******************************************************************************** Trades report report produced on 05/01/2023 21:35 from 04/01/2023 21:35 to 05/01/2023 21:35 ******************************************************************************** ================================================================================================ Broker orders ================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 898 RUSSELL caleb_strategy_v1 [20230300] 2023-01-05 15:00:01 [1] 1758.1 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 898 RUSSELL caleb_strategy_v1 2023-01-04 2023-01-05 15:00:01.086 2023-01-05 15:00:01 140401 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 898 RUSSELL caleb_strategy_v1 [1] 1783.9 None 1757.7 1757.8 1757.6 1757.6 1758.1 26.2 -0.1 -0.3 -0.5 NaN -0.4 ================================================================================================================================================================ 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 898 RUSSELL caleb_strategy_v1 [1] 464.103 564.53 -2.15469 -6.46408 -10.7735 NaN -8.61877 =========================================================================================================================================================================== 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 898 RUSSELL caleb_strategy_v1 [1] 5 131 -0.5 -1.5 -2.5 NaN -2 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL 131.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 131.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -0.5 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL -1.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -1.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL -2.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -2.5 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 -2.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -2.0 ******************************************************************************** END OF REPORT ********************************************************************************