******************************************************************************** Trades report report produced on 28/04/2023 21:37 from 27/04/2023 21:37 to 28/04/2023 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2444 DAX caleb_strategy_v1 [20230600] 2023-04-28 08:00:03 [1] 15972.0 2448 RUSSELL caleb_strategy_v1 [20230600] 2023-04-28 15:00:13 [-1] 1763.5 2445 RUSSELL caleb_strategy_v1 [20230600] 2023-04-28 15:00:05 [-1] 1764.4 2446 RUSSELL caleb_strategy_v1 [20230600] 2023-04-28 15:00:07 [-1] 1764.2 2447 RUSSELL caleb_strategy_v1 [20230600] 2023-04-28 15:00:11 [-1] 1764.0 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2444 DAX caleb_strategy_v1 2023-04-27 2023-04-28 08:00:03.001 2023-04-28 08:00:03 115203 NaN 2448 RUSSELL caleb_strategy_v1 2023-04-27 2023-04-28 15:00:12.781 2023-04-28 15:00:13 140413 0.219 2445 RUSSELL caleb_strategy_v1 2023-04-27 2023-04-28 15:00:01.826 2023-04-28 15:00:05 140402 3.174 2446 RUSSELL caleb_strategy_v1 2023-04-27 2023-04-28 15:00:07.110 2023-04-28 15:00:07 140407 NaN 2447 RUSSELL caleb_strategy_v1 2023-04-27 2023-04-28 15:00:09.309 2023-04-28 15:00:11 140409 1.691 ============================================================================================================================================================================================================================== 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 2444 DAX caleb_strategy_v1 [1] 15996 None 15972 15973 15971 15971 15972 24 -1 1 -1 NaN 0 2448 RUSSELL caleb_strategy_v1 [-1] 1759.9 None 1764.2 1764 1764.4 1764.4 1763.5 4.3 -0.2 -0.5 -0.9 NaN -0.7 2445 RUSSELL caleb_strategy_v1 [-1] 1759.9 None 1764.2 1764 1764.4 1764.4 1764.4 4.3 -0.2 0.4 -0 NaN 0.2 2446 RUSSELL caleb_strategy_v1 [-1] 1759.9 None 1764.4 1764.2 1764.6 1764.6 1764.2 4.5 -0.2 -0 -0.4 NaN -0.2 2447 RUSSELL caleb_strategy_v1 [-1] 1759.9 None 1764.3 1764.1 1764.5 1764.5 1764 4.4 -0.2 -0.1 -0.5 NaN -0.3 ================================================================================================================================================================ 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 2444 DAX caleb_strategy_v1 [1] 2252.98 106.526 -4.43857 4.43857 -4.43857 NaN 0 2448 RUSSELL caleb_strategy_v1 [-1] 384.266 111.902 -5.20472 -13.0118 -23.4213 NaN -18.2165 2445 RUSSELL caleb_strategy_v1 [-1] 384.266 111.902 -5.20472 10.4094 -0 NaN 5.20472 2446 RUSSELL caleb_strategy_v1 [-1] 384.266 117.106 -5.20472 -0 -10.4094 NaN -5.20472 2447 RUSSELL caleb_strategy_v1 [-1] 384.266 114.504 -5.20472 -2.60236 -13.0118 NaN -7.80709 =========================================================================================================================================================================== 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 2444 DAX caleb_strategy_v1 [1] 1.10095 26.4228 -1.10095 1.10095 -1.10095 NaN 0 2448 RUSSELL caleb_strategy_v1 [-1] 5 21.5 -1 -2.5 -4.5 NaN -3.5 2445 RUSSELL caleb_strategy_v1 [-1] 5 21.5 -1 2 -0 NaN 1 2446 RUSSELL caleb_strategy_v1 [-1] 5 22.5 -1 -0 -2 NaN -1 2447 RUSSELL caleb_strategy_v1 [-1] 5 22 -1 -0.5 -2.5 NaN -1.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 DAX 26.4228 RUSSELL 87.5000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 113.9228 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 DAX -1.10095 RUSSELL -4.00000 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -5.10095 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 DAX 1.10095 RUSSELL -1.00000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 0.10095 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 DAX -1.10095 RUSSELL -9.00000 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -10.10095 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 DAX 0 RUSSELL 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 DAX 0.0 RUSSELL -5.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -5.0 ******************************************************************************** END OF REPORT ********************************************************************************