******************************************************************************** Trades report report produced on 23/12/2022 21:35 from 22/12/2022 21:35 to 23/12/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 857 BUND caleb_strategy_v1 [20230300] 2022-12-23 08:00:03 [-1] 135.24 858 RUSSELL caleb_strategy_v1 [20230300] 2022-12-23 15:00:01 [-1] 1753.30 859 RUSSELL caleb_strategy_v1 [20230300] 2022-12-23 15:00:03 [-1] 1754.20 860 RUSSELL caleb_strategy_v1 [20230300] 2022-12-23 15:00:05 [-1] 1754.60 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 857 BUND caleb_strategy_v1 2022-12-22 2022-12-23 08:00:02.726 2022-12-23 08:00:03 115203 0.274 858 RUSSELL caleb_strategy_v1 2022-12-22 2022-12-23 15:00:01.504 2022-12-23 15:00:01 140402 NaN 859 RUSSELL caleb_strategy_v1 2022-12-22 2022-12-23 15:00:03.382 2022-12-23 15:00:03 140403 NaN 860 RUSSELL caleb_strategy_v1 2022-12-22 2022-12-23 15:00:05.069 2022-12-23 15:00:05 140405 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 857 BUND caleb_strategy_v1 [-1] 135.34 None 135.265 135.26 135.27 135.27 135.24 -0.075 -0.005 -0.02 -0.03 NaN -0.025 858 RUSSELL caleb_strategy_v1 [-1] 1755.6 None 1754.3 1753.8 1754.8 1754.8 1753.3 -1.3 -0.5 -0.5 -1.5 NaN -1 859 RUSSELL caleb_strategy_v1 [-1] 1755.6 None 1754.4 1753.9 1754.9 1754.9 1754.2 -1.2 -0.5 0.3 -0.7 NaN -0.2 860 RUSSELL caleb_strategy_v1 [-1] 1755.6 None 1754.6 1754 1755.2 NaN 1754.6 -1 -0.6 0.6 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 857 BUND caleb_strategy_v1 [-1] 13.3455 -56.1989 -3.74659 -14.9864 -22.4796 NaN -18.733 858 RUSSELL caleb_strategy_v1 [-1] 475.776 -27.3238 -10.5091 -10.5091 -31.5274 NaN -21.0183 859 RUSSELL caleb_strategy_v1 [-1] 475.776 -25.222 -10.5091 6.30549 -14.7128 NaN -4.20366 860 RUSSELL caleb_strategy_v1 [-1] 475.776 -21.0183 -12.611 12.611 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 857 BUND caleb_strategy_v1 [-1] 1061.97 -79.6481 -5.30987 -21.2395 -31.8593 NaN -26.5494 858 RUSSELL caleb_strategy_v1 [-1] 5 -6.5 -2.5 -2.5 -7.5 NaN -5 859 RUSSELL caleb_strategy_v1 [-1] 5 -6 -2.5 1.5 -3.5 NaN -1 860 RUSSELL caleb_strategy_v1 [-1] 5 -5 -3 3 NaN NaN 0 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BUND -79.648125 RUSSELL -17.500000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -97.148125 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BUND -5.309875 RUSSELL -8.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -13.309875 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BUND -21.2395 RUSSELL 2.0000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -19.2395 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND -31.85925 RUSSELL -11.00000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -42.85925 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 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 BUND -26.549375 RUSSELL -6.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -32.549375 ******************************************************************************** END OF REPORT ********************************************************************************