******************************************************************************** Trades report produced on 20/07/2023 21:38 from 19/07/2023 21:38 to 20/07/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 3753 DAX caleb_strategy_v3 [20230900] 2023-07-20 08:00:06 [-1] 16160.0 3752 EUROSTX caleb_strategy_v3 [20230900] 2023-07-20 08:00:04 [1] 4365.0 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 3752 EUROSTX caleb_strategy_v3 2023-07-19 2023-07-20 08:00:03.402 2023-07-20 08:00:04 115203 0.598 3753 DAX caleb_strategy_v3 2023-07-19 2023-07-20 08:00:04.879 2023-07-20 08:00:06 115205 1.121 ========================================================================================================================================================================================================================== 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 3752 EUROSTX caleb_strategy_v3 [1] 4384 None 4363.5 4364 4363 4363 4365 20.5 -0.5 -1 -2 NaN -1.5 3753 DAX caleb_strategy_v3 [-1] 16213 None 16164 16163 16165 16165 16160 -49 -1 -3 -5 NaN -4 ============================================================================================================================================================ 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 3752 EUROSTX caleb_strategy_v3 [1] 677.424 302.617 -7.38091 -14.7618 -29.5236 NaN -22.1427 3753 DAX caleb_strategy_v3 [-1] 2286.32 -214.318 -4.37384 -13.1215 -21.8692 NaN -17.4954 ======================================================================================================================================================================= 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 3752 EUROSTX caleb_strategy_v3 [1] 11.214 229.887 -5.607 -11.214 -22.428 NaN -16.821 3753 DAX caleb_strategy_v3 [-1] 1.1214 -54.9486 -1.1214 -3.3642 -5.607 NaN -4.4856 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 DAX -54.9486 EUROSTX 229.8870 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 174.9384 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 DAX -1.1214 EUROSTX -5.6070 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -6.7284 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 DAX -3.3642 EUROSTX -11.2140 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 -14.5782 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX -5.607 EUROSTX -22.428 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -28.035 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 DAX 0 EUROSTX 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 DAX -4.4856 EUROSTX -16.8210 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -21.3066 ******************************************************************************** END OF REPORT ********************************************************************************