******************************************************************************** Trades report report produced on 05/12/2022 21:35 from 04/12/2022 21:35 to 05/12/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 464 MXP caleb_strategy_v1 [20221200] 2022-12-05 15:00:04 [1] 0.05057 465 RUSSELL caleb_strategy_v1 [20221200] 2022-12-05 15:00:05 [-1] 1858.90000 466 RUSSELL caleb_strategy_v1 [20221200] 2022-12-05 15:00:07 [-1] 1858.20000 467 RUSSELL caleb_strategy_v1 [20221200] 2022-12-05 15:00:09 [-1] 1859.10000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 464 MXP caleb_strategy_v1 2022-12-01 2022-12-05 15:00:01.437 2022-12-05 15:00:04 399601 2.563 465 RUSSELL caleb_strategy_v1 2022-12-01 2022-12-05 15:00:05.821 2022-12-05 15:00:05 399606 NaN 466 RUSSELL caleb_strategy_v1 2022-12-01 2022-12-05 15:00:07.444 2022-12-05 15:00:07 399607 NaN 467 RUSSELL caleb_strategy_v1 2022-12-01 2022-12-05 15:00:09.322 2022-12-05 15:00:09 399609 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 464 MXP caleb_strategy_v1 [1] 0.05205 None 0.05056 0.05057 0.05055 0.05055 0.05057 0.00149 -1e-05 0 -2e-05 NaN -1e-05 465 RUSSELL caleb_strategy_v1 [-1] 1880.8 None 1858.65 1858.4 1858.9 1858.9 1858.9 -22.15 -0.25 0.5 -0 NaN 0.25 466 RUSSELL caleb_strategy_v1 [-1] 1880.8 None 1858.75 1858.6 1858.9 1858.9 1858.2 -22.05 -0.15 -0.4 -0.7 NaN -0.55 467 RUSSELL caleb_strategy_v1 [-1] 1880.8 None 1858.9 1858.7 1859.1 1859.1 1859.1 -21.9 -0.2 0.4 -2.27374e-13 NaN 0.2 ================================================================================================================================================================ 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 464 MXP caleb_strategy_v1 [1] 0.00549382 2712.14 -18.2023 0 -36.4045 NaN -18.2023 465 RUSSELL caleb_strategy_v1 [-1] 537.222 -412.306 -4.65357 9.30714 -0 NaN 4.65357 466 RUSSELL caleb_strategy_v1 [-1] 537.222 -410.445 -2.79214 -7.44571 -13.03 NaN -10.2378 467 RUSSELL caleb_strategy_v1 [-1] 537.222 -407.653 -3.72285 7.44571 -4.2324e-12 NaN 3.72285 =========================================================================================================================================================================== 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 464 MXP caleb_strategy_v1 [1] 500000 745 -5 0 -10 NaN -5 465 RUSSELL caleb_strategy_v1 [-1] 5 -110.75 -1.25 2.5 -0 NaN 1.25 466 RUSSELL caleb_strategy_v1 [-1] 5 -110.25 -0.75 -2 -3.5 NaN -2.75 467 RUSSELL caleb_strategy_v1 [-1] 5 -109.5 -1 2 -1.13687e-12 NaN 1 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 MXP 745.0 RUSSELL -330.5 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 414.5 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 MXP -5.0 RUSSELL -3.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -8.0 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 MXP 0.0 RUSSELL 2.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 2.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 MXP -10.0 RUSSELL -3.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -13.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 MXP 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 MXP -5.0 RUSSELL -0.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -5.5 ******************************************************************************** END OF REPORT ********************************************************************************