******************************************************************************** Trades report report produced on 27/01/2023 21:35 from 26/01/2023 21:35 to 27/01/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1033 GBP caleb_strategy_v1 [20230300] 2023-01-27 15:00:02 [1] 1.240000 1036 GBP caleb_strategy_v1 [20230300] 2023-01-27 15:02:28 [1] 1.239500 1034 JPY caleb_strategy_v1 [20230300] 2023-01-27 15:00:04 [-1] 0.007745 1038 SOYBEAN caleb_strategy_v1 [20231100] 2023-01-27 15:30:22 [-1] 1348.250000 1035 VIX caleb_strategy_v1 [20230400] 2023-01-27 15:01:24 [-1] 21.150000 1037 VIX caleb_strategy_v1 [20230400] 2023-01-27 15:04:11 [-1] 21.150000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1034 JPY caleb_strategy_v1 2023-01-26 2023-01-27 15:00:03.717 2023-01-27 15:00:04 140404 0.283 1033 GBP caleb_strategy_v1 2023-01-26 2023-01-27 15:00:01.713 2023-01-27 15:00:02 140402 0.287 1036 GBP caleb_strategy_v1 2023-01-26 2023-01-27 15:02:28.516 2023-01-27 15:02:28 140549 NaN 1035 VIX caleb_strategy_v1 2023-01-26 2023-01-27 15:00:05.336 2023-01-27 15:01:24 140405 78.664 1037 VIX caleb_strategy_v1 2023-01-26 2023-01-27 15:02:29.136 2023-01-27 15:04:11 140549 101.864 1038 SOYBEAN caleb_strategy_v1 2023-01-26 2023-01-27 15:30:01.653 2023-01-27 15:30:22 142202 20.347 ================================================================================================================================================================================================================================= 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 1034 JPY caleb_strategy_v1 [-1] 0.007725 None 0.007747 0.0077465 0.0077475 0.0077475 0.007745 2.2e-05 -5e-07 -1.5e-06 -2.5e-06 NaN -2e-06 1033 GBP caleb_strategy_v1 [1] 1.2421 None 1.2397 1.2398 1.2396 1.2396 1.24 0.0024 -0.0001 -0.0002 -0.0004 NaN -0.0003 1036 GBP caleb_strategy_v1 [1] 1.2421 None 1.2399 1.24 1.2398 1.2398 1.2395 0.0022 -0.0001 0.0005 0.0003 NaN 0.0004 1035 VIX caleb_strategy_v1 [-1] 21.5 None 21.225 21.2 21.25 21.25 21.15 -0.275 -0.025 -0.05 -0.1 NaN -0.075 1037 VIX caleb_strategy_v1 [-1] 21.5 None 21.175 21.15 21.2 21.2 21.15 -0.325 -0.025 -0 -0.05 NaN -0.025 1038 SOYBEAN caleb_strategy_v1 [-1] 1352.5 None 1348.62 1348.5 1348.75 1348.75 1348.25 -3.875 -0.125 -0.25 -0.5 NaN -0.375 ================================================================================================================================================================ 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 1034 JPY caleb_strategy_v1 [-1] 0.00101252 217.28 -4.93817 -14.8145 -24.6909 NaN -19.7527 1033 GBP caleb_strategy_v1 [1] 0.116909 205.288 -8.55365 -17.1073 -34.2146 NaN -25.6609 1036 GBP caleb_strategy_v1 [1] 0.116909 188.18 -8.55365 42.7682 25.6609 NaN 34.2146 1035 VIX caleb_strategy_v1 [-1] 8.05414 -341.439 -31.0399 -62.0799 -124.16 NaN -93.1198 1037 VIX caleb_strategy_v1 [-1] 8.05414 -403.519 -31.0399 -0 -62.0799 NaN -31.0399 1038 SOYBEAN caleb_strategy_v1 [-1] 189.365 -204.631 -6.60101 -13.202 -26.404 NaN -19.803 =========================================================================================================================================================================== 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 1034 JPY caleb_strategy_v1 [-1] 1.25e+07 275 -6.25 -18.75 -31.25 NaN -25 1033 GBP caleb_strategy_v1 [1] 62500 150 -6.25 -12.5 -25 NaN -18.75 1036 GBP caleb_strategy_v1 [1] 62500 137.5 -6.25 31.25 18.75 NaN 25 1035 VIX caleb_strategy_v1 [-1] 1000 -275 -25 -50 -100 NaN -75 1037 VIX caleb_strategy_v1 [-1] 1000 -325 -25 -0 -50 NaN -25 1038 SOYBEAN caleb_strategy_v1 [-1] 50 -193.75 -6.25 -12.5 -25 NaN -18.75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 GBP 287.50 JPY 275.00 SOYBEAN -193.75 VIX -600.00 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -231.25 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 GBP -12.50 JPY -6.25 SOYBEAN -6.25 VIX -50.00 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -75.0 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 GBP 18.75 JPY -18.75 SOYBEAN -12.50 VIX -50.00 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -62.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 GBP -6.25 JPY -31.25 SOYBEAN -25.00 VIX -150.00 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -212.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 GBP 0 JPY 0 SOYBEAN 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 GBP 6.25 JPY -25.00 SOYBEAN -18.75 VIX -100.00 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -137.5 ******************************************************************************** END OF REPORT ********************************************************************************