******************************************************************************** Trades report report produced on 19/01/2023 21:35 from 18/01/2023 21:35 to 19/01/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 975 CAC caleb_strategy_v1 [20230200] 2023-01-19 08:00:03 [-1] 7051.500 976 CRUDE_W caleb_strategy_v1 [20231200] 2023-01-19 14:00:02 [-1] 77.210 977 LEANHOG caleb_strategy_v1 [20230400] 2023-01-19 15:30:01 [1] 85.125 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 975 CAC caleb_strategy_v1 2023-01-18 2023-01-19 08:00:02.650 2023-01-19 08:00:03 115203 0.35 976 CRUDE_W caleb_strategy_v1 2023-01-18 2023-01-19 14:00:00.914 2023-01-19 14:00:02 136801 1.086 977 LEANHOG caleb_strategy_v1 2023-01-18 2023-01-19 15:30:00.613 2023-01-19 15:30:01 142201 0.387 ================================================================================================================================================================================================================================ 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 975 CAC caleb_strategy_v1 [-1] 7080.5 None 7051 7050.5 7051.5 7051.5 7051.5 -29.5 -0.5 1 -0 NaN 0.5 976 CRUDE_W caleb_strategy_v1 [-1] 77.12 None 77.225 77.21 77.24 77.24 77.21 0.105 -0.015 -0 -0.03 NaN -0.015 977 LEANHOG caleb_strategy_v1 [1] 86.15 None 85.1375 85.15 85.125 85.125 85.125 1.0125 -0.0125 0.025 0 NaN 0.0125 ================================================================================================================================================================ 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 975 CAC caleb_strategy_v1 [-1] 1099.59 -268.281 -4.54713 9.09426 -0 NaN 4.54713 976 CRUDE_W caleb_strategy_v1 [-1] 23.0566 45.5402 -6.50574 -0 -13.0115 NaN -6.50574 977 LEANHOG caleb_strategy_v1 [1] 23.5026 430.804 -5.31856 10.6371 0 NaN 5.31856 =========================================================================================================================================================================== 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 975 CAC caleb_strategy_v1 [-1] 10.8319 -319.54 -5.41593 10.8319 -0 NaN 5.41593 976 CRUDE_W caleb_strategy_v1 [-1] 1000 105 -15 -0 -30 NaN -15 977 LEANHOG caleb_strategy_v1 [1] 400 405 -5 10 0 NaN 5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 CAC -319.539575 CRUDE_W 105.000000 LEANHOG 405.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 190.460425 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 CAC -5.415925 CRUDE_W -15.000000 LEANHOG -5.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -25.415925 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 CAC 10.83185 CRUDE_W -0.00000 LEANHOG 10.00000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 20.83185 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 CAC -0.0 CRUDE_W -30.0 LEANHOG 0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -30.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 CAC 0 CRUDE_W 0 LEANHOG 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 CAC 5.415925 CRUDE_W -15.000000 LEANHOG 5.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -4.584075 ******************************************************************************** END OF REPORT ********************************************************************************