******************************************************************************** Trades report report produced on 20/04/2023 21:37 from 19/04/2023 21:37 to 20/04/2023 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2305 JPY caleb_strategy_v1 [20230600] 2023-04-20 15:00:02 [-1] 0.007513 2304 RUSSELL caleb_strategy_v1 [20230600] 2023-04-20 15:00:01 [1] 1798.200000 2307 RUSSELL caleb_strategy_v1 [20230600] 2023-04-20 15:00:10 [1] 1799.500000 2308 RUSSELL caleb_strategy_v1 [20230600] 2023-04-20 15:00:12 [1] 1799.100000 2309 RUSSELL caleb_strategy_v1 [20230600] 2023-04-20 15:00:14 [1] 1799.000000 2310 RUSSELL caleb_strategy_v1 [20230600] 2023-04-20 15:00:16 [1] 1799.400000 2311 RUSSELL caleb_strategy_v1 [20230600] 2023-04-20 15:00:18 [1] 1799.700000 2312 RUSSELL caleb_strategy_v1 [20230600] 2023-04-20 15:00:19 [1] 1799.600000 2313 RUSSELL caleb_strategy_v1 [20230600] 2023-04-20 15:00:22 [1] 1799.600000 2306 VIX caleb_strategy_v1 [20230700] 2023-04-20 15:00:08 [1] 22.700000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2305 JPY caleb_strategy_v1 2023-04-19 2023-04-20 15:00:02.464 2023-04-20 15:00:02 140402 NaN 2306 VIX caleb_strategy_v1 2023-04-19 2023-04-20 15:00:03.840 2023-04-20 15:00:08 140404 4.16 2304 RUSSELL caleb_strategy_v1 2023-04-19 2023-04-20 15:00:00.981 2023-04-20 15:00:01 140401 0.019 2307 RUSSELL caleb_strategy_v1 2023-04-19 2023-04-20 15:00:10.677 2023-04-20 15:00:10 140411 NaN 2308 RUSSELL caleb_strategy_v1 2023-04-19 2023-04-20 15:00:12.649 2023-04-20 15:00:12 140413 NaN 2309 RUSSELL caleb_strategy_v1 2023-04-19 2023-04-20 15:00:14.608 2023-04-20 15:00:14 140415 NaN 2310 RUSSELL caleb_strategy_v1 2023-04-19 2023-04-20 15:00:16.291 2023-04-20 15:00:16 140416 NaN 2311 RUSSELL caleb_strategy_v1 2023-04-19 2023-04-20 15:00:17.939 2023-04-20 15:00:18 140418 0.061 2312 RUSSELL caleb_strategy_v1 2023-04-19 2023-04-20 15:00:19.803 2023-04-20 15:00:19 140420 NaN 2313 RUSSELL caleb_strategy_v1 2023-04-19 2023-04-20 15:00:21.640 2023-04-20 15:00:22 140422 0.36 ====================================================================================================================================================================================================================================== 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 2305 JPY caleb_strategy_v1 [-1] 0.007489 None 0.00751375 0.0075135 0.007514 0.007514 0.007513 2.475e-05 -2.5e-07 -5e-07 -1e-06 NaN -7.5e-07 2306 VIX caleb_strategy_v1 [1] 22.3 None 22.725 22.75 22.7 22.7 22.7 -0.425 -0.025 0.05 3.55271e-15 NaN 0.025 2304 RUSSELL caleb_strategy_v1 [1] 1812.9 None 1798 1798.1 1797.9 1797.9 1798.2 14.9 -0.1 -0.1 -0.3 NaN -0.2 2307 RUSSELL caleb_strategy_v1 [1] 1812.9 None 1799.3 1799.4 1799.2 1799.2 1799.5 13.6 -0.1 -0.1 -0.3 NaN -0.2 2308 RUSSELL caleb_strategy_v1 [1] 1812.9 None 1799.2 1799.3 1799.1 1799.1 1799.1 13.7 -0.1 0.2 2.27374e-13 NaN 0.1 2309 RUSSELL caleb_strategy_v1 [1] 1812.9 None 1798.8 1798.9 1798.7 1798.7 1799 14.1 -0.1 -0.1 -0.3 NaN -0.2 2310 RUSSELL caleb_strategy_v1 [1] 1812.9 None 1799.3 1799.4 1799.2 1799.2 1799.4 13.6 -0.1 0 -0.2 NaN -0.1 2311 RUSSELL caleb_strategy_v1 [1] 1812.9 None 1799.5 1799.6 1799.4 1799.4 1799.7 13.4 -0.1 -0.1 -0.3 NaN -0.2 2312 RUSSELL