******************************************************************************** Trades report report produced on 23/01/2023 21:35 from 22/01/2023 21:35 to 23/01/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 992 BTP caleb_strategy_v1 [20230300] 2023-01-23 08:00:06 [1] 115.18 991 BUXL caleb_strategy_v1 [20230300] 2023-01-23 08:00:05 [-1] 146.68 993 GOLD_micro caleb_strategy_v1 [20230200] 2023-01-23 14:00:01 [-1] 1923.00 994 GOLD_micro caleb_strategy_v1 [20230200] 2023-01-23 14:00:03 [-1] 1922.90 995 LIVECOW caleb_strategy_v1 [20230400] 2023-01-23 15:30:01 [-1] 160.35 990 OAT caleb_strategy_v1 [20230300] 2023-01-23 08:00:04 [1] 132.76 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 990 OAT caleb_strategy_v1 2023-01-20 2023-01-23 08:00:02.834 2023-01-23 08:00:04 288003 1.166 991 BUXL caleb_strategy_v1 2023-01-20 2023-01-23 08:00:04.829 2023-01-23 08:00:05 288005 0.171 992 BTP caleb_strategy_v1 2023-01-20 2023-01-23 08:00:06.005 2023-01-23 08:00:06 288006 NaN 993 GOLD_micro caleb_strategy_v1 2023-01-20 2023-01-23 14:00:01.163 2023-01-23 14:00:01 309601 NaN 994 GOLD_micro caleb_strategy_v1 2023-01-20 2023-01-23 14:00:02.691 2023-01-23 14:00:03 309603 0.309 995 LIVECOW caleb_strategy_v1 2023-01-20 2023-01-23 15:30:00.878 2023-01-23 15:30:01 315001 0.122 ================================================================================================================================================================================================================================ 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 990 OAT caleb_strategy_v1 [1] 133.18 None 132.745 132.75 132.74 132.74 132.76 0.435 -0.005 -0.01 -0.02 NaN -0.015 991 BUXL caleb_strategy_v1 [-1] 147.3 None 146.67 146.66 146.68 146.68 146.68 -0.63 -0.01 0.02 -0 NaN 0.01 992 BTP caleb_strategy_v1 [1] 115.58 None 115.17 115.18 115.16 115.16 115.18 0.41 -0.01 0 -0.02 NaN -0.01 993 GOLD_micro caleb_strategy_v1 [-1] 1931.2 None 1923.05 1923 1923.1 NaN 1923 -8.15 -0.05 -0 NaN NaN -0.05 994 GOLD_micro caleb_strategy_v1 [-1] 1931.2 None 1923 1922.9 1923.1 1923.1 1922.9 -8.2 -0.1 -0 -0.2 NaN -0.1 995 LIVECOW caleb_strategy_v1 [-1] 159.925 None 160.363 160.35 160.375 160.375 160.35 0.4375 -0.0125 -0 -0.025 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 990 OAT caleb_strategy_v1 [1] 14.4292 301.471 -3.46519 -6.93038 -13.8608 NaN -10.3956 991 BUXL caleb_strategy_v1 [-1] 36.1527 -174.261 -2.76604 5.53209 -0 NaN 2.76604 992 BTP caleb_strategy_v1 [1] 15.8853 258.1 -6.29513 0 -12.5903 NaN -6.29513 993 GOLD_micro caleb_strategy_v1 [-1] 265.672 -306.77 -1.88202 -0 NaN NaN -1.88202 994 GOLD_micro caleb_strategy_v1 [-1] 265.672 -308.652 -3.76405 -0 -7.52809 NaN -3.76405 995 LIVECOW caleb_strategy_v1 [-1] 13.0997 333.976 -9.54217 -0 -19.0843 NaN -9.54217 =========================================================================================================================================================================== 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 990 OAT caleb_strategy_v1 [1] 1086.32 472.549 -5.4316 -10.8632 -21.7264 NaN -16.2948 991 BUXL caleb_strategy_v1 [-1] 1086.32 -684.382 -10.8632 21.7264 -0 NaN 10.8632 992 BTP caleb_strategy_v1 [1] 1086.32 445.391 -10.8632 0 -21.7264 NaN -10.8632 993 GOLD_micro caleb_strategy_v1 [-1] 10 -81.5 -0.5 -0 NaN NaN -0.5 994 GOLD_micro caleb_strategy_v1 [-1] 10 -82 -1 -0 -2 NaN -1 995 LIVECOW caleb_strategy_v1 [-1] 400 175 -5 -0 -10 NaN -5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BTP 445.3912 BUXL -684.3816 GOLD_micro -163.5000 LIVECOW 175.0000 OAT 472.5492 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 245.0588 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BTP -10.8632 BUXL -10.8632 GOLD_micro -1.5000 LIVECOW -5.0000 OAT -5.4316 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -33.658 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BTP 0.0000 BUXL 21.7264 GOLD_micro -0.0000 LIVECOW -0.0000 OAT -10.8632 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 10.8632 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BTP -21.7264 BUXL -0.0000 GOLD_micro -2.0000 LIVECOW -10.0000 OAT -21.7264 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -55.4528 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BTP 0 BUXL 0 GOLD_micro 0 LIVECOW 0 OAT 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 BTP -10.8632 BUXL 10.8632 GOLD_micro -1.5000 LIVECOW -5.0000 OAT -16.2948 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -22.7948 ******************************************************************************** END OF REPORT 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