******************************************************************************** Trades report report produced on 02/02/2023 21:35 from 01/02/2023 21:35 to 02/02/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1134 CAC caleb_strategy_v1 [20230200] 2023-02-02 08:00:03 [-1] 7120.00 1135 OAT caleb_strategy_v1 [20230300] 2023-02-02 08:00:05 [-1] 132.08 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1134 CAC caleb_strategy_v1 2023-02-01 2023-02-02 08:00:02.582 2023-02-02 08:00:03 115203 0.418 1135 OAT caleb_strategy_v1 2023-02-01 2023-02-02 08:00:04.589 2023-02-02 08:00:05 115205 0.411 =============================================================================================================================================================================================================================== 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 1134 CAC caleb_strategy_v1 [-1] 7127 None 7120 7119.5 7120.5 7120.5 7120 -7 -0.5 0.5 -0.5 NaN 0 1135 OAT caleb_strategy_v1 [-1] 131.91 None 132.095 132.09 132.1 132.1 132.08 0.185 -0.005 -0.01 -0.02 NaN -0.015 ================================================================================================================================================================ 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 1134 CAC caleb_strategy_v1 [-1] 986.861 -70.932 -5.06657 5.06657 -5.06657 NaN 0 1135 OAT caleb_strategy_v1 [-1] 12.8844 143.585 -3.88067 -7.76135 -15.5227 NaN -11.642 =========================================================================================================================================================================== 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 1134 CAC caleb_strategy_v1 [-1] 10.9873 -76.9115 -5.49367 5.49367 -5.49367 NaN 0 1135 OAT caleb_strategy_v1 [-1] 1098.74 203.266 -5.49367 -10.9873 -21.9747 NaN -16.481 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 CAC -76.911450 OAT 203.265975 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 126.354525 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 CAC -5.493675 OAT -5.493675 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -10.98735 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 CAC 5.493675 OAT -10.987350 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -5.493675 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 CAC -5.493675 OAT -21.974700 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -27.468375 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 CAC 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 CAC 0.000000 OAT -16.481025 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -16.481025 ******************************************************************************** END OF REPORT ********************************************************************************