******************************************************************************** Trades report report produced on 17/01/2023 21:35 from 16/01/2023 21:35 to 17/01/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 961 LEANHOG caleb_strategy_v1 [20230400] 2023-01-17 15:30:01 [-1] 88.5 960 VIX caleb_strategy_v1 [20230400] 2023-01-17 15:05:01 [-1] 22.7 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 960 VIX caleb_strategy_v1 2023-01-13 2023-01-17 15:00:01.809 2023-01-17 15:05:01 399602 299.191 961 LEANHOG caleb_strategy_v1 2023-01-13 2023-01-17 15:30:01.360 2023-01-17 15:30:01 401401 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 960 VIX caleb_strategy_v1 [-1] 22.55 None 22.675 22.65 22.7 22.7 22.7 0.125 -0.025 0.05 -3.55271e-15 NaN 0.025 961 LEANHOG caleb_strategy_v1 [-1] 87.275 None 88.525 88.5 88.55 88.55 88.5 1.25 -0.025 -0 -0.05 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 960 VIX caleb_strategy_v1 [-1] 8.55106 146.181 -29.2361 58.4723 -4.15471e-12 NaN 29.2361 961 LEANHOG caleb_strategy_v1 [-1] 23.3342 535.694 -10.7139 -0 -21.4278 NaN -10.7139 =========================================================================================================================================================================== 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 960 VIX caleb_strategy_v1 [-1] 1000 125 -25 50 -3.55271e-12 NaN 25 961 LEANHOG caleb_strategy_v1 [-1] 400 500 -10 -0 -20 NaN -10 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 LEANHOG 500.0 VIX 125.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 625.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 LEANHOG -10.0 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -35.0 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 LEANHOG -0.0 VIX 50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 50.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 LEANHOG -2.000000e+01 VIX -3.552714e-12 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -20.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 LEANHOG 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 LEANHOG -10.0 VIX 25.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 15.0 ******************************************************************************** END OF REPORT ********************************************************************************