******************************************************************************** Trades report report produced on 29/12/2022 21:35 from 28/12/2022 21:35 to 29/12/2022 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 886 RUSSELL caleb_strategy_v1 [20230300] 2022-12-29 15:00:01 [-1] 1762.1000 885 SILVER-mini _ROLL_PSEUDO_STRATEGY [20230300, 20230500] 2022-12-29 14:05:02 [-1, 1] -0.1625 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 885 SILVER-mini _ROLL_PSEUDO_STRATEGY 2022-12-28 16:00:00 2022-12-29 14:00:01.830 2022-12-29 14:05:02 79201.8 300.17 886 RUSSELL caleb_strategy_v1 2022-12-28 00:00:00 2022-12-29 15:00:00.910 2022-12-29 15:00:01 140401 0.09 ============================================================================================================================================================================================================================================ 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 885 SILVER-mini _ROLL_PSEUDO_STRATEGY [-1, 1] -0.1875 None -0.15625 -0.1625 -0.15 -0.15 -0.1625 0.03125 -0.00625 -1.41553e-15 -0.0125 NaN -0.00625 886 RUSSELL caleb_strategy_v1 [-1] 1731.8 None 1761.95 1761.9 1762 NaN 1762.1 30.15 -0.05 0.2 NaN NaN 0.15 ======================================================================================================================================================================= 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 885 SILVER-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 8.197 38.1237 -7.62474 -1.72689e-12 -15.2495 NaN -7.62474 886 RUSSELL caleb_strategy_v1 [-1] 486.414 619.842 -1.02793 4.11172 NaN NaN 3.08379 ================================================================================================================================================================================== 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 885 SILVER-mini _ROLL_PSEUDO_STRATEGY [-1, 1] 2500 78.125 -15.625 -3.53884e-12 -31.25 NaN -15.625 886 RUSSELL caleb_strategy_v1 [-1] 5 150.75 -0.25 1 NaN NaN 0.75 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SILVER-mini 78.125 caleb_strategy_v1 RUSSELL 150.750 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY 78.125 caleb_strategy_v1 150.750 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SILVER-mini -15.625 caleb_strategy_v1 RUSSELL -0.250 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -15.625 caleb_strategy_v1 -0.250 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SILVER-mini -3.538836e-12 caleb_strategy_v1 RUSSELL 1.000000e+00 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -3.538836e-12 caleb_strategy_v1 1.000000e+00 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SILVER-mini -31.25 caleb_strategy_v1 RUSSELL 0.00 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -31.25 caleb_strategy_v1 0.00 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SILVER-mini 0 caleb_strategy_v1 RUSSELL 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v1 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY SILVER-mini -15.625 caleb_strategy_v1 RUSSELL 0.750 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -15.625 caleb_strategy_v1 0.750 ******************************************************************************** END OF REPORT ********************************************************************************