******************************************************************************** Trades report report produced on 21/11/2022 21:35 from 20/11/2022 21:35 to 21/11/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 286 BTP caleb_strategy_v1 [20221200] 2022-11-21 08:00:33 [1] 119.0200 287 BTP caleb_strategy_v1 [20221200] 2022-11-21 08:00:34 [-1] 118.9900 290 CAD caleb_strategy_v1 [20221200] 2022-11-21 15:01:08 [1] 0.7437 289 DOW caleb_strategy_v1 [20221200] 2022-11-21 15:01:07 [-1] 33814.0000 285 NIKKEI caleb_strategy_v1 [20221200] 2022-11-21 03:02:52 [1] 27885.0000 288 RUSSELL caleb_strategy_v1 [20221200] 2022-11-21 15:01:07 [1] 1844.5000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 285 NIKKEI caleb_strategy_v1 2022-11-18 2022-11-21 03:02:27.470 2022-11-21 03:02:52 270147 24.53 286 BTP caleb_strategy_v1 2022-11-18 2022-11-21 08:00:32.972 2022-11-21 08:00:33 288033 0.028 287 BTP caleb_strategy_v1 2022-11-17 2022-11-21 08:00:34.788 2022-11-21 08:00:34 374435 NaN 288 RUSSELL caleb_strategy_v1 2022-11-18 2022-11-21 15:01:07.266 2022-11-21 15:01:07 313267 NaN 289 DOW caleb_strategy_v1 2022-11-18 2022-11-21 15:01:07.881 2022-11-21 15:01:07 313268 NaN 290 CAD caleb_strategy_v1 2022-11-18 2022-11-21 15:01:08.832 2022-11-21 15:01:08 313269 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 285 NIKKEI caleb_strategy_v1 [1] 27970 None 27882.5 27885 27880 27880 27885 87.5 -2.5 0 -5 NaN -2.5 286 BTP caleb_strategy_v1 [1] 119.04 None 119 119.01 118.99 NaN 119.02 0.04 -0.01 -0.01 NaN NaN -0.02 287 BTP caleb_strategy_v1 [-1] 118.71 None 119.01 119 119.02 NaN 118.99 0.3 -0.01 -0.01 NaN NaN -0.02 288 RUSSELL caleb_strategy_v1 [1] 1851 None 1844.4 1844.5 1844.3 NaN 1844.5 6.6 -0.1 0 NaN NaN -0.1 289 DOW caleb_strategy_v1 [-1] 33711 None 33815 33814 33816 NaN 33814 104 -1 -0 NaN NaN -1 290 CAD caleb_strategy_v1 [1] 0.7473 None 0.743625 0.74365 0.7436 NaN 0.7437 0.003675 -2.5e-05 -5e-05 NaN NaN -7.5e-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 285 NIKKEI caleb_strategy_v1 [1] 4702.49 186.072 -5.31633 0 -10.6327 NaN -5.31633 286 BTP caleb_strategy_v1 [1] 17.6669 22.6412 -5.66029 -5.66029 NaN NaN -11.3206 287 BTP caleb_strategy_v1 [-1] 17.6669 169.809 -5.66029 -5.66029 NaN NaN -11.3206 288 RUSSELL caleb_strategy_v1 [1] 544.809 121.143 -1.83551 0 NaN NaN -1.83551 289 DOW caleb_strategy_v1 [-1] 6301.98 165.028 -1.5868 -0 NaN NaN -1.5868 290 CAD caleb_strategy_v1 [1] 0.0722588 508.589 -3.45979 -6.91957 NaN NaN -10.3794 =========================================================================================================================================================================== 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 285 NIKKEI caleb_strategy_v1 [1] 0.703819 61.5842 -1.75955 0 -3.51909 NaN -1.75955 286 BTP caleb_strategy_v1 [1] 1024.2 40.9682 -10.2421 -10.242 NaN NaN -20.4841 287 BTP caleb_strategy_v1 [-1] 1024.2 307.261 -10.242 -10.2421 NaN NaN -20.4841 288 RUSSELL caleb_strategy_v1 [1] 5 33 -0.5 0 NaN NaN -0.5 289 DOW caleb_strategy_v1 [-1] 0.5 52 -0.5 -0 NaN NaN -0.5 290 CAD caleb_strategy_v1 [1] 100000 367.5 -2.5 -5 NaN NaN -7.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BTP 348.229700 CAD 367.500000 DOW 52.000000 NIKKEI 61.584156 RUSSELL 33.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 862.313856 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BTP -20.484100 CAD -2.500000 DOW -0.500000 NIKKEI -1.759547 RUSSELL -0.500000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -25.743647 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BTP -20.4841 CAD -5.0000 DOW -0.0000 NIKKEI 0.0000 RUSSELL 0.0000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -25.4841 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BTP 0.000000 CAD 0.000000 DOW 0.000000 NIKKEI -3.519095 RUSSELL 0.000000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -3.519095 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BTP 0 CAD 0 DOW 0 NIKKEI 0 RUSSELL 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 BTP -40.968200 CAD -7.500000 DOW -0.500000 NIKKEI -1.759547 RUSSELL -0.500000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -51.227747 ******************************************************************************** END OF REPORT ********************************************************************************