******************************************************************************** Trades report report produced on 12/01/2023 21:35 from 11/01/2023 21:35 to 12/01/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 922 RUSSELL caleb_strategy_v1 [20230300] 2023-01-12 15:00:25 [1] 1852.900000 920 US5 caleb_strategy_v1 [20230300] 2023-01-12 15:00:03 [1] 109.414063 921 VIX caleb_strategy_v1 [20230400] 2023-01-12 15:00:24 [-1] 23.400000 923 VIX caleb_strategy_v1 [20230400] 2023-01-12 15:01:51 [-1] 23.400000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 920 US5 caleb_strategy_v1 2023-01-11 2023-01-12 15:00:02.245 2023-01-12 15:00:03 140402 0.755 922 RUSSELL caleb_strategy_v1 2023-01-11 2023-01-12 15:00:25.800 2023-01-12 15:00:25 140426 NaN 921 VIX caleb_strategy_v1 2023-01-11 2023-01-12 15:00:04.851 2023-01-12 15:00:24 140405 19.149 923 VIX caleb_strategy_v1 2023-01-11 2023-01-12 15:01:08.193 2023-01-12 15:01:51 140468 42.807 ====================================================================================================================================================================================================================================== 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 920 US5 caleb_strategy_v1 [1] 109.211 None 109.418 109.422 109.414 109.414 109.414 -0.207031 -0.00390625 0.007812 -5e-07 NaN 0.00390575 922 RUSSELL caleb_strategy_v1 [1] 1849.5 None 1852.95 1853 1852.9 1852.9 1852.9 -3.45 -0.05 0.1 0 NaN 0.05 921 VIX caleb_strategy_v1 [-1] 23.55 None 23.425 23.4 23.45 23.45 23.4 -0.125 -0.025 -0 -0.05 NaN -0.025 923 VIX caleb_strategy_v1 [-1] 23.55 None 23.375 23.35 23.4 23.4 23.4 -0.175 -0.025 0.05 -3.55271e-15 NaN 0.025 ================================================================================================================================================================ 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 920 US5 caleb_strategy_v1 [1] 5.77597 -358.436 -6.76294 13.525 -0.000865656 NaN 6.76207 922 RUSSELL caleb_strategy_v1 [1] 451.749 -76.3698 -1.10681 2.21362 0 NaN 1.10681 921 VIX caleb_strategy_v1 [-1] 8.53903 -146.387 -29.2773 -0 -58.5546 NaN -29.2773 923 VIX caleb_strategy_v1 [-1] 8.53903 -204.941 -29.2773 58.5546 -4.16056e-12 NaN 29.2773 =========================================================================================================================================================================== 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 920 US5 caleb_strategy_v1 [1] 1000 -207.031 -3.90625 7.812 -0.0005 NaN 3.90575 922 RUSSELL caleb_strategy_v1 [1] 5 -17.25 -0.25 0.5 0 NaN 0.25 921 VIX caleb_strategy_v1 [-1] 1000 -125 -25 -0 -50 NaN -25 923 VIX caleb_strategy_v1 [-1] 1000 -175 -25 50 -3.55271e-12 NaN 25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL -17.25000 US5 -207.03125 VIX -300.00000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -524.28125 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL -0.25000 US5 -3.90625 VIX -50.00000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -54.15625 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL 0.500 US5 7.812 VIX 50.000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 58.312 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL 0.0000 US5 -0.0005 VIX -50.0000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -50.0005 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL 0 US5 0 VIX 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 0.25000 US5 3.90575 VIX 0.00000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 4.15575 ******************************************************************************** END OF REPORT ********************************************************************************