******************************************************************************** Trades report report produced on 21/12/2022 21:35 from 20/12/2022 21:35 to 21/12/2022 21:35 ******************************************************************************** ================================================================================================ Broker orders ================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 837 RUSSELL caleb_strategy_v1 [20230300] 2022-12-21 15:00:02 [1] 1773.8 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 837 RUSSELL caleb_strategy_v1 2022-12-20 2022-12-21 15:00:01.385 2022-12-21 15:00:02 140401 0.615 =============================================================================================================================================================================================================================== 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 837 RUSSELL caleb_strategy_v1 [1] 1760.5 None 1772.25 1772.4 1772.1 1772.1 1773.8 -11.75 -0.15 -1.4 -1.7 NaN -1.55 ================================================================================================================================================================ 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 837 RUSSELL caleb_strategy_v1 [1] 484.337 -242.6 -3.09702 -28.9055 -35.0995 NaN -32.0025 =========================================================================================================================================================================== 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 837 RUSSELL caleb_strategy_v1 [1] 5 -58.75 -0.75 -7 -8.5 NaN -7.75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL -58.75 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -58.75 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL -0.75 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -0.75 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL -7.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -7.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL -8.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -8.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 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 RUSSELL -7.75 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -7.75 ******************************************************************************** END OF REPORT ********************************************************************************