******************************************************************************** Trades report report produced on 09/03/2023 21:36 from 08/03/2023 21:36 to 09/03/2023 21:36 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1660 DAX caleb_strategy_v1 [20230600] 2023-03-09 08:00:20 [1] 15844.0 1664 DOW caleb_strategy_v1 [20230600] 2023-03-09 15:00:07 [-1] 33216.0 1661 DOW caleb_strategy_v1 [20230600] 2023-03-09 15:00:02 [-1] 33223.0 1662 DOW caleb_strategy_v1 [20230600] 2023-03-09 15:00:03 [-1] 33224.0 1663 DOW caleb_strategy_v1 [20230600] 2023-03-09 15:00:05 [-1] 33215.0 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1660 DAX caleb_strategy_v1 2023-03-08 2023-03-09 08:00:02.292 2023-03-09 08:00:20 115202 17.708 1664 DOW caleb_strategy_v1 2023-03-08 2023-03-09 15:00:06.921 2023-03-09 15:00:07 140407 0.079 1661 DOW caleb_strategy_v1 2023-03-08 2023-03-09 15:00:01.460 2023-03-09 15:00:02 140401 0.54 1662 DOW caleb_strategy_v1 2023-03-08 2023-03-09 15:00:03.339 2023-03-09 15:00:03 140403 NaN 1663 DOW caleb_strategy_v1 2023-03-08 2023-03-09 15:00:04.685 2023-03-09 15:00:05 140405 0.315 =============================================================================================================================================================================================================================== 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 1660 DAX caleb_strategy_v1 [1] 15796 None 15790.5 15800 15781 15781 15844 5.5 -9.5 -44 -63 NaN -53.5 1664 DOW caleb_strategy_v1 [-1] 32960 None 33219 33218 33220 33220 33216 259 -1 -2 -4 NaN -3 1661 DOW caleb_strategy_v1 [-1] 32960 None 33226 33225 33227 33227 33223 266 -1 -2 -4 NaN -3 1662 DOW caleb_strategy_v1 [-1] 32960 None 33222.5 33221 33224 33224 33224 262.5 -1.5 3 -0 NaN 1.5 1663 DOW caleb_strategy_v1 [-1] 32960 None 33222 33221 33223 33223 33215 262 -1 -6 -8 NaN -7 ================================================================================================================================================================ 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 1660 DAX caleb_strategy_v1 [1] 2213.53 24.8472 -42.918 -198.778 -284.614 NaN -241.696 1664 DOW caleb_strategy_v1 [-1] 4878.24 530.929 -2.04992 -4.09984 -8.19968 NaN -6.14976 1661 DOW caleb_strategy_v1 [-1] 4878.24 545.279 -2.04992 -4.09984 -8.19968 NaN -6.14976 1662 DOW caleb_strategy_v1 [-1] 4878.24 538.104 -3.07488 6.14976 -0 NaN 3.07488 1663 DOW caleb_strategy_v1 [-1] 4878.24 537.079 -2.04992 -12.2995 -16.3994 NaN -14.3494 =========================================================================================================================================================================== 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 1660 DAX caleb_strategy_v1 [1] 1.05545 5.80497 -10.0268 -46.4398 -66.4934 NaN -56.4666 1664 DOW caleb_strategy_v1 [-1] 0.5 129.5 -0.5 -1 -2 NaN -1.5 1661 DOW caleb_strategy_v1 [-1] 0.5 133 -0.5 -1 -2 NaN -1.5 1662 DOW caleb_strategy_v1 [-1] 0.5 131.25 -0.75 1.5 -0 NaN 0.75 1663 DOW caleb_strategy_v1 [-1] 0.5 131 -0.5 -3 -4 NaN -3.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 DAX 5.804975 DOW 524.750000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 530.554975 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 DAX -10.026775 DOW -2.250000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -12.276775 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 DAX -46.4398 DOW -3.5000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -49.9398 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 DAX -66.49335 DOW -8.00000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -74.49335 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 DAX 0 DOW 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 DAX -56.466575 DOW -5.750000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -62.216575 ******************************************************************************** END OF REPORT ********************************************************************************