******************************************************************************** Trades report report produced on 27/02/2023 21:36 from 26/02/2023 21:36 to 27/02/2023 21:36 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1557 BITCOIN caleb_strategy_v1 [20230300] 2023-02-27 15:00:01 [-1] 23960.0 1556 GOLD_micro caleb_strategy_v1 [20230400] 2023-02-27 14:00:01 [-1] 1822.4 1558 SP400 caleb_strategy_v1 [20230300] 2023-02-27 15:00:02 [-1] 2631.6 1559 VIX caleb_strategy_v1 [20230500] 2023-02-27 15:00:26 [1] 22.6 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1556 GOLD_micro caleb_strategy_v1 2023-02-24 2023-02-27 14:00:01.038 2023-02-27 14:00:01 309601 NaN 1557 BITCOIN caleb_strategy_v1 2023-02-24 2023-02-27 15:00:00.672 2023-02-27 15:00:01 313201 0.328 1558 SP400 caleb_strategy_v1 2023-02-24 2023-02-27 15:00:02.095 2023-02-27 15:00:02 313202 NaN 1559 VIX caleb_strategy_v1 2023-02-24 2023-02-27 15:00:03.921 2023-02-27 15:00:26 313204 22.079 =============================================================================================================================================================================================================================== 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 1556 GOLD_micro caleb_strategy_v1 [-1] 1819.7 None 1822.4 1822.3 1822.5 1822.5 1822.4 2.7 -0.1 0.1 -0.1 NaN 0 1557 BITCOIN caleb_strategy_v1 [-1] 23355 None 23965 23960 23970 23970 23960 610 -5 -0 -10 NaN -5 1558 SP400 caleb_strategy_v1 [-1] 2605.2 None 2631.85 2631.6 2632.1 2632.1 2631.6 26.65 -0.25 -0 -0.5 NaN -0.25 1559 VIX caleb_strategy_v1 [1] 23 None 22.525 22.55 22.5 22.5 22.6 0.475 -0.025 -0.05 -0.1 NaN -0.075 ================================================================================================================================================================ 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 1556 GOLD_micro caleb_strategy_v1 [-1] 250.642 107.723 -3.98975 3.98975 -3.98975 NaN 0 1557 BITCOIN caleb_strategy_v1 [-1] 14574.6 418.537 -3.43063 -0 -6.86126 NaN -3.43063 1558 SP400 caleb_strategy_v1 [-1] 440.429 605.093 -5.67629 -0 -11.3526 NaN -5.67629 1559 VIX caleb_strategy_v1 [1] 8.74751 543.012 -28.5796 -57.1591 -114.318 NaN -85.7387 =========================================================================================================================================================================== 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 1556 GOLD_micro caleb_strategy_v1 [-1] 10 27 -1 1 -1 NaN 0 1557 BITCOIN caleb_strategy_v1 [-1] 0.1 61 -0.5 -0 -1 NaN -0.5 1558 SP400 caleb_strategy_v1 [-1] 100 2665 -25 -0 -50 NaN -25 1559 VIX caleb_strategy_v1 [1] 1000 475 -25 -50 -100 NaN -75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN 61.0 GOLD_micro 27.0 SP400 2665.0 VIX 475.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 3228.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN -0.5 GOLD_micro -1.0 SP400 -25.0 VIX -25.0 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -51.5 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN -0.0 GOLD_micro 1.0 SP400 -0.0 VIX -50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -49.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN -1.0 GOLD_micro -1.0 SP400 -50.0 VIX -100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -152.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BITCOIN 0 GOLD_micro 0 SP400 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 BITCOIN -0.5 GOLD_micro 0.0 SP400 -25.0 VIX -75.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -100.5 ******************************************************************************** END OF REPORT ********************************************************************************