******************************************************************************** Trades report report produced on 10/11/2022 21:35 from 09/11/2022 21:35 to 10/11/2022 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 220 CAC _ROLL_PSEUDO_STRATEGY [20221100, 20221200] 2022-11-10 08:00:06 [-1, 1] 3.0 221 CAC _ROLL_PSEUDO_STRATEGY [20221100, 20221200] 2022-11-10 08:00:08 [-1, 1] 3.0 222 SOYMEAL caleb_strategy_v1 [20230300] 2022-11-10 15:30:00 [-1] 398.3 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 220 CAC _ROLL_PSEUDO_STRATEGY 2022-11-09 18:00:00 2022-11-10 08:00:03.635 2022-11-10 08:00:06 50403.6 2.365 221 CAC _ROLL_PSEUDO_STRATEGY 2022-11-09 18:00:00 2022-11-10 08:00:08.011 2022-11-10 08:00:08 50408 NaN 222 SOYMEAL caleb_strategy_v1 2022-11-09 00:00:00 2022-11-10 15:30:00.832 2022-11-10 15:30:00 142201 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 220 CAC _ROLL_PSEUDO_STRATEGY [-1, 1] 5 None 3.25 3 3.5 None 3 -1.75 -0.25 -0 NaN NaN -0.25 221 CAC _ROLL_PSEUDO_STRATEGY [-1, 1] 5 None 3.25 3 3.5 None 3 -1.75 -0.25 -0 NaN NaN -0.25 222 SOYMEAL caleb_strategy_v1 [-1] 405.9 None 398.4 398.3 398.5 None 398.3 -7.5 -0.1 -0 NaN NaN -0.1 ======================================================================================================================================================================= 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 220 CAC _ROLL_PSEUDO_STRATEGY [-1, 1] 1182.59 -14.7981 -2.11401 -0 NaN NaN -2.11401 221 CAC _ROLL_PSEUDO_STRATEGY [-1, 1] 1182.59 -14.7981 -2.11401 -0 NaN NaN -2.11401 222 SOYMEAL caleb_strategy_v1 [-1] 94.4127 -794.385 -10.5918 -0 NaN NaN -10.5918 ================================================================================================================================================================================== 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 220 CAC _ROLL_PSEUDO_STRATEGY [-1, 1] 10.1814 -17.8174 -2.54534 -0 NaN NaN -2.54534 221 CAC _ROLL_PSEUDO_STRATEGY [-1, 1] 10.1814 -17.8174 -2.54534 -0 NaN NaN -2.54534 222 SOYMEAL caleb_strategy_v1 [-1] 100 -750 -10 -0 NaN NaN -10 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC -35.634725 caleb_strategy_v1 SOYMEAL -750.000000 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -35.634725 caleb_strategy_v1 -750.000000 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC -5.090675 caleb_strategy_v1 SOYMEAL -10.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -5.090675 caleb_strategy_v1 -10.000000 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC -0.0 caleb_strategy_v1 SOYMEAL -0.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -0.0 caleb_strategy_v1 -0.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC 0 caleb_strategy_v1 SOYMEAL 0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v1 0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC 0 caleb_strategy_v1 SOYMEAL 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v1 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY CAC -5.090675 caleb_strategy_v1 SOYMEAL -10.000000 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -5.090675 caleb_strategy_v1 -10.000000 ******************************************************************************** END OF REPORT 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