******************************************************************************** Trades report produced on 20/06/2023 21:38 from 19/06/2023 21:38 to 20/06/2023 21:38 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3238 CHF caleb_strategy_v1 [20230900] 2023-06-20 18:33:09 [-1] 1.12385 3240 GOLD_micro caleb_strategy_v1 [20230800] 2023-06-20 18:33:54 [1] 1948.50000 3242 US10U caleb_strategy_v1 [20230900] 2023-06-20 18:35:40 [-1] 119.53125 3243 US10U caleb_strategy_v1 [20230900] 2023-06-20 18:37:09 [-1] 119.53125 3239 US10U caleb_strategy_v1 [20230900] 2023-06-20 18:33:53 [-1] 119.53125 3241 US30 caleb_strategy_v1 [20230900] 2023-06-20 18:34:13 [1] 137.59375 3237 US30 caleb_strategy_v1 [20230900] 2023-06-20 18:32:08 [1] 137.62500 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3238 CHF caleb_strategy_v1 2023-06-19 2023-06-20 18:32:09.672 2023-06-20 18:33:09 153130 59.328 3240 GOLD_micro caleb_strategy_v1 2023-06-16 2023-06-20 18:33:53.944 2023-06-20 18:33:54 412434 0.056 3241 US30 caleb_strategy_v1 2023-06-16 2023-06-20 18:34:13.708 2023-06-20 18:34:13 412454 NaN 3237 US30 caleb_strategy_v1 2023-06-16 2023-06-20 18:32:08.236 2023-06-20 18:32:08 412328 NaN 3242 US10U caleb_strategy_v1 2023-06-16 2023-06-20 18:34:15.941 2023-06-20 18:35:40 412456 84.059 3243 US10U caleb_strategy_v1 2023-06-16 2023-06-20 18:35:42.020 2023-06-20 18:37:09 412542 86.98 3239 US10U caleb_strategy_v1 2023-06-16 2023-06-20 18:33:10.127 2023-06-20 18:33:53 412390 42.873 ===================================================================================================================================================================================================================================== 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 3238 CHF caleb_strategy_v1 [-1] 1.1261 None 1.1238 1.12375 1.12385 1.12385 1.12385 -0.0023 -5e-05 0.0001 -0 NaN 5e-05 3240 GOLD_micro caleb_strategy_v1 [1] 1970.7 None 1948.45 1948.5 1948.4 NaN 1948.5 22.25 -0.05 0 NaN NaN -0.05 3241 US30 caleb_strategy_v1 [1] 136.562 None 137.609 137.625 137.594 137.594 137.594 -1.04688 -0.015625 0.03125 0 NaN 0.015625 3237 US30 caleb_strategy_v1 [1] 136.562 None 137.578 137.594 137.562 137.562 137.625 -1.01562 -0.015625 -0.03125 -0.0625 NaN -0.046875 3242 US10U caleb_strategy_v1 [-1] 119.047 None 119.523 119.516 119.531 119.531 119.531 0.476562 -0.0078125 0.015625 -0 NaN 0.0078125 3243 US10U caleb_strategy_v1 [-1] 119.047 None 119.523 119.516 119.531 119.531 119.531 0.476562 -0.0078125 0.015625 -0 NaN 0.0078125 3239 US10U caleb_strategy_v1 [-1] 119.047 None 119.523 119.516 119.531 119.531 119.531 0.476562 -0.0078125 0.015625 -0 NaN 0.0078125 ================================================================================================================================================================ 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 3238 CHF caleb_strategy_v1 [-1] 0.0887022 -259.294 -5.63684 11.2737 -0 NaN 5.63684 3240 GOLD_micro caleb_strategy_v1 [1] 262.35 848.104 -1.90585 0 NaN NaN -1.90585 3241 US30 caleb_strategy_v1 [1] 20.981 -498.964 -7.44722 14.8944 0 NaN 7.44722 3237 US30 caleb_strategy_v1 [1] 20.981 -484.069 -7.44722 -14.8944 -29.7889 NaN -22.3417 3242 US10U caleb_strategy_v1 [-1] 10.8812 437.967 -7.17978 14.3596 -0 NaN 7.17978 3243 US10U caleb_strategy_v1 [-1] 10.8812 437.967 -7.17978 14.3596 -0 NaN 7.17978 3239 US10U caleb_strategy_v1 [-1] 10.8812 437.967 -7.17978 14.3596 -0 NaN 7.17978 =========================================================================================================================================================================== 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 3238 CHF caleb_strategy_v1 [-1] 125000 -287.5 -6.25 12.5 -0 NaN 6.25 3240 GOLD_micro caleb_strategy_v1 [1] 10 222.5 -0.5 0 NaN NaN -0.5 3241 US30 caleb_strategy_v1 [1] 1000 -1046.88 -15.625 31.25 0 NaN 15.625 3237 US30 caleb_strategy_v1 [1] 1000 -1015.62 -15.625 -31.25 -62.5 NaN -46.875 3242 US10U caleb_strategy_v1 [-1] 1000 476.562 -7.8125 15.625 -0 NaN 7.8125 3243 US10U caleb_strategy_v1 [-1] 1000 476.562 -7.8125 15.625 -0 NaN 7.8125 3239 US10U caleb_strategy_v1 [-1] 1000 476.562 -7.8125 15.625 -0 NaN 7.8125 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v1 CHF -287.5000 GOLD_micro 222.5000 US10U 1429.6875 US30 -2062.5000 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v1 -697.8125 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v1 CHF -6.2500 GOLD_micro -0.5000 US10U -23.4375 US30 -31.2500 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v1 -61.4375 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v1 CHF 12.500 GOLD_micro 0.000 US10U 46.875 US30 0.000 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v1 59.375 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v1 CHF -0.0 GOLD_micro 0.0 US10U -0.0 US30 -62.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v1 -62.5 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v1 CHF 0 GOLD_micro 0 US10U 0 US30 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 CHF 6.2500 GOLD_micro -0.5000 US10U 23.4375 US30 -31.2500 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v1 -2.0625 ******************************************************************************** END OF REPORT ********************************************************************************