******************************************************************************** Trades report produced on 06/07/2023 21:38 from 05/07/2023 21:38 to 06/07/2023 21:38 ******************************************************************************** ================================================================================================ Broker orders ================================================================================================ instrument_code strategy_name contract_date fill_datetime fill filled_price order_id 3428 EURIBOR-ICE caleb_strategy_v3 [20250600] 2023-07-06 09:19:16 [1] 96.770 3429 EURIBOR-ICE caleb_strategy_v3 [20250600] 2023-07-06 09:24:08 [1] 96.775 ============================================================================================================================================================ Delays ============================================================================================================================================================ instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit order_id 3428 EURIBOR-ICE caleb_strategy_v3 2023-07-05 2023-07-06 09:14:16.554 2023-07-06 09:19:16 119657 299.446 3429 EURIBOR-ICE caleb_strategy_v3 2023-07-05 2023-07-06 09:19:24.228 2023-07-06 09:24:08 119964 283.772 ================================================================================================================================================================================================================================ 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 3428 EURIBOR-ICE caleb_strategy_v3 [1] 96.79 None 96.7625 96.765 96.76 96.76 96.77 0.0275 -0.0025 -0.005 -0.01 NaN -0.0075 3429 EURIBOR-ICE caleb_strategy_v3 [1] 96.79 None 96.7675 96.77 96.765 96.765 96.775 0.0225 -0.0025 -0.005 -0.01 NaN -0.0075 ================================================================================================================================================================ 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 3428 EURIBOR-ICE caleb_strategy_v3 [1] 1.19725 229.693 -20.8812 -41.7623 -83.5247 NaN -62.6435 3429 EURIBOR-ICE caleb_strategy_v3 [1] 1.19725 187.93 -20.8812 -41.7623 -83.5247 NaN -62.6435 =========================================================================================================================================================================== 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 3428 EURIBOR-ICE caleb_strategy_v3 [1] 2715.12 74.6659 -6.78781 -13.5756 -27.1512 NaN -20.3634 3429 EURIBOR-ICE caleb_strategy_v3 [1] 2715.12 61.0903 -6.78781 -13.5756 -27.1513 NaN -20.3634 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 135.75625 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 135.75625 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -13.575625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -13.575625 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -27.15125 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -27.15125 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE -54.3025 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -54.3025 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 EURIBOR-ICE 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 -40.726875 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -40.726875 ******************************************************************************** END OF REPORT ********************************************************************************