******************************************************************************** Trades report produced on 05/07/2023 21:38 from 04/07/2023 21:38 to 05/07/2023 21:38 ******************************************************************************** ================================================================================================= Broker orders ================================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3426 EURIBOR-ICE caleb_strategy_v3 [20250600] 2023-07-05 09:00:02 [-1] 96.810 3427 EURIBOR-ICE caleb_strategy_v3 [20250600] 2023-07-05 09:00:05 [-1] 96.815 3425 NIKKEI caleb_strategy_v3 [20230900] 2023-07-05 03:00:28 [1] 33255.000 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3425 NIKKEI caleb_strategy_v3 2023-07-03 2023-07-05 03:00:15.604 2023-07-05 03:00:28 183616 12.396 3426 EURIBOR-ICE caleb_strategy_v3 2023-07-04 2023-07-05 09:00:01.900 2023-07-05 09:00:02 118802 0.1 3427 EURIBOR-ICE caleb_strategy_v3 2023-07-04 2023-07-05 09:00:04.755 2023-07-05 09:00:05 118805 0.245 ================================================================================================================================================================================================================================ 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 3425 NIKKEI caleb_strategy_v3 [1] 33605 None 33247.5 33250 33245 33245 33255 357.5 -2.5 -5 -10 NaN -7.5 3426 EURIBOR-ICE caleb_strategy_v3 [-1] 96.795 None 96.8075 96.805 96.81 96.81 96.81 0.0125 -0.0025 0.005 -0 NaN 0.0025 3427 EURIBOR-ICE caleb_strategy_v3 [-1] 96.795 None 96.8125 96.81 96.815 96.815 96.815 0.0175 -0.0025 0.005 -0 NaN 0.0025 ================================================================================================================================================================ 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 3425 NIKKEI caleb_strategy_v3 [1] 5251.99 680.694 -4.7601 -9.5202 -19.0404 NaN -14.2803 3426 EURIBOR-ICE caleb_strategy_v3 [-1] 1.14327 109.336 -21.8671 43.7342 -0 NaN 21.8671 3427 EURIBOR-ICE caleb_strategy_v3 [-1] 1.14327 153.07 -21.8671 43.7342 -0 NaN 21.8671 =========================================================================================================================================================================== 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 3425 NIKKEI caleb_strategy_v3 [1] 0.691271 247.129 -1.72818 -3.45636 -6.91271 NaN -5.18453 3426 EURIBOR-ICE caleb_strategy_v3 [-1] 2719.75 33.9969 -6.79937 13.5987 -0 NaN 6.79937 3427 EURIBOR-ICE caleb_strategy_v3 [-1] 2719.75 47.5956 -6.79937 13.5987 -0 NaN 6.79937 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 81.592500 NIKKEI 247.129496 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 328.721996 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -13.598750 NIKKEI -1.728178 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -15.326928 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 27.197500 NIKKEI -3.456357 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 23.741143 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -0.000000 NIKKEI -6.912713 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -6.912713 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 0 NIKKEI 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 13.598750 NIKKEI -5.184535 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 8.414215 ******************************************************************************** END OF REPORT ********************************************************************************