******************************************************************************** Trades report report produced on 09/02/2023 21:35 from 08/02/2023 21:35 to 09/02/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1446 GOLD_micro caleb_strategy_v1 [20230400] 2023-02-09 14:00:02 [-1] 1901.40000 1447 US10U caleb_strategy_v1 [20230300] 2023-02-09 15:00:03 [-1] 120.28125 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1446 GOLD_micro caleb_strategy_v1 2023-02-07 2023-02-09 14:00:01.160 2023-02-09 14:00:02 223201 0.84 1447 US10U caleb_strategy_v1 2023-02-07 2023-02-09 15:00:00.770 2023-02-09 15:00:03 226801 2.23 ===================================================================================================================================================================================================================================== 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 1446 GOLD_micro caleb_strategy_v1 [-1] 1881.3 None 1901.45 1901.4 1901.5 1901.5 1901.4 20.15 -0.05 -0 -0.1 NaN -0.05 1447 US10U caleb_strategy_v1 [-1] 119.75 None 120.305 120.297 120.312 120.312 120.281 0.554688 -0.0078125 -0.015625 -0.03125 NaN -0.0234375 ================================================================================================================================================================ 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 1446 GOLD_micro caleb_strategy_v1 [-1] 300.515 670.516 -1.66381 -0 -3.32762 NaN -1.66381 1447 US10U caleb_strategy_v1 [-1] 11.8828 466.799 -6.57463 -13.1493 -26.2985 NaN -19.7239 =========================================================================================================================================================================== 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 1446 GOLD_micro caleb_strategy_v1 [-1] 10 201.5 -0.5 -0 -1 NaN -0.5 1447 US10U caleb_strategy_v1 [-1] 1000 554.688 -7.8125 -15.625 -31.25 NaN -23.4375 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 GOLD_micro 201.5000 US10U 554.6875 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 756.1875 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 GOLD_micro -0.5000 US10U -7.8125 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -8.3125 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 GOLD_micro -0.000 US10U -15.625 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -15.625 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 GOLD_micro -1.00 US10U -31.25 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -32.25 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 GOLD_micro 0 US10U 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 GOLD_micro -0.5000 US10U -23.4375 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -23.9375 ******************************************************************************** END OF REPORT ********************************************************************************