******************************************************************************** Trades report report produced on 09/01/2023 21:35 from 08/01/2023 21:35 to 09/01/2023 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 899 GASOIL _ROLL_PSEUDO_STRATEGY [20230200, 20230300] 2023-01-09 09:00:38 [-1, 1] 26.0 900 RUSSELL caleb_strategy_v1 [20230300] 2023-01-09 15:00:01 [1] 1819.3 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 899 GASOIL _ROLL_PSEUDO_STRATEGY 2023-01-06 20:00:00 2023-01-09 09:00:02.257 2023-01-09 09:00:38 219602 35.743 900 RUSSELL caleb_strategy_v1 2023-01-06 00:00:00 2023-01-09 15:00:01.035 2023-01-09 15:00:01 313201 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 899 GASOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 26.25 None 25.875 25.75 26 26 26 -0.375 -0.125 0.25 -0 NaN 0.125 900 RUSSELL caleb_strategy_v1 [1] 1805.5 None 1819.35 1819.4 1819.3 1819.3 1819.3 -13.85 -0.05 0.1 2.27374e-13 NaN 0.05 ======================================================================================================================================================================= 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 899 GASOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 407.677 -9.19845 -3.06615 6.1323 -0 NaN 3.06615 900 RUSSELL caleb_strategy_v1 [1] 463.791 -298.626 -1.07807 2.15614 4.9025e-12 NaN 1.07807 ================================================================================================================================================================================== 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 899 GASOIL _ROLL_PSEUDO_STRATEGY [-1, 1] 100 -37.5 -12.5 25 -0 NaN 12.5 900 RUSSELL caleb_strategy_v1 [1] 5 -69.25 -0.25 0.5 1.13687e-12 NaN 0.25 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -37.50 caleb_strategy_v1 RUSSELL -69.25 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -37.50 caleb_strategy_v1 -69.25 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -12.50 caleb_strategy_v1 RUSSELL -0.25 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -12.50 caleb_strategy_v1 -0.25 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 25.0 caleb_strategy_v1 RUSSELL 0.5 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 25.0 caleb_strategy_v1 0.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL -0.000000e+00 caleb_strategy_v1 RUSSELL 1.136868e-12 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -0.000000e+00 caleb_strategy_v1 1.136868e-12 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOIL 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 GASOIL 12.50 caleb_strategy_v1 RUSSELL 0.25 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 12.50 caleb_strategy_v1 0.25 ******************************************************************************** END OF REPORT ********************************************************************************