN NaN -25 219 RUSSELL caleb_strategy_v1 [-1] 5 -101 -0.5 -3 NaN NaN -3.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 GOLD_micro 341.5 RUSSELL -101.0 VIX 275.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 515.5 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 GOLD_micro -0.5 RUSSELL -0.5 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -26.0 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 GOLD_micro -0.0 RUSSELL -3.0 VIX -0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -3.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 GOLD_micro 0 RUSSELL 0 VIX 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 GOLD_micro 0 RUSSELL 0 VIX 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 GOLD_micro -0.5 RUSSELL -3.5 VIX -25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -29.0 ******************************************************************************** END OF REPORT ********************************************************************************