caleb_strategy_v1 [1] 1812.9 None 1799.5 1799.6 1799.4 1799.4 1799.6 13.4 -0.1 0 -0.2 NaN -0.1 2313 RUSSELL caleb_strategy_v1 [1] 1812.9 None 1799.7 1799.8 1799.6 1799.6 1799.6 13.2 -0.1 0.2 2.27374e-13 NaN 0.1 ================================================================================================================================================================ 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 2305 JPY caleb_strategy_v1 [-1] 0.000750364 329.84 -3.33172 -6.66343 -13.3269 NaN -9.99515 2306 VIX caleb_strategy_v1 [1] 10.6237 -400.048 -23.5322 47.0645 3.34413e-12 NaN 23.5322 2304 RUSSELL caleb_strategy_v1 [1] 386.376 385.635 -2.58816 -2.58816 -7.76447 NaN -5.17631 2307 RUSSELL caleb_strategy_v1 [1] 386.376 351.989 -2.58816 -2.58816 -7.76447 NaN -5.17631 2308 RUSSELL caleb_strategy_v1 [1] 386.376 354.577 -2.58816 5.17631 5.88478e-12 NaN 2.58816 2309 RUSSELL caleb_strategy_v1 [1] 386.376 364.93 -2.58816 -2.58816 -7.76447 NaN -5.17631 2310 RUSSELL caleb_strategy_v1 [1] 386.376 351.989 -2.58816 0 -5.17631 NaN -2.58816 2311 RUSSELL caleb_strategy_v1 [1] 386.376 346.813 -2.58816 -2.58816 -7.76447 NaN -5.17631 2312 RUSSELL caleb_strategy_v1 [1] 386.376 346.813 -2.58816 0 -5.17631 NaN -2.58816 2313 RUSSELL caleb_strategy_v1 [1] 386.376 341.636 -2.58816 5.17631 5.88478e-12 NaN 2.58816 =========================================================================================================================================================================== 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 2305 JPY caleb_strategy_v1 [-1] 1.25e+07 309.375 -3.125 -6.25 -12.5 NaN -9.375 2306 VIX caleb_strategy_v1 [1] 1000 -425 -25 50 3.55271e-12 NaN 25 2304 RUSSELL caleb_strategy_v1 [1] 5 74.5 -0.5 -0.5 -1.5 NaN -1 2307 RUSSELL caleb_strategy_v1 [1] 5 68 -0.5 -0.5 -1.5 NaN -1 2308 RUSSELL caleb_strategy_v1 [1] 5 68.5 -0.5 1 1.13687e-12 NaN 0.5 2309 RUSSELL caleb_strategy_v1 [1] 5 70.5 -0.5 -0.5 -1.5 NaN -1 2310 RUSSELL caleb_strategy_v1 [1] 5 68 -0.5 0 -1 NaN -0.5 2311 RUSSELL caleb_strategy_v1 [1] 5 67 -0.5 -0.5 -1.5 NaN -1 2312 RUSSELL caleb_strategy_v1 [1] 5 67 -0.5 0 -1 NaN -0.5 2313 RUSSELL caleb_strategy_v1 [1] 5 66 -0.5 1 1.13687e-12 NaN 0.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 JPY 309.375 RUSSELL 549.500 VIX -425.000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 433.875 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 JPY -3.125 RUSSELL -4.000 VIX -25.000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -32.125 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 JPY -6.25 RUSSELL 0.00 VIX 50.00 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 43.75 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 JPY -1.250000e+01 RUSSELL -8.000000e+00 VIX 3.552714e-12 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -20.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 JPY 0 RUSSELL 0 VIX 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 JPY -9.375 RUSSELL -4.000 VIX 25.000 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 11.625 ******************************************************************************** END OF REPORT ********************************************************************************