******************************************************************************** Trades report report produced on 28/03/2023 21:35 from 27/03/2023 21:35 to 28/03/2023 21:35 ******************************************************************************** ================================================================================================ Broker orders ================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1961 RUSSELL caleb_strategy_v1 [20230600] 2023-03-28 16:38:32 [1] 1768.3 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1961 RUSSELL caleb_strategy_v1 2023-03-24 2023-03-28 17:38:31.457 2023-03-28 16:38:32 409111 NaN =============================================================================================================================================================================================================================== 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 1961 RUSSELL caleb_strategy_v1 [1] 1747.8 None 1768.35 1768.4 1768.3 1768.3 1768.3 -20.55 -0.05 0.1 2.27374e-13 NaN 0.05 ================================================================================================================================================================ 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 1961 RUSSELL caleb_strategy_v1 [1] 451.991 -454.655 -1.10622 2.21243 5.03049e-12 NaN 1.10622 =========================================================================================================================================================================== 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 1961 RUSSELL caleb_strategy_v1 [1] 5 -102.75 -0.25 0.5 1.13687e-12 NaN 0.25 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL -102.75 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -102.75 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL -0.25 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -0.25 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL 0.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 0.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL 1.136868e-12 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 1.136868e-12 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL 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 RUSSELL 0.25 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 0.25 ******************************************************************************** END OF REPORT ********************************************************************************