******************************************************************************** Trades report report produced on 08/03/2023 21:36 from 07/03/2023 21:36 to 08/03/2023 21:36 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1658 DOW caleb_strategy_v1 [20230300] 2023-03-08 15:00:01 [1] 32884.0 1659 DOW caleb_strategy_v1 [20230300] 2023-03-08 15:00:03 [1] 32847.0 1657 GOLD_micro caleb_strategy_v1 [20230400] 2023-03-08 14:00:01 [-1] 1817.7 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1657 GOLD_micro caleb_strategy_v1 2023-03-07 2023-03-08 14:00:01.145 2023-03-08 14:00:01 136801 NaN 1658 DOW caleb_strategy_v1 2023-03-07 2023-03-08 15:00:01.037 2023-03-08 15:00:01 140401 NaN 1659 DOW caleb_strategy_v1 2023-03-07 2023-03-08 15:00:02.654 2023-03-08 15:00:03 140403 0.346 ============================================================================================================================================================================================================================== 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 1657 GOLD_micro caleb_strategy_v1 [-1] 1819 None 1817.8 1817.7 1817.9 1817.9 1817.7 -1.2 -0.1 -0 -0.2 NaN -0.1 1658 DOW caleb_strategy_v1 [1] 32874 None 32885 32886 32884 32884 32884 -11 -1 2 0 NaN 1 1659 DOW caleb_strategy_v1 [1] 32874 None 32842.5 32845 32840 32840 32847 31.5 -2.5 -2 -7 NaN -4.5 ================================================================================================================================================================ 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 1657 GOLD_micro caleb_strategy_v1 [-1] 258.678 -46.3897 -3.86581 -0 -7.73162 NaN -3.86581 1658 DOW caleb_strategy_v1 [1] 4751.39 -23.1511 -2.10465 4.2093 0 NaN 2.10465 1659 DOW caleb_strategy_v1 [1] 4751.39 66.2964 -5.26162 -4.2093 -14.7325 NaN -9.47092 =========================================================================================================================================================================== 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 1657 GOLD_micro caleb_strategy_v1 [-1] 10 -12 -1 -0 -2 NaN -1 1658 DOW caleb_strategy_v1 [1] 0.5 -5.5 -0.5 1 0 NaN 0.5 1659 DOW caleb_strategy_v1 [1] 0.5 15.75 -1.25 -1 -3.5 NaN -2.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 DOW 10.25 GOLD_micro -12.00 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -1.75 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 DOW -1.75 GOLD_micro -1.00 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -2.75 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 DOW 0.0 GOLD_micro -0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 0.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 DOW -3.5 GOLD_micro -2.0 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 DOW 0 GOLD_micro 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 DOW -1.75 GOLD_micro -1.00 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -2.75 ******************************************************************************** END OF REPORT ********************************************************************************