******************************************************************************** Trades report report produced on 17/02/2023 21:35 from 16/02/2023 21:35 to 17/02/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1512 BITCOIN caleb_strategy_v1 [20230300] 2023-02-17 15:00:39 [-1] 24105.00000 1513 BITCOIN caleb_strategy_v1 [20230300] 2023-02-17 15:01:28 [-1] 24170.00000 1511 US10U caleb_strategy_v1 [20230600] 2023-02-17 15:00:37 [-1] 117.59375 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1511 US10U caleb_strategy_v1 2023-02-15 2023-02-17 15:00:01.636 2023-02-17 15:00:37 226802 35.364 1512 BITCOIN caleb_strategy_v1 2023-02-15 2023-02-17 15:00:38.551 2023-02-17 15:00:39 226839 0.449 1513 BITCOIN caleb_strategy_v1 2023-02-15 2023-02-17 15:01:08.053 2023-02-17 15:01:28 226868 19.947 ==================================================================================================================================================================================================================================== 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 1511 US10U caleb_strategy_v1 [-1] 118.25 None 117.578 117.562 117.594 117.594 117.594 -0.671875 -0.015625 0.03125 -0 NaN 0.015625 1512 BITCOIN caleb_strategy_v1 [-1] 23650 None 24130 24100 24160 24160 24105 480 -30 5 -55 NaN -25 1513 BITCOIN caleb_strategy_v1 [-1] 23650 None 24142.5 24115 24170 24170 24170 492.5 -27.5 55 -0 NaN 27.5 ================================================================================================================================================================ 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 1511 US10U caleb_strategy_v1 [-1] 11.1117 -604.654 -14.0617 28.1235 -0 NaN 14.0617 1512 BITCOIN caleb_strategy_v1 [-1] 15264.8 314.45 -19.6531 3.27552 -36.0307 NaN -16.3776 1513 BITCOIN caleb_strategy_v1 [-1] 15264.8 322.639 -18.0154 36.0307 -0 NaN 18.0154 =========================================================================================================================================================================== 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 1511 US10U caleb_strategy_v1 [-1] 1000 -671.875 -15.625 31.25 -0 NaN 15.625 1512 BITCOIN caleb_strategy_v1 [-1] 0.1 48 -3 0.5 -5.5 NaN -2.5 1513 BITCOIN caleb_strategy_v1 [-1] 0.1 49.25 -2.75 5.5 -0 NaN 2.75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN 97.250 US10U -671.875 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -574.625 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN -5.750 US10U -15.625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -21.375 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN 6.00 US10U 31.25 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 37.25 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN -5.5 US10U -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -5.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN 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 BITCOIN 0.250 US10U 15.625 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 15.875 ******************************************************************************** END OF REPORT ********************************************************************************