******************************************************************************** Trades report report produced on 18/05/2023 21:37 from 17/05/2023 21:37 to 18/05/2023 21:37 ******************************************************************************** ================================================================================================ Broker orders ================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 2844 RUSSELL caleb_strategy_v1 [20230600] 2023-05-18 15:00:01 [1] 1773.8 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 2844 RUSSELL caleb_strategy_v1 2023-05-17 2023-05-18 15:00:01.356 2023-05-18 15:00:01 140401 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 2844 RUSSELL caleb_strategy_v1 [1] 1781 None 1773.9 1774 1773.8 1773.8 1773.8 7.1 -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 2844 RUSSELL caleb_strategy_v1 [1] 377.33 188.164 -2.6502 5.30041 6.02586e-12 NaN 2.6502 =========================================================================================================================================================================== 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 2844 RUSSELL caleb_strategy_v1 [1] 5 35.5 -0.5 1 1.13687e-12 NaN 0.5 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL 35.5 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 35.5 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -0.5 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL 1.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 1.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 RUSSELL 1.136868e-12 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 1.136868e-12 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 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 RUSSELL 0.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 0.5 ******************************************************************************** END OF REPORT ********************************************************************************