******************************************************************************** Trades report report produced on 19/12/2022 21:35 from 18/12/2022 21:35 to 19/12/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 833 AUD caleb_strategy_v1 [20230300] 2022-12-19 15:00:02 [-1] 0.674050 830 BTP caleb_strategy_v1 [20230300] 2022-12-19 08:00:03 [-1] 112.090000 831 CAC caleb_strategy_v1 [20230100] 2022-12-19 08:00:05 [-1] 6472.000000 832 DAX caleb_strategy_v1 [20230300] 2022-12-19 08:00:06 [-1] 13991.000000 834 US5 caleb_strategy_v1 [20230300] 2022-12-19 15:00:18 [1] 109.109375 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 830 BTP caleb_strategy_v1 2022-12-16 2022-12-19 08:00:03.030 2022-12-19 08:00:03 288003 NaN 831 CAC caleb_strategy_v1 2022-12-16 2022-12-19 08:00:04.865 2022-12-19 08:00:05 288005 0.135 832 DAX caleb_strategy_v1 2022-12-16 2022-12-19 08:00:05.905 2022-12-19 08:00:06 288006 0.095 833 AUD caleb_strategy_v1 2022-12-16 2022-12-19 15:00:01.281 2022-12-19 15:00:02 313201 0.719 834 US5 caleb_strategy_v1 2022-12-16 2022-12-19 15:00:03.654 2022-12-19 15:00:18 313204 14.346 ======================================================================================================================================================================================================================================= 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 830 BTP caleb_strategy_v1 [-1] 112.64 None 112.06 112.05 112.07 112.07 112.09 -0.58 -0.01 0.04 0.02 NaN 0.03 831 CAC caleb_strategy_v1 [-1] 6460 None 6473.25 6473 6473.5 NaN 6472 13.25 -0.25 -1 NaN NaN -1.25 832 DAX caleb_strategy_v1 [-1] 13963 None 13995 13994 13996 13996 13991 32 -1 -3 -5 NaN -4 833 AUD caleb_strategy_v1 [-1] 0.67135 None 0.6741 0.67405 0.67415 0.67415 0.67405 0.00275 -5e-05 -0 -0.0001 NaN -5e-05 834 US5 caleb_strategy_v1 [1] 109.484 None 109.113 109.117 109.109 109.109 109.109 0.371094 -0.00390625 0.0078125 0 NaN 0.00390625 ================================================================================================================================================================ 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 830 BTP caleb_strategy_v1 [-1] 17.1279 -338.629 -5.83843 23.3537 11.6769 NaN 17.5153 831 CAC caleb_strategy_v1 [-1] 1068.67 123.986 -2.33936 -9.35746 NaN NaN -11.6968 832 DAX caleb_strategy_v1 [-1] 2551.92 125.396 -3.91863 -11.7559 -19.5931 NaN -15.6745 833 AUD caleb_strategy_v1 [-1] 0.104233 263.831 -4.79694 -0 -9.59387 NaN -4.79694 834 US5 caleb_strategy_v1 [1] 5.77339 642.766 -6.76596 13.5319 0 NaN 6.76596 =========================================================================================================================================================================== 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 830 BTP caleb_strategy_v1 [-1] 1060.58 -615.133 -10.6058 42.423 21.2115 NaN 31.8173 831 CAC caleb_strategy_v1 [-1] 10.6058 140.526 -2.65144 -10.6058 NaN NaN -13.2572 832 DAX caleb_strategy_v1 [-1] 1.06058 33.9384 -1.06058 -3.18173 -5.30288 NaN -4.2423 833 AUD caleb_strategy_v1 [-1] 100000 275 -5 -0 -10 NaN -5 834 US5 caleb_strategy_v1 [1] 1000 371.094 -3.90625 7.8125 0 NaN 3.90625 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 AUD 275.000000 BTP -615.133500 CAC 140.526187 DAX 33.938400 US5 371.093750 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 205.424838 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 AUD -5.000000 BTP -10.605750 CAC -2.651438 DAX -1.060575 US5 -3.906250 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -23.224013 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 AUD -0.000000 BTP 42.423000 CAC -10.605750 DAX -3.181725 US5 7.812500 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 36.448025 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 AUD -10.000000 BTP 21.211500 CAC 0.000000 DAX -5.302875 US5 0.000000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 5.908625 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 AUD 0 BTP 0 CAC 0 DAX 0 US5 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 AUD -5.000000 BTP 31.817250 CAC -13.257188 DAX -4.242300 US5 3.906250 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 13.224013 ******************************************************************************** END OF REPORT ********************************************************************************