******************************************************************************** Trades report report produced on 06/12/2022 21:35 from 05/12/2022 21:35 to 06/12/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 468 BUND caleb_strategy_v1 [20230300] 2022-12-06 08:00:03 [-1] 140.81 470 BUXL caleb_strategy_v1 [20230300] 2022-12-06 08:00:06 [1] 161.16 469 CAC caleb_strategy_v1 [20221200] 2022-12-06 08:00:05 [-1] 6684.50 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 468 BUND caleb_strategy_v1 2022-12-02 2022-12-06 08:00:02.874 2022-12-06 08:00:03 374403 0.126 469 CAC caleb_strategy_v1 2022-12-02 2022-12-06 08:00:04.655 2022-12-06 08:00:05 374405 0.345 470 BUXL caleb_strategy_v1 2022-12-02 2022-12-06 08:00:06.039 2022-12-06 08:00:06 374406 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 468 BUND caleb_strategy_v1 [-1] 141.61 None 140.795 140.79 140.8 140.8 140.81 -0.815 -0.005 0.02 0.01 NaN 0.015 469 CAC caleb_strategy_v1 [-1] 6752.5 None 6684 6683.5 6684.5 6684.5 6684.5 -68.5 -0.5 1 -0 NaN 0.5 470 BUXL caleb_strategy_v1 [1] 162.52 None 161.16 161.18 161.14 NaN 161.16 1.36 -0.02 0.02 NaN NaN 0 ================================================================================================================================================================ 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 468 BUND caleb_strategy_v1 [-1] 14.4661 -563.387 -3.45636 13.8254 6.91272 NaN 10.3691 469 CAC caleb_strategy_v1 [-1] 961.224 -712.633 -5.2017 10.4034 -0 NaN 5.2017 470 BUXL caleb_strategy_v1 [1] 34.7563 391.296 -5.75435 5.75435 NaN NaN 0 =========================================================================================================================================================================== 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 468 BUND caleb_strategy_v1 [-1] 1046.55 -852.934 -5.23273 20.9309 10.4654 NaN 15.6982 469 CAC caleb_strategy_v1 [-1] 10.4655 -716.883 -5.23273 10.4655 -0 NaN 5.23273 470 BUXL caleb_strategy_v1 [1] 1046.55 1423.3 -20.9309 20.9309 NaN NaN 0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BUND -852.934175 BUXL 1423.301200 CAC -716.883325 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -146.5163 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BUND -5.232725 BUXL -20.930900 CAC -5.232725 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -31.39635 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BUND 20.93090 BUXL 20.93090 CAC 10.46545 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 52.32725 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 10.46545 BUXL 0.00000 CAC -0.00000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 10.46545 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 0 BUXL 0 CAC 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 BUND 15.698175 BUXL 0.000000 CAC 5.232725 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 20.9309 ******************************************************************************** END OF REPORT ********************************************************************************