******************************************************************************** Trades report produced on 02/08/2023 21:38 from 01/08/2023 21:38 to 02/08/2023 21:38 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 4004 GAS_US_mini caleb_strategy_v3 [20231000] 2023-08-02 14:00:13 [-1] 2.625 4005 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-02 14:00:15 [-1] 1962.100 4006 GOLD_micro caleb_strategy_v3 [20231000] 2023-08-02 14:00:17 [-1] 1962.100 4007 NASDAQ_micro caleb_strategy_v3 [20230900] 2023-08-02 15:00:01 [1] 15602.250 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 4004 GAS_US_mini caleb_strategy_v3 2023-08-01 2023-08-02 14:00:01.128 2023-08-02 14:00:13 136801 11.872 4005 GOLD_micro caleb_strategy_v3 2023-08-01 2023-08-02 14:00:14.783 2023-08-02 14:00:15 136815 0.217 4006 GOLD_micro caleb_strategy_v3 2023-08-01 2023-08-02 14:00:16.999 2023-08-02 14:00:17 136817 0.001 4007 NASDAQ_micro caleb_strategy_v3 2023-08-01 2023-08-02 15:00:01.546 2023-08-02 15:00:01 140402 NaN ============================================================================================================================================================================================================================ 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 4004 GAS_US_mini caleb_strategy_v3 [-1] 2.685 None 2.625 2.62 2.63 2.63 2.625 -0.06 -0.005 0.005 -0.005 NaN 0 4005 GOLD_micro caleb_strategy_v3 [-1] 1962.6 None 1962.3 1962.2 1962.4 1962.4 1962.1 -0.3 -0.1 -0.1 -0.3 NaN -0.2 4006 GOLD_micro caleb_strategy_v3 [-1] 1962.6 None 1962.2 1962.1 1962.3 1962.3 1962.1 -0.4 -0.1 -0 -0.2 NaN -0.1 4007 NASDAQ_micro caleb_strategy_v3 [1] 15847 None 15602.8 15603 15602.5 15602.5 15602.2 244.25 -0.25 0.75 0.25 NaN 0.5 ============================================================================================================================================================ 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 4004 GAS_US_mini caleb_strategy_v3 [-1] 1.90314 -315.269 -26.2724 26.2724 -26.2724 NaN 0 4005 GOLD_micro caleb_strategy_v3 [-1] 234.91 -12.7708 -4.25695 -4.25695 -12.7708 NaN -8.51389 4006 GOLD_micro caleb_strategy_v3 [-1] 234.91 -17.0278 -4.25695 -0 -8.51389 NaN -4.25695 4007 NASDAQ_micro caleb_strategy_v3 [1] 2871.24 850.679 -0.870705 2.61212 0.870705 NaN 1.74141 ======================================================================================================================================================================= 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 4004 GAS_US_mini caleb_strategy_v3 [-1] 2500 -150 -12.5 12.5 -12.5 NaN 0 4005 GOLD_micro caleb_strategy_v3 [-1] 10 -3 -1 -1 -3 NaN -2 4006 GOLD_micro caleb_strategy_v3 [-1] 10 -4 -1 -0 -2 NaN -1 4007 NASDAQ_micro caleb_strategy_v3 [1] 2 488.5 -0.5 1.5 0.5 NaN 1 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini -150.0 GOLD_micro -7.0 NASDAQ_micro 488.5 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 331.5 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini -12.5 GOLD_micro -2.0 NASDAQ_micro -0.5 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -15.0 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini 12.5 GOLD_micro -1.0 NASDAQ_micro 1.5 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 13.0 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini -12.5 GOLD_micro -5.0 NASDAQ_micro 0.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 -17.0 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 GAS_US_mini 0 GOLD_micro 0 NASDAQ_micro 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 GAS_US_mini 0.0 GOLD_micro -3.0 NASDAQ_micro 1.0 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 -2.0 ******************************************************************************** END OF REPORT ********************************************************************************