******************************************************************************** Trades report report produced on 01/05/2023 21:37 from 30/04/2023 21:37 to 01/05/2023 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2450 COTTON2 caleb_strategy_v1 [20230700] 2023-05-01 14:00:03 [-1] 80.45 2451 CRUDE_W caleb_strategy_v1 [20231200] 2023-05-01 14:00:04 [-1] 72.51 2449 GOLD_micro caleb_strategy_v1 [20230600] 2023-05-01 14:00:02 [-1] 2013.70 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2449 GOLD_micro caleb_strategy_v1 2023-04-28 2023-05-01 14:00:01.673 2023-05-01 14:00:02 309602 0.327 2450 COTTON2 caleb_strategy_v1 2023-04-28 2023-05-01 14:00:03.287 2023-05-01 14:00:03 309603 NaN 2451 CRUDE_W caleb_strategy_v1 2023-04-28 2023-05-01 14:00:04.029 2023-05-01 14:00:04 309604 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 2449 GOLD_micro caleb_strategy_v1 [-1] 1996.9 None 2013.65 2013.6 2013.7 2013.7 2013.7 16.75 -0.05 0.1 -0 NaN 0.05 2450 COTTON2 caleb_strategy_v1 [-1] 80.55 None 80.47 80.45 80.49 80.49 80.45 -0.08 -0.02 -0 -0.04 NaN -0.02 2451 CRUDE_W caleb_strategy_v1 [-1] 74.07 None 72.545 72.53 72.56 72.56 72.51 -1.525 -0.015 -0.02 -0.05 NaN -0.035 ================================================================================================================================================================ 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 2449 GOLD_micro caleb_strategy_v1 [-1] 286.785 584.061 -1.74347 3.48693 -0 NaN 1.74347 2450 COTTON2 caleb_strategy_v1 [-1] 25.9089 -30.8774 -7.71936 -0 -15.4387 NaN -7.71936 2451 CRUDE_W caleb_strategy_v1 [-1] 23.4931 -649.126 -6.38484 -8.51312 -21.2828 NaN -14.898 =========================================================================================================================================================================== 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 2449 GOLD_micro caleb_strategy_v1 [-1] 10 167.5 -0.5 1 -0 NaN 0.5 2450 COTTON2 caleb_strategy_v1 [-1] 500 -40 -10 -0 -20 NaN -10 2451 CRUDE_W caleb_strategy_v1 [-1] 1000 -1525 -15 -20 -50 NaN -35 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 COTTON2 -40.0 CRUDE_W -1525.0 GOLD_micro 167.5 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -1397.5 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 COTTON2 -10.0 CRUDE_W -15.0 GOLD_micro -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -25.5 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 COTTON2 -0.0 CRUDE_W -20.0 GOLD_micro 1.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 -19.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 COTTON2 -20.0 CRUDE_W -50.0 GOLD_micro -0.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -70.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 COTTON2 0 CRUDE_W 0 GOLD_micro 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 COTTON2 -10.0 CRUDE_W -35.0 GOLD_micro 0.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -44.5 ******************************************************************************** END OF REPORT ********************************************************************************