******************************************************************************** Trades report report produced on 01/03/2023 21:35 from 28/02/2023 21:35 to 01/03/2023 21:35 ******************************************************************************** ================================================================================================ Broker orders ================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1568 EUR caleb_strategy_v1 [20230300] 2023-03-01 15:00:01 [1] 1.06805 1569 VIX caleb_strategy_v1 [20230500] 2023-03-01 15:00:03 [1] 22.20000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1568 EUR caleb_strategy_v1 2023-02-28 2023-03-01 15:00:00.901 2023-03-01 15:00:01 140401 0.099 1569 VIX caleb_strategy_v1 2023-02-28 2023-03-01 15:00:02.912 2023-03-01 15:00:03 140403 0.088 ================================================================================================================================================================================================================================= 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 1568 EUR caleb_strategy_v1 [1] 1.05915 None 1.0681 1.06815 1.06805 1.06805 1.06805 -0.00895 -5e-05 0.0001 0 NaN 5e-05 1569 VIX caleb_strategy_v1 [1] 22.15 None 22.125 22.15 22.1 22.1 22.2 0.025 -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 1568 EUR caleb_strategy_v1 [1] 0.0817035 -1095.42 -6.11969 12.2394 0 NaN 6.11969 1569 VIX caleb_strategy_v1 [1] 8.47824 29.4872 -29.4872 -58.9745 -117.949 NaN -88.4617 =========================================================================================================================================================================== 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 1568 EUR caleb_strategy_v1 [1] 125000 -1118.75 -6.25 12.5 0 NaN 6.25 1569 VIX caleb_strategy_v1 [1] 1000 25 -25 -50 -100 NaN -75 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 EUR -1118.75 VIX 25.00 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -1093.75 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 EUR -6.25 VIX -25.00 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -31.25 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 EUR 12.5 VIX -50.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -37.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 EUR 0.0 VIX -100.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -100.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 EUR 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 EUR 6.25 VIX -75.00 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -68.75 ******************************************************************************** END OF REPORT ********************************************************************************