******************************************************************************** Trades report report produced on 30/03/2023 21:35 from 29/03/2023 21:35 to 30/03/2023 21:35 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1966 BOBL caleb_strategy_v1 [20230600] 2023-03-30 07:00:02 [1] 118.51 1967 DOW caleb_strategy_v1 [20230600] 2023-03-30 14:00:01 [-1] 33027.00 1968 LIVECOW caleb_strategy_v1 [20230600] 2023-03-30 14:30:01 [1] 160.00 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1966 BOBL caleb_strategy_v1 2023-03-29 2023-03-30 08:00:01.921 2023-03-30 07:00:02 115202 NaN 1967 DOW caleb_strategy_v1 2023-03-29 2023-03-30 15:00:01.436 2023-03-30 14:00:01 140401 NaN 1968 LIVECOW caleb_strategy_v1 2023-03-29 2023-03-30 15:30:01.236 2023-03-30 14:30:01 142201 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 1966 BOBL caleb_strategy_v1 [1] 117.95 None 118.515 118.52 118.51 118.51 118.51 -0.565 -0.005 0.01 0 NaN 0.005 1967 DOW caleb_strategy_v1 [-1] 32842 None 33029.5 33029 33030 33030 33027 187.5 -0.5 -2 -3 NaN -2.5 1968 LIVECOW caleb_strategy_v1 [1] 159.6 None 159.975 160 159.95 159.95 160 -0.375 -0.025 0 -0.05 NaN -0.025 ================================================================================================================================================================ 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 1966 BOBL caleb_strategy_v1 [1] 10.0161 -564.091 -4.99196 9.98391 0 NaN 4.99196 1967 DOW caleb_strategy_v1 [-1] 4934.32 379.992 -1.01331 -4.05325 -6.07987 NaN -5.06656 1968 LIVECOW caleb_strategy_v1 [1] 14.4957 -258.697 -17.2465 0 -34.4929 NaN -17.2465 =========================================================================================================================================================================== 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 1966 BOBL caleb_strategy_v1 [1] 1082.73 -611.745 -5.41367 10.8273 0 NaN 5.41367 1967 DOW caleb_strategy_v1 [-1] 0.5 93.75 -0.25 -1 -1.5 NaN -1.25 1968 LIVECOW caleb_strategy_v1 [1] 400 -150 -10 0 -20 NaN -10 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BOBL -611.745275 DOW 93.750000 LIVECOW -150.000000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -667.995275 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BOBL -5.413675 DOW -0.250000 LIVECOW -10.000000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -15.663675 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BOBL 10.82735 DOW -1.00000 LIVECOW 0.00000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 9.82735 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0.0 DOW -1.5 LIVECOW -20.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -21.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BOBL 0 DOW 0 LIVECOW 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 BOBL 5.413675 DOW -1.250000 LIVECOW -10.000000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -5.836325 ******************************************************************************** END OF REPORT ********************************************************************************