******************************************************************************** Trades report produced on 19/06/2023 21:38 from 18/06/2023 21:38 to 19/06/2023 21:38 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3235 BUND caleb_strategy_v1 [20230900] 2023-06-19 08:00:30 [-1] 133.49 3236 EUROSTX caleb_strategy_v1 [20230900] 2023-06-19 08:00:32 [1] 4406.00 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3235 BUND caleb_strategy_v1 2023-06-16 2023-06-19 08:00:22.756 2023-06-19 08:00:30 288023 7.244 3236 EUROSTX caleb_strategy_v1 2023-06-16 2023-06-19 08:00:32.000 2023-06-19 08:00:32 288032 0 =============================================================================================================================================================================================================================== 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 3235 BUND caleb_strategy_v1 [-1] 133.16 None 133.485 133.48 133.49 133.49 133.49 0.325 -0.005 0.01 -0 NaN 0.005 3236 EUROSTX caleb_strategy_v1 [1] 4417 None 4404.5 4405 4404 4404 4406 12.5 -0.5 -1 -2 NaN -1.5 ================================================================================================================================================================ 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 3235 BUND caleb_strategy_v1 [-1] 11.2002 290.174 -4.46421 8.92842 -0 NaN 4.46421 3236 EUROSTX caleb_strategy_v1 [1] 631.61 197.907 -7.91628 -15.8326 -31.6651 NaN -23.7488 =========================================================================================================================================================================== 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 3235 BUND caleb_strategy_v1 [-1] 1093.35 355.339 -5.46675 10.9335 -0 NaN 5.46675 3236 EUROSTX caleb_strategy_v1 [1] 10.9335 136.669 -5.46675 -10.9335 -21.867 NaN -16.4002 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 BUND 355.33875 EUROSTX 136.66875 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 492.0075 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 BUND -5.46675 EUROSTX -5.46675 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -10.9335 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 BUND 10.9335 EUROSTX -10.9335 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 2.113154e-11 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND -0.000 EUROSTX -21.867 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -21.867 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 BUND 0 EUROSTX 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 BUND 5.46675 EUROSTX -16.40025 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -10.9335 ******************************************************************************** END OF REPORT ********************************************************************************