******************************************************************************** Trades report report produced on 20/12/2022 21:35 from 19/12/2022 21:35 to 20/12/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 836 LEANHOG caleb_strategy_v1 [20230400] 2022-12-20 15:30:01 [-1] 92.7 835 RUSSELL caleb_strategy_v1 [20230300] 2022-12-20 15:00:02 [1] 1752.3 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 835 RUSSELL caleb_strategy_v1 2022-12-19 2022-12-20 15:00:01.435 2022-12-20 15:00:02 140401 0.565 836 LEANHOG caleb_strategy_v1 2022-12-19 2022-12-20 15:30:01.401 2022-12-20 15:30:01 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 835 RUSSELL caleb_strategy_v1 [1] 1745.3 None 1752.4 1752.5 1752.3 1752.3 1752.3 -7.1 -0.1 0.2 2.27374e-13 NaN 0.1 836 LEANHOG caleb_strategy_v1 [-1] 93 None 92.725 92.7 92.75 92.75 92.7 -0.275 -0.025 -0 -0.05 NaN -0.025 ================================================================================================================================================================ 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 835 RUSSELL caleb_strategy_v1 [1] 483.419 -146.87 -2.0686 4.13719 4.70345e-12 NaN 2.0686 836 LEANHOG caleb_strategy_v1 [-1] 26.5023 -103.765 -9.43316 -0 -18.8663 NaN -9.43316 =========================================================================================================================================================================== 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 835 RUSSELL caleb_strategy_v1 [1] 5 -35.5 -0.5 1 1.13687e-12 NaN 0.5 836 LEANHOG caleb_strategy_v1 [-1] 400 -110 -10 -0 -20 NaN -10 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 LEANHOG -110.0 RUSSELL -35.5 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -145.5 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 LEANHOG -10.0 RUSSELL -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -10.5 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 LEANHOG -0.0 RUSSELL 1.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 1.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 LEANHOG -2.000000e+01 RUSSELL 1.136868e-12 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -20.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 LEANHOG 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 LEANHOG -10.0 RUSSELL 0.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -9.5 ******************************************************************************** END OF REPORT ********************************************************************************