******************************************************************************** Trades report report produced on 31/05/2023 21:37 from 30/05/2023 21:37 to 31/05/2023 21:37 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3001 DOW caleb_strategy_v1 [20230600] 2023-05-31 15:00:01 [1] 32873.0 3000 GOLD_micro caleb_strategy_v1 [20230800] 2023-05-31 14:00:01 [-1] 1980.7 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3000 GOLD_micro caleb_strategy_v1 2023-05-30 2023-05-31 14:00:01.236 2023-05-31 14:00:01 136801 NaN 3001 DOW caleb_strategy_v1 2023-05-30 2023-05-31 15:00:01.105 2023-05-31 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 3000 GOLD_micro caleb_strategy_v1 [-1] 1976.7 None 1980.75 1980.7 1980.8 1980.8 1980.7 4.05 -0.05 -0 -0.1 NaN -0.05 3001 DOW caleb_strategy_v1 [1] 33022 None 32887 32888 32886 32886 32873 135 -1 15 13 NaN 14 ================================================================================================================================================================ 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 3000 GOLD_micro caleb_strategy_v1 [-1] 272.207 148.784 -1.83684 -0 -3.67367 NaN -1.83684 3001 DOW caleb_strategy_v1 [1] 4336.37 311.32 -2.30608 34.5911 29.979 NaN 32.2851 =========================================================================================================================================================================== 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 3000 GOLD_micro caleb_strategy_v1 [-1] 10 40.5 -0.5 -0 -1 NaN -0.5 3001 DOW caleb_strategy_v1 [1] 0.5 67.5 -0.5 7.5 6.5 NaN 7 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 DOW 67.5 GOLD_micro 40.5 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 108.0 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 DOW -0.5 GOLD_micro -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -1.0 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 DOW 7.5 GOLD_micro -0.0 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 7.5 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 DOW 6.5 GOLD_micro -1.0 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 5.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 DOW 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 DOW 7.0 GOLD_micro -0.5 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 6.5 ******************************************************************************** END OF REPORT ********************************************************************************