******************************************************************************** Trades report report produced on 30/12/2022 21:35 from 29/12/2022 21:35 to 30/12/2022 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 887 DOW caleb_strategy_v1 [20230300] 2022-12-30 15:00:01 [1] 33146.000000 888 US10U caleb_strategy_v1 [20230300] 2022-12-30 15:00:16 [-1] 117.796875 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 887 DOW caleb_strategy_v1 2022-12-29 2022-12-30 15:00:01.203 2022-12-30 15:00:01 140401 NaN 888 US10U caleb_strategy_v1 2022-12-29 2022-12-30 15:00:02.937 2022-12-30 15:00:16 140403 13.063 ===================================================================================================================================================================================================================================== 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 887 DOW caleb_strategy_v1 [1] 33391 None 33150 33151 33149 33149 33146 241 -1 5 3 NaN 4 888 US10U caleb_strategy_v1 [-1] 118.297 None 117.789 117.781 117.797 117.797 117.797 -0.507812 -0.0078125 0.015625 -0 NaN 0.0078125 ================================================================================================================================================================ 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 887 DOW caleb_strategy_v1 [1] 5925.43 406.721 -1.68764 8.4382 5.06292 NaN 6.75056 888 US10U caleb_strategy_v1 [-1] 11.3822 -446.147 -6.8638 13.7276 -0 NaN 6.8638 =========================================================================================================================================================================== 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 887 DOW caleb_strategy_v1 [1] 0.5 120.5 -0.5 2.5 1.5 NaN 2 888 US10U caleb_strategy_v1 [-1] 1000 -507.812 -7.8125 15.625 -0 NaN 7.8125 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 DOW 120.5000 US10U -507.8125 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -387.3125 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 DOW -0.5000 US10U -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -8.3125 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 DOW 2.500 US10U 15.625 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 18.125 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 DOW 1.5 US10U -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 1.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 DOW 0 US10U 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 DOW 2.0000 US10U 7.8125 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 9.8125 ******************************************************************************** END OF REPORT ********************************************************************************