******************************************************************************** Trades report report produced on 14/02/2023 21:35 from 13/02/2023 21:35 to 14/02/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1499 SP400 caleb_strategy_v1 [20230300] 2023-02-14 15:00:02 [-1] 2679.7 1500 WHEAT caleb_strategy_v1 [20231200] 2023-02-14 15:30:01 [1] 824.0 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1499 SP400 caleb_strategy_v1 2023-02-10 2023-02-14 15:00:01.704 2023-02-14 15:00:02 399602 0.296 1500 WHEAT caleb_strategy_v1 2023-02-10 2023-02-14 15:30:00.868 2023-02-14 15:30:01 401401 0.132 =============================================================================================================================================================================================================================== 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 1499 SP400 caleb_strategy_v1 [-1] 2643.1 None 2680.25 2679.8 2680.7 2680.7 2679.7 37.15 -0.45 -0.1 -1 NaN -0.55 1500 WHEAT caleb_strategy_v1 [1] 821.25 None 823.75 824 823.5 823.5 824 -2.5 -0.25 0 -0.5 NaN -0.25 ================================================================================================================================================================ 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 1499 SP400 caleb_strategy_v1 [-1] 498.305 745.528 -9.03062 -2.0068 -20.068 NaN -11.0374 1500 WHEAT caleb_strategy_v1 [1] 192.468 -129.892 -12.9892 0 -25.9784 NaN -12.9892 =========================================================================================================================================================================== 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 1499 SP400 caleb_strategy_v1 [-1] 100 3715 -45 -10 -100 NaN -55 1500 WHEAT caleb_strategy_v1 [1] 50 -125 -12.5 0 -25 NaN -12.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 SP400 3715.0 WHEAT -125.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 3590.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 SP400 -45.0 WHEAT -12.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -57.5 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 SP400 -10.0 WHEAT 0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -10.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 SP400 -100.0 WHEAT -25.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -125.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 SP400 0 WHEAT 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 SP400 -55.0 WHEAT -12.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -67.5 ******************************************************************************** END OF REPORT ********************************************************************************