******************************************************************************** Trades report report produced on 31/03/2023 21:35 from 30/03/2023 21:35 to 31/03/2023 21:35 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 1969 COCOA caleb_strategy_v1 [20230700] 2023-03-31 13:00:05 [1] 2883.0000 1970 GASOILINE _ROLL_PSEUDO_STRATEGY [20230600, 20230700] 2023-03-31 13:00:12 [1, -1] 0.0494 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 1969 COCOA caleb_strategy_v1 2023-03-30 00:00:00 2023-03-31 14:00:01.262 2023-03-31 13:00:05 136801 NaN 1970 GASOILINE _ROLL_PSEUDO_STRATEGY 2023-03-30 20:00:00 2023-03-31 14:00:06.488 2023-03-31 13:00:12 64806.5 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 1969 COCOA caleb_strategy_v1 [1] 2888 None 2883 2884 2882 2882 2883 5 -1 1 -1 NaN 0 1970 GASOILINE _ROLL_PSEUDO_STRATEGY [1, -1] 0.0494 None 0.0494 0.0495 0.0493 0.0493 0.0494 -1.11022e-16 -0.0001 0.0001 -0.0001 NaN 1.11022e-16 ========================================================================================================================================================================== 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 1969 COCOA caleb_strategy_v1 [1] 532.415 93.9117 -18.7823 18.7823 -18.7823 NaN 0 1970 GASOILINE _ROLL_PSEUDO_STRATEGY [1, -1] 0.845609 -1.31293e-12 -1.18258 1.18258 -1.18258 NaN 1.31293e-12 ==================================================================================================================================================================================== 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 1969 COCOA caleb_strategy_v1 [1] 10 50 -10 10 -10 NaN 0 1970 GASOILINE _ROLL_PSEUDO_STRATEGY [1, -1] 42000 -4.66294e-12 -4.2 4.2 -4.2 NaN 4.66294e-12 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOILINE -4.662937e-12 caleb_strategy_v1 COCOA 5.000000e+01 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -4.662937e-12 caleb_strategy_v1 5.000000e+01 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOILINE -4.2 caleb_strategy_v1 COCOA -10.0 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -4.2 caleb_strategy_v1 -10.0 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOILINE 4.2 caleb_strategy_v1 COCOA 10.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY 4.2 caleb_strategy_v1 10.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOILINE -4.2 caleb_strategy_v1 COCOA -10.0 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -4.2 caleb_strategy_v1 -10.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOILINE 0 caleb_strategy_v1 COCOA 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY 0 caleb_strategy_v1 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GASOILINE 4.662937e-12 caleb_strategy_v1 COCOA 0.000000e+00 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY 4.662937e-12 caleb_strategy_v1 0.000000e+00 ******************************************************************************** END OF REPORT ********************************************************************************