******************************************************************************** Trades report report produced on 05/04/2023 21:37 from 04/04/2023 21:37 to 05/04/2023 21:37 ******************************************************************************** ================================================================================================ Broker orders ================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2092 BUND caleb_strategy_v1 [20230600] 2023-04-05 07:00:04 [1] 136.12 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2092 BUND caleb_strategy_v1 2023-04-04 2023-04-05 08:00:02.147 2023-04-05 07:00:04 115202 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 2092 BUND caleb_strategy_v1 [1] 136.56 None 136.115 136.12 136.11 136.11 136.12 0.445 -0.005 0 -0.01 NaN -0.005 ================================================================================================================================================================ 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 2092 BUND caleb_strategy_v1 [1] 16.8688 263.8 -2.96405 0 -5.9281 NaN -2.96405 =========================================================================================================================================================================== 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 2092 BUND caleb_strategy_v1 [1] 1093.65 486.674 -5.46825 0 -10.9365 NaN -5.46825 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BUND 486.67425 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 486.67425 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BUND -5.46825 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -5.46825 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BUND 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 BUND -10.9365 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -10.9365 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 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 BUND -5.46825 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -5.46825 ******************************************************************************** END OF REPORT ********************************************************************************