******************************************************************************** Trades report report produced on 26/01/2023 21:35 from 25/01/2023 21:35 to 26/01/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1029 COCOA caleb_strategy_v1 [20230500] 2023-01-26 14:00:26 [-1] 2653.00 1028 EUROSTX caleb_strategy_v1 [20230300] 2023-01-26 08:00:16 [1] 4181.00 1030 GOLD_micro caleb_strategy_v1 [20230400] 2023-01-26 14:00:31 [1] 1956.00 1031 GOLD_micro caleb_strategy_v1 [20230400] 2023-01-26 14:00:42 [1] 1956.30 1027 OAT caleb_strategy_v1 [20230300] 2023-01-26 08:00:13 [1] 133.38 1032 VIX caleb_strategy_v1 [20230400] 2023-01-26 15:01:05 [-1] 21.70 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1027 OAT caleb_strategy_v1 2023-01-25 2023-01-26 08:00:02.485 2023-01-26 08:00:13 115202 10.515 1028 EUROSTX caleb_strategy_v1 2023-01-25 2023-01-26 08:00:14.318 2023-01-26 08:00:16 115214 1.682 1029 COCOA caleb_strategy_v1 2023-01-25 2023-01-26 14:00:01.390 2023-01-26 14:00:26 136801 24.61 1030 GOLD_micro caleb_strategy_v1 2023-01-25 2023-01-26 14:00:28.195 2023-01-26 14:00:31 136828 2.805 1031 GOLD_micro caleb_strategy_v1 2023-01-25 2023-01-26 14:00:40.729 2023-01-26 14:00:42 136841 1.271 1032 VIX caleb_strategy_v1 2023-01-25 2023-01-26 15:00:01.626 2023-01-26 15:01:05 140402 63.374 =============================================================================================================================================================================================================================== 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 1027 OAT caleb_strategy_v1 [1] 133.31 None 133.385 133.39 133.38 133.38 133.38 -0.075 -0.005 0.01 0 NaN 0.005 1028 EUROSTX caleb_strategy_v1 [1] 4176 None 4181.5 4182 4181 4181 4181 -5.5 -0.5 1 0 NaN 0.5 1029 COCOA caleb_strategy_v1 [-1] 2615 None 2652 2651 2653 2653 2653 37 -1 2 -0 NaN 1 1030 GOLD_micro caleb_strategy_v1 [1] 1964.2 None 1955.6 1955.7 1955.5 1955.5 1956 8.6 -0.1 -0.3 -0.5 NaN -0.4 1031 GOLD_micro caleb_strategy_v1 [1] 1964.2 None 1956.05 1956.2 1955.9 1955.9 1956.3 8.15 -0.15 -0.1 -0.4 NaN -0.25 1032 VIX caleb_strategy_v1 [-1] 21.8 None 21.675 21.65 21.7 21.7 21.7 -0.125 -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 1027 OAT caleb_strategy_v1 [1] 13.6604 -54.9032 -3.66022 7.32043 0 NaN 3.66022 1028 EUROSTX caleb_strategy_v1 [1] 674.777 -81.5085 -7.40986 14.8197 0 NaN 7.40986 1029 COCOA caleb_strategy_v1 [-1] 571.875 646.995 -17.4864 34.9727 -0 NaN 17.4864 1030 GOLD_micro caleb_strategy_v1 [1] 258.702 332.428 -3.86545 -11.5963 -19.3272 NaN -15.4618 1031 GOLD_micro caleb_strategy_v1 [1] 258.702 315.034 -5.79817 -3.86545 -15.4618 NaN -9.66362 1032 VIX caleb_strategy_v1 [-1] 8.20729 -152.304 -30.4607 60.9214 -4.32873e-12 NaN 30.4607 =========================================================================================================================================================================== 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 1027 OAT caleb_strategy_v1 [1] 1088.93 -81.6701 -5.44467 10.8893 0 NaN 5.44467 1028 EUROSTX caleb_strategy_v1 [1] 10.8894 -59.8914 -5.44468 10.8894 0 NaN 5.44468 1029 COCOA caleb_strategy_v1 [-1] 10 370 -10 20 -0 NaN 10 1030 GOLD_micro caleb_strategy_v1 [1] 10 86 -1 -3 -5 NaN -4 1031 GOLD_micro caleb_strategy_v1 [1] 10 81.5 -1.5 -1 -4 NaN -2.5 1032 VIX caleb_strategy_v1 [-1] 1000 -125 -25 50 -3.55271e-12 NaN 25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 COCOA 370.000000 EUROSTX -59.891425 GOLD_micro 167.500000 OAT -81.670125 VIX -125.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 270.93845 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 COCOA -10.000000 EUROSTX -5.444675 GOLD_micro -2.500000 OAT -5.444675 VIX -25.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -48.38935 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 COCOA 20.00000 EUROSTX 10.88935 GOLD_micro -4.00000 OAT 10.88935 VIX 50.00000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 87.7787 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 COCOA -0.000000e+00 EUROSTX 0.000000e+00 GOLD_micro -9.000000e+00 OAT 0.000000e+00 VIX -3.552714e-12 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -9.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 COCOA 0 EUROSTX 0 GOLD_micro 0 OAT 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 COCOA 10.000000 EUROSTX 5.444675 GOLD_micro -6.500000 OAT 5.444675 VIX 25.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 39.38935 ******************************************************************************** END OF REPORT 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