******************************************************************************** Trades report report produced on 17/04/2023 21:37 from 16/04/2023 21:37 to 17/04/2023 21:37 ******************************************************************************** ================================================================================================================ Broker orders ================================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2166 DAX caleb_strategy_v1 [20230600] 2023-04-17 08:57:53 [1] 16005.000 2167 DAX caleb_strategy_v1 [20230600] 2023-04-17 08:58:09 [1] 16005.000 2169 DOW caleb_strategy_v1 [20230600] 2023-04-17 15:00:01 [1] 34070.000 2168 GAS_US _ROLL_PSEUDO_STRATEGY [20230600, 20230700] 2023-04-17 14:00:12 [1, -1] -0.223 ================================================================================================================================================================ Delays ================================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2166 DAX caleb_strategy_v1 2023-04-14 00:00:00 2023-04-17 08:57:50.367 2023-04-17 08:57:53 291470 2.633 2167 DAX caleb_strategy_v1 2023-04-14 00:00:00 2023-04-17 08:58:09.410 2023-04-17 08:58:09 291489 NaN 2168 GAS_US _ROLL_PSEUDO_STRATEGY 2023-04-14 20:00:00 2023-04-17 14:00:02.583 2023-04-17 14:00:12 237603 9.417 2169 DOW caleb_strategy_v1 2023-04-14 00:00:00 2023-04-17 15:00:01.600 2023-04-17 15:00:01 313202 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 2166 DAX caleb_strategy_v1 [1] 15933 None 16004.5 16005 16004 16004 16005 -71.5 -0.5 0 -1 NaN -0.5 2167 DAX caleb_strategy_v1 [1] 15933 None 16004.5 16005 16004 NaN 16005 -71.5 -0.5 0 NaN NaN -0.5 2168 GAS_US _ROLL_PSEUDO_STRATEGY [1, -1] -0.239 None -0.2245 -0.224 -0.225 -0.225 -0.223 -0.0145 -0.0005 -0.001 -0.002 NaN -0.0015 2169 DOW caleb_strategy_v1 [1] 33974 None 34071 34072 34070 34070 34070 -97 -1 2 0 NaN 1 ======================================================================================================================================================================= 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 2166 DAX caleb_strategy_v1 [1] 2580.26 -277.104 -1.93779 0 -3.87558 NaN -1.93779 2167 DAX caleb_strategy_v1 [1] 2580.26 -277.104 -1.93779 0 NaN NaN -1.93779 2168 GAS_US _ROLL_PSEUDO_STRATEGY [1, -1] 2.37747 -60.9892 -2.10308 -4.20615 -8.41231 NaN -6.30923 2169 DOW caleb_strategy_v1 [1] 4512.55 -214.956 -2.21604 4.43208 0 NaN 2.21604 ================================================================================================================================================================================== 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 2166 DAX caleb_strategy_v1 [1] 1.099 -78.5785 -0.5495 0 -1.099 NaN -0.5495 2167 DAX caleb_strategy_v1 [1] 1.099 -78.5785 -0.5495 0 NaN NaN -0.5495 2168 GAS_US _ROLL_PSEUDO_STRATEGY [1, -1] 10000 -145 -5 -10 -20 NaN -15 2169 DOW caleb_strategy_v1 [1] 0.5 -48.5 -0.5 1 0 NaN 0.5 delay_cash Sum delay_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US -145.000 caleb_strategy_v1 DAX -157.157 DOW -48.500 delay_cash Total Sum delay_cash strategy_name _ROLL_PSEUDO_STRATEGY -145.000 caleb_strategy_v1 -205.657 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US -5.000 caleb_strategy_v1 DAX -1.099 DOW -0.500 bid_ask_cash Total Sum bid_ask_cash strategy_name _ROLL_PSEUDO_STRATEGY -5.000 caleb_strategy_v1 -1.599 execution_cash Sum execution_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US -10.0 caleb_strategy_v1 DAX 0.0 DOW 1.0 execution_cash Total Sum execution_cash strategy_name _ROLL_PSEUDO_STRATEGY -10.0 caleb_strategy_v1 1.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US -20.000 caleb_strategy_v1 DAX -1.099 DOW 0.000 versus_limit_cash Total Sum versus_limit_cash strategy_name _ROLL_PSEUDO_STRATEGY -20.000 caleb_strategy_v1 -1.099 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code _ROLL_PSEUDO_STRATEGY GAS_US 0 caleb_strategy_v1 DAX 0 DOW 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 GAS_US -15.000 caleb_strategy_v1 DAX -1.099 DOW 0.500 total_trading_cash Total Sum total_trading_cash strategy_name _ROLL_PSEUDO_STRATEGY -15.000 caleb_strategy_v1 -0.599 ******************************************************************************** END OF REPORT ********************************************************************************